<PAGE> 1
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EATON VANCE MUNICIPALS TRUST
FOR THE FUNDS:
- EV Marathon Alabama Municipals Fund
- EV Marathon Arkansas Municipals Fund
- EV Marathon Georgia Municipals Fund
- EV Marathon Kentucky Municipals Fund
- EV Marathon Louisiana Municipals Fund
- EV Marathon Maryland Municipals Fund
- EV Marathon Missouri Municipals Fund
- EV Marathon North Carolina Municipals Fund
- EV Marathon Oregon Municipals Fund
- EV Marathon South Carolina Municipals Fund
- EV Marathon Tennessee Municipals Fund
- EV Marathon Virginia Municipals Fund
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[DOOR GRAPHIC]
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SEMI-ANNUAL SHAREHOLDER REPORT
FEBRUARY 29, 1996
<PAGE> 2
Table of Contents
<TABLE>
<CAPTION>
ITEM PAGE
<S> <C>
President's letter to shareholders .................................... 3
Six-month results, listed by state .................................... 4
Management Reports:
EV Marathon Alabama Municipals Fund ........................... 5
EV Marathon Arkansas Municipals Fund .......................... 6
EV Marathon Georgia Municipals Fund ........................... 7
EV Marathon Kentucky Municipals Fund .......................... 8
EV Marathon Louisiana Municipals Fund ......................... 9
EV Marathon Maryland Municipals Fund .......................... 10
EV Marathon Missouri Municipals Fund .......................... 11
EV Marathon North Carolina Municipals Fund .................... 12
EV Marathon Oregon Municipals Fund ............................ 13
EV Marathon South Carolina Municipals Fund .................... 14
EV Marathon Tennessee Municipals Fund ......................... 15
EV Marathon Virginia Municipals Fund .......................... 16
Financial Results ............................................. 17
</TABLE>
2
<PAGE> 3
TO SHAREHOLDERS
The municipal bond market rallied strongly throughout 1995, gaining back most of
the losses of the previous year. Twice during the year, the Federal Reserve
lowered short-term interest rates, further buoying the market.
Realistically, it may be difficult for the market to match last year's gains.
Still, there are many reasons to be optimistic about the municipal bond market
in 1996 and to believe that an investment in municipal bonds represents very
good value and should be a part of a wise investor's fixed-income portfolio.
The U.S. economy continues in its favorable pattern of slow growth and low
inflation, which is a good environment for the municipal bond market. Another
plus is that if the Fed decides to make further moves during 1996, it is more
likely to lower rates than raise them.
During 1995 the municipal market underperformed the taxable market because of
concern about the possible passage of major tax reform legislation. While such
concerns are likely to persist this year, we at Eaton Vance continue to believe
there is little chance that significant reform, in the form of a flat tax,
consumption tax or value-added tax, will be enacted in the foreseeable future.
While flat tax and other reform proposals will be debated, especially during the
Presidential campaigns, they are so controversial and sweeping that we believe
the process needed to secure agreement and subsequent passage of a plan is, at
best, years away.
At the same time, the Presidential campaigns could provide impetus to proposals
that should prove favorable to the bond market. Any positive result in this area
is likely to provide additional momentum to the bond market through fiscal
restraint and, therefore, lower yields.
These factors have combined to produce a significant opportunity for municipal
bond investors. To the extent that fears about tax reform depress prices,
investors can enter the market at a discount. To the extent that budget reform
measures lessen the Federal government's borrowing needs, investors may be
expected to reap the rewards through a strengthening bond market.
As always, achieving investment rewards depends on an investor's willingness to
adopt a long-term investment horizon. That's why we at Eaton Vance believe
patience is a key to successful investing.+
Sincerely
[PHOTO] /s/ Thomas J. Fetter
Thomas J. Fetter
President
April 9, 1996
TAX-EXEMPT BONDS YIELD 85% OF TREASURY YIELDS
[BAR CHART]
<TABLE>
<C> <C>
30-YR. AAA GENERAL OBLIGATION (GO) BONDS* 5.45%
TAXABLE EQUIVALENT YIELD OF INVESTMENT FOR COUPLE
IN 36% TAX BRACKET 8.52%
30-YEAR TREASURY BONDS 6.41%
</TABLE>
Principal and interest payments of Treasury securities are guaranteed by the
U.S. government.
*GO yield is a compilation of a representative variety of general obligation
bonds and is not necessarily represented by the Fund's yield. Statistics as of
2/29/96.
Past performance is no guarantee of future results.
Source: Bloomberg, L.P.
+ A portion of the Portfolios' income could be subject to Federal alternative
minimum tax.
3
<PAGE> 4
INFORMATION ABOUT YOUR MUTUAL FUND INVESTMENT
<TABLE>
<CAPTION>
FINANCIAL DATA:
-----------------------------------------------------------
RESULTS FOR THE SIX MONTHS Dividends paid by Fund's NAV per Fund's distribution
ENDING FEBRUARY 29, 1996 Fund during period share at 2/29/96 rate at 2/29/96
- -------------------------- ------------------ ---------------- -------------------
<S> <C> <C> <C> <C>
EV Marathon ALABAMA $0.249 $10.68 4.54% [GRAPHIC - ALABAMA]
Municipals Fund
EV Marathon ARKANSAS $0.242 $10.49 4.58% [GRAPHIC - ARKANSAS]
Municipals Fund
EV Marathon GEORGIA $0.229 $10.05 4.53% [GRAPHIC - GEORGIA]
Municipals Fund
EV Marathon KENTUCKY $0.234 $10.23 4.55% [GRAPHIC - KENTUCKY]
Municipals Fund
EV Marathon LOUISIANA $0.248 $10.14 4.85% [GRAPHIC - LOUISIANA]
Municipals Fund
EV Marathon MARYLAND $0.245 $10.57 4.61% [GRAPHIC - MARYLAND]
Municipals Fund
EV Marathon MISSOURI $0.242 $10.80 4.45% [GRAPHIC - MISSOURI]
Municipals Fund
EV Marathon NORTH CAROLINA $0.237 $10.25 4.59% [GRAPHIC - NORTH CAROLINA]
Municipals Fund
EV Marathon OREGON $0.233 $10.54 4.38% [GRAPHIC - OREGON]
Municipals Fund
EV Marathon SOUTH CAROLINA $0.235 $10.27 4.55% [GRAPHIC - SOUTH CAROLINA]
Municipals Fund
EV Marathon TENNESSEE $0.242 $10.40 4.62% [GRAPHIC - TENNESSEE]
Municipals Fund
EV Marathon VIRGINIA $0.242 $10.55 4.56% [GRAPHIC - VIRGINIA]
Municipals Fund
</TABLE>
<TABLE>
<CAPTION>
TAX DATA:
-----------------------------------------------------
RESULTS FOR THE SIX MONTHS If your combined Federal The after-tax equivalent
ENDING FEBRUARY 29, 1996 & state tax rate is... yield you would need is...
- -------------------------- ------------------------ --------------------------
<S> <C> <C>
EV Marathon ALABAMA 39.20% 7.44%
Municipals Fund
EV Marathon ARKANSAS 40.48% 7.67%
Municipals Fund
EV Marathon GEORGIA 39.84% 7.50%
Municipals Fund
EV Marathon KENTUCKY 43.36% 8.01%
Municipals Fund
EV Marathon LOUISIANA 39.84% 8.05%
Municipals Fund
EV Marathon MARYLAND 41.12% 7.79%
Municipals Fund
EV Marathon MISSOURI 39.84% 7.37%
Municipals Fund
EV Marathon NORTH CAROLINA 40.96% 7.72%
Municipals Fund
EV Marathon OREGON 41.76% 7.51%
Municipals Fund
EV Marathon SOUTH CAROLINA 40.48% 7.61%
Municipals Fund
EV Marathon TENNESSEE 39.84% 7.65%
Municipals Fund
EV Marathon VIRGINIA 39.68% 7.52%
Municipals Fund
</TABLE>
4
<PAGE> 5
EV MARATHON ALABAMA MUNICIPALS FUND
THE STATE OF THE STATE: Alabama
The Alabama economy still relies mostly on manufacturing, though it has
diversified somewhat in recent years. Much of the state's economic growth
recently has been in the service sector, with high technology also contributing
to the state's economic growth.
The state weathered the recession of the early 1990s in relatively good shape,
and has demonstrated steady gains in several economic indicators during the
mid-1990s.
Alabama has put much effort into attracting new businesses, particularly those
that will diversify its economy. An economic development plan that began in 1993
has brought the state significant levels of new business investment. The largest
new facility announced to date is the Mercedes Benz sport utility vehicle
manufacturing plant in Vance. It is estimated that this plant, which is expected
to be in operation in 1997, will add 1,500 direct and 2,800 indirect jobs to the
state's economy by the year 2000.
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PORTFOLIO OVERVIEW
[GRAPHIC - STATE OF ALABAMA]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues ...................................................... 68
Average quality ....................................................... AA-
Investment grade ...................................................... 97.6%
Effective maturity .................................................... 12.35 yrs.
Largest sectors:
Insured water & sewer .............................................. 15.2%*
Insured education ................................................. 13.5*
Hospitals .......................................................... 11.1
Industrial development revenue ..................................... 11.0
Insured utilities .................................................. 6.4*
General obligations ................................................ 5.8
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
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Unemployment rates in Alabama have been at approximately the national average.
The state has moderate debt levels that benefit from a rapid amortization
schedule.
YOUR INVESTMENT AT WORK
Alabama State University
Tuition and Fee Revenue Bonds
The proceeds of this 1995 bond issue were used to finance capital improvements
to the University's facilities in Montgomery. The improvements included the
acquisition of land adjacent to its campus and demolition of existing buildings,
site preparation, landscaping and infrastructure improvements.
Alabama State University was founded in 1866 and in 1995 it had an enrollment of
4,967, more than 1,800 of them from out-of-state. The University provides degree
programs in 39 undergraduate and 19 graduate fields of study in its Colleges of
Music, Business Administration, Education and Arts and Sciences.
The bond issued totaled nearly $7.7 million.
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FROM THE PORTFOLIO MANAGER
[PHOTO - TIMOTHY T. BROWSE]
"We are always sensitive to the call protection features of the Portfolio. As a
result, during this six-month period, when the market's interest in call
protection has been heightened, our sensitivity has been rewarded. We've
continued to look to improve the Portfolio's call protection features. In a
number of cases, we've moved out of bonds with 7 or 8 years of call protection
remaining and moved into those offering 10 years of protection.
"When appropriate, we've purchased some lower-rated coupons for the Portfolio.
We are paying close attention to the Portfolio's coupon structure because we
want to ensure performance going forward.
"We continue to be optimistic about municipal bonds because we believe that the
current economic environment, with diminished fears of passage of a flat tax and
no significant expectation of inflation, favors municipal bonds as an
investment."
-Timothy T. Browse
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5
<PAGE> 6
EV MARATHON ARKANSAS MUNICIPALS FUND
THE STATE OF THE STATE: Arkansas
The Arkansas economy continues to grow slowly but steadily. Its economy is
diversified, and its growth levels are expected to exceed the national average
by a small amount over the next few years.
Manufacturing, including the state's large food processing industry, electrical
and wood products, remains the state's largest sector in terms of employment,
with the combined employment levels of the wholesale and retail sectors close
behind. The food processing industry, in particular, has caused the state's
economy to grow.
In the near future, the construction industry is expected to grow, and increases
in the number of people employed in service industries should offset any losses
in manufacturing jobs. The overall economy is expected to show slow, steady
growth.
State finances are helped by the state's low level of revenue-supported public
debt and consistently conservative fiscal operations. An additional positive
feature is the fact that all new general obligation debt must be authorized by
voters, further limiting future issuance.
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PORTFOLIO OVERVIEW
[GRAPHIC - STATE OF ARKANSAS]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues................................................... 67
Average quality.................................................... A+
Investment grade................................................... 94.2%
Effective maturity................................................. 13.21 yrs.
Largest sectors:
Hospitals....................................................... 14.8%
Industrial development/pollution
control revenue................................................. 14.4
Housing......................................................... 11.3
Electric utilities.............................................. 9.7
Water & sewer................................................... 9.1
</TABLE>
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YOUR INVESTMENT AT WORK
City of Blytheville [GRAPHIC]
Nucor Corporation Project
Proceeds of this 1993 bond issue were used to finance construction of a steel
mill in the Town of Hickman, leased and operated by Nucor Corporation.
The plant was designed to manufacture sheet steel out of scrap steel. The scrap
steel first is melted in electric arc furnaces. It is then cast into thin slabs
and rolled into coils. Nucor Corporation is a well-known steel manufacturer.
The proceeds also financed construction of the plant's solid waste recycling
facilities. The total amount of the bond issue was $16 million.
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FROM THE PORTFOLIO MANAGER
[PHOTO - TIMOTHY T. BROWSE]
"Because there is a limited supply of Arkansas bonds and because new issuance is
low, the state's bonds tend to trade at high prices. However, when the right
opportunities present themselves, we move into bonds that afford the Portfolio
an even greater amount of call protection.
"We always look for opportunities to diversify the Portfolio and to add value to
it. This diversification gives the Portfolio the flexibility to buy what is
attractive without concern for sector overweightings that might otherwise occur.
"We continue to be optimistic about the prospects for municipal bond
performance. As fears about the possibility of a flat tax dissipate, we expect
that municipal bonds will outperform."
-Timothy T. Browse
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6
<PAGE> 7
EV MARATHON GEORGIA MUNICIPALS FUND
THE STATE OF THE STATE: Georgia
Georgia continues to lead its region in economic strength, with much of the
activity centered in the Atlanta area. Its position is being helped by the
extraordinary amount of economic activity connected with the 1996 Olympic Games,
which will be held in the Atlanta area.
Short-term economic activity generated by the Olympics is estimated at more than
$5 billion, split roughly equally between spending by the Atlanta Committee for
the Olympic Games and by out-of-staters.
While much of the construction is being done without new bond issuance, the
project will have a dramatic effect on the region's economy. Hosting the Games
is expected to add $1.9 billion in earnings to the state's economy and more than
77,000 jobs, according to the University of Georgia's Selig Center for Economic
Growth. Many of these jobs will be in the food, lodging and amusement
industries.
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PORTFOLIO OVERVIEW
[GRAPHIC - STATE OF GEORGIA]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues................................................. 70
Average quality.................................................. AA-
Investment grade................................................. 96.3%
Effective maturity............................................... 13.64 yrs.
Largest sectors:
General obligations........................................... 16.1%
Utilities..................................................... 15.8
Insured hospitals............................................. 13.6*
Hospitals..................................................... 11.6
Housing....................................................... 10.8
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
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An added benefit is the infrastructure that will be left behind, including
significant improvements at local colleges and universities, an olympic stadium,
a tennis facility and a horse park.
YOUR INVESTMENT AT WORK
Savannah Economic [GRAPHIC]
Development Authority
Intercat Project
These bonds were issued to finance the expansion of a manufacturing facility in
Savannah. The proceeds were used to build facilities for Intercat, a producer of
specialized catalysts for the petroleum refining industry.
Intercat is a strong company serving a niche market, and the new facilities
allow the company to help meet rising demand for its products. Tougher
environmental standards have combined with thin operating margins for petroleum
refiners to drive the demand for Intercat's products, which improve the
efficiency of the oil refining process while reducing air pollution.
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FROM THE PORTFOLIO MANAGER
[PHOTO - CYNTHIA J. CLEMSON]
"The Georgia bond market continues to be characterized by low issuance. However,
when opportunities do present themselves, we have attempted to improve the call
protection of the Fund, as well as to take advantage of relatively narrow
quality spreads between A-rated and insured bonds to upgrade the Portfolio.
"When possible, we also are trying to add some slightly lower-rated bonds,
particularly industrial development bonds, that increase the Portfolio's yield.
We believe this 'barbell' structure, emphasizing both high-quality and
high-yielding bonds, provides the best value to the Portfolio at this time.
"We remain optimistic about the future performance of the municipal bond market,
in part because of the diminished prospects for tax reform that would include a
flat tax or similar proposal."
- Cynthia J. Clemson
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7
<PAGE> 8
EV MARATHON KENTUCKY MUNICIPALS FUND
THE STATE OF THE STATE: Kentucky
The commonwealth's employment has traditionally focused on natural resources,
with tobacco farming, mining and manufacturing playing dominant roles. However,
like many other states that have seen significant growth recently, the service
sector is becoming more important.
Kentucky has aggressively sought new business in recent years, a strategy that
has paid off with significant economic development and a number of substantial
commitments to future expansion of facilities. In economic terms, the results of
these developments have been predictable: Personal income levels among
Kentucky's residents has improved at a rate exceeding the national average,
while unemployment has declined to about the national average.
The commonwealth's financial outlook continues to be generally positive.
Although its level of growth through the rest of the decade may not match levels
achieved in the last few years, continued strong efforts to attract business and
efforts to improve the state's schools are expected to continue to be beneficial
to Kentucky's economy.
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PORTFOLIO OVERVIEW
[GRAPHIC - STATE OF KENTUCKY]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues...................................................... 91
Average quality....................................................... AA-
Investment grade...................................................... 94.1%
Effective maturity.................................................... 13.23 yrs.
Largest sectors:
Lease revenue/certificate of participation......................... 21.7%
Industrial development/pollution
control revenue.................................................... 12.6
Insured hospitals.................................................. 11.3*
Insured water and sewer............................................ 8.7*
Utilities.......................................................... 6.5
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
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YOUR INVESTMENT AT WORK
Henderson County [GRAPHIC]
MacMillan Bloedel Project
This 1995 bond issue provides benefits in two ways: It allows a company to
complete its manufacturing facility, resulting in jobs, and it helps the company
keep the environment clean.
The proceeds are being used to finance construction of a sewage and solid waste
disposal and recycling facility at the MacMillan Bloedel Ltd. plant in Henderson
County.
MacMillan Bloedel is a large paper manufacturer based in British
Columbia, Canada. It will manufacture containerboard products at its new
facility.
A total of $34.2 million in bonds were issued for the project.
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FROM THE PORTFOLIO MANAGER
[PHOTO DAVID C. REILLY]
"I have been looking to upgrade the Portfolio's overall call protection when we
find good opportunities to do so.
"When the Portfolio experienced a great deal of growth in 1992 and 1993, we
purchased a number of new issues with 10 years of call protection. With two
years having passed and with those bonds now having just 8 years of call
protection, we're swapping into bonds that give us two or more additional years
of protection. In addition, we're always on the lookout for noncallable bonds
when their prices are reasonable."
- David C. Reilly
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8
<PAGE> 9
EV MARATHON LOUISIANA MUNICIPALS FUND
THE STATE OF THE STATE: Louisiana
The Louisiana economy continues to be hindered by serious problems within the
state's revenue-raising structure. Specifically, its homestead exemption,
removing taxes on the first $75,000 of a resident's home, has caused a
continuing constraint on revenues and has forced the state to use a variety of
other taxes to try to raise enough revenues to finance its operations.
Louisiana depends on the oil industry for much of its revenues. However, because
the markets for petrochemical products has remained relatively flat, the state
has not been able to rely on increases in tax revenues from petroleum
production. The weak oil market has had another serious effect: Energy sector
employment levels have decreased since the mid-1980s.
As a result of this weakness, the service sector has surpassed the energy
industry as a major source of employment. While Louisiana has seen a modest
recovery in the mid 1990s, prospects for a dramatic economic upturn are slim.
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PORTFOLIO OVERVIEW
[GRAPHIC - STATE OF LOUISIANA]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues.................................................... 49
Average quality..................................................... AA-
Investment grade.................................................... 97.2%
Effective maturity.................................................. 18.50 yrs.
Largest sectors:
Housing.......................................................... 31.9%
Industrial development revenue .................................. 16.1
Insured special tax.............................................. 12.4*
Healthcare....................................................... 8.0
Hospitals.......................................................... 6.0
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
- --------------------------------------------------------------------------------
The state tried to diversify revenue sources by introducing gambling, with mixed
results. It helped increase employment somewhat, but gambling in New Orleans has
dropped below initial projections. The state will continue to seek other ways to
diversify.
YOUR INVESTMENT AT WORK
Mississippi River Bridge Authority
Bridge Revenue Bonds [GRAPHIC]
These bonds, issued in 1992, were used to finance improvements to two bridges
across the Mississippi at New Orleans. The bond issue raised approximately $27
million.
Among the projects receiving funds were reconstruction of an expressway from
Simon Bolivar Street to Annunciation Street; redecking and strengthening of the
Authority's Bridge No. 1; and completion of the west approach to Bridge No. 1.
Bridge No. 1 was built in 1958. The second bridge was built nearby and opened to
traffic in 1989. The funds also were used for reconstruction of Victory
Park Drive, landscaping and beautification.
The Authority operates the two bridges as well as three ferries that carry
vehicles and pedestrians across the Mississippi.
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FROM THE PORTFOLIO MANAGER
[PHOTO OF ROBERT B. MacINTOSH]
"When credit quality spreads are as tight as they are now, we try to purchase
bonds that will upgrade the overall quality of the Portfolio. At times, this
goal is difficult to achieve in Louisiana because of the prevalence of bonds
rated Baa or BBB.
"However, Louisiana's quality profile does give us an opportunity to use the
skills of our Research Department to ferret out bonds that provide especially
good investment opportunities but that are overlooked by other investors.
"We have reduced our dependence on bonds in the housing sector, choosing instead
to move into more liquid credits. We also are monitoring the Portfolio's
exposure to the many industrial development bonds that have been used to finance
projects for paper companies."
- Robert B. MacIntosh
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9
<PAGE> 10
EV MARATHON MARYLAND MUNICIPALS FUND
THE STATE OF THE STATE: Maryland
The economic base in Maryland is well diversified, though the state depends on
the Federal government as the source of a significant proportion of its
employment. The state's economy is also helped by a high per-capita income.
The recession of the early 1990s hurt the state's economy. As a result,
Maryland's employment growth has lagged the nation's during the 1990s. Despite
these factors, Maryland's high per-capita income, strong diverse economic base
and strong state finances give it a considerable advantage.
Much of the state's growth in the near future will come from the service sector.
It is likely that the state will face some Federal job cuts, but should be able
to count on gains in other areas to make up the difference during the remainder
of the decade.
Maryland's government is managed conservatively, with a goal of maintaining the
state's coveted AAA credit rating. While it cannot be called a low-debt state,
its levels of debt are reasonable because the state constitution requires that
all general obligation debt be retired within 15 years of issuance.
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PORTFOLIO OVERVIEW
[GRAPHIC - STATE OF MARYLAND]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues.................................................. 70
Average quality................................................... AA-
Investment grade.................................................. 96.5%
Effective maturity................................................ 16.43 yrs.
Largest sectors:
Hospitals...................................................... 23.0%
Insured hospitals.............................................. 12.5*
Industrial development revenue................................. 11.8
General obligations............................................ 8.9
Housing........................................................ 7.3
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
- --------------------------------------------------------------------------------
YOUR INVESTMENT AT WORK
Energy Financing Administration
AES Warrior Run Project [GRAPHIC]
This bond issue is being used to finance some of the costs of a coal-burning,
electricity-generating project near the City of Cumberland. When completed, the
facility is expected to generate electricity for sale to the Potomac Edison
Company under a 30-year agreement with the utility. It also will produce carbon
dioxide for sale to the merchant gas market.
The facility will include a 180-megawatt coal-fired steam electric cogeneration
facility, a electric transmission line and a carbon dioxide production plant.
The 1995 bond issue totals more than $73 million, which is financing only a
portion of the project's total cost. The remainder of the money will come from
loans and contributions by AES WR Limited Partnership, the entity that is
constructing the facility.
- --------------------------------------------------------------------------------
FROM THE PORTFOLIO MANAGER
[PHOTO TIMOTHY T. BROWSE]
"The bond market in recent months has paid unusual attention to the call
features of bonds. Because we are always sensitive to call protection when
adding to the Portfolio, this market focus gives the Portfolio an advantage.
Still, when possible, we've sought to improve the Portfolio's call protection
features.
"The Portfolio is fairly well-balanced in terms of the sectors represented.
Because Maryland hospitals in general have better financial structures than
those in many other states, we are comfortable holding a slightly greater
proportion of hospitals than we do elsewhere. We continue to look for
opportunities to diversify so the Portfolio can move into and out of sectors in
the future without worries about overweighting."
- Timothy T. Browse
- --------------------------------------------------------------------------------
10
<PAGE> 11
EV MARATHON MISSOURI MUNICIPALS FUND
THE STATE OF THE STATE: Missouri
Missouri's economy continues to be strong, helped by a well diversified mix of
industries. Job growth in 1995 was above-average, primarily because of an
increase in service sector jobs.
The state continues to rely on motor vehicle manufacturing and defense-related
industries as its primary employers within the manufacturing sector. However,
those have been joined by publishing, health care and food processing as
contributors to the state's economic strength.
Tourism continues to grow in Missouri, with Branson, once a small town, now a
major resort destination, and St. Louis winning convention visits from large
organizations.
State finances have benefited from conservative management as well as a growing
economy. The overall debt burden is relatively light. It is expected that the
state will be able to maintain this favorable financial position.
- --------------------------------------------------------------------------------
PORTFOLIO OVERVIEW
[GRAPHIC - STATE OF MISSOUR]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues..................................................... 75
Average quality...................................................... AA
Investment grade..................................................... 93.8%
Effective maturity................................................... 14.58 yrs.
Largest sectors:
Insured hospitals................................................. 16.7%*
Lease/certificate of participation................................ 9.3
Hospitals......................................................... 8.4
Insured utilities................................................. 7.1*
Water & sewer..................................................... 6.2
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
- --------------------------------------------------------------------------------
The state's economy is expected to continue to grow at a rate exceeding the
national average. Unemployment is expected to remain steady in the near future.
YOUR INVESTMENT AT WORK
Kansas City International Airport
AFCO Cargo Project
These bonds financed the purchase and rehabilitation of an aircraft parking ramp
at the airport.
The project takes advantage of the huge increase in cargo being sent by air.
This industry has doubled in the past 10 years because of an increase in the
amount of value-added goods produced in the U.S. and an increase in just-in-time
inventory management.
Kansas City International Airport is strategically located at the intersection
of two major interstate expressways, I-35 and I-70, and is within 600 miles of
half of the nation's manufacturing firms. The project's revenues come from lease
agreements with major express shippers, including Airborne Express, DHL and
Burlington Air Express.
- --------------------------------------------------------------------------------
FROM THE PORTFOLIO MANAGER
[PHOTO - CYNTHIA J. CLEMSON]
"We have recently added several new industrial revenue bonds to the Portfolio.
Bonds such as the Kansas City International Airport bonds provide the Portfolio
with good income as well as diversification.
"Healthcare also continues to be an interesting sector in the Missouri market,
as hospitals continue to provide opportunity despite ongoing uncertainties in
the U.S. healthcare market. Our research staff provides us with the tools
necessary to discern which hospitals will ultimately survive and thrive.
"During this six-month period, the Missouri market continued to see low bond
issuance. However, we continue to look for opportunities to increase call
protection."
-Cynthia J.Clemson
- --------------------------------------------------------------------------------
11
<PAGE> 12
EV MARATHON NORTH CAROLINA MUNICIPALS FUND
THE STATE OF THE STATE: North Carolina
The North Carolina economy continues to be strong. The state is continuing its
move from a manufacturing economy, dominated by textiles and tobacco, to a more
diversified economic base, though it still is heavily influenced by
manufacturing and ranks eighth among the states in terms of manufacturing
employment.
Growth has been particularly strong in the state's three major metropolitan
areas -- Charlotte, the Research Triangle Park area and Winston-Salem. These
areas have seen considerable new business growth and, with it, increases in
construction activity, housing starts and infrastructure development. The state
economy is not expected to perform as well in the 1990s as it did in the
previous decade. However, North Carolina, led by increases in nonmanufacturing
jobs, still is expected to grow at a pace that will place it among the leaders
throughout the country.
In terms of state finances, North Carolina remains one of the strongest states
in the nation. Its finances have traditionally benefited from its conservative
fiscal management policies and low levels of debt. Even though debt issuance has
increased in recent years, its debt levels still remain low.
- --------------------------------------------------------------------------------
PORTFOLIO OVERVIEW
[GRAPHIC - STATE OF NORTH CAROLINA]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues.................................................... 89
Average quality..................................................... AA-
Investment grade.................................................... 98.6%
Effective maturity.................................................. 14.10 yrs.
Largest sectors:
Hospitals........................................................ 17.2%
Housing.......................................................... 10.8
Industrial development revenue................................... 10.1
Insured hospitals................................................ 9.7*
Insured lease/certificates of
participation revenues........................................... 9.0*
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
- --------------------------------------------------------------------------------
YOUR INVESTMENT AT WORK
Medical Care Commission [GRAPHIC]
Rex Hospital Project
This 1993 bond issue provides funds for a major capital expenditure project at
Rex Hospital in Raleigh involving a variety of improvements.
Among the uses for the $71 million are construction of ambulatory care and
cancer care centers, additions to the hospital's information system,
construction of new critical care units, construction of two parking decks, and
renovations.
The ambulatory care center, the largest of these expenditures, includes
construction of a 150,000 square foot building. The center will offer radiology,
laboratory, diagnostic and home health services for outpatients who do not
require surgery.
- --------------------------------------------------------------------------------
FROM THE PORTFOLIO MANAGER:
[Robert B. MacIntosh PHOTO]
"North Carolina offers a credit rating that is exceptionally high. Because its
state and local general obligation bonds carry high credit ratings, we have no
qualms about including a significant number of them in the Portfolio. We also
hold a significant proportion of electric power issues, which we view as having
good value.
"New bond issuance remains low, which means that North Carolina bonds, in
general, are expected to hold their relative value.
"During this period, our strategy in managing the Portfolio has focused on
improving its overall call protection features wherever possible. In addition,
we've focused on maintaining the Portfolio's high quality at a time of tight
interest rate spreads."
- Robert B. MacIntosh
- --------------------------------------------------------------------------------
12
<PAGE> 13
EV MARATHON OREGON MUNICIPALS FUND
THE STATE OF THE STATE: Oregon
Oregon is enjoying a particularly strong period of economic growth, fueled by
the state's growing economic base and strong finances.
Employment increased at a rate of more than 3.8% during 1995, with nearly half
the gain in the service sector. Interestingly, most of the growth also has
resulted from in-migration. Employers are finding Oregon an attractive place to
locate because of its skilled workers and relatively low real estate prices. The
number of high technology manufacturing companies locating in Oregon in recent
years is quite large and includes Intel Corp. and Hewlett-Packard Co.
Fueled by growth in high technology industries and continued population
increases, the construction sector continued to expand solidly. In contrast,
employment in the lumber and wood products industries continued to decline, with
a 6% drop in employment in 1995 alone.
- --------------------------------------------------------------------------------
PORTFOLIO OVERVIEW
[GRAPHIC - STATE OF OREGON]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues.................................................... 80
Average quality..................................................... AA-
Investment grade.................................................... 96.8%
Effective maturity.................................................. 13.62 yrs.
Largest sectors:
General obligations.............................................. 15.8%
Utilities........................................................ 12.6
Housing.......................................................... 10.6
Industrial development/pollution
control revenue.................................................. 7.4
Special tax revenue.............................................. 7.3
</TABLE>
- --------------------------------------------------------------------------------
During the next few years, the state is expected to continue to attract new
residents, particularly from California.
YOUR INVESTMENT AT WORK
Port of Astoria
Pollution Control [GRAPHIC]
Refunding Bonds
The proceeds of this 1993 bond issue were used to refund 1975 bonds that were
used to build pollution control facilities for the Wauna paper mill in
Clatskanie.
At the time, the mill was owned by Crown Zellerbach Corp. In 1993 it was
operated by James River Corp. The pollution control project included secondary
treatment facilities, a lime kiln scrubber, an auxiliary incinerator for
noncondensible gases, a brown stock washer hood vent scrubber and vents for the
digester feeder and foam tank to collect and feed gases to the lime kiln or
auxiliary incinerator. All this equipment contributed to the mill's effort to
protect the environment.
The bond proceeds totaled $10 million.
- --------------------------------------------------------------------------------
FROM THE PORTFOLIO MANAGER
[PHOTO - DAVID C. REILLY]
"During this six-month period, we have focused our efforts on improving the
Portfolio's call protection features. We believe interest rates are still on
their way down and that another bond market rally could occur. This makes the
call protection of bonds very important, because we want to maintain our ability
to fully participate in any rally that occurs.
"We are trying to establish and maintain a favorable distributable yield
advantage for the Fund over its competitors. As a result, whenever we are
considering bond trades, we take into account the effect the move would have on
the distributable yield."
- David C. Reilly
- --------------------------------------------------------------------------------
13
<PAGE> 14
EV MARATHON SOUTH CAROLINA MUNICIPALS FUND
THE STATE OF THE STATE: So. Carolina
South Carolina's state finances continue to improve after some difficult years
in the late 1980s and early 1990s. The state has put into effect a number of
reforms to ensure its fiscal stability.
The state's economy has been strong. It continues to reduce its traditional
reliance on agriculture and textiles. In terms of contributions to the state's
employment levels, these sectors have been joined by services, trade and
government. Employment growth has helped offset layoffs from U.S. Navy
facilities in the Charlestown area. These layoffs amounted to some 31,000
military and civilian jobs, as well as indirect employment created by the Navy.
Employers have found South Carolina's economic climate favorable, citing its low
cost of living and nonunion work force. The Bavarian Motor Works plant in
Spartanburg County is now running and is expected to add approximately 4,000
direct and indirect jobs.
- --------------------------------------------------------------------------------
PORTFOLIO OVERVIEW
[Graphic - State of South Carolina]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues.................................................... 62
Average quality..................................................... AA-
Investment grade.................................................... 97.2%
Effective maturity.................................................. 14.21 yrs.
Largest sectors:
Industrial development revenue................................... 18.6%
Utilities........................................................ 12.2
Insured utilities................................................ 12.0*
Housing.......................................................... 11.7
Insured hospitals................................................ 8.5*
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
- --------------------------------------------------------------------------------
South Carolina is known as a conservatively run state with relatively little
debt burden. The state also is benefiting from changes in its budget process
that generally are making budgeting more predictable.
YOUR INVESTMENT AT WORK
Aiken County [Graphic]
Beloit Corp. Project
The proceeds of these 1993 bonds were used to refund existing debt that was used
to finance improvements to a manufacturing facility in Aiken County.
Beloit Corp. is a top manufacturer of paper machines and has established itself
as a leading supplier of equipment for paper de-inking and recycling, a segment
of the market that has shown dramatic growth over the past 5 years. Beloit is a
wholly owned subsidiary of Harnischfeger Industries, a $1 billion company that
manufactures paper machines and mining equipment.
- --------------------------------------------------------------------------------
FROM THE PORTFOLIO MANAGER:
[PHOTO - THOMAS J. FETTER]
"During this six-month period, there continued to be low bond issuance in South
Carolina. Because of this and narrow quality spreads, we continued to upgrade
the quality of the Portfolio when possible. We're also paying close attention to
improving call protection in the Portfolio.
"We are optimistic about the future of municipal bond investing for a number of
reasons, not the least of which is the diminished fear that tax reform in the
form of a flat tax will occur. In South Carolina, that optimism is further
buoyed by the scarcity of new bond issuance. We believe that decreasing supply
and a steady or increasing demand should only bode well for the performance of
South Carolina debt."
- Thomas J. Fetter
- --------------------------------------------------------------------------------
14
<PAGE> 15
EV MARATHON TENNESSEE MUNICIPALS FUND
THE STATE OF THE STATE: Tennessee
Tennessee's economy relies heavily on the employment contributions of the
manufacturing sector, though the service sector has expanded in recent years.
Its growth, slowed by the recession of the early 1990s, has been steady, with
personal income growth greater than that of the nation as a whole. Unemployment
levels remain low.
The state continues to put a great deal of effort into attracting new industry.
Tennessee is now expecting to average more than $2 billion a year in new
construction and expansion of existing facilities, investments that should
contribute to increases in the state's employment levels in future years. Jobs
attributable to the automobile manufacturing industry have shown significant
gains in recent years, while the proportion of jobs in the food and textile
industries have declined. However, apparel manufacturing remains a major
industry in Tennessee.
Tennessee's TennCare comprehensive health plan is expected to strongly benefit
the state in the future. In the short term, it may contribute to some budgetary
uncertainties. State finances continue to be managed conservatively and debt
levels remain low.
- --------------------------------------------------------------------------------
PORTFOLIO OVERVIEW
[GRAPHIC - STATE OF TENNESSEE]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues................................................. 59
Average quality.................................................. AA-
Investment grade................................................. 99.3%
Effective maturity............................................... 13.09 yrs.
Largest sectors:
Industrial development revenue................................ 21.3%
Insured hospitals............................................. 16.8*
Housing....................................................... 16.6
Education..................................................... 6.1
Insured water & sewer......................................... 5.0*
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
- --------------------------------------------------------------------------------
Your investment at work
Jackson, TN Health, Education [GRAPHIC]
and Housing Facilities Board
Lambuth University
The proceeds of these bonds were used for a variety of projects on the campus of
this private, co-educational institution located in Jackson. Founded in 1848,
the university, which is affiliated with the United Methodist Church, offers
programs in liberal arts and sciences.
Since 1990, enrollment has grown significantly, reaching 1,153 in 1995, with
approximately 85% of the undergraduates from the State of Tennessee. The
administration's goal is to have enrollment of 1,350.
The renovation and construction projects financed by the 1995 bond issue will
allow the university to meet its enrollment goals. It financed such capital
projects as upgrading facilities to improve access for handicapped students,
renovating student housing, improving ventilation and air conditioning systems,
remodeling the library and repairing the roofs on the student union and
cafeteria.
The bonds are secured by the general obligation pledge of the university.
- --------------------------------------------------------------------------------
FROM THE PORTFOLIO MANAGER
[CYNTHIA J. CLEMENSON - PHOTO]
"One technique that we use to manage the Portfolio is to employ a 'barbell'-type
strategy that we believe provides the best value. In implementing this strategy,
we try to add both higher quality bonds and those of slightly lower quality that
provide higher yields.
"In particular, we've sought out industrial development bonds because they offer
a combination of yield and security that makes them an attractive addition to
the Portfolio.
"In addition, during this six-month period we have increasingly focused on
improving the Portfolio's overall call protection."
- Cynthia J.Clemson
- --------------------------------------------------------------------------------
15
<PAGE> 16
EV MARATHON VIRGINIA MUNICIPALS FUND
THE STATE OF THE STATE: Virginia
Virginia has conservative fiscal policies and a strong economy, two factors that
have added up to a very high credit rating for its debt. Its economy is in a
period of slow growth, benefiting from diversity that should help the state
through any difficult economic times that might occur.
The strongest areas of growth in 1995 tended to be in the areas of
Charlottesville, Richmond-Petersburg, Roanoke and Northern Virginia, all of
which have significant professional service sectors.
The state's prospects were boosted by the announcement that Motorola Inc. will
build a $1 billion semiconductor manufacturing plant near Richmond. This
facility could employ more than 5,000 after its completion in 1998.
It is expected that during the rest of the decade, the economy will be led by
gains in services, trade and construction. In 1995, Virginia had one of the
lowest unemployment rates in the nation, and it is expected that its
unemployment will remain relatively low in the near future.The state is known
for its strong financial management and low level of debt.
- --------------------------------------------------------------------------------
PORTFOLIO OVERVIEW
[GRAPHIC - STATE OF VIRGINIA]
<TABLE>
<S> <C>
Based on market value as of February 29, 1996
Number of issues.................................................. 93
Average quality................................................... AA-
Investment grade.................................................. 95.4
Effective maturity................................................ 14.45 yrs.
Largest sectors:
Hospitals...................................................... 16.7%
Housing........................................................ 11.6
Industrial development revenue................................. 10.2
Insured hospitals.............................................. 8.7*
Lease/certificate of participation............................. 7.5
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
- --------------------------------------------------------------------------------
YOUR INVESTMENT AT WORK
Chesapeake Industrial
Development Authority [Graphic]
Cargill, Inc. Project
These bonds, issued in 1993, were used by the City of Chesapeake's Industrial
Development Authority to finance the refunding of 1978 bonds. The previous issue
was used to finance the costs of building a grain handling facility, which the
Authority then sold to Cargill, Inc.
Cargill, headquartered in Minnetonka, MN, is a multinational corporation that
describes itself as one of the world's largest privately-held companies. Its
primary businesses are the procuring, processing, storing, transporting and
reselling of agricultural and other bulk commodities.
- --------------------------------------------------------------------------------
FROM THE PORTFOLIO MANAGER
[PHOTO - DAVID C. REILLY]
"We believe it's important to maintain the Portfolio's ability to fully
participate in any bond market rally that might occur, so the Portfolio's
overall call protection remains a very important factor. We look for
opportunities to improve the call protection when they present themselves. We've
also been trying to establish and maintain a distributable yield advantage for
the Fund over its competitors.
"Because we believe interest rates still are moving downward and because there
appears to be no substantial threat of inflation, we remain optimistic about
investing in municipal bonds."
- David C. Reilly
- --------------------------------------------------------------------------------
16
<PAGE> 17
- --------------------------------------------------------------------------------
EV Marathon Municipals Funds
Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
ALABAMA ARKANSAS GEORGIA KENTUCKY
FUND FUND FUND FUND
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $104,382,387 $75,724,351 $112,151,417 $133,561,924
Unrealized appreciation 5,182,146 3,192,740 6,018,951 5,842,114
------------ ----------- ------------ ------------
Total investment in Portfolio, at value (Note 1A) $109,564,533 $78,917,091 $118,170,368 $139,404,038
Receivable for Fund shares sold 37,261 94,231 59,818 42,724
Deferred organization expenses (Note 1D) 3,810 3,840 2,159 1,411
------------ ----------- ------------ ------------
Total assets $109,605,604 $79,015,162 $118,232,345 $139,448,173
------------ ----------- ------------ ------------
LIABILITIES:
Dividends payable $ 189,772 $ 137,661 $ 204,377 $ 242,417
Payable for Fund shares redeemed 85,015 77,913 300,469 32,827
Payable to affiliate --
Trustees' fees 510 255 510 510
Accrued expenses 47,185 36,140 60,775 64,858
------------ ----------- ------------ ------------
Total liabilities $ 322,482 $ 251,969 $ 566,131 $ 340,612
------------ ----------- ------------ ------------
NET ASSETS $109,283,122 $78,763,193 $117,666,214 $139,107,561
============ =========== ============ ============
SOURCES OF NET ASSETS:
Paid-in capital $107,311,066 $78,163,377 $119,672,035 $137,418,967
Accumulated net realized loss on investment and
financial futures transactions (computed on the
basis of identified cost) (3,262,576) (2,629,256) (8,136,282) (3,974,381)
Accumulated undistributed (distributions in excess
of) net investment income 52,486 36,332 111,510 (179,139)
Unrealized appreciation of investments and financial
futures contracts from Portfolio (computed on the
basis of identified cost) 5,182,146 3,192,740 6,018,951 5,842,114
------------ ----------- ------------ ------------
Total $109,283,122 $78,763,193 $117,666,214 $139,107,561
============ =========== ============ ============
SHARES OF BENEFICIAL INTEREST OUTSTANDING 10,226,807 7,508,784 11,704,542 13,598,137
============ =========== ============ ============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE (NOTE 6) (net assets + shares of beneficial
interest outstanding) $10.69 $10.49 $10.05 $10.23
====== ====== ====== ======
</TABLE>
See notes to financial statements
17
<PAGE> 18
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
FUND FUND FUND FUND
----------- ------------ ----------- --------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $32,750,443 $110,902,433 $84,402,424 $174,574,236
Unrealized appreciation 708,482 4,528,996 4,845,679 11,626,301
----------- ------------ ----------- ------------
Total investment in Portfolio, at value (Note 1A) $33,458,925 $115,431,429 $89,248,103 $186,200,537
Receivable for Fund shares sold 29,563 95,843 8,619 59,644
Deferred organization expenses (Note 1D) 3,550 2,057 3,435 3,582
----------- ------------ ----------- ------------
Total assets $33,492,038 $115,529,329 $89,260,157 $186,263,763
----------- ------------ ----------- ------------
LIABILITIES:
Dividends payable $ 61,910 $ 203,335 $ 151,708 $ 326,051
Payable for Fund shares redeemed 10,831 80,532 75,238 423,934
Payable to affiliate --
Trustees' fees 25 510 255 510
Accrued expenses 16,415 62,315 42,580 96,093
----------- ------------ ----------- ------------
Total liabilities $ 89,181 $ 346,692 $ 269,781 $ 846,588
----------- ------------ ----------- ------------
NET ASSETS $33,402,857 $115,182,637 $88,990,376 $185,417,175
=========== ============ =========== ============
SOURCES OF NET ASSETS:
Paid-in capital $34,435,105 $113,344,520 $86,647,903 $185,803,828
Accumulated net realized loss on investment and
financial futures transactions (computed on
the basis of identified cost) (1,751,470) (2,886,879) (2,455,837) (11,870,986)
Accumulated undistributed (distributions in excess
of) net investment income 10,740 196,000 (47,369) (141,968)
Unrealized appreciation of investments and
financial futures contracts from Portfolio
(computed on the basis of identified cost) 708,482 4,528,996 4,845,679 11,626,301
----------- ------------ ----------- ------------
Total $33,402,857 $115,182,637 $88,990,376 $185,417,175
=========== ============ =========== ============
SHARES OF BENEFICIAL INTEREST OUTSTANDING 3,293,630 10,901,549 8,241,168 18,096,499
=========== ============ =========== ============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE (NOTE 6) (net assets + shares of
beneficial interest outstanding) $10.14 $10.57 $10.80 $10.25
====== ====== ====== ======
</TABLE>
See notes to financial statements
18
<PAGE> 19
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
FUND FUND FUND FUND
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $135,415,699 $ 57,862,764 $55,125,044 $178,173,927
Unrealized appreciation 6,168,767 3,654,631 2,277,485 12,146,258
------------ ----------- ----------- ------------
Total investment in Portfolio, at value (Note 1A) $141,584,466 $ 61,517,395 $57,402,529 $190,320,185
Receivable for Fund shares sold 28,962 8,913 33,059 --
Deferred organization expenses (Note 1D) 1,875 4,498 4,043 2,198
------------ ----------- ----------- ------------
Total assets $141,615,303 $ 61,530,806 $57,439,631 $190,322,383
------------ ----------- ----------- ------------
LIABILITIES:
Dividends payable $ 237,734 $ 106,916 $ 100,996 $ 331,576
Payable for Fund shares redeemed 443,099 34,701 110,172 286,345
Payable to affiliate --
Trustees' fees 510 219 255 510
Accrued expenses 68,650 30,581 27,003 94,124
------------ ----------- ----------- ------------
Total liabilities $ 749,993 $ 172,417 $ 238,426 $ 712,555
------------ ----------- ----------- ------------
NET ASSETS $140,865,310 $ 61,358,389 $57,201,205 $189,609,828
============ =========== =========== ============
SOURCES OF NET ASSETS:
Paid-in capital $139,120,420 $ 62,048,942 $56,936,465 $187,108,170
Accumulated net realized loss on investment and
financial futures transactions (computed on
the basis of identified cost) (4,406,733) (4,475,243) (2,030,280) (9,513,843)
Accumulated undistributed (distributions in excess
of) net investment income (17,144) 130,059 17,535 (130,757)
Unrealized appreciation of investments and
financial futures contracts from Portfolio
(computed on the basis of identified cost) 6,168,767 3,654,631 2,277,485 12,146,258
------------ ----------- ----------- ------------
Total $140,865,310 $ 61,358,389 $57,201,205 $189,609,828
============ =========== =========== ============
SHARES OF BENEFICIAL INTEREST OUTSTANDING 13,370,050 5,975,250 5,497,491 17,978,374
============ =========== =========== ============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE (NOTE 6) (net assets + shares of
beneficial interest outstanding) $10.54 $10.27 $10.40 $10.55
====== ====== ====== ======
</TABLE>
See notes to financial statements
19
<PAGE> 20
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
ALABAMA ARKANSAS GEORGIA KENTUCKY
FUND FUND FUND FUND
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income allocated from Portfolio $3,238,488 $2,339,603 $3,599,551 $4,206,260
Expenses allocated from Portfolio (258,278) (195,392) (273,742) (345,710)
---------- ---------- ---------- ----------
Net investment income from Portfolio $2,980,210 $2,144,211 $3,325,809 $3,860,550
---------- ---------- ---------- ----------
Expenses --
Compensation of Trustees not members of the
Administrator's organization (Note 4) $ 1,579 $ 789 $ 1,579 $ 1,579
Distribution costs (Note 5) 493,869 361,273 545,576 647,722
Custodian fee (Note 4) 3,185 4,800 6,265 5,465
Transfer and dividend disbursing agent fees 44,155 30,866 45,237 52,345
Printing and postage 17,332 13,280 17,792 24,809
Legal and accounting services 10,113 11,821 12,811 11,594
Registration costs -- -- 1,820 --
Amortization of organization expenses (Note 1D) 1,719 1,800 1,638 1,211
Miscellaneous 11,443 5,721 11,973 11,386
---------- ---------- ---------- ----------
Total expenses $ 583,395 $ 430,350 $ 644,691 $ 756,111
Deduct --
Reduction of Custodian fee (Note 4) -- -- 6,265 --
---------- ---------- ---------- ----------
Net expenses $ 583,395 $ 430,350 $ 638,426 $ 756,111
---------- ---------- ---------- ----------
Net investment income $2,396,815 $1,713,861 $2,687,383 $3,104,439
---------- ---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from Portfolio --
Investment transactions (identified cost basis) $1,284,105 $ 397,371 $ 606,989 $ 17,622
Financial futures contracts (84,457) (69,158) 139,371 (162,028)
---------- ---------- ---------- ----------
Net realized gain (loss) on investments $1,199,648 $ 328,213 $ 746,360 $ (144,406)
Change in unrealized appreciation of investments 1,508,686 1,692,883 2,567,229 3,777,784
---------- ---------- ---------- ----------
Net realized and unrealized gain $2,708,334 $2,021,096 $3,313,589 $3,633,378
---------- ---------- ---------- ----------
Net increase in net assets from operations $5,105,149 $3,734,957 $6,000,972 $6,737,817
========== ========== ========== ==========
</TABLE>
See notes to financial statements
20
<PAGE> 21
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
FUND FUND FUND FUND
---------- ---------- ---------- --------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income allocated from Portfolio $ 993,801 $3,428,272 $2,675,625 $5,624,038
Expenses allocated from Portfolio (47,686) (280,391) (226,724) (458,204)
---------- ---------- ---------- ----------
Net investment income from Portfolio $ 946,115 $3,147,881 $2,448,901 $5,165,834
---------- ---------- ---------- ----------
Expenses --
Compensation of Trustees not members of the
Administrator's organization (Note 4) $ 76 $ 1,579 $ 789 $ 1,579
Distribution costs (Note 5) 151,835 524,550 411,267 870,949
Custodian fee (Note 4) 370 3,367 5,521 --
Transfer and dividend disbursing agent fees 13,867 51,172 31,862 74,705
Printing and postage 4,736 21,935 14,104 23,887
Legal and accounting services 9,402 11,629 12,180 11,217
Amortization of organization expenses (Note 1D) 1,671 1,398 1,567 2,783
Miscellaneous 2,665 3,271 4,409 10,687
---------- ---------- ---------- ----------
Total expenses $ 184,622 $ 618,901 $ 481,699 $ 995,807
---------- ---------- ---------- ----------
Net investment income $ 761,493 $2,528,980 $1,967,202 $4,170,027
---------- ---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from Portfolio --
Investment transactions (identified cost basis) $ 300,399 $1,354,030 $ 839,546 $1,112,796
Financial futures contracts (250,180) (91,973) 82,268 79,998
---------- ---------- ---------- ----------
Net realized gain on investments $ 50,219 $1,262,057 $ 921,814 $1,192,794
Change in unrealized appreciation of investments 474,545 2,591,860 1,547,707 4,404,809
---------- ---------- ---------- ----------
Net realized and unrealized gain $ 524,764 $3,853,917 $2,469,521 $5,597,603
---------- ---------- ---------- ----------
Net increase in net assets from operations $1,286,257 $6,382,897 $4,436,723 $9,767,630
========== ========== ========== ==========
</TABLE>
See notes to financial statements
21
<PAGE> 22
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
FUND FUND FUND FUND
---------- -------------- ---------- ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income allocated from Portfolio $4,194,781 $1,871,059 $1,710,756 $5,743,328
Expenses allocated from Portfolio (357,839) (160,948) (135,098) (474,859)
---------- ---------- ---------- ----------
Net investment income from Portfolio $3,836,942 $1,710,111 $1,575,658 $5,268,469
---------- ---------- ---------- ----------
Expenses --
Compensation of Trustees not members of the
Administrator's organization (Note 4) $ 1,579 $ 753 $ 789 $ 1,579
Distribution costs (Note 5) 661,154 275,630 262,852 871,575
Custodian fee (Note 4) 7,517 2,276 4,061 7,766
Transfer and dividend disbursing agent fees 52,264 24,452 20,699 76,457
Printing and postage 20,898 10,963 9,378 26,684
Legal and accounting services 11,183 11,155 11,145 11,199
Registration costs -- -- 2,382 1,981
Amortization of organization expenses (Note 1D) 1,468 1,673 1,771 2,766
Miscellaneous 8,036 4,138 1,983 11,734
---------- ---------- ---------- ----------
Total expenses $ 764,099 $ 331,040 $ 315,060 $1,011,741
---------- ---------- ---------- ----------
Net investment income $3,072,843 $1,379,071 $1,260,598 $4,256,728
---------- ---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from Portfolio --
Investment transactions (identified cost basis) $ (16,799) $ 269,422 $ 32,158 $ 445,794
Financial futures contracts (92,367) 52,210 (50,585) 154,925
---------- ---------- ---------- ----------
Net realized gain (loss) on investments $ (109,166) $ 321,632 $ (18,427) $ 600,719
Change in unrealized appreciation of investments 3,474,622 1,310,740 1,763,383 4,788,767
---------- ---------- ---------- ----------
Net realized and unrealized gain $3,365,456 $1,632,372 $1,744,956 $5,389,486
---------- ---------- ---------- ----------
Net increase in net assets from operations $6,438,299 $3,011,443 $3,005,554 $9,646,214
========== ========== ========== ==========
</TABLE>
See notes to financial statements
22
<PAGE> 23
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
ALABAMA ARKANSAS GEORGIA KENTUCKY
FUND FUND FUND FUND
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 2,396,815 $ 1,713,861 $ 2,687,383 $ 3,104,439
Net realized gain (loss) on investments 1,199,648 328,213 746,360 (144,406)
Change in unrealized appreciation of investments 1,508,686 1,692,883 2,567,229 3,777,784
------------ ----------- ------------ ------------
Net increase in net assets from operations $ 5,105,149 $ 3,734,957 $ 6,000,972 $ 6,737,817
------------ ----------- ------------ ------------
Distributions to shareholders (Note 2) --
From net investment income $ (2,396,815) $(1,713,861) $ (2,687,383) $ (3,104,439)
In excess of net investment income (102,158) (124,690) (32,719) (135,888)
------------ ----------- ------------ ------------
Total distributions to shareholders $ (2,498,973) $(1,838,551) $ (2,720,102) $ (3,240,327)
------------ ----------- ------------ ------------
Transactions in shares of beneficial interest (Note
3) --
Proceeds from sales of shares $ 2,810,797 $ 1,690,661 $ 1,804,288 $ 3,105,827
Net asset value of shares issued to shareholders in
payment of distributions declared 1,250,720 865,160 1,296,550 1,739,427
Cost of shares redeemed (6,026,775) (6,511,884) (8,858,267) (12,340,975)
------------ ----------- ------------ ------------
Decrease in net assets from Fund share
transactions $ (1,965,258) $(3,956,063) $ (5,757,429) $ (7,495,721)
------------ ----------- ------------ ------------
Net increase (decrease) in net assets $ 640,918 $(2,059,657) $ (2,476,559) $ (3,998,231)
NET ASSETS:
At beginning of period 108,642,204 80,822,850 120,142,773 143,105,792
------------ ----------- ------------ ------------
At end of period $109,283,122 $78,763,193 $117,666,214 $139,107,561
============ =========== ============ ============
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT
END OF PERIOD $ 52,486 $ 36,332 $ 111,510 $ (179,139)
============ =========== ============ ============
</TABLE>
See notes to financial statements
23
<PAGE> 24
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
FUND FUND FUND FUND
----------- ------------ ----------- --------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 761,493 $ 2,528,980 $ 1,967,202 $ 4,170,027
Net realized gain on investments 50,219 1,262,057 921,814 1,192,794
Change in unrealized appreciation of investments 474,545 2,591,860 1,547,707 4,404,809
----------- ------------ ----------- ------------
Net increase in net assets from operations $ 1,286,257 $ 6,382,897 $ 4,436,723 $ 9,767,630
----------- ------------ ----------- ------------
Distributions to shareholders (Note 2) --
From net investment income $ (761,493) $ (2,528,980) $(1,967,202) $ (4,170,027)
In excess of net investment income (31,320) (140,806) (47,273) (178,538)
----------- ------------ ----------- ------------
Total distributions to shareholders $ (792,813) $ (2,669,786) $(2,014,475) $ (4,348,565)
----------- ------------ ----------- ------------
Transactions in shares of beneficial interest (Note
3) --
Proceeds from sales of shares $ 1,916,203 $ 4,195,386 $ 2,417,156 $ 4,802,974
Net asset value of shares issued to shareholders
in payment of distributions declared 398,201 1,458,029 1,022,511 2,165,106
Cost of shares redeemed (1,240,829) (8,009,839) (6,682,255) (15,419,902)
----------- ------------ ----------- ------------
Increase (decrease) in net assets from Fund
share transactions $ 1,073,575 $ (2,356,424) $(3,242,588) $ (8,451,822)
----------- ------------ ----------- ------------
Net increase (decrease) in net assets $ 1,567,019 $ 1,356,687 $ (820,340) $ (3,032,757)
NET ASSETS:
At beginning of period 31,835,838 113,825,950 89,810,716 188,449,932
----------- ------------ ----------- ------------
At end of period $33,402,857 $115,182,637 $88,990,376 $185,417,175
=========== ============ =========== ============
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS
OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS
AT END OF PERIOD $ 10,740 $ 196,000 $ (47,369) $ (141,968)
=========== ============ =========== ============
</TABLE>
See notes to financial statements
24
<PAGE> 25
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
FUND FUND FUND FUND
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 3,072,843 $ 1,379,071 $ 1,260,598 $ 4,256,728
Net realized gain (loss) on investments (109,166) 321,632 (18,427) 600,719
Change in unrealized appreciation of
investments 3,474,622 1,310,740 1,763,383 4,788,767
------------ ----------- ----------- ------------
Net increase in net assets from operations $ 6,438,299 $ 3,011,443 $ 3,005,554 $ 9,646,214
------------ ----------- ----------- ------------
Distributions to shareholders (Note 2) --
From net investment income $ (3,072,843) $ (1,379,071) $(1,260,598) $ (4,256,728)
In excess of net investment income (103,624) (14,766) (76,488) (111,207)
------------ ----------- ----------- ------------
Total distributions to shareholders $ (3,176,467) $ (1,393,837) $(1,337,086) $ (4,367,935)
------------ ----------- ----------- ------------
Transactions in shares of beneficial interest
(Note 3) --
Proceeds from sales of shares $ 3,138,401 $ 2,599,583 $ 1,845,481 $ 5,354,402
Net asset value of shares issued to
shareholders in payment of distributions
declared 1,798,291 617,316 696,106 2,270,965
Cost of shares redeemed (12,388,974) (3,431,375) (4,492,622) (12,829,040)
------------ ----------- ----------- ------------
Decrease in net assets from Fund share
transactions $ (7,452,282) $ (214,476) $(1,951,035) $ (5,203,673)
------------ ----------- ----------- ------------
Net increase (decrease) in net assets $ (4,190,450) $ 1,403,130 $ (282,567) $ 74,606
NET ASSETS:
At beginning of period 145,055,760 59,955,259 57,483,772 189,535,222
------------ ----------- ----------- ------------
At end of period $140,865,310 $ 61,358,389 $57,201,205 $189,609,828
============ =========== =========== ============
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS
OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS
AT END OF PERIOD $ (17,144) $ 130,059 $ 17,535 $ (130,757)
============ =========== =========== ============
</TABLE>
See notes to financial statements
25
<PAGE> 26
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Year Ended August 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
ALABAMA ARKANSAS GEORGIA KENTUCKY
FUND FUND FUND FUND
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 4,990,080 $ 3,749,505 $ 5,864,764 $ 6,622,988
Net realized loss on investments (2,941,114) (2,498,424) (7,142,220) (2,633,134)
Change in unrealized appreciation of investments 5,318,362 3,444,180 6,543,128 4,909,921
------------ ------------ ------------ ------------
Net increase in net assets from operations $ 7,367,328 $ 4,695,261 $ 5,265,672 $ 8,899,775
------------ ------------ ------------ ------------
Distributions to shareholders (Note 2) --
From net investment income $ (4,990,080) $ (3,749,505) $ (5,864,764) $ (6,622,988)
In excess of net investment income (143,078) (182,195) (216,692) (337,010)
------------ ------------ ------------ ------------
Total distributions to shareholders $ (5,133,158) $ (3,931,700) $ (6,081,456) $ (6,959,998)
------------ ------------ ------------ ------------
Transactions in shares of beneficial interest (Note
3) --
Proceeds from sales of shares $ 12,491,127 $ 6,780,492 $ 10,649,881 $ 12,444,086
Net asset value of shares issued to shareholders
in payment of distributions declared 2,652,717 1,884,209 3,052,159 3,708,544
Cost of shares redeemed (14,288,423) (11,041,868) (27,224,917) (16,980,873)
------------ ------------ ------------ ------------
Increase (decrease) in net assets from Fund
share transactions $ 855,421 $ (2,377,167) $(13,522,877) $ (828,243)
------------ ------------ ------------ ------------
Net increase (decrease) in net assets $ 3,089,591 $ (1,613,606) $(14,338,661) $ 1,111,534
NET ASSETS:
At beginning of year 105,552,613 82,436,456 134,481,434 141,994,258
------------ ------------ ------------ ------------
At end of year $108,642,204 $ 80,822,850 $120,142,773 $143,105,792
============ ============ ============ ============
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT
END OF YEAR $ 154,644 $ 161,022 $ 144,229 $ (43,251)
============ ============ ============ ============
</TABLE>
See notes to financial statements
26
<PAGE> 27
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Year Ended August 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
FUND FUND FUND FUND
----------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 1,489,998 $ 5,439,805 $ 4,198,940 $ 8,946,520
Net realized loss on investments (1,537,085) (3,282,559) (2,921,662) (8,776,724)
Change in unrealized appreciation of investments 1,571,413 4,899,352 5,323,708 8,767,620
----------- ------------ ------------ ------------
Net increase in net assets from operations $ 1,524,326 $ 7,056,598 $ 6,600,986 $ 8,937,416
----------- ------------ ------------ ------------
Distributions to shareholders (Note 2) --
From net investment income $(1,489,998) $ (5,439,805) $ (4,198,940) $ (8,946,520)
In excess of net investment income (73,180) (98,476) (166,866) (410,010)
----------- ------------ ------------ ------------
Total distributions to shareholders $(1,563,178) $ (5,538,281) $ (4,365,806) $ (9,356,530)
----------- ------------ ------------ ------------
Transactions in shares of beneficial interest (Note
3) --
Proceeds from sales of shares $ 5,214,512 $ 13,615,276 $ 7,129,437 $ 16,332,648
Net asset value of shares issued to shareholders
in payment of distributions declared 783,732 2,952,321 2,213,888 4,685,433
Cost of shares redeemed (3,143,269) (20,980,838) (12,994,601) (24,816,348)
----------- ------------ ------------ ------------
Increase (decrease) in net assets from Fund
share transactions $ 2,854,975 $ (4,413,241) $ (3,651,276) $ (3,798,267)
----------- ------------ ------------ ------------
Net increase (decrease) in net assets $ 2,816,123 $ (2,894,924) $ (1,416,096) $ (4,217,381)
NET ASSETS:
At beginning of year 29,019,715 116,720,874 91,226,812 192,667,313
----------- ------------ ------------ ------------
At end of year $31,835,838 $113,825,950 $ 89,810,716 $188,449,932
=========== ============ ============ ============
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS
OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT
END OF YEAR $ 42,060 $ 336,806 $ (96) $ 36,570
=========== ============ ============ ============
</TABLE>
See notes to financial statements
27
<PAGE> 28
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Year Ended August 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
FUND FUND FUND FUND
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 6,629,604 $ 2,817,049 $ 2,637,658 $ 9,070,558
Net realized loss on investments (4,308,333) (3,881,747) (1,867,953) (7,513,582)
Change in unrealized appreciation of
investments 7,327,565 4,197,563 2,570,170 10,162,470
------------ ------------ ----------- ------------
Net increase in net assets from operations $ 9,648,836 $ 3,132,865 $ 3,339,875 $ 11,719,446
------------ ------------ ----------- ------------
Distributions to shareholders (Note 2) --
From net investment income $ (6,629,604) $ (2,817,049) $(2,637,658) $ (9,070,558)
In excess of net investment income (308,106) (64,469) (138,918) (405,313)
------------ ------------ ----------- ------------
Total distributions to shareholders $ (6,937,710) $ (2,881,518) $(2,776,576) $ (9,475,871)
------------ ------------ ----------- ------------
Transactions in shares of beneficial interest
(Note 3) --
Proceeds from sales of shares $ 11,143,966 $ 8,594,993 $ 7,348,950 $ 22,209,690
Net asset value of shares issued to
shareholders in
payment of distributions declared 3,945,866 1,307,677 1,419,234 4,998,528
Cost of shares redeemed (23,872,614) (10,077,180) (7,227,038) (33,336,822)
------------ ------------ ----------- ------------
Increase (decrease) in net assets from Fund
share transactions $ (8,782,782) $ (174,510) $ 1,541,146 $ (6,128,604)
------------ ------------ ----------- ------------
Net increase (decrease) in net assets $ (6,071,656) $ 76,837 $ 2,104,445 $ (3,885,029)
NET ASSETS:
At beginning of year 151,127,416 59,878,422 55,379,327 193,420,251
------------ ------------ ----------- ------------
At end of year $145,055,760 $ 59,955,259 $57,483,772 $189,535,222
============ ============ =========== ============
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS
OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS
AT END OF YEAR $ 86,480 $ 144,825 $ 94,023 $ (19,550)
============ ============ =========== ============
</TABLE>
See notes to financial statements
28
<PAGE> 29
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON ALABAMA FUND
-------------------------------------------------------------
YEAR ENDED
---------------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 ------------------- -----------------
(UNAUDITED) 1995 1994*** 1993 1992**
------------------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of year $ 10.440 $ 10.210 $ 11.060 $10.340 $10.000
--------- -------- -------- ------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.232 $ 0.479 $ 0.425 $ 0.475 $ 0.208
Net realized and unrealized gain
(loss) on investments 0.260 0.244 (0.769) 0.837 0.385+++
--------- -------- -------- ------- -------
Total income (loss) from operations $ 0.492 $ 0.723 $ (0.344) $ 1.312 $ 0.593
--------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
From net investment income $ (0.232) $ (0.479) $ (0.425) $(0.475) $(0.208)
In excess of net investment income (0.010) (0.014) (0.081) (0.117) (0.045)
--------- -------- -------- ------- -------
Total distributions $ (0.242) $ (0.493) $ (0.506) $(0.592) $(0.253)
--------- -------- -------- ------- -------
NET ASSET VALUE, end of year $ 10.690 $ 10.440 $ 10.210 $11.060 $10.340
========= ======== ======== ======= =======
TOTAL RETURN (3) 4.66% 7.38% (3.18)% 13.09% 5.71%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $ 109,283 $108,642 $105,553 $84,621 $21,105
Ratio of net expenses to average
daily net assets (1)(4) 1.57%+ 1.51% 1.43%+ 1.37% 1.01%+
Ratio of net investment income
to average daily net assets 4.37%+ 4.74% 4.35%+ 4.30% 4.49%+
PORTFOLIO TURNOVER (2) -- -- -- 15% 13%
<CAPTION>
MARATHON ARKANSAS FUND
-------------------------------------------------------
YEAR ENDED
---------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 ----------------- -------------
(UNAUDITED) 1995 1994*** 1993++
------------------- ------- ------- -------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of year $10.250 $10.140 $10.910 $10.000
------- ------- ------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.223 $ 0.460 $ 0.431 $ 0.471
Net realized and unrealized gain
(loss) on investments 0.256 0.132 (0.703) 1.025
------- ------- ------- -------
Total income (loss) from operations $ 0.479 $ 0.592 $(0.272) $ 1.496
------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income $(0.223) $(0.460) $(0.431) $(0.471)
In excess of net investment income (0.016) (0.022) (0.067) (0.115)
------- ------- ------- -------
Total distributions $(0.239) $(0.482) $(0.498) $(0.586)
------- ------- ------- -------
NET ASSET VALUE, end of year $10.490 $10.250 $10.140 $10.910
======= ======= ======= =======
TOTAL RETURN (3) 4.72% 6.15% (2.53)% 15.00%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $78,763 $80,823 $82,436 $59,205
Ratio of net expenses to
average daily net assets (1)(4) 1.57%+ 1.50% 1.17%+ 0.88%+
Ratio of net investment income
to average daily net assets 4.27%+ 4.67% 4.47%+ 4.27%+
PORTFOLIO TURNOVER (2) -- -- 5% 13%
</TABLE>
* For the year ended September 30, 1993 and for the period from the start of
business, May 1, 1992, to September 30, 1992 (for Marathon Alabama Fund) and
for the eleven months ended August 31, 1994 and for the period from the start
of business, October 2, 1992, to September 30, 1993, (for Marathon Arkansas
Fund), the operating expenses of the Funds and the Portfolios may reflect a
reduction of the investment adviser fee, an allocation of expenses to the
Investment Adviser, or both. Had such actions not been taken, net investment
income per share and the ratios would have been as follows:
<TABLE>
<S> <C> <C> <C> <C>
NET INVESTMENT INCOME PER SHARE $0.462 $0.185 $0.409 $0.411
====== ====== ====== ======
RATIOS (As a percentage of average
daily net assets):
Expenses (1)(4) 1.49% 1.50%+ 1.40%+ 1.42%+
Net investment income 4.18% 4.00%+ 4.24%+ 3.73%+
</TABLE>
** For the period from the start of business, May 1, 1992, to September 30,
1992.
*** For the eleven months ended August 31, 1994.
+ Annualized.
++ For the period from the start of business, October 2, 1992, to September
30, 1993.
+++ The per share amount is not in accord with the net realized and unrealized
gain (loss) for the period because of the timing of sales of Fund shares
and the amount of the per share realized and unrealized gains and losses at
such time.
(1) Includes each Fund's share of its corresponding Portfolio's allocated
expenses.
(2) Portfolio Turnover represents the rate of portfolio activity for the
period while the Funds were making investments directly in securities. The
portfolio turnover rate for the period since the Funds transferred
substantially all of their investable assets to their respective Portfolios
is shown in the Portfolios' financial statements which are included
elsewhere in this report.
(3) Total return is calculated assuming a purchase at the net asset value on
the first day and a sale at the net asset value on the last day of each
period reported. Dividends and distributions, if any, are assumed to be
reinvested at the net asset value on the payable date. Total return is
computed on a nonannualized basis.
(4) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Fund to increase its expense ratio by the
effect of any expense offset arrangements with its service providers. The
expense ratios for each of the periods ended on or before August 31, 1995
have not been adjusted to reflect this change.
See notes to financial statements
29
<PAGE> 30
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON GEORGIA FUND
---------------------------------------------------------------
YEAR ENDED
-----------------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 -------------------- ------------------
(UNAUDITED) 1995 1994*** 1993 1992**
----------------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of
year $ 9.790 $ 9.800 $ 10.750 $ 10.120 $10.000
-------- -------- -------- -------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.224 $ 0.450 $ 0.413 $ 0.459 $ 0.380
Net realized and unrealized
gain (loss) on investments 0.263 0.007++ (0.841) 0.776 0.215
-------- -------- -------- -------- -------
Total income (loss) from
operations $ 0.487 $ 0.457 $ (0.428) $ 1.235 $ 0.595
-------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
From net investment income $ (0.224) $ (0.450) $ (0.413) $ (0.459) $(0.380)
In excess of net investment
income (0.003) (0.017) (0.065) (0.129) (0.095)
From net realized gain on
investment transactions -- -- -- (0.017) --
In excess of net realized
gain on investment
transactions -- -- (0.044) -- --
-------- -------- -------- -------- -------
Total distributions $ (0.227) $ (0.467) $ (0.522) $ (0.605) $(0.475)
-------- -------- -------- -------- -------
NET ASSET VALUE, end of year $ 10.050 $ 9.790 $ 9.800 $ 10.750 $10.120
========= ======== ======== ======== =======
TOTAL RETURN (3) 5.02% 4.90% (4.08)% 12.60% 5.85%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $ 117,666 $120,143 $134,481 $120,043 $42,156
Ratio of net expenses to
average daily net assets
(1)(4) 1.58%+ 1.49% 1.41%+ 1.52% 1.13%+
Ratio of net investment
income to average daily net
assets 4.49%+ 4.72% 4.39%+ 4.27% 4.72%+
PORTFOLIO TURNOVER (2) -- -- -- 20% 33%
<CAPTION>
MARATHON KENTUCKY FUND
---------------------------------------------------------------
YEAR ENDED
------------------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 --------------------- ------------------
(UNAUDITED) 1995 1994*** 1993 1992**
----------------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of
year $ 9.990 $ 9.850 $ 10.780 $ 10.090 $10.000
-------- -------- -------- -------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.222 $ 0.458 $ 0.415 $ 0.462 $ 0.363
Net realized and unrealized
gain (loss) on investments 0.215 0.163 (0.811) 0.820 0.192
-------- -------- -------- -------- -------
Total income (loss) from
operations $ 0.472 $ 0.621 $ (0.396) $ 1.282 $ 0.555
-------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
From net investment income $ (0.222) $ (0.458) $ (0.415) $ (0.462) $(0.363)
In excess of net investment
income (0.010) (0.023) (0.075) (0.125) (0.102)
From net realized gain on
investment transactions -- -- -- (0.005) --
In excess of net realized
gain on investment
transactions -- -- (0.044) -- --
-------- -------- -------- -------- -------
Total distributions $ (0.232) $ (0.481) $ (0.534) $ (0.592) $(0.465)
-------- -------- -------- -------- -------
NET ASSET VALUE, end of year $ 10.230 $ 9.990 $ 9.850 $ 10.780 $10.090
========= ======== ======== ======== =======
TOTAL RETURN (3) 4.77% 6.61% (3.78)% 13.05% 5.45%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $ 139,108 $143,106 $141,994 $120,093 $46,835
Ratio of net expenses to
average daily net assets
(1)(4) 1.52%+ 1.58% 1.44%+ 1.50% 1.44%+
Ratio of net investment
income to average daily net
assets 4.37%+ 4.74% 4.39%+ 4.29% 4.56%+
PORTFOLIO TURNOVER (2) -- -- -- 21% 64%
</TABLE>
* For the period from the start of business, December 23, 1991, to September 30,
1992, (for Marathon Georgia Fund) and for the period from the start of
business, December 23, 1991, to September 30, 1992, (for Marathon Kentucky
Fund), the operating expenses of the Funds and the Portfolios may reflect a
reduction of the investment adviser fee, an allocation of expenses to the
Investment Adviser, or both. Had such actions not been taken, net investment
income and the ratios would have been as follows:
<TABLE>
<S> <C> <C>
NET INVESTMENT INCOME PER SHARE $0.341 $0.357
====== ======
RATIOS (As a percentage of average
daily net assets):
Expenses (1)(4) 1.61%+ 1.52%+
Net investment income 4.24%+ 4.48%+
</TABLE>
** For the period from the start of business, December 23, 1991, to
September 30, 1992.
*** For the eleven months ended August 31, 1994.
+ Annualized.
++ The per share amount is not in accord with the net realized and unrealized
gain (loss) for the period because of the timing of sales of Fund shares
and the amount of the per share realized and unrealized gains and losses at
such time.
(1) Includes each Fund's share of its corresponding Portfolio's allocated
expenses.
(2) Portfolio Turnover represents the rate of portfolio activity for the period
while the Funds were making investments directly in securities. The
portfolio turnover rate for the period since the Funds transferred
substantially all of their investable assets to their respective Portfolios
is shown in the Portfolios' financial statements which are included
elsewhere in this report.
(3) Total investment return is calculated assuming a purchase at the net asset
value on the first day and a sale at the net asset value on the last day of
each period reported. Dividends and distributions, if any, are assumed to
be reinvested at the net asset value on the payable date. Total return is
computed on a nonannualized basis.
(4) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Fund to increase its expense ratio by the
effect of any expense offset arrangements with its service providers. The
expense ratios for each of the periods ended on or before August 31, 1995
have not been adjusted to reflect this change.
See notes to financial statements
30
<PAGE> 31
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON LOUISIANA FUND
----------------------------------------------------------
YEAR ENDED
------------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 -------------------- -------------
(UNAUDITED) 1995 1994*** 1993**
------------------- ------- ------- -------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of year $ 9.980 $10.010 $11.130 $10.000
------- ------- ------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.235 $ 0.487 $ 0.447 $ 0.478
Net realized and unrealized gain
(loss) on investments 0.170 (0.006)+++ (0.937) 1.234
------- ------- ------- -------
Total income (loss) from operations $ 0.405 $ 0.481 $(0.490) $ 1.712
------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income $(0.235) $(0.487) $(0.447) $(0.478)
In excess of net investment income (0.010) (0.024) (0.074) (0.104)
In excess of net realized gain on
investment transactions -- -- (0.109) --
------- ------- ------- -------
Total distributions $(0.245) $(0.511) $(0.630) $(0.582)
------- ------- ------- -------
NET ASSET VALUE, end of year $10.140 $ 9.980 $10.010 $11.130
======= ======= ======= =======
TOTAL RETURN (3) 4.09% 5.08% (4.56)% 17.26%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $33,403 $31,836 $29,020 $17,935
Ratio of net expenses to average
daily net assets (1)(4) 1.48%+ 1.31% 1.08%+ 1.07%+
Ratio of net investment income
to average daily net assets 4.64%+ 4.97% 4.62%+ 4.27%+
PORTFOLIO TURNOVER (2) -- -- 14% 86%
<CAPTION>
MARATHON MARYLAND FUND
-------------------------------------------------------------
YEAR ENDED
---------------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 ------------------- -----------------
(UNAUDITED) 1995 1994*** 1993 1992++
------------------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of year $ 10.230 $ 10.070 $ 11.070 $10.290 $10.000
--------- -------- -------- ------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.230 $ 0.476 $ 0.428 $ 0.466 $ 0.303
Net realized and unrealized gain
(loss) on investments 0.353 0.169 (0.922) 0.890 0.375+++
--------- -------- -------- ------- -------
Total income (loss) from operations $ 0.583 $ 0.645 $ (0.494) $ 1.356 $ 0.678
--------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
From net investment income $ (0.230) $ (0.476) $ (0.428) $(0.466) $(0.303)
In excess of net investment income (0.013) (0.009) (0.070) (0.110) (0.085)
In excess of net realized gain on
investment transactions -- -- (0.008) -- --
--------- -------- -------- ------- -------
Total distributions $ (0.243) $ (0.485) $ (0.506) $(0.576) $(0.388)
--------- -------- -------- ------- -------
NET ASSET VALUE, end of year $ 10.570 $ 10.230 $ 10.070 $11.070 $10.290
========= ======== ======== ======= =======
TOTAL RETURN (3) 5.65% 6.71% (4.56)% 13.61% 6.65%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $ 115,183 $113,826 $116,721 $95,226 $29,180
Ratio of net expenses to average
daily net assets (1)(4) 1.58%+ 1.50% 1.43%+ 1.43% 1.30%+
Ratio of net investment income
to average daily net assets 4.39%+ 4.82% 4.44%+ 4.28% 4.25%+
PORTFOLIO TURNOVER (2) -- -- -- 12% 3%
</TABLE>
* For the six months ended February 29, 1996, for year ended August 31, 1995,
the eleven months ended August 31, 1994 and for the period from the start of
business, October 2, 1992 to September 30, 1993 (for Marathon Louisiana Fund),
and for the year ended September 30, 1993 and for the period from the start of
business, February 3, 1992 to September 30, 1992 (for Marathon Maryland Fund),
the operating expenses of the Funds and the Portfolios may reflect a reduction
of the investment adviser fee, an allocation of expenses to the Investment
Adviser, or both. Had such actions not been taken, net investment income and
the ratios would have been as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
NET INVESTMENT INCOME
PER SHARE $0.230 $0.476 $0.412 $0.401 $0.461 $0.280
====== ====== ====== ====== ====== ======
RATIOS (As a percentage
of average daily
net assets):
Expenses (1)(4) 1.60%+ 1.42% 1.44%+ 1.76%+ 1.48% 1.62%+
Net investment income 4.52%+ 4.86% 4.26%+ 3.58%+ 4.23% 3.93%+
</TABLE>
** For the period from the start of business, October 2, 1992, to September
30, 1993.
*** For the eleven months ended August 31, 1994.
+ Annualized.
++ For the period from the start of business, February 3, 1992, to September
30, 1992.
+++ The per share amount is not in accord with the net realized and unrealized
gain (loss) for the period because of the timing of sales of Fund shares
and the amount of the per share realized and unrealized gains and losses at
such time.
(1) Includes each Fund's share of its corresponding Portfolio's allocated
expenses.
(2) Portfolio Turnover represents the rate of portfolio activity for the period
while the Funds were making investments directly in securities. The
portfolio turnover rate for the period since the Funds transferred
substantially all of their investable assets to their respective Portfolios
is shown in the Portfolios' financial statements which are included
elsewhere in this report.
(3) Total return is calculated assuming a purchase at the net asset value on
the first day and a sale at the net asset value on the last day of each
period reported. Dividends and distributions, if any, are assumed to be
reinvested at the net asset value on the payable date. Total return is
computed on a nonannualized basis.
(4) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Fund to increase its expense ratio by the
effect of any expense offset arrangements with its service providers. The
expense ratios for each of the periods ended on or before August 31, 1995
have not been adjusted to reflect this change.
See notes to financial statements
31
<PAGE> 32
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MISSOURI FUND
---------------------------------------------------------------
YEAR ENDED
------------------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 ---------------------- -----------------
(UNAUDITED) 1995 1994*** 1993 1992**
------------------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of
year $10.510 $10.240 $11.250 $10.400 $10.000
------- ------- ------- ------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.234 $ 0.477 $ 0.423 $ 0.470 $ 0.200
Net realized and unrealized
gain (loss) on investments 0.296 0.289 (0.904) 1.005 0.455
------- ------- ------- ------- -------
Total income (loss) from
operations $ 0.530 $ 0.766 $(0.481) $ 1.475 $ 0.655
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income $(0.234) $(0.477) $(0.423) $(0.470) $(0.200)
In excess of net investment
income (0.006) (0.019) (0.084) (0.128) (0.055)
In excess of net realized
gain on investment
transactions -- -- (0.022) (0.027) --
------- ------- ------- ------- -------
Total distributions $(0.240) $(0.496) $(0.529) $(0.625) $(0.255)
------- ------- ------- ------- -------
NET ASSET VALUE, end of year $10.800 $10.510 $10.240 $11.250 $10.400
======= ======= ======= ======= =======
TOTAL RETURN (3) 5.09% 7.82% (4.33)% 14.66% 6.33%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $88,990 $89,811 $91,227 $76,653 $25,225
Ratio of net expenses to
average daily net assets
(1)(4) 1.59%+ 1.53% 1.49%+ 1.52% 1.32%+
Ratio of net investment
income to average daily net
assets 4.38%+ 4.72% 4.30%+ 4.23% 4.31%+
PORTFOLIO TURNOVER (2) -- -- -- 14% 21%
<CAPTION>
MARATHON NORTH CAROLINA FUND
-----------------------------------------------------------------
YEAR ENDED
--------------------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 ----------------------- ------------------
(UNAUDITED) 1995 1994*** 1993 1992++
------------------ --------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of
year $ 9.960 $ 9.970 $ 10.940 $ 10.300 $10.000
-------- -------- -------- -------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.224 $ 0.466 $ 0.423 $ 0.468 $ 0.456
Net realized and unrealized
gain (loss) on investments 0.300 0.011+++ (0.895) 0.794 0.423+++
-------- -------- -------- -------- -------
Total income (loss) from
operations $ 0.524 $ 0.477 $ (0.472) $ 1.262 $ 0.879
-------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
From net investment income $ (0.224) $ (0.466) $ (0.423) $ (0.468) $(0.456)
In excess of net investment
income (0.010) (0.021) (0.075) (0.120) (0.123)
In excess of net realized
gain on investment
transactions -- -- -- (0.034) --
-------- -------- -------- -------- -------
Total distributions $ (0.234) $ (0.487) $ (0.498) $ (0.622) $(0.579)
-------- -------- -------- -------- -------
NET ASSET VALUE, end of year $ 10.250 $ 9.960 $ 9.970 $ 10.940 $10.300
========= ========= ========== ========== =======
TOTAL RETURN (3) 5.31% 5.03% (4.40)% 12.69% 8.75%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $ 185,417 $188,450 $192,667 $173,828 $71,733
Ratio of net expenses to
average daily net assets
(1)(4) 1.59%+ 1.51% 1.42%+ 1.52% 1.35%+
Ratio of net investment
income to average daily net
assets 4.41%+ 4.78% 4.43%+ 4.34% 4.54%+
PORTFOLIO TURNOVER (2) -- -- -- 16% 52%
</TABLE>
* For the year ended September 30, 1993 and for the period from the start of
business, May 1, 1992 to September 30, 1992, (for Marathon Missouri Fund), and
for the period from the start of business, October 23, 1991, to September 30,
1992 (for Marathon North Carolina Fund), the operating expenses of the Funds
and the Portfolios may reflect a reduction of the investment adviser fee, an
allocation of expenses to the Investment Adviser, or both. Had such actions
not been taken, net investment income and the ratios would have been as
follows:
<TABLE>
<S> <C> <C> <C>
NET INVESTMENT INCOME PER SHARE $0.467 $0.192 $0.434
====== ====== =====
RATIOS (As a percentage of average
daily net assets):
Expenses (1)(4) 1.55% 1.49%+ 1.57%+
Net investment income 4.20% 4.14%+ 4.32%+
</TABLE>
** For the period from the start of business, May 1, 1992, to September 30,
1992.
*** For the eleven months ended August 31, 1994.
+ Annualized.
++ For the period from the start of business, October 23, 1991, to
September 30, 1992.
+++ The per share amount is not in accord with the net realized and unrealized
gain (loss) for the period because of the timing of sales of Fund shares
and the amount of the per share realized and unrealized gains and losses at
such time.
(1) Includes each Fund's share of its corresponding Portfolio's allocated
expenses.
(2) Portfolio Turnover represents the rate of portfolio activity for the period
while the Funds were making investments directly in securities. The
portfolio turnover rate for the period since the Funds transferred
substantially all of their investable assets to their respective Portfolios
is shown in the Portfolios' financial statements which are included
elsewhere in this report.
(3) Total return is calculated assuming a purchase at the net asset value on
the first day and a sale at the net asset value on the last day of each
period reported. Dividends and distributions, if any, are assumed to be
reinvested at the net asset value on the payable date. Total return is
computed on a nonannualized basis.
(4) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Fund to increase its expense ratio by the
effect of any expense offset arrangements with its service providers. The
expense ratios for each of the periods ended on or before August 31, 1995
have not been adjusted to reflect this change.
See notes to financial statements
32
<PAGE> 33
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON OREGON FUND
------------------------------------------------------------
YEAR ENDED
----------------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 -------------------- ------------------
(UNAUDITED) 1995 1994*** 1993 1992**
------------------ -------- --------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of
year $ 10.31 $ 10.090 $ 11.130 $ 10.270 $10.000
--------- -------- -------- -------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.222 $ 0.455 $ 0.415 $ 0.459 $ 0.351
Net realized and unrealized
gain (loss) on investments 0.238 0.241 (0.869) 0.983 0.368
--------- -------- -------- -------- -------
Total income (loss) from
operations $ 0.460 $ 0.696 $ (0.454) $ 1.442 $ 0.719
--------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
From net investment income $ (0.222) $ (0.455) $ (0.415) $ (0.459) $(0.351)
In excess of net investment
income (0.008) (0.021) (0.078) (0.117) (0.098)
From net realized gain on
investment transactions -- -- (0.093) (0.006) --
--------- -------- -------- -------- -------
Total distributions $ (0.230) $ (0.476) $ (0.586) $ (0.582) $(0.449)
--------- -------- -------- -------- -------
NET ASSET VALUE, end of year $ 10.540 $ 10.310 $ 10.090 $ 11.130 $10.270
========= ======== ======== ======== =======
TOTAL RETURN (3) 4.51% 7.22% (4.21)% 14.47% 7.10%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $ 140,865 $145,056 $151,127 $128,229 $41,703
Ratio of net expenses to
average daily net assets
(1)(4) 1.57%+ 1.53% 1.43%+ 1.55% 1.47%+
Ratio of net investment
income to average daily net
assets 4.25%+ 4.59% 4.28%+ 4.22% 4.27%+
PORTFOLIO TURNOVER (2) -- -- -- 23% 44%
<CAPTION>
MARATHON SOUTH CAROLINA FUND
-------------------------------------------------------
YEAR ENDED
---------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 ----------------- ------------
(UNAUDITED) 1995 1994*** 1993++
------------------- ------- ------- -------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of
year $10.000 $ 9.940 $10.890 $10.000
------- ------- ------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.230 $ 0.460 $ 0.408 $ 0.461
Net realized and unrealized
gain (loss) on investments 0.272 0.071 (0.870) 0.986
------- ------- ------- -------
Total income (loss) from
operations $ 0.502 $ 0.531 $(0.462) $ 1.447
------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income $(0.230) $(0.460) $(0.408) $(0.461)
In excess of net investment
income (0.002) (0.011) (0.080) (0.096)
From net realized gain on
investment transactions -- -- -- --
------- ------- ------- -------
Total distributions $(0.232) $(0.471) $(0.488) $(0.557)
------- ------- ------- -------
NET ASSET VALUE, end of year $10.270 $10.000 $ 9.940 $10.890
======= ======= ======= =======
TOTAL RETURN (3) 5.07% 5.64% (4.33)% 14.50%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $61,358 $59,955 $59,878 $43,169
Ratio of net expenses to
average daily net assets
(1)(4) 1.65%+ 1.49% 1.36%+ 1.07%+
Ratio of net investment
income to average daily net
assets 4.51%+ 4.77% 4.27%+ 4.22%+
PORTFOLIO TURNOVER (2) -- -- 3% 13%
</TABLE>
* For the period from the start of business, December 24, 1991, to September 30,
1992, (for Marathon Oregon Fund), and for the period from the start of
business, October 2, 1992, to September 30, 1993 (for Marathon South Carolina
Fund), the operating expenses of the Funds and the Portfolios may reflect a
reduction of the investment adviser fee, an allocation of expenses to the
Investment Adviser, or both. Had such actions not been taken, net investment
income and the ratios would have been as follows:
<TABLE>
<S> <C> <C>
NET INVESTMENT INCOME PER SHARE $0.338 $0.421
====== ======
RATIOS (As a percentage of average
daily net assets):
Expenses (1)(4) 1.63%+ 1.44%+
Net investment income 4.11%+ 3.85%+
</TABLE>
** For the period from the start of business, December 24, 1991, to
September 30, 1992.
*** For the eleven months ended August 31, 1994.
+ Annualized.
++ For the period from the start of business, October 2, 1992, to
September 30, 1993.
(1) Includes each Fund's share of its corresponding Portfolio's allocated
expenses.
(2) Portfolio Turnover represents the rate of portfolio activity for the period
while the Funds were making investments directly in securities. The
portfolio turnover rate for the period since the Funds transferred
substantially all of their investable assets to their respective Portfolios
is shown in the Portfolios' financial statements which are included
elsewhere in this report.
(3) Total return is calculated assuming a purchase at the net asset value on
the first day and a sale at the net asset value on the last day of each
period reported. Dividends and distributions, if any, are assumed to be
reinvested at the net asset value on the payable date. Total return is
computed on a nonannualized basis.
(4) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Fund to increase its expense ratio by the
effect of any expense offset arrangements with its service providers. The
expense ratios for each of the periods ended on or before August 31, 1995
have not been adjusted to reflect this change.
See notes to financial statements
33
<PAGE> 34
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON TENNESSEE FUND
----------------------------------------------------------
YEAR ENDED
-------------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 ----------------- -----------------
(UNAUDITED) 1995 1994*** 1993 1992**
------------------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of year $10.110 $10.020 $11.070 $10.010 $10.000
------- ------- ------- ------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.225 $ 0.468 $ 0.426 $ 0.466 $ 0.040
Net realized and unrealized gain
(loss) on investments 0.304 0.115 (0.848) 1.158 0.027+++
------- ------- ------- ------- -------
Total income (loss) from operations $ 0.529 $ 0.583 $(0.422) $ 1.624 $ 0.067
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income $(0.225) $(0.468) $(0.426) $(0.466) $(0.040)
In excess of net investment income (0.014) (0.025) (0.071) (0.098) (0.017)
From net realized gain on
investment transactions -- -- (0.094) -- --
In excess of net realized gain on
investment transactions -- -- (0.037) -- --
------- ------- ------- ------- -------
Total distributions $(0.239) $(0.493) $(0.628) $(0.564) $(0.057)
------- ------- ------- ------- -------
NET ASSET VALUE, end of year $10.400 $10.110 $10.020 $11.070 $10.010
======= ======= ======= ======= =======
TOTAL RETURN (3) 5.28% 6.12% (3.93)% 16.97% 0.01%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $57,201 $57,484 $55,379 $39,648 $ 3,475
Ratio of net expenses to average
daily net assets (1)(4) 1.56%+ 1.47% 1.37%+ 1.30% 1.00%+
Ratio of net investment income to
average daily net assets 4.37%+ 4.77% 4.44%+ 4.24% 2.91%+
PORTFOLIO TURNOVER (2) -- -- -- 28% 0%
<CAPTION>
MARATHON VIRGINIA FUND
----------------------------------------------------------------------
YEAR ENDED
-------------------------------------------------
SIX MONTHS ENDED AUGUST 31, SEPTEMBER 30,
FEBRUARY 29, 1996 -------- -------- -----------------------------
(UNAUDITED) 1995 1994*** 1993 1992 1991++
------------------- -------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of year $ 10.260 $ 10.120 $ 11.060 $ 10.460 $10.200 $10.000
--------- -------- -------- -------- ------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.234 $ 0.479 $ 0.438 $ 0.483 $ 0.526 $ 0.087
Net realized and unrealized gain
(loss) on investments 0.296 0.161 (0.864) 0.762 0.385 0.220+++
--------- -------- -------- -------- ------- -------
Total income (loss) from operations $ 0.530 $ 0.640 $ (0.426) $ 1.245 $ 0.911 $ 0.307
--------- -------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
From net investment income $ (0.234) $ (0.479) $ (0.438) $ (0.483) $(0.526) $(0.087)
In excess of net investment income (0.006) (0.021) (0.076) (0.130) (0.120) (0.020)
From net realized gain on
investment transactions -- -- -- (0.022) (0.005) --
In excess of net realized gain on
investment transactions -- -- -- (0.010) -- --
--------- -------- -------- -------- ------- -------
Total distributions $ (0.240) $ (0.500) $ (0.514) $ (0.645) $(0.651) $(0.107)
--------- -------- -------- -------- ------- -------
NET ASSET VALUE, end of year $ 10.550 $ 10.260 $ 10.120 $ 11.060 $10.460 $10.200
========= ======== ======== ======== ======= =======
TOTAL RETURN (3) 5.21% 6.62% (3.95)% 12.33% 9.16% 2.82%
RATIOS/SUPPLEMENTAL DATA:*
Net assets, end of year
(000 omitted) $ 189,610 $189,535 $193,420 $175,426 $72,629 $11,081
Ratio of net expenses to average
daily net assets (1)(4) 1.55%+ 1.50% 1.44%+ 1.52% 1.36% 1.27%+
Ratio of net investment income to
average daily net assets 4.45%+ 4.81% 4.51%+ 4.42% 4.86% 4.47%+
PORTFOLIO TURNOVER (2) -- -- -- 27% 85% 10%
</TABLE>
* For the year ended September 30, 1993 and for the period from the start of
business, August 25, 1992, to September 30, 1992, (for Marathon Tennessee
Fund), and for the year ended September 30, 1992 and for the period from the
start of business, July 26, 1991, to September 30, 1991 (for Marathon Virginia
Fund), the operating expenses of the Funds and the Portfolios may reflect a
reduction of the investment adviser fee, an allocation of expenses to the
Investment Adviser, or both. Had such actions not been taken, net investment
income per share and the ratios would have been as follows:
<TABLE>
<S> <C> <C> <C> <C>
NET INVESTMENT INCOME PER SHARE $0.432 $0.025 $0.501 $0.079
====== ====== ====== ======
RATIOS (As a percentage of average
daily net assets):
Expenses (1)(4) 1.61% 2.10%+ 1.59% 1.68%+
Net investment income 3.93% 1.81%+ 4.63% 4.06%+
</TABLE>
** For the period from the start of business, August 25, 1992, to September
30, 1992.
*** For the eleven months ended August 31, 1994.
+ Annualized.
++ For the period from the start of business, July 26, 1991, to September 30,
1991.
+++ The per share amount is not in accord with the net realized and unrealized
gain for the period because of the timing of sales of Fund shares and the
amount of the per share realized and unrealized gains and losses at such
time.
(1) Includes each Fund's share of its corresponding Portfolio's allocated
expenses.
(2) Portfolio Turnover represents the rate of portfolio activity for the period
while the Funds were making investments directly in securities. The
portfolio turnover rate for the period since the Funds transferred
substantially all of their investable assets to their respective Portfolios
is shown in the Portfolios' financial statements which are included
elsewhere in this report.
(3) Total return is calculated assuming a purchase at the net asset value on
the first day and a sale at the net asset value on the last day of each
period reported. Dividends and distributions, if any, are assumed to be
reinvested at the net asset value on the payable date. Total return is
computed on a nonannualized basis.
(4) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Fund to increase its expense ratio by the
effect of any expense offset arrangements with its service providers. The
expense ratios for each of the periods ended on or before August 31, 1995
have not been adjusted to reflect this change.
See notes to financial statements
34
<PAGE> 35
- --------------------------------------------------------------------------------
Notes to Financial Statements
(Unaudited)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
Eaton Vance Municipals Trust (the Trust) is an entity of the type commonly known
as a Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end management investment company. The Trust
presently consists of sixty-three Funds, twelve of the non-diversified funds are
included in these financial statements. They include EV Marathon Alabama
Municipals Fund ("Marathon Alabama Fund"), EV Marathon Arkansas Municipals Fund
("Marathon Arkansas Fund"), EV Marathon Georgia Municipals Fund ("Marathon
Georgia Fund"), EV Marathon Kentucky Municipals Fund ("Marathon Kentucky Fund"),
EV Marathon Louisiana Municipals Fund ("Marathon Louisiana Fund"), EV Marathon
Maryland Municipals Fund ("Marathon Maryland Fund"), EV Marathon Missouri
Municipals Fund ("Marathon Missouri Fund"), EV Marathon North Carolina
Municipals Fund ("Marathon North Carolina Fund"), EV Marathon Oregon Municipals
Fund ("Marathon Oregon Fund"), EV Marathon South Carolina Municipals Fund
("Marathon South Carolina Fund"), EV Marathon Tennessee Municipals Fund
("Marathon Tennessee Fund"), and EV Marathon Virginia Municipals Fund ("Marathon
Virginia Fund"). Each Fund invests all of its investable assets in interests in
a separate corresponding open-end management investment company (a Portfolio), a
New York Trust, having the same investment objective as its corresponding Fund.
The Marathon Alabama Fund invests its assets in the Alabama Municipals
Portfolio, the Marathon Arkansas Fund invests its assets in the Arkansas
Municipals Portfolio, the Marathon Georgia Fund invests its assets in the
Georgia Municipals Portfolio, the Marathon Kentucky Fund invests its assets in
the Kentucky Municipals Portfolio, the Marathon Louisiana Fund invests its
assets in the Louisiana Municipals Portfolio, the Marathon Maryland Fund invests
its assets in the Maryland Municipals Portfolio, the Marathon Missouri Fund
invests its assets in the Missouri Municipals Portfolio, the Marathon North
Carolina Fund invests its assets in the North Carolina Municipals Portfolio, the
Marathon Oregon Fund invests its assets in the Oregon Municipals Portfolio, the
Marathon South Carolina Fund invests its assets in the South Carolina Municipals
Portfolio, the Marathon Tennessee Fund invests its assets in the Tennessee
Municipals Portfolio, and the Marathon Virginia Fund invests its assets in the
Virginia Municipals Portfolio. The value of each Fund's investment in its
corresponding Portfolio reflects the Fund's proportionate interest in the net
assets of that Portfolio (93.7%, 99.3%, 98.2%, 98.9%, 94.1%, 99.2%, 96.9%,
96.3%, 99.4%, 98.5%, 98.3% and 99.4%, at February 29, 1996 for the Marathon
Alabama Fund, Marathon Arkansas Fund, Marathon Georgia Fund, Marathon Kentucky
Fund, Marathon Louisiana Fund, Marathon Maryland Fund, Marathon Missouri Fund,
Marathon North Carolina Fund, Marathon Oregon Fund, Marathon South Carolina
Fund, Marathon Tennessee Fund and Marathon Virginia Fund, respectively). The
performance of each Fund is directly affected by the performance of its
corresponding Portfolio. The financial statements of each Portfolio, including
the portfolio of investments, are included elsewhere in this report and should
be read in conjunction with each Fund's financial statements. The following is a
summary of significant accounting policies consistently followed by the Trust in
the preparation of its financial statements. The policies are in conformity with
generally accepted accounting principles.
A. INVESTMENT VALUATION--Valuation of securities by the Portfolios is discussed
in Note 1 of the Portfolios' Notes to Financial Statements which are included
elsewhere in this report.
B. INCOME--Each Fund's net investment income consists of the Fund's pro rata
share of the net investment income of its corresponding Portfolio, less all
actual and accrued expenses of each Fund determined in accordance with generally
accepted accounting principles.
C. FEDERAL TAXES--Each Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders each year all of its taxable and tax-exempt income,
including any net realized gain on investments. Accordingly, no provision for
federal income or excise tax is necessary. At August 31, 1995, the Funds, for
federal income tax purposes had capital loss carryovers which will reduce
taxable income arising from future net realized gain on investments, if any, to
the extent permitted by the Internal Revenue Code, and thus will reduce the
amount of the distributions to shareholders which would otherwise be necessary
to relieve the Funds of any liability for federal income or excise tax.
35
<PAGE> 36
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
The amounts and expiration dates of the capital loss carryovers are as follows:
<TABLE>
<CAPTION>
FUND AMOUNT EXPIRES
- ----------------------------- ---------- ------------------
<S> <C> <C>
Marathon Alabama Fund $1,877,237 August 31, 2003
362,951 August 31, 2002
1,050 September 30, 2000
Marathon Arkansas Fund 561,676 August 31, 2003
241,061 August 31, 2002
Marathon Georgia Fund 1,196,186 August 31, 2003
151,432 August 31, 2002
Marathon Kentucky Fund 1,058,247 August 31, 2003
Marathon Louisiana Fund 278,670 August 31, 2003
Marathon Maryland Fund 1,208,914 August 31, 2003
Marathon Missouri Fund 435,519 August 31, 2003
Marathon North Carolina Fund 4,995,953 August 31, 2003
451,305 August 31, 2002
63,556 September 30, 2001
Marathon Oregon Fund 4,339,899 August 31, 2003
Marathon South Carolina Fund 1,317,687 August 31, 2003
74,010 August 31, 2002
Marathon Tennessee Fund 195,240 August 31, 2003
Marathon Virginia Fund 2,423,779 August 31, 2003
</TABLE>
Additionally, at August 31, 1995, net capital losses of $2,346,219, $2,200,443,
$7,532,174, $2,762,731, $1,537,797, $2,993,588, $2,917,460, $7,411,597,
$3,871,018, $3,414,356, $1,850,895 and $7,632,832, for the Marathon Alabama
Fund, Marathon Arkansas Fund, Marathon Georgia Fund, Marathon Kentucky Fund,
Marathon Louisiana Fund, Marathon Maryland Fund, Marathon Missouri Fund,
Marathon North Carolina Fund, Marathon Oregon Fund, Marathon South Carolina
Fund, Marathon Tennessee Fund and Marathon Virginia Fund, respectively,
attributable to security transactions incurred after October 31, 1994, are
treated as arising on the first day of the Funds' current taxable year.
Dividends paid by each Fund from net interest on tax-exempt municipal bonds
allocated from its corresponding Portfolio are not includable by shareholders as
gross income for federal income tax purposes because each Fund and Portfolio
intend to meet certain requirements of the Internal Revenue Code applicable to
regulated investment companies which will enable the Funds to pay
exempt-interest dividends. The portion of such interest, if any, earned on
private activity bonds issued after August 7, 1986, may be considered a tax
preference item to shareholders.
D. DEFERRED ORGANIZATION EXPENSES--Costs incurred by each Fund in connection
with its organization, including registration costs, are being amortized on the
straight-line basis over five years.
E. 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 at
the date of the financial statements and the reported amounts of revenue and
expense during the reporting period. Actual results could differ from those
estimates.
F. OTHER--Investment transactions are accounted for on a trade date basis.
G. INTERIM FINANCIAL INFORMATION--The interim financial statements relating to
February 29, 1996 and for the six-month period then ended have not been audited
by independent certified public accountants, but in the opinion of the Fund's
management, reflect all adjustments, consisting of normal recurring adjustments,
necessary for the fair presentation of the financial statements.
36
<PAGE> 37
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(2) DISTRIBUTIONS TO SHAREHOLDERS
The net income of each Fund is determined daily and substantially all of the net
income so determined is declared as a dividend to shareholders of record at the
time of declaration. Distributions are paid monthly. Distributions of allocated
realized capital gains, if any, are made at least annually. Shareholders may
reinvest capital gain distributions in additional shares of a Fund at the net
asset value as of the ex-dividend date. Distributions are paid in the form of
additional shares or, at the election of the shareholders, in cash. The Funds
distinguish between distributions on a tax basis and a financial reporting
basis. Generally accepted accounting principles require that only distributions
in excess of tax basis earnings and profits be reported in the financial
statements as a return of capital. Differences in the recognition or
classification of income between the financial statements and tax earnings and
profits which result in temporary over distributions for financial statements
purposes are classified as distributions in excess of net investment income or
accumulated net realized gains. Permanent differences between book and tax
accounting relating to distributions are reclassified to paid-in capital. The
tax treatment of distributions for the calendar year will be reported to
shareholders prior to February 1, 1997 and will be based on tax accounting
methods which may differ from amounts determined for financial statement
purposes.
37
<PAGE> 38
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(3) SHARES OF BENEFICIAL INTEREST
The Funds' Declaration of Trust permits the Trustees to issue an unlimited
number of full and fractional shares of beneficial interest (without par value).
Transactions in Fund shares were as follows:
<TABLE>
<CAPTION>
MARATHON ALABAMA MARATHON ARKANSAS
FUND FUND
--------------------------------- ---------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
FEBRUARY 29, ENDED FEBRUARY 29, ENDED
1996 AUGUST 31, 1996 AUGUST 31,
(UNAUDITED) 1995 (UNAUDITED) 1995
------------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
Sales 263,512 1,241,529 160,362 685,186
Issued to shareholders electing to
receive payments of distributions in
Fund shares 117,344 262,695 82,376 189,639
Redemptions (563,854) (1,432,449) (619,680) (1,116,643)
------------ ---------- ------------ ----------
Net increase (decrease) (182,998) 71,775 (376,942) (241,818)
============ ========== ============ ==========
</TABLE>
<TABLE>
<CAPTION>
MARATHON GEORGIA MARATHON KENTUCKY
FUND FUND
--------------------------------- ---------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
FEBRUARY 29, ENDED FEBRUARY 29, ENDED
1996 AUGUST 31, 1996 AUGUST 31,
(UNAUDITED) 1995 (UNAUDITED) 1995
------------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
Sales 178,884 1,118,366 302,801 1,296,010
Issued to shareholders electing to
receive payments of distributions in
Fund shares 129,073 319,177 169,855 383,359
Redemptions (881,042) (2,878,588) (1,205,550) (1,763,810)
------------ ---------- ------------ ----------
Net decrease (573,085) (1,441,045) (732,894) (84,441)
============ ========== ============ ==========
</TABLE>
38
<PAGE> 39
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(3) SHARES OF BENEFICIAL INTEREST (CONTINUED)
<TABLE>
<CAPTION>
MARATHON LOUISIANA MARATHON MARYLAND
FUND FUND
--------------------------------- ---------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
FEBRUARY 29, ENDED FEBRUARY 29, ENDED
1996 AUGUST 31, 1996 AUGUST 31,
(UNAUDITED) 1995 (UNAUDITED) 1995
------------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
Sales 187,751 537,770 398,414 1,391,822
Issued to shareholders electing to
receive payments of distributions in
Fund shares 38,994 80,245 138,414 298,558
Redemptions (121,807) (327,579) (762,256) (2,153,497)
------------ ---------- ------------ ----------
Net increase (decrease) 104,938 290,436 (225,428) (463,117)
============ ========== ============ ==========
</TABLE>
<TABLE>
<CAPTION>
MARATHON MISSOURI MARATHON NORTH CAROLINA
FUND FUND
--------------------------------- ---------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
FEBRUARY 29, ENDED FEBRUARY 29, ENDED
1996 AUGUST 31, 1996 AUGUST 31,
(UNAUDITED) 1995 (UNAUDITED) 1995
------------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
Sales 224,392 712,633 469,457 1,686,102
Issued to shareholders electing to
receive payments of distributions in
Fund shares 94,761 219,344 211,128 479,532
Redemptions (620,201) (1,297,726) (1,500,966) (2,567,819)
------------ ---------- ------------ ----------
Net decrease (301,048) (365,749) (820,381) (402,185)
============ ========== ============ ==========
</TABLE>
<TABLE>
<CAPTION>
MARATHON OREGON MARATHON SOUTH CAROLINA
FUND FUND
--------------------------------- ---------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
FEBRUARY 29, ENDED FEBRUARY 29, ENDED
1996 AUGUST 31, 1996 AUGUST 31,
(UNAUDITED) 1995 (UNAUDITED) 1995
------------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
Sales 297,692 1,131,231 252,718 884,786
Issued to shareholders electing to
receive payments of distributions in
Fund shares 170,570 397,878 60,072 134,341
Redemptions (1,173,403) (2,436,297) (333,792) (1,047,426)
------------ ---------- ------------ ----------
Net decrease (705,141) (907,188) (21,002) (28,299)
============ ========== ============ ==========
</TABLE>
39
<PAGE> 40
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(3) SHARES OF BENEFICIAL INTEREST (CONTINUED)
<TABLE>
<CAPTION>
MARATHON TENNESSEE MARATHON VIRGINIA
FUND FUND
--------------------------------- ---------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
FEBRUARY 29, ENDED FEBRUARY 29, ENDED
1996 AUGUST 31, 1996 AUGUST 31,
(UNAUDITED) 1995 (UNAUDITED) 1995
------------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
Sales 177,849 754,435 507,901 2,254,165
Issued to shareholders electing to
receive payments of distributions in
Fund shares 66,975 144,886 215,079 501,177
Redemptions (432,633) (743,561) (1,216,174) (3,388,505)
------------ ---------- ------------ ----------
Net increase (decrease) (187,809) 155,760 (493,194) (633,163)
============ ========== ============ ==========
</TABLE>
- --------------------------------------------------------------------------------
(4) TRANSACTIONS WITH AFFILIATES
Eaton Vance Management (EVM) serves as the administrator of each Fund, but
receives no compensation. The portfolios have engaged Boston Management and
Research (BMR), a subsidiary of EVM, to render investment advisory services. See
Note 2 of the Portfolios' Notes to Financial Statements which are included
elsewhere in this report. Except as to Trustees of the Funds and the Portfolios
who are not members of EVM's or BMR's organization, officers and Trustees
receive remuneration for their services to each Fund out of such investment
adviser fee.
Investors Bank & Trust Company (IBT) serves as custodian to the Funds and the
Portfolios. Prior to November 10, 1995 IBT was an affiliate of EVM. Pursuant to
the respective custodian agreements, IBT receives a fee reduced by credits which
are determined based on the average cash balances the Funds or the Portfolios
maintain with IBT. All significant credit balances used to reduce the Funds
custody fees are reported as a reduction of expenses in the statement of
operations. Certain of the officers and Trustees of the Funds and Portfolios are
officers and directors/trustees of the above organizations (Note 5).
40
<PAGE> 41
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(5) DISTRIBUTION PLAN
Each Fund has adopted a distribution plan (the Plans) pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plans require the Funds to pay the
principal underwriter, Eaton Vance Distributors, Inc. (EVD), amounts equal to
1/365 of 0.75% of each Fund's daily net assets, for providing ongoing
distribution services and facilities to the respective Fund. A Fund will
automatically discontinue payments to EVD during any period in which there are
no outstanding Uncovered Distribution Charges, which are equivalent to the sum
of (i) 5% of the aggregate amount received by the Fund for shares sold plus (ii)
distribution fees calculated by applying the rate of 1% over the prevailing
prime rate to the outstanding balance of Uncovered Distribution Charges of EVD
reduced by the aggregate amount of contingent deferred sales charges (Note 6)
and amounts theretofore paid to EVD. The amount payable to EVD with respect to
each day is accrued on such day as a liability of each Fund and, accordingly,
reduces the Fund's net assets. For the six months ended February 29, 1996,
Marathon Alabama Fund, Marathon Arkansas Fund, Marathon Georgia Fund, Marathon
Kentucky Fund, Marathon Louisiana Fund, Marathon Maryland Fund, Marathon
Missouri Fund, Marathon North Carolina Fund, Marathon Oregon Fund, Marathon
South Carolina Fund, Marathon Tennessee Fund and Marathon Virginia Fund, paid or
accrued $411,832, $301,342, $449,978, $534,230, $123,336, $432,570, $337,851,
$710,525, $542,872, $229,860, $216,942 and $717,997, respectively, to or payable
to EVD, representing 0.75% (annualized) of average daily net assets. At February
29, 1996, the amount of Uncovered Distribution Charges of EVD calculated under
the Plans for Marathon Alabama Fund, Marathon Arkansas Fund, Marathon Georgia
Fund, Marathon Kentucky Fund, Marathon Louisiana Fund, Marathon Maryland Fund,
Marathon Missouri Fund, Marathon North Carolina Fund, Marathon Oregon Fund,
Marathon South Carolina Fund, Marathon Tennessee Fund, and Marathon Virginia
Fund were approximately $4,006,000, $3,070,000, $4,199,000, $4,893,000,
$1,382,000, $4,234,000, $3,170,000, $6,557,000, $5,019,000, $2,915,000,
$2,189,000, and $6,519,000, respectively.
In addition, the Plans authorize the Funds to make payments of service fees to
the Principal Underwriter, Authorized Firms and other persons in amounts not
exceeding 0.25% of each Fund's average daily net assets for any fiscal year. The
Trustees' have initially implemented the Plans by authorizing the Funds to make
quarterly service fee payments to the Principal Underwriter and Authorized Firms
in amounts not expected to exceed 0.20% per annum of each Fund's average daily
net assets based on the value of Fund shares sold by such persons and remaining
outstanding for at least one year. For the six months ended February 29, 1996,
Marathon Alabama Fund, Marathon Arkansas Fund, Marathon Georgia Fund, Marathon
Kentucky Fund, Marathon Louisiana Fund, Marathon Maryland Fund, Marathon
Missouri Fund, Marathon North Carolina Fund, Marathon Oregon Fund, Marathon
South Carolina Fund, Marathon Tennessee Fund and Marathon Virginia Fund paid or
accrued service fees to or payable to EVD in the amount of $82,037, $59,931,
$95,598, $113,492, $28,499, $91,980, $73,416, $160,424, $118,282, $45,770,
$45,910 and $153,578, respectively. Service fee payments are made for personal
services and/or maintenance of shareholder accounts. Service fees paid to EVD
and authorized firms are separate and distinct from the sales commissions and
distribution fees payable by each Fund to EVD, and as such are not subject to
automatic discontinuance when there are no outstanding Uncovered Distribution
Charges of EVD.
Certain officers and Trustees of the Fund are officers or directors of EVD.
- --------------------------------------------------------------------------------
(6) CONTINGENT DEFERRED SALES CHARGE
A contingent deferred sales charge (CDSC) is imposed on any redemption of Fund
shares made within six years of purchase. Generally the CDSC is based upon the
lower of the net asset value at date of redemption or date of purchase. No
charge is levied on shares acquired by reinvestment of dividends or capital
gains distributions. The CDSC is imposed at declining rates that begin at 5% in
the case of redemptions in the first and second year after purchase declining
one percentage point each subsequent year. No CDSC is levied on shares which
have been sold to EVD or its affiliates or to their respective employees or
clients. CDSC charges are paid to EVD to reduce the amount of Uncovered
Distribution Charges calculated under the Fund's Distribution Plan. CDSC charges
received when no Uncovered Distribution Charges exist will be credited to the
Fund. EVD received approximately $180,000, $167,000, $228,000, $328,000,
$32,000, $237,000, $155,000, $408,000, $326,000, $88,000, $121,000 and $303,000,
respectively, of CDSC paid by shareholders of Marathon Alabama Fund, Marathon
Arkansas Fund, Marathon Georgia Fund, Marathon Kentucky Fund, Marathon Louisiana
Fund, Marathon Maryland Fund, Marathon Missouri Fund, Marathon North Carolina
Fund, Marathon Oregon Fund, Marathon South Carolina Fund, Marathon Tennessee
Fund and Marathon Virginia Fund, respectively, for the six months ended February
29, 1996.
41
<PAGE> 42
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(7) INVESTMENT TRANSACTIONS
Increases and decreases in each Fund's investment in its corresponding Portfolio
for the six months ended February 29, 1996 were as follows:
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
ALABAMA ARKANSAS GEORGIA KENTUCKY
FUND FUND FUND FUND
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
Increases $ 3,213,410 $1,692,768 $ 2,071,194 $ 3,418,132
Decreases 8,326,614 7,962,930 11,020,789 14,985,509
</TABLE>
<TABLE>
<CAPTION>
MARATHON
MARATHON MARATHON MARATHON NORTH
LOUISIANA MARYLAND MISSOURI CAROLINA
FUND FUND FUND FUND
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
Increases $ 2,084,274 $ 4,424,223 $ 2,478,306 $ 5,081,716
Decreases 1,984,582 10,083,771 8,182,122 18,717,341
</TABLE>
<TABLE>
<CAPTION>
MARATHON
MARATHON SOUTH MARATHON MARATHON
OREGON CAROLINA TENNESSEE VIRGINIA
FUND FUND FUND FUND
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
Increases $ 3,340,475 $2,717,950 $ 1,927,531 $ 5,759,733
Decreases 14,375,978 4,732,379 5,454,927 16,380,178
</TABLE>
- --------------------------------------------------------------------------------
(8) SPECIAL MEETINGS OF SHAREHOLDERS
On December 15, 1995, special meetings of the shareholders of each of the Funds
were held for the purpose of voting on the matters listed below. On October 23,
1995, the record date of the meetings, each of the Funds had the following
number of shares outstanding and each Fund had the following number of shares
represented at the December 15, 1995 meetings:
<TABLE>
<CAPTION>
SHARES OUTSTANDING SHARES REPRESENTED
FUND AT 10/23/95 AT 12/15/95 MEETINGS
-------------------------------------------- ------------------- ---------------------
<S> <C> <C>
Marathon Alabama 10,434,944 5,225,539
Marathon Arkansas 7,772,301 4,372,188
Marathon Georgia 12,128,814 6,377,365
Marathon Kentucky 14,103,079 7,313,301
Marathon Louisiana 3,207,796 1,616,692
Marathon Maryland 11,012,194 5,918,767
Marathon Missouri 8,466,492 4,362,018
Marathon North Carolina 18,805,605 11,095,852
Marathon Oregon 13,948,681 7,290,773
Marathon South Carolina 5,978,100 3,459,714
Marathon Tennessee 5,663,040 2,856,288
Marathon Virginia 18,366,624 10,851,713
</TABLE>
42
<PAGE> 43
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(8) SPECIAL MEETINGS OF SHAREHOLDERS (CONTINUED)
ITEM 1. To consider and act on a proposal to amend each Fund's investment policy
to provide that the Fund may invest without limit in municipal obligations the
interest on which is exempt from regular federal income tax (but which may be a
tax preference item for purposes of alternative minimum tax) and from the State
taxes that, in accordance with each Fund's investment objective, the Fund seeks
to avoid.
ITEM 2. To approve the revision of certain of each Fund's fundamental investment
restrictions as follows:
<TABLE>
<S> <C>
2A. Eliminate the restriction concerning transactions with affiliates.
2B. Eliminate the restriction concerning investing for control.
2C. Eliminate the restriction concerning joint transactions.
2D. Reclassify the restriction concerning short sales.
2E. Reclassify the restriction concerning investment in affiliated issuers.
2F. Reclassify the restriction concerning investment in exploration companies.
2G. Eliminate the restriction concerning diversification of assets.
2H. Amend the restriction concerning underwriting.
2I. Amend the restriction concerning investing in futures transactions.
2J. Amend the restriction concerning lending.
2K. Amend the restriction concerning borrowing, pledging and senior securities.
2L. Clarify the restrictions concerning investing in another investment company.
</TABLE>
The following are the results of the voting on each proposal:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE MARATHON ALABAMA FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 4,702,606 4,545,455 4,531,826 4,543,784 4,476,195 4,540,514 4,482,020
AGAINST 172,998 301,896 319,168 298,843 332,317 297,664 343,086
ABSTAIN 349,935 378,188 374,545 382,912 417,027 387,361 400,433
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 4,539,193 4,561,451 4,486,486 4,518,536 4,455,277 4,668,114
AGAINST 281,524 265,176 319,186 310,942 362,191 185,674
ABSTAIN 404,822 398,912 419,867 396,061 408,071 371,751
FOR THE MARATHON ARKANSAS FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 4,053,170 3,947,860 3,912,426 3,919,129 3,938,743 3,923,678 3,900,134
AGAINST 161,117 213,449 226,622 218,569 199,438 215,282 244,776
ABSTAIN 157,901 210,879 233,141 234,491 234,007 233,228 227,279
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 3,925,688 3,908,464 3,914,395 3,934,790 3,923,454 4,001,531
AGAINST 219,325 228,828 242,080 225,424 221,505 154,884
ABSTAIN 227,175 234,896 215,713 211,974 227,229 215,774
</TABLE>
43
<PAGE> 44
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(8) SPECIAL MEETINGS OF SHAREHOLDERS (CONTINUED)
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE MARATHON GEORGIA FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 5,958,791 5,787,473 5,759,616 5,801,029 5,762,583 5,758,264 5,656,211
AGAINST 212,387 306,676 296,901 279,409 297,961 322,008 396,736
ABSTAIN 206,187 283,216 320,849 296,927 316,821 297,093 324,418
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 5,718,559 5,701,019 5,671,818 5,659,643 5,694,579 5,835,113
AGAINST 355,408 355,541 383,733 367,461 378,694 259,079
ABSTAIN 303,398 340,805 321,814 350,262 304,092 283,173
FOR THE MARATHON KENTUCKY FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 6,776,657 6,561,651 6,502,645 6,533,322 6,521,738 6,619,319 6,491,682
AGAINST 210,681 307,864 318,553 275,113 282,644 224,805 398,115
ABSTAIN 325,963 443,787 492,104 504,866 508,920 469,178 423,505
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 6,556,425 6,564,412 6,481,816 6,525,487 6,552,155 6,644,070
AGAINST 309,821 222,322 353,592 288,156 310,030 196,761
ABSTAIN 447,055 526,568 477,893 499,658 451,117 472,470
FOR THE MARATHON LOUISIANA FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 1,496,801 1,485,696 1,474,071 1,491,051 1,469,718 1,482,163 1,478,210
AGAINST 58,078 70,550 87,104 70,124 87,876 79,012 81,938
ABSTAIN 61,813 60,446 55,518 55,518 59,098 55,518 56,545
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 1,490,308 1,485,626 1,472,548 1,482,710 1,468,310 1,498,003
AGAINST 73,836 70,576 86,633 77,438 88,332 66,581
ABSTAIN 52,549 60,491 57,511 56,545 60,050 52,108
FOR THE MARATHON MARYLAND FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 5,487,739 5,299,342 5,299,640 5,303,235 5,322,098 5,321,495 5,295,318
AGAINST 167,242 289,676 267,220 247,967 253,562 240,375 257,786
ABSTAIN 263,786 329,749 351,907 367,565 343,107 356,897 365,663
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 5,300,056 5,300,401 5,243,151 5,260,843 5,294,037 5,369,733
AGAINST 244,529 236,343 290,592 281,165 260,610 185,114
ABSTAIN 374,182 382,023 385,024 376,758 364,119 363,919
</TABLE>
44
<PAGE> 45
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(8) SPECIAL MEETINGS OF SHAREHOLDERS (CONTINUED)
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE MARATHON MISSOURI FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 4,026,036 3,891,135 3,917,080 3,921,703 3,873,139 3,889,296 3,919,643
AGAINST 135,192 247,136 228,188 221,188 253,165 242,810 233,698
ABSTAIN 200,791 223,747 216,753 219,131 235,718 228,916 208,680
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 3,919,497 3,918,855 3,840,608 3,877,509 3,877,854 3,996,266
AGAINST 219,027 208,063 292,737 253,006 252,989 158,499
ABSTAIN 223,497 235,104 228,676 231,507 231,178 207,256
FOR THE MARATHON NORTH CAROLINA FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 10,296,574 10,117,045 10,119,763 10,200,917 10,061,044 10,128,733 10,075,696
AGAINST 337,160 476,095 455,697 397,284 496,771 435,881 491,849
ABSTAIN 462,617 503,211 520,892 498,150 538,537 531,738 528,806
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 10,122,646 10,130,591 10,103,412 10,046,190 10,043,842 10,265,087
AGAINST 449,021 425,755 490,316 505,619 505,556 324,901
ABSTAIN 524,684 540,006 502,623 544,542 546,953 506,364
FOR THE MARATHON OREGON FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 6,599,664 6,300,258 6,198,311 6,327,757 6,274,516 6,288,596 6,134,690
AGAINST 235,563 330,840 359,953 311,535 329,965 386,161 425,896
ABSTAIN 455,546 659,674 732,509 651,480 686,292 676,016 730,187
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 6,266,724 6,301,073 6,185,552 6,163,532 6,173,650 6,339,355
AGAINST 339,860 322,997 432,189 408,308 427,053 271,909
ABSTAIN 684,190 666,703 673,033 718,933 690,070 679,509
FOR THE MARATHON SOUTH CAROLINA FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 3,345,725 3,301,371 3,288,834 3,304,348 3,186,057 3,297,672 3,227,015
AGAINST 58,212 91,825 92,623 85,200 196,950 96,257 158,042
ABSTAIN 55,777 66,518 78,257 70,166 76,707 65,785 74,656
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 3,294,055 3,298,682 3,260,072 3,265,072 3,300,496 3,317,932
AGAINST 91,949 82,532 115,658 110,963 84,716 68,292
ABSTAIN 73,710 78,500 83,984 83,679 74,502 73,490
</TABLE>
45
<PAGE> 46
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(8) SPECIAL MEETINGS OF SHAREHOLDERS (CONTINUED)
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE MARATHON TENNESSEE FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 2,701,773 2,559,776 2,547,904 2,590,278 2,592,273 2,555,727 2,565,792
AGAINST 79,667 194,380 215,048 177,099 161,011 193,169 196,154
ABSTAIN 74,848 102,131 93,336 88,911 103,004 107,391 94,342
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 2,595,923 2,593,530 2,558,960 2,534,560 2,564,903 2,668,147
AGAINST 165,233 154,548 206,303 214,886 189,380 89,901
ABSTAIN 95,132 108,210 91,025 106,841 102,005 98,240
FOR THE MARATHON VIRGINIA FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 10,247,646 9,875,888 9,897,811 9,904,393 9,845,037 9,857,224 9,864,951
AGAINST 326,533 531,583 511,093 508,181 571,913 540,669 570,326
ABSTAIN 277,533 444,241 442,809 439,139 434,762 453,820 416,436
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 9,931,905 9,902,946 9,819,220 9,817,164 9,824,166 10,006,467
AGAINST 485,356 441,723 511,006 539,321 551,639 392,441
ABSTAIN 434,452 507,044 461,488 495,227 475,908 452,804
</TABLE>
46
<PAGE> 47
- --------------------------------------------------------------------------------
Alabama Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ELECTRIC UTILITIES - 3.7%
NR BBB $ 500 Guam Power Authority,
6.625%, 10/1/14 $ 514,705
Baa1 A- 180 Puerto Rico Electric Power
Authority, 7.00%, 7/1/07 194,432
Baa1 A- 500 Puerto Rico Electric Power
Authority, 6.375%, 7/1/24 520,465
Baa1 A- 935 Puerto Rico Electric Power
Authority, 6.00%, 7/1/16 944,210
Baa1 A- 1,000 Puerto Rico Electric Power
Authority, 6.00%, 7/1/10 1,012,780
Baa1 A- 1,000 Puerto Rico Electric Power
Authority, 5.50%, 7/1/20 958,540
------------
$ 4,145,132
------------
ESCROWED - 5.1%
NR AA $ 500 Birmingham, Alabama
Improvement Warrants,
6.60%, 7/1/17 $ 560,930
NR BBB 2,000 Gadsen, Alabama Medical
Clinic Board (Baptist
Hospital), 7.80%, 11/1/21 2,368,280
NR BBB 350 Gadsen, Alabama Medical
Clinic Board (Baptist
Hospital), 7.60%, 11/1/08 410,981
Baa1 A- 320 Puerto Rico Electric
Power, 7.00%, 7/1/07 355,357
Aaa AAA 250 Tuscaloosa, Alabama
Limited Obligation-Capital
Outlay Warrants (AMBAC),
6.50%, 2/1/15 270,032
Aa NR 1,600 University of Alabama-
Birmingham Medical &
Educational Foundation
Housing, 7.00%, 12/1/19 1,780,768
------------
$ 5,746,348
------------
GENERAL OBLIGATIONS - 5.8%
A1 AA $1,000 Birmingham, Alabama
U.T.G.O., 5.75%, 6/1/16 $ 1,012,280
Baa1 A 1,000 Puerto Rico, 5.40%, 7/1/25 946,530
Baa1 A 4,000 Puerto Rico U.T.G.O.,
6.50%, 7/1/23 4,296,480
NR NR 250 Virgin Islands, 7.25%,
10/1/18 264,850
------------
$ 6,520,140
------------
HEALTH CARE - 1.8%
Baa BBB $2,000 Marshall, AL
Boaz-Albertville Medical
Center, 7.00%, 1/1/20 $ 2,060,920
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 11.1%
Aa AA $2,250 Alabama Special Care
(Daughters of Charity),
5.00%, 11/1/25 $ 2,008,058
NR BBB 3,000 Alexander, Alabama Special
Care (Russell Hospital),
6.00%, 12/1/22 (2) 2,782,020
Baa NR 1,000 Cullman, Alabama Medical
Clinic Board (Cullman
Regional Medical Center),
6.50%, 2/15/23 993,650
Baa1 NR 2,000 Jasper, Alabama Medical
Clinic Board (Walker
Regional Medical Center),
6.40%, 7/1/11 2,003,600
Baa1 NR 3,550 Jasper, Alabama Medical
Clinic Board (Walker
Regional Medical Center),
6.375%, 7/1/18 (4) 3,501,791
A A 1,000 Montgomery, Alabama
Medical Clinic Board
(Jackson Hospital), 7.00%,
3/1/15 1,052,650
------------
$ 12,341,769
------------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION CONTROL
REVENUE - 11.0%
Baa1 BBB $1,200 Courtland, Alabama
(Champion International
Corporation), 7.20%,
12/1/13 $ 1,308,492
Baa1 BBB 800 Courtland, Alabama
(Champion International
Corporation), 7.00%,
6/1/22 842,280
Baa1 BBB 2,000 Courtland, Alabama
(Champion International
Corporation), 6.50%,
9/1/25 2,020,920
Baa3 BBB- 2,000 Mobile County, Alabama
(Mobile Energy), 6.95%,
1/1/20 2,099,040
Aa2 AA 3,000 Mobile County, Alabama
(Mobil Oil), 6.00%,
12/1/14 3,106,740
A2 NR 1,000 PR IM&E (American Home
Products), 5.10%, 12/1/18 927,570
Baa3 BB+ 1,000 Puerto Rico Port Authority
(American Airlines),
6.30%, 6/1/23 1,008,930
A3 A- 1,000 Selma, Alabama
(International Paper Oil),
6.00%, 12/1/17 992,690
------------
$ 12,306,662
------------
</TABLE>
47
<PAGE> 48
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED EDUCATION - 13.5%
Aaa AAA $1,000 Alabama A&M University
(MBIA), 6.375%, 11/1/09 $ 1,072,490
Aaa AAA 1,770 Alabama A&M University
(MBIA), 5.75%, 11/1/14 1,807,559
Aaa Aaa 3,750 Alabama A&M University
(MBIA), 5.50%, 11/1/20 3,714,713
Aaa Aaa 3,755 Alabama State University
Tuition & Fee (MBIA),
5.80%, 12/1/20 3,780,046
Aaa AAA 4,000 University of Alabama
Student Housing (MBIA),
5.00%, 6/1/16 3,748,000
Aaa AAA 1,000 University of South
Alabama Tuition (AMBAC),
5.00%, 11/15/15 943,680
------------
$ 15,066,488
------------
INSURED ELECTRIC UTILITIES - 6.4%
Aaa AAA $1,500 Athens, Alabama Electric
(MBIA), 6.00%, 6/1/25 $ 1,540,560
Aaa AAA 3,000 Columbia, Alabama IDB (AL
Power) (AMBAC), 6.50%,
9/1/23 3,150,510
Aaa AAA 250 Puerto Rico Electric Power
Authority (STRIPES) (FSA),
Variable, 7/1/03 (1) 289,423
Aaa AAA 2,000 Wilsonville, Alabama PCR
(MBIA), 6.75%, 2/1/15 2,148,360
------------
$ 7,128,853
------------
INSURED GENERAL
OBLIGATIONS - 5.7%
Aaa AAA $ 500 Fairfield City, Alabama
U.T.G.O. (AMBAC), 6.30%,
6/1/22 $ 527,855
Aaa AAA 2,065 Hoover Alabama Warrants
(AMBAC), 5.00%, 3/1/20 1,910,228
Aaa AAA 3,250 Madison Alabama School
Warrants (MBIA), 6.00%,
2/1/24 3,365,083
Aaa AAA 500 Troy City, Alabama (CAPG),
6.60%, 6/1/12 542,680
------------
$ 6,345,846
------------
INSURED HEALTH CARE - 1.9%
Aaa AAA $2,000 Huntsville, Alabama Health
Care Facilities (MBIA),
6.50%, 6/1/13 $ 2,149,900
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITAL - 5.4%
Aaa AAA $2,500 Birmingham, Alabama
Baptist Medical Center
(MBIA), 5.875%, 11/15/20 $ 2,529,400
Aaa AAA 2,500 Birmingham, Alabama
Baptist Medical Center
(MBIA), 6.00%, 11/15/24 2,544,600
Aaa AAA 1,000 Houston County, Southeast
Alabama Medical Center
(MBIA), 5.75%, 10/1/22 1,002,500
------------
$ 6,076,500
------------
INSURED LEASE/CERTIFICATES
OF PARTICIPATION - 3.3%
Aaa AAA $3,700 Montgomery, Alabama
Downtown Redevelopment
Authority Mortgage (MBIA),
5.50%, 10/1/13 $ 3,699,815
------------
INSURED
MISCELLANEOUS - 0.5%
Aaa AAA $1,950 Jefferson County, Alabama
Birmingham-Jefferson Civic
Center (MBIA), 0%, 9/1/18 $ 537,849
------------
INSURED SOLID WASTE - 4.2%
Aaa AAA $4,000 Huntsville, Alabama Solid
Waste Disposal (FGIC)
(AMT), 7.00%, 10/1/14 $ 4,313,640
Aaa AAA 350 Huntsville, Alabama Solid
Waste Disposal (FGIC)
(AMT), 7.00%, 10/1/08 383,411
------------
$ 4,697,051
------------
INSURED WATER & SEWER - 15.2%
Aaa AAA $2,500 Alabama Water Pollution
Control Authority (AMBAC),
5.00%, 8/15/15 $ 2,346,100
Aaa AAA 1,100 Gulf Shores, Alabama Water
and Sewer (AMBAC), 6.50%,
2/1/15 1,181,763
Aaa AAA 500 Northeast, Alabama Water,
Sewer and Fire Protection
(AMBAC), 5.70%, 5/1/23 503,520
Aaa AAA 3,075 Prichard, Alabama Water
and Sewer (AMBAC), 6.125%,
11/15/14 3,220,909
Aaa AAA 1,400 Satsuma Alabama Waterworks
and Sewer (MBIA), 6.00%,
7/1/25 1,438,080
</TABLE>
48
<PAGE> 49
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED WATER & SEWER - (CONTINUED)
Aaa AAA 6,000 Scottsboro, Alabama Water,
Sewer and Gas (AMBAC),
6.50%, 12/1/14 (3) 6,493,620
Aaa AAA 750 West Morgan-East Lawrence,
Alabama Water Authority
(FGIC), 6.00%, 5/1/22 765,555
Aaa AAA 1,000 West Morgan-East Lawrence,
Alabama Water Authority
(FSA), 6.85%, 8/15/25 1,097,110
------------
$ 17,046,657
------------
LEASE - 0.4%
NR BBB $ 500 PR ITEM Guaynabo Lease,
5.625%, 7/1/22 $ 474,030
------------
MISCELLANEOUS - 0.1%
A A $ 100 Tennessee Valley, Alabama
Exhibit Commission, 6.70%,
6/1/10 $ 109,234
------------
NURSING HOMES - 0.9%
NR NR $ 325 Fairhope Alabama Midtown
Medical Clinic Board
(Beverly Enterprises),
6.375%, 6/1/09 $ 311,111
NR NR 670 Mobile Alabama Midtown
Medical Clinic Board
(Beverly Enterprises),
7.00%, 4/1/07 670,650
------------
$ 981,761
------------
SPECIAL TAX REVENUE - 1.8%
Baa1 A $1,800 Puerto Rico Highway and
Transportation, 6.625%,
7/1/18 $ 1,964,178
------------
TRANSPORTATION - 0.9%
NR BBB $1,000 Guam Airport Authority,
6.70%, 10/1/23 $ 1,010,470
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER - 1.3%
NR NR $1,500 Moulton City, Alabama
Water, 6.30%, 1/1/18 $ 1,485,960
------------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$106,424,866) $111,895,563
============
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) When-issued security.
(3) Security has been segregated to cover when-issued securities.
(4) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Alabama
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 56.1% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.5% to 31.1% of total investments.
See notes to financial statements
49
<PAGE> 50
- --------------------------------------------------------------------------------
Arkansas Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 3.5%
A1 NR $1,750 University of Arkansas
Board of Trustees, 7.20%,
12/1/10 $ 1,993,932
A NR 610 Arkansas State Student Loan
Authority, 7.25%, 6/1/09 678,308
------------
$ 2,672,240
------------
ELECTRIC UTILITIES - 9.7%
A NR $1,750 Conway, Arkansas Electric,
5.70%, 8/1/09 $ 1,798,598
NR BBB 1,250 Guam Power Authority,
5.25%, 10/1/13 1,125,137
NR BBB 1,250 Guam Power Authority,
5.25%, 10/1/23 1,088,050
Baa2 BBB 1,500 Independence, Arkansas PCR
(AR P & L), 6.25%, 1/1/21 1,518,840
Baa2 BBB- 750 Jefferson, Arkansas PCR (AR
P & L), 6.125%, 10/1/07 750,300
Baa2 BBB 550 Jefferson, Arkansas PCR (AR
P & L), 6.30%, 6/1/18 568,370
Baa2 BBB 500 Pope, Arkansas PCR (AR
P & L), 6.30%, 12/1/16 510,140
Baa1 A- 500 Puerto Rico Electric Power
Authority, 0%, 7/1/17 141,165
------------
$ 7,500,600
------------
ESCROWED - 3.5%
Aaa AAA $ 500 Arkansas DFA Wastewater
System (MBIA), 7.00%,
6/1/14 $ 566,680
Aaa AAA 650 Arkansas State Waste
Disposal and Pollution
Abatement U.T.G.O., 6.25 %,
7/1/22 715,689
Aaa AAA 500 Harrison, Arkansas Single
Family Mortgage (FGIC),
7.40%, 9/1/11 592,390
Aaa AAA 750 Puerto Rico Public
Buildings Authority 6.875%,
7/1/21 866,708
------------
$ 2,741,467
------------
GENERAL OBLIGATIONS - 4.4%
Aa AA $ 750 Arkansas State College
Savings, 0%, 6/1/13 $ 290,415
Aa AA 2,750 Arkansas State College
Savings, 0%, 6/1/14 990,110
Aa AA 1,000 Arkansas State College
Savings, 0%, 6/1/14 360,040
Baa1 A 1,000 Puerto Rico Public
Improvement, 5.25%, 7/1/18 937,490
NR NR 750 Virgin Island, 7.25%,
10/1/18 794,550
------------
$ 3,372,605
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 14.8%
Aa AA $2,750 Arkansas DFA (Sisters of
Mercy), 5.00%, 6/1/19 $ 2,533,383
Baa NR 700 Baxter, Arkansas Hospital
Improvement, 7.25%, 9/1/07 752,857
Baa NR 750 Baxter, Arkansas Hospital
Improvement, 7.50%, 9/1/21 810,690
NR A+ 1,125 Little Rock, Arkansas
(Baptist Medical Center),
6.80%, 11/1/05 1,272,048
NR A+ 1,750 Little Rock, Arkansas
(Baptist Medical Center),
5.50%, 9/1/15 (2) 1,717,170
NR A 1,000 Little Rock, Arkansas
(Baptist Medical
Center-Parkway Village),
7.00%, 10/1/17 1,075,820
NR A- 2,250 Pulaski, Arkansas
(Children's Hospital),
6.20%, 3/1/22 2,294,978
A1 AA 1,000 Sebastian, Arkansas (Sparks
Regional Medical Center),
5.60%, 4/1/06 1,041,810
------------
$11,498,756
------------
HOUSING - 11.3%
NR AAA $1,855 Arkansas DFA Single Family
Mortgage (GNMA, AMT),
5.80%, 6/1/25 $ 1,847,024
NR AAA 750 Arkansas DFA Single Family
Mortgage (GNMA, AMT),
7.85%, 12/1/21 793,800
NR AAA 1,000 Arkansas DFA Single Family
Mortgage (GNMA/FNMA, AMT),
6.35%, 7/1/22 1,018,690
NR AAA 860 Arkansas DFA Single Family
Mortgage (GNMA/FNMA),
6.60%, 7/1/17 904,032
NR AAA 1,295 Arkansas DFA Single Family
Mortgage (GNMA/FNMA, AMT),
6.80%, 1/1/22 1,360,618
NR AAA 740 Arkansas DFA Single Family
Mortgage (GNMA/FNMA),
6.70%, 7/1/27 760,593
NR AAA 1,000 Arkansas DFA Single Family
Mortgage (GNMA, AMT),
7.45%, 1/1/27 1,087,540
A NR 3,000 Arkansas DFA Compound
Accretion, 0%, 12/1/11 1,008,150
------------
$ 8,780,447
------------
</TABLE>
50
<PAGE> 51
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION CONTROL
REVENUE - 14.4%
Baa2 BBB $2,350 Baxter, Arkansas (Aeroquip
Corporation), 5.80%,
10/1/13 (2) $ 2,337,075
A1 AA- 2,500 Blytheville, Arkansas
(Nucor Corporation), 6.90%,
12/1/21 2,673,650
A1 AA- 300 Blytheville, Arkansas
(Nucor Corporation),
6.375%, 1/1/23 310,284
A3 A- 745 Gurdon, Arkansas
(International Paper),
5.75%, 2/1/08 746,274
A1 AA- 1,000 Jonesboro, Arkansas
(Anheuser-Busch), 6.50%,
11/15/12 1,093,330
NR A- 550 Pine Bluff, Arkansas
(International Paper),
5.55%, 10/1/17 533,830
A2 NR 750 Puerto Rico IM&E (American
Home Products), 5.10%,
12/1/18 695,678
Baa3 BB+ 2,740 Puerto Rico Ports Authority
(American Airlines) (AMT),
6.30%, 6/1/23 2,764,468
------------
$11,154,589
------------
INSURED ELECTRIC UTILITIES - 7.4%
Aaa AAA $ 250 North Little Rock, Arkansas
Electric System (MBIA),
6.50%, 7/1/10 $ 276,895
Aaa AAA 3,390 North Little Rock, Arkansas
Electric System (MBIA),
6.50%, 7/1/15 3,846,769
Aaa AAA 450 Puerto Rico Electric Power
Authority (STRIPES) (FSA),
Variable, 7/1/03 (1) 520,960
Aaa AAA 1,000 West Memphis, Arkansas
Public Utilities (MBIA),
6.60%, 1/1/09 1,082,190
------------
$ 5,726,814
------------
INSURED GENERAL OBLIGATIONS - 5.8%
Aaa AAA $1,610 Jonesboro, Arkansas School
District (AMBAC), 6.125%,
2/1/15 $ 1,643,698
Aaa AAA 1,090 Lincoln, Arkansas School
District #48 (MBIA),
5.00%, 2/1/18 1,037,015
Aaa AAA 500 Springdale, Arkansas School
District (AMBAC), 5.125%,
6/1/16 483,155
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 680 White Hall, Arkansas School
District (AMBAC), 4.75%,
4/1/12 648,339
Aaa AAA 710 White Hall, Arkansas School
District (AMBAC), 4.75%,
4/1/13 671,795
------------
$ 4,484,002
------------
INSURED HEALTH CARE - 1.2%
Aaa AAA $ 400 Saline, Arkansas Healthcare
(Evan Lutheran Good
Samaritan) (AMBAC), 5.80%,
6/1/11 $ 408,908
Aaa AAA 500 Saline, Arkansas Healthcare
(Evan Lutheran Good
Samaritan) (AMBAC), 6.00%,
6/1/16 526,005
------------
$ 934,913
------------
INSURED TRANSPORTATION - 0.7%
Aaa AAA $ 500 Little Rock, Arkansas
Airport (MBIA), 6.00%,
11/1/14 $ 517,670
------------
INSURED WATER & SEWER - 7.3%
Aaa AAA $1,250 Arkansas DFA Wastewater
System (MBIA), 5.40%,
12/1/15 $ 1,254,063
Aaa AAA 1,680 Arkansas DFA Wastewater
System (MBIA), 5.00%,
12/1/08 1,656,530
Aaa AAA 2,000 Arkansas DFA Wastewater
System (MBIA), 5.00%,
6/1/15 1,914,040
Aaa AAA 300 Beaver, Arkansas Water
District (MBIA), 5.85%,
11/15/08 316,911
Aaa AAA 500 Jonesboro, Arkansas Water
and Light (AMBAC), 5.25%,
12/1/13 494,835
------------
$ 5,636,379
------------
LEASE/CERTIFICATE OF
PARTICIPATION - 0.3%
NR BBB $ 250 Puerto Rico IM&E Guaynabo
Lease, 5.625%, 7/1/22 $ 237,015
------------
MISCELLANEOUS - 3.1%
A NR $2,000 Little Rock, Arkansas Hotel
and Restaurant Gross
Receipts Tax, 7.375%,
8/1/15 $ 2,427,480
------------
SPECIAL TAX REVENUE - 3.5%
Baa1 A $3,000 Puerto Rico Highway and
Transportation, 5.00%,
7/1/22 $ 2,674,110
------------
</TABLE>
51
<PAGE> 52
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER REVENUE - 9.1%
NR NR $ 800 Conway, Arkansas Water,
5.40%, 5/1/11 $ 804,720
NR NR 1,250 Cross, Arkansas Rural
Water, 5.75%, 4/1/18 1,293,938
A1 NR 3,390 Little Rock, Arkansas
Sewer, 5.50%, 8/1/14 3,401,355
NR NR 1,500 South Sebastian, Arkansas
Water, 6.15%, 6/1/23 1,580,100
------------
$ 7,080,113
------------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$74,234,823) $77,439,200
============
</TABLE>
(1) The above security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Arkansas
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 22.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.7% to 16.1% of total investments.
See notes to financial statements
52
<PAGE> 53
- --------------------------------------------------------------------------------
Georgia Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 1.3%
NR NR $1,500 De Kalb County Private
Hospital Authority,
Atlanta Inc., 8.50%,
3/1/25 $ 1,525,890
-----------
EDUCATION - 5.9%
Aa1 AA $3,000 De Kalb County, Emory
University, 6.00%, 10/1/14 $ 3,126,210
Aa1 AA 310 Private Colleges and
Universities Authority,
Emory University, 6.40%,
10/1/23 331,030
Aa AA- 3,425 Private Colleges and
Universities Authority,
Agnes Scott College,
5.625%, 6/1/23 3,452,880
-----------
$ 6,910,120
-----------
GENERAL
OBLIGATIONS - 16.1%
Aa AA- $ 300 City of Alpharetta, 6.50%,
5/1/10 (2) $ 342,279
Aa AA 3,350 City of Atlanta, 6.10%,
12/1/19 3,519,343
Aa AA 2,000 City of Atlanta, 6.125%,
12/1/23 2,096,840
Aa AA 1,650 City of Atlanta, Downtown
Development Authority,
Underground Project,
6.25%, 10/1/16 1,747,466
Aa1 AA+ 1,480 Gwinnett County, Water &
Sewer, 6.50%, 8/1/06 1,494,252
Aa AA 1,000 Fulton County School
District, 5.60%, 1/1/13 1,018,820
A A 450 Paulding County School
District, 6.625%, 2/1/08 522,459
Aaa AA+ 500 State of Georgia, 6.30%,
3/1/08 (2) 564,835
Baa1 A 2,500 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 2,366,325
Baa1 A 1,000 Commonwealth of Puerto
Rico, Aqueduct & Sewer
Authority, 6.25%, 7/1/12 1,084,530
Baa1 A 1,875 Commonwealth of Puerto
Rico, Aqueduct & Sewer
Authority, 5.00%, 7/1/19 1,711,162
Baa1 A 1,000 Commonwealth of Puerto
Rico, Public Building
Authority, 5.75%, 7/1/15 994,140
NR NR 1,400 Virgin Islands, 7.25%,
10/1/18 1,483,160
-----------
$ 18,945,611
-----------
HOSPITALS - 11.6%
Baa1 NR $4,250 Fulco County, Georgia
Baptist Health, 6.375%,
9/1/22 $ 4,141,370
A NR 5,040 City of Savannah, St.
Joseph's Hospital Project,
6.20%, 7/1/23 5,046,502
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR BBB 1,785 Toombs County, Dr. John M.
Meadows Memorial, 7.00%,
12/1/17 1,831,588
NR BBB+ 2,750 Tri City Hospital
Authority, 6.375%, 7/1/16 2,648,278
-----------
$ 13,667,738
-----------
HOUSING - 10.8%
Aa NR $1,450 Georgia Housing Finance
Authority, (AMT), 6.875%,
12/1/20 $ 1,516,019
Aa AA 2,500 Georgia Housing Finance
Authority, SFMR, (FHA),
(AMT), 6.70%, 12/1/25 2,603,125
Aa AA+ 1,500 Georgia Housing Finance
Authority, SFMR, (FHA),
(AMT), 7.05%, 12/1/20 1,599,900
Aa AA+ 2,380 Georgia Housing Finance
Authority, SFMR, (FHA),
(AMT), 7.125%, 12/1/26 2,542,720
Aa AA+ 4,000 Georgia Housing Finance
Authority, SFMR, (AMT),
6.55%, 12/1/27 4,081,560
Aa AA+ 395 Georgia Residential
Finance Authority, Home
Ownership, (FHA), 7.50%,
6/1/17 421,382
-----------
$ 12,764,706
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 5.9%
A1 AA- $1,000 Cartersville Development
Authority, Anheuser-Busch,
(AMT), 7.375%, 5/1/09 $ 1,195,720
A2 NR 1,100 Commonwealth of Puerto
Rico, American Home
Product, 5.10%, 12/1/18 1,020,327
NR AA- 500 Savannah Economic
Development Authority,
Hershey Foods, 6.60%,
6/1/12 539,645
NR NR 1,250 Savannah Economic
Development Authority,
Savannah Inc., (AMT),
9.00%, 1/1/15 1,354,150
A1 A- 750 Savannah Economic
Development Authority,
Union Camp Corp., 6.80%,
2/1/12 816,968
NR AA- 2,000 Vienna Water & Sewer,
Cargill Project, (AMT),
6.00%, 9/1/14 2,056,760
-----------
$ 6,983,570
-----------
INSURED GENERAL OBLIGATIONS - 4.2%
Aaa AAA $2,990 Houston County School
District, (MBIA), 5.375%,
3/1/11 $ 2,982,346
</TABLE>
53
<PAGE> 54
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATIONS -
(CONTINUED)
Aaa AAA 1,350 Jackson County School
District, (MBIA), 6.00%,
7/1/14 1,399,261
Aaa AAA 500 Commonwealth of Puerto
Rico, (AMBAC), Variable
7/1/15 (1) 524,495
-----------
$ 4,906,102
-----------
INSURED HOSPITALS - 13.6%
Aaa AAA $ 675 Chatham County, Memorial
Medical Center, (MBIA),
7.00%, 1/1/21 $ 730,985
Aaa AAA 305 Chatham County, Memorial
Medical Center, (MBIA),
6.85%, 1/1/21 329,458
Aaa AAA 1,300 Cobb County, Kennestone
Hospital, (MBIA), 5.00%,
4/1/24 1,188,485
Aaa AAA 2,500 Fulco County, Northside,
(MBIA), 5.125%, 10/1/16 2,370,525
Aaa AAA 2,225 Gainsville and Hall
County, NE Healthcare,
(MBIA), 6.00%, 10/1/25 2,280,870
Aaa AAA 1,500 Gwinnett County, Gwinnett
Hospital, (AMBAC), 5.00%,
9/1/13 1,403,610
Aaa AAA 2,500 Macon-Bibb County, The
Medical Center of Central
Georgia, (FGIC), 5.00%,
8/1/14 2,353,550
Aaa AAA 2,000 Medical Center, Columbus
Regional Healthcare,
(MBIA), 6.40%, 8/1/06 2,186,660
Aaa AAA 1,500 Medical Center, Columbus
Regional Healthcare,
(MBIA), Variable 8/1/10
(1) 1,736,085
Aaa AAA 1,375 Walker, Dade and Catoosa
Counties Hospital, (FGIC),
7.00%, 10/1/10 1,538,818
-----------
$ 16,119,046
-----------
INSURED LEASE/CERTIFICATE
OF PARTICIPATION - 0.9%
Aaa AAA $1,000 East Point Building
Authority, (FGIC), 6.00%,
2/1/10 $ 1,059,670
-----------
INSURED SPECIAL TAX - 3.3%
Aaa AAA $1,000 Metropolitan Atlanta Rapid
Transit Authority,
(AMBAC), 6.25%, 7/1/11 $ 1,107,630
Aaa AAA 1,000 Metropolitan Atlanta Rapid
Transit Authority,
(AMBAC), 6.25%, 7/1/20 1,115,690
Aaa AAA 1,750 Metropolitan Atlanta Rapid
Transit Authority,
(AMBAC), 5.125%, 7/1/19 1,642,358
-----------
$ 3,865,678
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES - 3.5%
Aaa AAA $1,480 Cordele Public Utility
Authority, (MBIA), 6.50%,
11/1/19 $ 1,588,114
Aaa AAA 750 Municipal Electric
Authority of Georgia,
(MBIA), 0%, 1/1/07 433,043
Aaa AAA 1,000 Municipal Electric
Authority of Georgia,
(FGIC), 5.50%, 1/1/12 1,005,170
Aaa AAA 900 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA), Variable
7/1/03 (1) 1,041,921
-----------
$ 4,068,248
-----------
INSURED WATER & SEWER - 4.0%
Aaa AAA $2,700 City of Atlanta, (FGIC),
5.00%, 1/1/15 $ 2,515,752
Aaa AAA 1,975 Cherokee County, (MBIA),
6.875%, 8/1/13 2,163,850
-----------
$ 4,679,602
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 0.9%
Aa AA $2,300 Fulton County Building
Authority, Judicial
Center, 0%, 1/1/10 $ 1,102,689
-----------
SOLID WASTE - 0.9%
A1 A+ $1,000 Savannah Resource
Recovery, Savannah Energy
Systems Co., 6.30%,
12/1/06 $ 1,062,860
-----------
SPECIAL TAX - 0.4%
Baa1 A $ 500 Commonwealth of Puerto
Rico, Highway and
Transportation Authority,
5.50%, 7/1/17 $ 478,200
-----------
UTILITIES - 15.8%
A1 A $2,000 Burke County Pollution
Control, Georgia Power,
6.375%, 8/1/24 $ 2,037,720
A1 A+ 1,000 Monroe County Pollution
Control, Gulf Power
Scherer, 6.30%, 9/1/24 1,028,870
A A 3,000 Georgia Municipal Electric
Power Authority, 5.70%,
1/1/23 2,919,390
A A 2,000 Georgia Municipal Electric
Power Authority, 8.25%,
1/1/11 2,503,200
</TABLE>
54
<PAGE> 55
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - (CONTINUED)
A A 1,000 Georgia Municipal Electric
Power Authority, 0%,
1/1/12 398,510
A A 3,000 Georgia Municipal Electric
Power Authority, 5.50%,
1/1/20 2,884,290
A3 A+ 4,000 Monroe County Pollution
Control, Ogelthorpe Power,
6.55%, 1/1/06 4,423,840
A3 A+ 2,000 Monroe County Pollution
Control, Ogelthorpe Power,
6.70%, 1/1/09 2,226,340
Baa1 A- 665 Commonwealth of Puerto
Rico, Electrical Power
Authority, 0%, 7/1/17 187,747
Baa1 A- 90 Commonwealth of Puerto
Rico, Electrical Power
Authority, 7.00%, 7/1/07 97,216
-----------
$ 18,707,123
-----------
WATER & SEWER - 0.9%
A A+ $1,000 City of Columbus, 5.70%,
5/1/20 $ 1,018,490
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$111,816,704) $117,865,343
===========
</TABLE>
(1) The above security has been issued as inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Georgia
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 29.4% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.9% to 16.4% of total investments.
See notes to financial statements
55
<PAGE> 56
- --------------------------------------------------------------------------------
Kentucky Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 6.0%
Aa1 NR $2,460 City of Berea, Kentucky
Educational Development,
5.45%, 3/1/14 $ 2,483,714
A1 AA- 500 University of Kentucky
Consolidated Educational
Buildings, 6.40%, 5/1/09 539,575
A1 AA- 785 University of Kentucky
Consolidated Educational
Buildings, 6.40%, 5/1/11 841,520
A1 AA- 1,295 University of Louisville
Consolidated Educational
Buildings, 5.875%, 5/1/11 1,355,127
A1 AA- 1,000 University of Louisville
Consolidated Educational
Buildings, 5.40%, 5/1/08 1,029,020
A1 AA- 2,000 University of Louisville
Consolidated Educational
Buildings, 5.40%, 5/1/11 2,027,240
-----------
$ 8,276,196
-----------
ESCROWED - 1.3%
NR NR $ 190 KY DFA St. Claire Medical
Center, 7.125%, 9/1/21 $ 216,496
Aaa NR 510 Lexington-Fayette County,
Kentucky Government Public
Facilities, 6.40%, 4/1/12 570,195
Aaa A 1,000 University of Puerto Rico,
6.50%, 6/1/13 1,060,660
-----------
$ 1,847,351
-----------
GENERAL OBLIGATIONS - 3.6%
NR A+ $1,030 KY League of Cities
Funding Trust Floating
Indebtedness Certificates
of Participation, 6.15%,
8/1/13 $ 1,076,906
NR A 1,415 KY League of Cities
Funding Trust Floating
Indebtedness Certificates
of Participation, 5.90%,
8/1/16 1,436,890
Baa1 A 2,000 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 1,893,060
NR NR 500 Virgin Islands, 7.25%,
10/1/18 529,700
-----------
$ 4,936,556
-----------
HOSPITALS - 0.8%
Baa1 BBB $ 975 Russell County, Kentucky
Franciscan Sisters of the
Poor Health System, 8.10%,
7/1/15 $ 1,120,080
-----------
HOUSING - 1.7%
NR AAA $1,490 Boone County, Kentucky
Multi-Family, Walnut Creek
Apartments, (FHA), 7.00%,
1/1/27 $ 1,554,383
Aaa AAA 795 KY Housing, Single Family
Mortgage Revenue, (FHA),
(AMT), 7.45%, 1/1/23 816,934
-----------
$ 2,371,317
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL
REVENUE - 12.6%
Baa1 BBB $2,355 Ashland County, Solid
Waste, Ashland Oil, (AMT),
7.20%, 10/1/20 $ 2,505,673
Baa1 NR 2,425 Ashland County, Solid
Waste, Ashland Oil, (AMT),
7.125%, 2/1/22 2,604,668
NR NR 1,000 City of Elsmere, Kentucky,
Courtaulds Package
Corporation, 6.75%, 4/1/10 1,039,460
NR NR 3,075 Fulton County, Kentucky,
H.I.S.-Chic Jeans, (AMT),
7.50%, 2/1/10 3,270,908
Baa2 BBB- 3,000 Henderson County, Kentucky
Solid Waste Disposal,
MacMilan Bloedel, (AMT),
7.00%, 3/1/25 3,164,670
Aa3 AA 1,000 Jefferson County,
Kentucky, E.I. du Pont de
Nemours, 6.30%, 7/1/12 1,088,710
NR BB 985 Owensboro County,
Kentucky, KMART
Corporation, 6.80%,
12/1/07 817,245
NR BB 915 Powderly, Kentucky, KMART
Corporation, 6.90%, 3/1/07 771,364
A2 NR 1,190 Commonwealth of Puerto
Rico IM&E, American Home
Products, 5.10%, 12/1/18 1,103,808
Baa3 BB+ 500 Commonwealth of Puerto
Rico Port Authority,
American Airlines, (AMT),
6.30%, 6/1/23 504,465
Ba2 NR 500 Winchester County,
Kentucky, Kroger
Corporation, 6.90%, 7/1/99 526,355
-----------
$ 17,397,326
-----------
INSURED EDUCATION - 0.5%
Aaa AAA $ 700 Northern KY University
Educational Buildings
(AMBAC), 6.25%, 5/1/12 $ 745,766
-----------
</TABLE>
56
<PAGE> 57
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATIONS - 1.7%
Aaa AAA $1,000 Jefferson County, Kentucky
School District U.T.G.O.
(MBIA), 4.875%, 1/1/13 $ 932,940
Aaa AAA 1500 Commonwealth of Puero Rico
Building Authority,
(AMBAC), 5.50%, 7/1/21 1,475,700
-----------
$ 2,408,640
-----------
INSURED HOSPITAL - 11.3%
Aaa AAA $2,500 Daviess County, ODCH Inc.,
(MBIA), 6.25%, 8/1/22 $ 2,611,000
Aaa AAA 2,000 Hopkins County, Trover
Clinic Foundation, (MBIA),
6.625%, 11/15/11 (1) 2,177,880
Aaa AAA 2,500 Jefferson County, Jewish
Hospital (AMBAC), 6.50%,
5/1/15 2,663,975
Aaa AAA 1,750 Jefferson County, Jewish
Hospital (AMBAC), 6.55%,
5/1/22 1,870,470
Aaa AAA 4,000 KY EDA St. Luke's Hospital
(MBIA), 7.00%, 10/1/21 4,375,800
Aaa AAA 2,000 KY EDA Baptist Healthcare
(MBIA), 5.00%, 8/15/24 1,814,380
-----------
$ 15,513,505
-----------
INSURED LEASE/CERTIFICATE
OF PARTICIPATION - 1.8%
Aaa AAA $2,000 City of Danville,
Multi-City Lease,
Madisonville Project,
(MBIA), 5.875%, 9/1/10 $ 2,076,920
Aaa AAA 400 Lexington-Fayette County
Government Public
Facilities (FSA), 4.50%,
2/1/10 350,808
-----------
$ 2,427,728
-----------
INSURED TRANSPORTATION - 4.7%
Aaa AAA $1,000 Kenton County,
Cincinnati/Northern
Kentucky Airport, (FSA)
(AMT), 6.30%, 3/1/15 $ 1,039,790
Aaa AAA 1,000 KY EDA Turnpike,
Revitalization Project,
(FGIC), 0%, 1/1/10 472,380
Aaa AAA 1,000 KY EDA Turnpike,
Revitalization Project,
(AMBAC), 5.50%, 7/1/11 1,015,210
Aaa AAA 1,170 Louisville and Jefferson
County, Kyregl Airport
(MBIA), 5.30%, 7/1/23 1,111,676
Aaa AAA 2,000 Louisville and Jefferson
County, Kyregl Airport
(MBIA) (AMT), 5.50%,
7/1/23 1,915,420
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,000 Louisville and Jefferson
County, Kyregl Airport
(MBIA) (AMT), 5.625%,
7/1/25 967,170
-----------
$ 6,521,646
-----------
INSURED UTILITIES - 4.1%
Aaa AAA $5,780 Boone County, Kentucky
Collateralized PCR,
(MBIA), 5.50%, 1/1/24 (1) $ 5,580,070
-----------
INSURED WATER AND SEWER - 8.7%
Aaa AAA $1,000 Hardin County Water
System, (MBIA), 5.90%,
1/1/25 $ 1,026,670
Aaa AAA 800 Kenton County Water
District (FGIC), 6.375%,
2/1/17 853,096
Aaa AAA 2,000 Kenton County Water
District (FGIC), 6.00%,
2/1/17 2,092,300
Aaa AAA 500 Lexington-Fayette County
Government Sewer (MBIA),
6.375%, 7/1/12 535,970
Aaa AAA 1,000 Louisville and Jefferson
County Sewer District
(MBIA), 5.25%, 5/15/14 965,820
Aaa AAA 2,840 Louisville and Jefferson
County Sewer District
(MBIA), 5.40%, 5/15/19 2,730,859
Aaa AAA 500 Louisville and Jefferson
County Sewer District
(MBIA), 5.50%, 5/15/23 482,865
Aaa AAA 1,000 Louisville and Jefferson
County Sewer District
(AMBAC), 6.75%, 5/15/19 1,099,300
Aaa AAA 2,000 Louisville and Jefferson
County Sewer District
(AMBAC), 6.75%, 5/15/25 2,191,300
-----------
$ 11,978,180
-----------
LEASE REVENUE BONDS - 21.7%
A A $1,300 Boone County School
District, 6.75%, 9/1/11 $ 1,416,051
A NR 3,000 Boone County School
District, 5.70%, 5/1/18 3,061,020
A NR 1,670 Campbell County School
District, 5.10%, 2/1/12 1,597,990
A NR 700 Campbell County School
District, 4.80%, 2/1/11 645,190
A NR 790 Campbell County School
District, 4.875%, 2/1/14 718,236
A NR 820 Covington County
Independent School
District, 5.20%, 6/1/13 790,095
A1 A+ 905 Jefferson County School
District, 4.875%, 1/1/11 855,116
A1 A+ 1,250 Jefferson County School
District, 4.875%, 1/1/12 1,174,338
</TABLE>
57
<PAGE> 58
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
LEASE REVENUE BONDS - (CONTINUED)
A1 A 4,990 Jefferson County Capital
Projects Corporation
Lease,
0%, 8/15/15 1,635,423
A NR 2,500 Jessamine County School
District, 5.375%, 1/1/17 2,407,350
A NR 260 Johnson County School
District, 5.00%, 6/1/11 249,790
A NR 300 Johnson County School
District, 5.00%, 6/1/13 283,404
A A+ 3,825 KY State Property and
Buildings, 5.00%, 9/1/13 3,583,260
A A+ 2,500 KY State Property and
Buildings, 6.00%, 9/1/14 2,574,475
A A- 1,000 City of Louisville, Public
Properties Corporation,
6.80%, 12/1/22 1,080,840
Aa NR 4,500 City of Mount Sterling,
League of Cities Trust
Lease Program, 6.20%,
3/1/18 4,567,995
A NR 2,000 Owensboro County, Airport
Lease, 5.875%, 6/1/15 1,978,220
A NR 615 Pulaski County, School
District, 5.75%, 2/1/10 636,119
A NR 595 Pulaski County, School
District, 5.80%, 2/1/11 612,903
-----------
$ 29,867,815
-----------
SPECIAL TAX REVENUE - 6.1%
Baa1 A $2,370 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/21 $ 2,189,026
Baa1 A 5,655 Puerto Rico Highway and
Transportation Authority,
6.625%, 7/1/18 6,170,793
-----------
$ 8,359,819
-----------
TRANSPORTATION - 4.5%
NR BBB $2,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 2,020,940
Ba1 BB 1,000 Kenton County Airport,
Delta Airlines, (AMT),
6.75%, 2/1/02 1,060,680
Ba1 BB 250 Kenton County Airport,
Delta Airlines, (AMT),
7.50%, 2/1/12 269,720
Ba1 BB 500 Kenton County Airport,
Delta Airlines, (AMT),
7.50%, 2/1/20 538,150
Ba1 BB 2,400 Kenton County Airport,
Delta Airlines, (AMT),
6.125%, 2/1/22 2,308,056
-----------
$ 6,197,546
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - 6.5%
Aa2 AA- $2,000 Carroll County, Kentucky
PCR, KY Utilities Company,
6.25%, 2/1/18 $ 2,104,140
Aa2 AA- 1,150 Carroll County, Kentucky
PCR, KY Utilities Company,
5.75%, 5/1/18 1,121,871
NR BBB 400 Guam Power Authority,
5.25%, 10/1/23 348,176
Aa2 AA 1,000 Jefferson County, Kentucky
PCR, Louisville G& E
Company, 5.625%, 8/15/19 991,600
Aa2 AA- 1,000 Muhlenburg County,
Kentucky PCR, KY Utilities
Company, 6.25%, 2/1/18 1,052,730
Baa1 A- 3,500 Puerto Rico Electric Power
Authority, 0%, 7/1/17 988,155
Baa1 A- 2,250 Puerto Rico Electric Power
Authority, 6.375%, 7/1/24 2,342,093
-----------
$ 8,948,765
-----------
WATER AND SEWER REVENUE - 2.4%
A A- $1,000 Boone County Sewer
Systems. 5.15%, 12/1/15 $ 958,080
NR A 1,500 Cambell County Water
District, 6.60%, 12/1/11 1,615,140
A NR 650 Harden County Water
District, 6.50%, 9/1/12 696,577
-----------
$ 3,269,797
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$132,011,225) $137,768,103
===========
</TABLE>
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Kentucky
municipals. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 32.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 1.0% to 21.3% of total investments.
See notes to financial statements
58
<PAGE> 59
- --------------------------------------------------------------------------------
Louisiana Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 1.5%
NR NR $ 500 Louisiana Housing Finance
Agency, HCC Assisted
Living Group, 9.00% 3/1/25 $ 523,800
-----------
EDUCATION - 0.8%
Aaa NR $ 150 Louisiana PFA, Guaranteed
Student Loan Revenue
Bonds, (AMT), 6.75%,
9/1/06 $ 159,755
A NR 100 Louisiana PFA, Student
Loan Revenue Bonds, (AMT),
7.00%, 9/1/06 106,370
-----------
$ 266,125
-----------
GENERAL OBLIGATION - 0.5%
Baa1 A $ 200 Puerto Rico, 5.40%, 7/1/25 $ 189,306
-----------
HEALTH CARE - 8.0%
NR AAA $2,000 Louisiana HFA, Mortgage
Revenue Bonds, St. Joseph
Manor Retirement Center,
(GNMA), 7.80%, 12/1/35 $ 2,247,420
NR AAA 500 Louisiana HFA, St. Dominic
Assisted Care Facility,
(GNMA), 6.85%, 9/1/25 528,850
-----------
$ 2,776,270
-----------
HOUSING - 31.9%
Aaa NR $ 885 East Baton Rouge Mortgage
Finance Authority, Single
Family, (GNMA/FNMA),
7.00%, 4/1/32 $ 927,091
Aaa NR 235 East Baton Rouge Mortgage
Finance Authority Single
Family, (AMT),
(GNMA/FNMA), 7.10%,
10/1/24 250,096
Aaa AAA 95 East Baton Rouge Mortgage
Finance Authority Single
Family, (AMT), (GNMA),
7.875%, 12/1/21 101,619
Aaa NR 600 East Baton Rouge Mortgage
Finance Authority Single
Family, (GNMA/FNMA),
6.10%, 10/1/15 609,924
NR AAA 1,850 Parish of Jefferson, Home
Mortgage Authority, (AMT),
(GNMA/FNMA), 7.35%,
12/1/16 2,107,927
NR AAA 620 Louisiana HFA, Multi
Family, (FHA), 6.95%,
7/1/16 642,295
Aaa NR 1,240 Louisiana HFA, Single
Family, (GNMA), 8.00%,
3/1/25 1,379,190
Aaa NR 1,535 Louisiana HFA, Single
Family, (AMT),
(GNMA/FNMA), 6.55%,
12/1/26 1,564,134
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR AAA 150 Louisiana HFA,
(Multifamily
Housing-Westview Apartment
II), (AMT), (FHA), 7.95%,
1/1/32 159,525
NR A 1,000 Louisiana Public
Facilities Authority,
(Multifamily
Housing-Windsor Housing,
6.25%, 1/1/26 986,580
Aaa NR 1,300 New Orleans Home Mortgage
Authority, (AMT),
(GNMA/FNMA), 6.30%, 6/1/28 1,310,244
A NR 350 Shreveport, Louisiana HFA,
(Multifamily-U.S. Foodman
Plaza-Section 8 Assisted),
6.10%, 8/1/19 341,884
NR AAA 750 Shreveport, Louisiana Home
Mortgage Authority, (AMT),
(GNMA/FNMA), 6.00%, 8/1/28 733,192
-----------
$ 11,113,701
-----------
HOSPITALS - 6.0%
Baa1 NR $1,000 Lafourche Parish Hospital
Service District No. 3,
6.00%, 10/1/23 $ 938,630
Aa AA 1,000 Louisiana Public Health
Facilities Bonds, (Sisters
of Mercy Health System),
5.00%, 6/1/19 (2) 900,860
NR A- 250 St. Tammany Parish
Hospital Service District
No. 1, 6.50%, 7/1/22 254,465
-----------
$ 2,093,955
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 16.1%
A3 A- $1,750 City of Bastrop,
International Paper
Company, 6.60%, 3/1/19 $ 1,815,048
Baa3 NR 1,000 Beauregard Parish, Boise
Cascade Corporation
Project, 6.125%, 3/1/23 978,680
Baa3 NR 2,000 Beauregard Parish, Boise
Cascade Corporation
Project, (AMT), 6.30%,
8/1/23 1,946,460
NR A 750 Natchitoches Parish,
Willamette Industries
Project, (AMT), 5.875%,
12/1/23 719,737
</TABLE>
59
<PAGE> 60
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT REVENUE -
(CONTINUED)
Baa1 BBB+ 150 South Louisiana Port
Commission, GATX Terminals
Corporation, 7.00%, 3/1/23 159,020
-----------
$ 5,618,945
-----------
INSURED EDUCATION - 3.2%
Aaa AAA $1,100 Louisiana State University
and Agricultural and
Mechanical College (FGIC),
5.75%, 7/1/14 $ 1,112,694
-----------
INSURED GENERAL
OBLIGATIONS - 5.9%
Aaa AAA $ 500 Parish of East Baton
Rouge, Public Improvement
Sales Tax Bonds (FGIC),
5.90%, 2/1/17 $ 512,450
Aaa AAA 1,000 Orleans Parish School
District, (FGIC), 5.30%,
9/1/13 974,700
Aaa AAA 300 State of Louisiana,
(MBIA), 5.625%, 8/1/11 314,031
Aaa AAA 250 Commonwealth of Puerto
Rico, Public Improvement
Bonds Residual Interest
Bonds (AMBAC), Variable,
7/1/15 (1) 262,248
-----------
$ 2,063,429
-----------
INSURED HOSPITAL - 0.3%
Aaa AAA $ 100 Louisiana PFA Hospital
Revenue Bonds, (Our Lady
of the Lake Regional
Medical Center), Residual
Interest Bonds (MBIA),
Variable, 12/1/24 (1) $ 112,165
-----------
INSURED HOUSING - 1.5%
Aaa AAA $ 500 Louisiana Housing Finance
Agency, (AMT), (MBIA),
6.45%, 6/1/27 $ 511,155
-----------
INSURED SPECIAL
TAX - 12.4%
Aaa AAA $ 400 Lafayette Parish, Sales
Tax Revenue Bonds, (FGIC),
5.00%, 4/1/13 $ 375,908
Aaa AAA 645 Lafayette Parish, Sales
Tax Revenue Bonds, (FGIC),
5.00%, 4/1/14 601,334
Aaa AAA 500 New Orleans Exhibit Hall,
(MBIA), 5.50%, 7/15/18 484,340
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,000 New Orleans Exhibit Hall,
(MBIA), 5.60%, 7/15/25 971,870
Aaa AAA 500 Louisiana Stadium and
Exposition District, Hotel
Occupancy Tax and Stadium
Revenue, (FGIC), 5.25%,
7/1/15 476,620
Aaa AAA 500 Louisiana Stadium and
Exposition District, Hotel
Occupancy Tax and Stadium
Revenue, (FGIC), 5.25%,
7/1/20 473,685
Aaa AAA 1,000 Louisiana Stadium and
Exposition District, Hotel
Occupancy Tax and Stadium
Revenue, (FGIC), 5.25%,
7/1/21 946,380
-----------
$ 4,330,137
-----------
INSURED UTILITIES - 0.5%
Aaa AAA $ 150 City of Alexandria,
Utilities Bonds (FGIC),
6.00%, 5/1/06 $ 160,560
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 1.0%
NR BBB $ 400 Puerto Rico Industrial,
Tourist, Environmental,
Medical and Educational
Authority, Guaynabo Lease,
5.625%, 7/1/22 $ 379,224
-----------
LIFE CARE - 4.1%
NR BBB $1,150 Louisiana PFA, Glen
Retirement System, 6.70%,
12/1/25 $ 1,116,696
NR NR 300 St. Tammany PFA,
Christwood Project, 9.00%,
11/15/25 298,389
-----------
$ 1,415,085
-----------
SPECIAL TAX - 3.8%
Baa1 A $1,500 Puerto Rico Highway and
Transportation Authority,
Highway Revenue Refunding
Bonds, 5.00%, 7/1/22 $ 1,337,054
-----------
TRANSPORTATION - 1.6%
A A- $ 500 Mississippi River Bridge
Authority, Bridge Revenue
Bonds, Series 1992, 6.75%,
11/1/12 (2) $ 545,430
-----------
</TABLE>
60
<PAGE> 61
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - 0.9%
Aa3 NR $ 150 De Soto Parish,
Southwestern Electric
Power Company, 7.60%,
1/1/19 $ 173,868
Ba1 BB+ 150 Parish of Pointe Coupe,
Gulf States Utilities Co.,
6.70%, 3/1/13 153,586
-----------
$ 327,454
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$34,129,415) $ 34,876,489
===========
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements for open financial
futures contracts.
The Portfolio primarily invests in debt securities issued by Louisiana
municipalities. The ability of the debt securities to meet their obligations may
be affected by economic developments in a specific industry or municipality. In
order to reduce the risk associated with such economic developments, at February
29, 1996, 23.8% of the securities in the portfolio of investments are backed by
bond insurance of various financial institutions and financial guaranty
assurance agencies. The aggregate percentage by financial institution ranged
from 0.7% to 16.1% of total investments.
See notes to financial statements
61
<PAGE> 62
- --------------------------------------------------------------------------------
Maryland Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
COGENERATION - 1.1%
NR NR $1,250 Maryland Energy
Cogeneration (AES Warrior
Run Project) (AMT), 7.40%,
9/1/19 $ 1,311,150
-----------
EDUCATION - 0.9%
Aa AA+ $1,000 University of Maryland
Auxiliary Facilities &
Tuition, 6.30%, 2/1/10 $ 1,076,580
-----------
ELECTRIC UTILITIES - 7.3%
A2 A $2,000 Calvert, Maryland PCR
(Baltimore Gas & Electric
Company), 5.55%, 7/15/14 $ 2,010,800
NR BBB 2,500 Guam Power Authority,
5.25%, 10/1/13 2,250,275
NR BBB 500 Guam Power Authority,
5.25%, 10/1/23 435,220
NR BBB 750 Guam Power Authority,
6.625%, 10/1/14 772,058
A1 A 500 Montgomery, Maryland PCR
(Potomac Electric Power
Company), 5.375%, 2/15/24 477,400
A1 A 2,225 Prince Georges, Maryland
PCR (Potomac Electric),
6.375%, 1/15/23 2,374,386
-----------
$ 8,320,139
-----------
ESCROWED - 5.5%
Aaa NR $1,125 Baltimore, Maryland Single
Family Mortgage (Inner
Harbor), 8.00%, 12/1/10 $ 1,399,215
Aaa AAA 500 Maryland Health & Higher
Educational (University of
Maryland) (FGIC), 6.50%,
7/1/21 551,790
NR AAA 1,000 Commonwealth of Puerto
Rico Public Improvement,
6.80%, 7/1/21 1,151,490
Baa1 AAA 100 Puerto Rico Aqueduct &
Sewer, 7.875%, 7/1/17 111,158
Aaa AAA 1,500 Puerto Rico Public
Buildings Authority,
6.875%, 7/1/21 1,733,415
NR AAA 1,000 University of Maryland
System Auxiliary Facility
and Tuition, 6.50%, 4/1/11 1,102,110
NR AAA 175 University of Maryland
System Auxiliary Facility
and Tuition, 6.50%, 4/1/2 198,398
-----------
$ 6,247,576
-----------
GENERAL OBLIGATIONS - 8.9%
Aa AA+ $1,000 Anne Arundel, Maryland,
5.30%, 4/15/16 $ 973,410
Aa AA- 1,000 Hartford, Maryland, 4.90%,
12/1/10 972,300
A AA- 230 Prince Georges, Maryland,
5.00%, 1/15/11 223,871
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 3,625 Puerto Rico, 5.40%, 7/1/25 3,431,171
Baa1 A 2,000 Puerto Rico, 6.50%, 7/1/23 2,148,240
NR NR 750 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 794,550
Aa1 AA 500 Washington, Maryland
Suburban Sanitary
District, 6.20%, 6/1/11 532,420
Aaa1 AA 600 Washington, Maryland
Suburban Sanitary
District, 5.00%, 6/1/10 590,946
Aa NR 500 Worcester, Maryland
Sanitary District, 6.55%,
8/15/17 552,715
-----------
$ 10,219,623
-----------
HOSPITALS - 23.0%
NR NR $ 490 Berlin, Maryland (Atlantic
General Hospital), 8.375%,
6/1/22 $ 522,095
A A 4,000 MD Health & Higher
Educational (Good
Samaritan Hospital),
5.75%, 7/1/19 3,939,040
A A 1,500 MD Health & Higher
Educational (Memorial
Hospital of Cumberland),
6.50%, 7/1/17 1,572,405
A1 A 4,050 MD Health & Higher
Educational (Suburban
Hospital), 5.125%, 7/1/21 3,699,108
Baa1 NR 2,500 MD Health & Higher
Educational (Union
Hospital of Cecil), 6.70%,
7/1/22 2,550,725
A A 1,200 MD Health & Higher
Educational (Peninsula
Regional Medical Center),
5.00%, 7/1/23 1,055,688
Baa1 BBB 1,250 MD Health & Higher
Educational (Howard County
General Hospital), 5.50%,
7/1/25 1,106,300
Baa NR 1,355 Prince Georges, Maryland
(Greater SouthEast
Healthcare System),
6.375%, 1/1/13 1,305,515
Baa NR 4,500 Prince Georges, Maryland
(Greater SouthEast
Healthcare System),
6.375%, 1/1/23 4,243,860
A NR 7,000 Prince Georges, Maryland
(Dimensions Health),
5.30%, 7/1/24 6,326,950
-----------
$ 26,321,686
-----------
HOUSING - 7.3%
Aa NR $3,000 Maryland CDA Single Family
(AMT), 6.75%, 4/1/26 $ 3,112,950
Aa NR 250 Maryland CDA Single
Family. 6.85%, 4/1/11 263,703
Aa NR 985 Maryland CDA Single Family
(AMT), 6.80%, 4/1/22 996,546
</TABLE>
62
<PAGE> 63
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
Aa NR 750 Maryland CDA Single Family
(AMT), 6.80%, 4/1/24 774,518
Aa NR 1,810 Maryland CDA Multi Family
(FHA), 6.70%, 5/15/27 1,870,762
Aa NR 1,000 Maryland CDA Multi Family
(FHA) (AMT), 6.70%,
5/15/36 1,030,040
NR AAA 300 Prince Georges, Maryland
(Antoinette Gardens
Apartments) (FHA), 7.00%,
3/1/28 317,258
-----------
$ 8,365,777
-----------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL
REVENUE - 11.8%
A1 A $1,350 Allegany County, Maryland
(Westvaco Corporation
Project), 6.20%, 1/1/08 $ 1,464,440
A2 A 750 Anne Arundel, Maryland
(Beth Steel), 6.00%,
4/1/24 772,230
NR NR 1,350 Baltimore, Maryland
(Bethlehem Steel
Corporation Project),
7.50%, 6/1/15 1,419,687
Aa2 AA- 2,000 Baltimore, Maryland
(Consolidated Coal Sales
Company-E.I. Dupont),
6.50%, 12/1/10 2,181,480
Aa3 AA 2,000 Baltimore, Maryland
(Consolidated Coal Sales
Company-E.I. Dupont),
6.50%, 12/1/11 2,181,020
NR AA- 1,425 Frederick, Maryland EDA
(Cargill, Inc. Project),
6.30%, 11/1/09 (2) 1,547,379
A2 NR 2,600 Puerto Rico IM&E (American
Home), 5.10%, 12/1/18 2,411,682
Baa3 BB+ 1,500 Puerto Rico Port Authority
(American Airlines) (AMT),
6.30%, 6/1/23 1,513,395
-----------
$ 13,491,313
-----------
INSURED EDUCATION - 1.2%
Aaa AAA $1,200 Morgan State University,
Maryland Academic and
Facilities (MBIA), 6.10%,
7/1/20 $ 1,321,524
-----------
INSURED ELECTRIC UTILITIES - 0.3%
Aaa AAA $ 250 Puerto Rico Electric Power
Authority (STRIPES) (FSA),
Variable, 7/1/03 (1) $ 289,423
-----------
INSURED HOSPITALS - 12.5%
Aaa AAA $1,365 MD Health & Higher
Educational (Washington
Community Hospital)
(AMBAC), 6.375%, 7/1/22 $ 1,472,385
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 3,500 MD Health & Higher
Educational (Anne Arundel
Hospital) (AMBAC), 5.00%,
7/1/23 3,212,195
Aaa AAA 3,350 MD Health & Higher
Educational (Francis Scott
Key Hospital) (FGIC),
5.00%, 7/1/23 3,074,530
Aaa AAA 4,000 MD Health & Higher
Educational (Greater
Baltimore Medical Center)
(FGIC), 5.00%, 7/1/19 3,694,200
Aaa AAA 500 MD Health & Higher
Educational (General
Hospital) (MBIA), 6.20%,
7/1/24 525,230
Aaa AAA 2,150 Puerto Rico IM&E Hospital
(MBIA), 6.25%, 7/1/24 2,260,273
-----------
$ 14,238,813
-----------
INSURED HOUSING - 0.7%
Aaa AAA $ 235 MD CDA Housing and
Community Development
(AMBAC), 6.625%, 6/1/12 $ 257,485
Aaa AAA 500 Prince Georges, Maryland
(Keystone Apartments)
(FHA) (MBIA), 6.80%,
7/1/25 518,315
-----------
$ 775,800
-----------
INSURED TRANSPORTATION - 5.9%
Aaa AAA $2,000 Baltimore, Maryland
International Airport
(AMT) (FGIC), 6.25%,
7/1/14 $ 2,123,220
Aaa AAA 4,750 Washington, D.C. Metro
Area Transportation
(FGIC), 5.25%, 7/1/14 4,640,370
-----------
$ 6,763,590
-----------
INSURED WATER & SEWER - 3.9%
Aaa AAA $2,000 Baltimore, Maryland
Wastewater (MBIA), 5.65%,
7/1/20 $ 2,039,520
Aaa AAA 2,550 Baltimore, Maryland
Wastewater (FGIC), 5.00%,
7/1/22 2,366,859
-----------
$ 4,406,379
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 1.0%
NR BBB $1,250 PR IM&E Guaynabo Lease,
5.625%, 7/1/22 $ 1,185,075
-----------
</TABLE>
63
<PAGE> 64
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
MISCELLANEOUS - 0.8%
A NR $1,000 Baltimore, Maryland
Revenue Authority, 5.375%,
7/1/18 $ 968,970
-----------
SOLID WASTE - 5.4%
A NR $6,000 North East Maryland Solid
Waste Disposal (AMT),
6.30%, 7/1/16 $ 6,217,440
-----------
SPECIAL TAX REVENUE - 0.4%
Baa1 A $ 500 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/21 $ 461,821
-----------
TRANSPORTATION - 0.6%
NR BBB $ 700 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 707,306
-----------
WATER & SEWER - 1.5%
Aa AA $1,000 Maryland Water Quality
Financing Administration
Revolving Loan Fund, 0%,
9/1/07 $ 561,310
Aa AA 1,000 Maryland Water Quality
Financing Administration
Revolving Loan Fund,
6.55%, 9/1/14 1,095,730
-----------
$ 1,657,040
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$109,820,786) $114,347,025
===========
</TABLE>
(1) The above security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Maryland
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 24.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.3% to 14.3% of total investments.
See notes to financial statements
64
<PAGE> 65
- --------------------------------------------------------------------------------
Missouri Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 2.8%
A NR $2,750 Missouri Higher Education
Loan Authority, Student
Loan, (AMT), 5.45%,
2/15/09 $ 2,572,790
-----------
ESCROWED - 4.8%
Aaa AAA $ 240 Missouri Health &
Education Authority, St.
Louis Children's, (MBIA)
6.25%, 5/15/12 $ 268,075
Aaa AAA 350 State of Missouri,
Regional Convention &
Sports Complex Authority,
6.80%, 8/15/11 401,625
Aaa AAA 425 Missouri Health &
Education Authority,
Christian Health, (FGIC)
6.875%, 2/15/21 481,168
Aaa AAA 250 St. Louis County, Regional
Convention & Sports
Complex Authority, 7.00%,
8/15/11 290,013
Aaa AAA 600 St. Louis County,
Pattonville School
District, (FGIC) 6.25%,
2/1/10 658,776
Aaa AAA 2,000 City of Sikeston, Electric
System, (MBIA) 6.25%,
6/1/22 (2) 2,241,940
-----------
$ 4,341,597
-----------
GENERAL OBLIGATIONS - 4.4%
Baa1 A $1,750 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 $ 1,656,428
Baa1 A 700 Commonwealth of Puerto
Rico, 5.00%, 7/1/21 630,364
Baa1 A 1,250 Commonwealth of Puerto
Rico, Public Building
Authority, 5.75%, 7/1/15 1,242,675
NR NR 450 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 476,730
-----------
$ 4,006,197
-----------
HEALTH CARE - 0.4%
Baa1 NR $ 300 Cass County, Fox Springs
Living Center, 7.375%,
10/1/22 $ 323,124
-----------
HOSPITALS - 8.4%
Baa NR $2,000 Missouri Health &
Education Authority,
Jefferson Memorial, 6.00%,
8/15/23 $ 1,802,140
Aa AA 1,000 Missouri Health &
Education Authority,
Barnes Jewish Christian,
5.10%, 5/15/09 972,780
Aa AA 2,000 Missouri Health &
Education Authority,
Barnes Jewish Christian,
5.25%, 5/15/14 1,918,380
Baa NR 1,900 Missouri Health &
Education Authority,
Jefferson Memorial, 6.80%,
5/15/25 1,905,643
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA 1,000 Missouri Health &
Education Authority,
Sisters of Mercy, 6.25%,
6/1/15 1,055,140
-----------
$ 7,654,083
-----------
HOUSING - 1.8%
NR AAA $1,000 Missouri Housing
Development Authority
SFMR, (AMT), (GNMA) 7.25%,
9/1/26 $ 1,086,180
NR AAA 535 Missouri Housing
Development Authority
SFMR, (AMT), (GNMA) 6.75%,
6/1/24 558,599
-----------
$ 1,644,779
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 4.8%
NR BB $1,065 Jefferson County, Kmart
Corporation, 6.40%, 8/1/08 $ 846,941
NR NR 1,300 Kansas City, AFCO CARGO
MCI, (AMT), 8.50%, 1/1/17 1,309,191
A3 NR 1,200 Missouri Environmental
Improvement & Energy
Resources Authority,
American Cyanamid Company,
5.80%, 9/1/09 1,254,924
A2 NR 1,000 Commonwealth of Puerto
Rico, American Home
Products, 5.10%, 12/1/18 927,570
-----------
$ 4,338,626
-----------
INSURED TRANSPORTATION - 1.7%
Aaa AAA $1,000 City of St. Louis, St.
Louis-Lambert
International Airport,
(AMT), (FGIC) 6.125%,
7/1/12 $ 1,046,630
Aaa AAA 500 City of St. Louis, St.
Louis-Lambert
International Airport,
(AMT), (FGIC) 6.125%,
7/1/15 521,610
-----------
$ 1,568,240
-----------
INSURED EDUCATION - 1.1%
Aaa AAA $1,000 Southeast Missouri State
University Housing System,
(MBIA) 5.70%, 4/1/14 $ 1,024,850
-----------
INSURED GENERAL
OBLIGATIONS - 5.8%
Aaa AAA $1,250 Kansas City School
District, (FGIC) 5.00%,
2/1/14 $ 1,187,500
Aaa AAA 1,450 St. Louis County,
Mehlville School District,
(MBIA) 6.00%, 2/15/13 1,513,104
Aaa AAA 1,500 City of St. Louis School
District, (FGIC) 5.75%,
4/1/12 1,532,475
</TABLE>
65
<PAGE> 66
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATIONS -
(CONTINUED)
Aaa AAA 500 Commonwealth of Puerto
Rico, (AMBAC), Variable
7/1/15 (1) 524,495
Aaa AAA 500 Commonwealth of Puerto
Rico, (FSA), Variable
7/1/22 (1) 537,945
-----------
$ 5,295,519
-----------
INSURED HOSPITALS - 16.7%
Aaa AAA $1,000 Jackson County, Carondelet
Health System, St. Mary's,
(MBIA) 5.75%, 7/1/24 $ 1,013,110
Aaa AAA 800 Jackson County, St.
Joseph's Health System,
(MBIA) 6.50%, 7/1/19 853,864
Aaa AAA 1,000 Jackson County, St.
Joseph's Health System,
(MBIA) 6.50%, 7/1/12 1,073,550
Aaa AAA 1,500 Missouri Health &
Education Authority,
Health Midwest, (MBIA)
6.25%, 2/15/22 1,609,680
Aaa AAA 500 Missouri Health &
Education Authority,
Sisters of St. Mary,
(MBIA) 6.25%, 6/1/07 543,255
Aaa AAA 1,000 Missouri Health &
Education Authority,
Sisters of St. Mary,
(MBIA) 6.25%, 6/1/16 1,075,300
Aaa AAA 1,500 Missouri Health &
Education Authority,
Heartland Health System,
(AMBAC) 6.35%, 11/15/17 1,626,480
Aaa AAA 2,900 Missouri Health &
Education Authority,
Lester Cox Medical Center,
(MBIA) 5.35%, 6/1/10 2,940,194
Aaa AAA 2,000 Missouri Health &
Education Authority, St.
Luke's Health System,
(MBIA) 5.125%, 11/15/19 1,871,040
Aaa AAA 575 Missouri Health &
Education Authority, St.
Louis Children's, (MBIA)
0%, 5/15/08 309,293
Aaa AAA 9,500 Missouri Health &
Education Authority,
Lester Cox Medical Center,
(MBIA) 0%, 9/1/20 2,331,110
-----------
$ 15,246,876
-----------
INSURED HOUSING - 1.8%
Aaa AAA $1,500 City of Springfield, SCA
Realty Multifamily
Mortgage Receipts, (FSA)
7.10%, 1/1/30 $ 1,638,030
-----------
INSURED LEASE/CERTIFICATE
OF PARTICIPATION - 5.9%
Aaa AAA $1,500 Kansas City Municipal
Assistance Corp., Bartle
Hall Convention, (AMBAC),
5.60%, 4/15/16 $ 1,499,895
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,750 Kansas City Municipal
Assistance Corp., Bartle
Hall Convention, (AMBAC),
5.00%, 4/15/20 1,620,605
Aaa AAA 600 Kansas City School
District, Building
Corporation, (FGIC) 6.50%,
2/1/08 646,200
Aaa AAA 500 St. Charles County, Public
Facilities Authority,
(FGIC) 6.375%, 3/15/07 540,640
Aaa AAA 1,000 St. Louis County Municipal
Finance Corp., Civil
Courts Building, (FGIC)
5.75%, 8/1/13 1,025,920
-----------
$ 5,333,260
-----------
INSURED UTILITIES - 7.1%
Aaa AAA $5,000 Missouri Environmental
Improvement & Energy
Resources Authority, Union
Electric Project, (AMT),
(AMBAC), 5.45%, 10/1/28 $ 4,751,850
Aaa AAA 700 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA), Variable
7/1/03 (1) 810,383
Aaa AAA 1,000 City of Sikeston, Electric
System, (MBIA) 5.00%,
6/1/22 918,080
-----------
$ 6,480,313
-----------
INSURED WATER & SEWER - 1.7%
Aaa AAA $1,500 City of St. Louis, (FGIC)
6.00%, 7/1/14 $ 1,573,995
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 9.3%
A1 A+ $2,000 State of Missouri,
Regional Convention &
Sports Complex Authority,
5.50%, 8/15/21 $ 1,900,240
A BBB+ 3,000 St. Louis County, Regional
Convention & Sports
Complex Authority, 5.50%,
8/15/13 2,892,360
A BBB+ 1,000 St. Louis County, Regional
Convention & Sports
Complex Authority, 5.75%,
8/15/21 973,900
NR NR 1,500 City of St. Louis,
Regional Convention &
Sports Complex Authority,
7.90%, 8/15/21 1,680,480
Aa AA 1,000 Southeast Missouri
Correctional Facility,
5.75%, 10/15/16 1,019,170
-----------
$ 8,466,150
-----------
</TABLE>
66
<PAGE> 67
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
LIFE CARE - 1.1%
NR NR $ 950 Kansas City, Retirement
Facilities, Kingswood
United Methodist, 9.00%,
11/15/13 $ 1,032,384
-----------
NURSING HOMES - 2.9%
NR NR $1,000 Kansas City, Encore
Nursing Center, Beverly
Enterprises, 8.00%,
12/1/02 $ 1,049,000
NR NR 500 Missouri Health &
Education Authority,
Bethesda Health Group,
6.625%, 8/15/05 506,440
NR NR 1,000 Missouri Health &
Education Authority,
Bethesda Health Group,
7.50%, 8/15/12 1,041,050
-----------
$ 2,596,490
-----------
SOLID WASTE - 4.1%
A1 AA- $3,750 City of St. Louis,
Anheuser-Busch Company,
(AMT), 5.875%, 11/1/26 $ 3,751,200
-----------
SPECIAL TAX REVENUE - 2.2%
Baa1 A $1,000 Commonwealth of Puerto
Rico, Highway &
Transportation Authority,
6.625%, 7/1/12 $ 1,091,210
Baa1 A 1,000 Commonwealth of Puerto
Rico, Highway &
Transportation Authority,
5.50%, 7/1/17 956,400
-----------
$ 2,047,610
-----------
TRANSPORTATION - 1.1%
NR NR $1,000 Lake of the Ozarks
Community Board, Missouri
Bridge System, 6.40%,
12/1/25 $ 984,190
-----------
UTILITIES - 3.9%
NR BBB $1,010 Guam Power Authority,
6.30%, 10/1/22 $ 1,013,909
Baa1 A- 1,000 Commonwealth of Puerto
Rico, Electric Power
Authority, 5.00%, 7/1/12 920,190
Baa1 A- 1,500 Commonwealth of Puerto
Rico, Electric Power
Authority, 6.375%, 7/1/24 1,561,395
-----------
$ 3,495,494
-----------
WATER & SEWER - 6.2%
A1 AA- $ 760 City of Columbia, Sewerage
System, 6.25%, 10/1/15 $ 809,058
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa NR 800 Missouri Environmental
Improvement & Energy
Resources Authority,
6.875%, 6/1/14 883,464
Aa NR 475 Missouri Environmental
Improvement & Energy
Resources Authority,
6.45%, 7/1/08 524,847
Aa NR 500 Missouri Environmental
Improvement & Energy
Resources Authority,
6.55%, 7/1/14 539,780
Aa NR 1,000 Missouri Environmental
Improvement & Energy
Resources Authority,
6.05%, 7/1/15 1,050,830
Aa NR 1,250 Missouri Environmental
Improvement & Energy
Resources Authority,
7.20%, 7/1/16 1,456,461
Aa NR 1,000 Missouri Environmental
Improvement & Energy
Resources Authority, 0%,
1/1/14 367,260
-----------
$ 5,631,700
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$86,186,683) $ 91,047,497
===========
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Missouri
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 41.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 3.3% to 24.9% of total investments.
See notes to financial statements
67
<PAGE> 68
- --------------------------------------------------------------------------------
North Carolina Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 1.2%
Aa1 AA+ $1,000 North Carolina Educational
Facilities Finance Agency,
Duke University, 6.75%,
10/1/21 $ 1,109,140
NR AAA 1,000 North Carolina Educational
Facilities Finance Agency,
Elon College, CLEE,
6.375%, 1/1/07 1,076,250
-----------
$ 2,185,390
-----------
ESCROWED - 3.8%
Aaa A $ 655 North Carolina Municipal
Power, Catawba Electric,
Escrowed to Maturity,
5.00%, 1/1/20 $ 632,834
Aaa AA- 2,450 Pitt County Memorial
Hospital, Prerefunded to
12/1/01, 6.90%, 12/1/21 2,795,597
NR AAA 150 Puerto Rico General
Obligation, Prerefunded to
7/1/02, 7.30%, 7/1/20 171,662
Aaa AAA 1,500 Puerto Rico Public
Building Authority,
Prerefunded to 7/1/02,
6.875%, 7/1/12 1,733,415
Aaa A- 1,000 Puerto Rico Electric Power
Authority, Prerefunded to
7/1/01, 7.00%, 7/1/21 1,150,840
Baa1 AAA 635 Puerto Rico Electric Power
Authority, Prerefunded to
7/1/99, 7.125%, 7/1/14 707,612
-----------
$ 7,191,960
-----------
GENERAL OBLIGATIONS - 6.5%
A A- $ 175 Eden, Water and Sewer
Bonds, (AMT), 6.75%,
6/1/08 $ 191,326
NR BBB 970 Guam, 5.40%, 11/15/18 871,700
Aaa AAA 3,550 North Carolina Capital
Improvements, 4.75%,
2/1/12 3,367,317
Baa1 A 2,500 Puerto Rico Aqueduct and
Sewer Authority, 5.00%,
7/1/15 2,310,175
Baa1 A 3,000 Puerto Rico, 5.40%, 7/1/25 2,839,590
NR NR 2,550 Virgin Island, 7.25%,
10/1/18 2,701,470
-----------
$ 12,281,578
-----------
HEALTH CARE - 0.9%
Aa AA $1,700 North Carolina Medical
Care Commission, Carolina
Medicorp, 6.00%, 5/1/21 $ 1,708,789
-----------
HOSPITALS - 17.2%
Aa AA $2,090 Charlotte-Mecklenberg
Hospital, 0%, 1/1/06 $ 1,263,489
Aa AA 2,345 Charlotte-Mecklenberg
Hospital, 6.25%, 1/1/20 2,417,789
A A+ 2,410 North Carolina Medical
Care Commission, Gaston
Memorial Hospital, 5.50%,
2/15/15 2,346,328
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A A+ 1,000 North Carolina Medical
Care Commission, Gaston
Memorial Hospital, 5.50%,
2/15/19 964,620
NR A 5,500 North Carolina Medical
Care Commission, Mercy
Hospital, 6.50%, 8/1/08 5,801,510
Aa AA- 3,000 North Carolina Medical
Care Commission, North
Carolina Baptist Hospital,
6.00%, 6/1/22 3,024,840
Aa AA 3,700 North Carolina Medical
Care Commission,
Presbyterian Health
Services, 6.00%, 10/1/24 3,721,941
A1 A+ 5,000 North Carolina Medical
Care Commission, Rex
Hospital, 6.125%, 6/1/10 5,110,800
NR BBB+ 2,500 North Carolina Medical
Care Commission, Roanoke-
Chowan Hospital, 7.75%,
10/1/19 2,650,925
NR AA 950 North Carolina Medical
Care Commission, Scotland
Memorial Hospital, 5.375%,
10/1/11 (2) 918,355
Aa AA- 2,000 Pitt County, Pitt Memorial
Hospital, 5.50%, 12/1/15 1,950,460
Aa AA- 2,380 University of North
Carolina at Chapel Hill,
6.00%, 2/15/24 2,415,890
-----------
$ 32,586,947
-----------
HOUSING -- 10.8%
NR AAA $1,900 Charlotte Housing, Double
Oaks, (FHA), (FNMA),
7.35%, 5/15/26 $ 2,076,282
Aa AA 2,250 North Carolina HFA, MFMR,
6.70%, 1/1/27 2,360,813
Aa AA 4,395 North Carolina HFA, MFMR,
6.85%, 7/1/13 4,680,807
Aa A+ 870 North Carolina HFA, SFMR,
6.95%, 3/1/17 921,835
Aa A+ 890 North Carolina HFA, SFMR,
(AMT), 7.05%, 9/1/20 939,947
Aa A+ 3,880 North Carolina HFA, SFMR,
(AMT), 6.70%, 9/1/26 4,037,450
Aa A+ 2,120 North Carolina HFA, SFMR,
(AMT), 6.60%, 9/1/26 2,192,907
Aa A+ 3,000 North Carolina HFA, SFMR,
(AMT), 6.20%, 9/1/27 3,026,100
Aaa AAA 200 Puerto Rico HFC, SFMR,
(GNMA), 6.85%, 10/15/23 136,580
-----------
$ 20,372,721
-----------
</TABLE>
68
<PAGE> 69
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT REVENUE -- 10.1%
Baa1 BBB $1,500 Haywood County, Champion
International Corporation,
(AMT), 5.75%, 12/1/25 $ 1,406,745
Baa1 BBB 3,200 Haywood County, Champion
International Corporation,
(AMT), 5.50%, 10/1/18 2,973,536
Baa1 NR 1,350 Haywood County, Champion
International Corporation,
(AMT), 6.25%, 9/1/25 1,351,080
A2 A 1,000 Martin County,
Weyerhaeuser Company
Project, (AMT), 5.65%,
12/1/23 952,870
A2 A 4,250 Martin County,
Weyerhaeuser Company
Project, (AMT), 6.80%,
5/1/24 4,505,298
A2 A 2,500 Martin County,
Weyerhaeuser Company
Project, (AMT), 6.00%,
11/1/25 2,489,450
Baa2 BBB 2,500 New Hanover County,
Occidental Petroleum
Corporation, 6.70%, 7/1/19 2,665,275
NR AA 850 Robeson County, Campbell
Soup Company, 6.40%,
12/1/06 942,650
Baa3 BB+ 1,500 Raleigh-Durham Airport
Authority, American
Airlines Inc., 9.40%,
11/1/00 1,719,990
-----------
$ 19,006,894
-----------
INSURED GENERAL
OBLIGATIONS -- 2.5%
Aaa AAA $1,000 Puerto Rico, (AMBAC),
Variable, 7/1/15 (1) $ 1,048,990
Aaa AAA 3,500 Puerto Rico, (FSA),
Variable, 7/1/22 (1) 3,765,615
-----------
$ 4,814,605
-----------
INSURED HOSPITALS -- 9.7%
Aaa AAA $2,000 Catawba County, Catawba
Memorial Hospital,
(AMBAC), 6.20%, 10/1/09 $ 2,091,780
Aaa AAA 500 Cumberland County
Hospital, (MBIA), 0%,
10/1/09 239,415
Aaa AAA 3,750 North Carolina Medical
Care Commission, Moore
Regional Hospital, (FGIC),
5.00%, 10/1/18 3,477,113
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,750 North Carolina Medical
Care Commission, Moore
Regional Hospital, (FGIC),
5.20%, 10/1/13 1,674,155
Aaa AAA 2,500 North Carolina Medical
Care Commission,
Wesley-Long Community
Hospital, (AMBAC), 5.25%,
10/1/17 2,376,100
Aaa AAA 935 North Carolina Medical
Care Commission, Memorial
Mission Hospital, (FSA),
0%, 10/1/06 541,140
Aaa AAA 5,000 North Carolina Medical
Care Commission, St.
Joseph's Medical Center,
(AMBAC), 5.10%, 10/1/14 4,729,950
Aaa AAA 4,430 Wake County, North
Carolina Hospital System,
(MBIA), 0%, 10/1/09 2,129,634
Aaa AAA 2,230 Wake County, North
Carolina Hospital System,
(MBIA), 0%, 10/1/10 988,715
-----------
$ 18,248,002
-----------
INSURED LEASE/CERTIFICATES
OF PARTICIPATION - 9.0%
Aaa AAA $4,500 Charlotte, Convention
Facility, (AMBAC), 5.25%,
12/1/13 $ 4,383,090
Aaa AAA 1,750 Duplin County, (FGIC),
5.25%, 8/1/14 1,682,030
Aaa AAA 1,575 Franklin, (FGIC), 6.625%,
6/1/14 1,707,804
Aaa AAA 5,000 Iredell County, Iredell-
Statesville Schools,
(FGIC), 6.125%, 6/1/07 5,351,150
Aaa AAA 1,000 Mooresville School
District, (AMBAC), 6.35%,
10/1/14 1,057,420
Aaa AAA 1,770 Pasquotank County School
District, (MBIA), 5.00%,
6/1/20 1,634,330
Aaa AAA 1,000 Rutherford County, (FGIC),
6.25%, 6/1/23 1,045,260
Aaa AAA 200 Scotland County, (CGIC),
6.75%, 3/1/11 216,104
-----------
$ 17,077,188
-----------
INSURED TRANSPORTATION - 1.7%
Aaa AAA $3,300 Piedmont Triad Airport
Authority, (MBIA), 5.125%,
7/1/12 $ 3,174,402
-----------
</TABLE>
69
<PAGE> 70
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES - 9.0%
Aaa AAA $5,500 North Carolina Municipal
Power Authority, Catawba
Electric, (AMBAC), 5.75%,
1/1/15 $ 5,493,180
Aaa AAA 4,650 North Carolina Municipal
Power Authority, Catawba
Electric, (AMBAC), 5.375%,
1/1/20 4,477,392
Aaa AAA 4,000 North Carolina Municipal
Power Authority, Catawba
Electric, (MBIA),
Variable, 1/1/12 (1) 3,975,240
Aaa AAA 1,500 North Carolina Eastern
Municipal Power Authority,
(FSA), Variable, 1/1/19
(1) 1,519,680
Aaa AAA 1,400 Puerto Rico Electric Power
Authority, Stripes, (FSA),
Variable, 7/1/02 (1) 1,595,076
-----------
$ 17,060,568
-----------
LEASE/CERTIFICATES OF
PARTICIPATION - 3.7%
A1 A- $2,065 Buncombe County, 6.625%,
12/1/10 $ 2,257,025
NR AA 825 Durham County, 6.10%,
7/15/07 892,493
Aa AA 985 Durham County, 6.75%,
12/1/11 1,079,629
A1 AA 2,400 Greensboro, Greensboro
Coliseum Arena, 6.75%,
12/1/09 2,685,360
-----------
$ 6,914,507
-----------
SPECIAL TAX REVENUE - 4.0%
A1 AA- $2,200 Greensboro, North
Carolina, Enterprise
System, 5.375%, 6/1/19 $ 2,135,892
Baa1 BBB+ 200 Puerto Rico Finance
Authority, 7.90%, 7/1/07 216,986
Baa1 A 4,000 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/20 3,714,760
Baa1 A 1,490 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 1,453,525
-----------
$ 7,521,163
-----------
UTILITIES - 8.9%
A2 A $1,015 Chatham County Industrial
Facilities and Pollution,
Carolina Power & Light,
6.30%, 6/1/14 $ 1,117,545
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A A- 550 North Carolina Municipal
Power, Catawba Electric,
7.00%, 1/1/16 570,620
A BBB+ 5,000 North Carolina Municipal
Power, Eastern Power,
6.125%, 1/1/09 5,190,950
A BBB+ 1,500 North Carolina Municipal
Power, Eastern Power,
6.40%, 1/1/21 1,530,180
A BBB+ 3,200 North Carolina Municipal
Power, Eastern Power,
6.00%, 1/1/26 3,226,335
A BBB+ 1,750 North Carolina Municipal
Power, Eastern Power,
7.00%, 1/1/13 1,951,390
Baa1 A- 2,000 Puerto Rico Electric Power
Authority, 6.00%, 7/1/16 564,660
Baa1 A- 2,000 Puerto Rico Electric Power
Authority, 0%, 7/1/17 2,019,700
Baa1 A- 365 Puerto Rico Electric Power
Authority, 7.125%, 7/1/14 396,941
NR NR 250 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 265,450
-----------
$ 16,833,771
-----------
WATER & SEWER - 1.0%
Aa AA $2,000 Orange County, Water &
Sewer, 5.20%, 7/1/16 $ 1,941,240
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$177,222,075) $188,919,725
===========
</TABLE>
(1) The above security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by North Carolina
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 32.0% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.1% to 13.6% of total investments.
See notes to financial statements
70
<PAGE> 71
- --------------------------------------------------------------------------------
Oregon Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
COGENERATION - 1.5%
NR NR $2,000 Western Generation Agency,
Wauna Cogeneration
Project, (AMT), 7.40%,
1/1/16 $ 2,153,820
-----------
EDUCATION - 2.6%
NR A+ $2,750 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Reed College
Project, 5.375%, 7/1/25 $ 2,623,115
A NR 1,000 City of Salem, Educational
Facilities, Willamette
University Project, 6.10%,
4/1/14 1,047,750
-----------
$ 3,670,865
-----------
ESCROWED - 2.8%
A1 AAA $2,000 City of Medford, Rogue
Valley Memorial Hospital,
6.25%, 12/1/07 $ 2,252,020
NR AAA 200 Puerto Rico Highway &
Transportation Authority,
6.625%, 7/1/08 228,376
NR A+ 1,250 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Reed College
Project, 6.75%, 7/1/21 1,414,138
-----------
$ 3,894,534
-----------
GENERAL
OBLIGATIONS - 15.8%
Aa AA+ $1,000 Tri County Metropolitan
Transportation District,
Light Rail Extension,
6.00%, 7/1/12 $ 1,047,490
Aa NR 1,000 Clackamas & Multnomah
Counties, Lake Oswego
School District, 5.70%,
6/15/10 1,033,870
Aa NR 2,000 Lane County, City of
Eugene, School District,
5.375%, 7/1/13 2,011,240
Aa AA- 1,000 State of Oregon, Oregon
Veterans' Welfare Bonds,
9.00%, 4/1/04 1,297,770
Aa AA- 1,500 State of Oregon, Oregon
Veterans' Welfare Bonds,
5.875%, 10/1/18 1,532,145
Aa AA- 1,000 State of Oregon, Board of
Higher Education, 6.00%,
10/15/18 1,049,900
Aa AA- 1,250 State of Oregon, Elderly
and Disabled Housing,
6.375%, 8/1/24 1,343,513
Aa AA- 1,000 State of Oregon, Elderly
and Disabled Housing,
(AMT), 5.625%, 8/1/18 1,011,950
Aa AA- 6,110 State of Oregon, Elderly
and Disabled Housing,
(AMT), 5.65%, 8/1/26 6,149,471
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 1,675 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 1,585,437
Baa1 A 1,000 Commonwealth of Puerto
Rico Aqueduct and Sewer
Authority, 6.25%, 7/1/12 1,084,530
Baa1 A 2,000 Commonwealth of Puerto
Rico Public Building
Authority, 5.75%, 7/1/15 1,988,280
Baa1 A 1,000 Commonwealth of Puerto
Rico Public Building
Authority, 5.50%, 7/1/21 953,970
-----------
$ 22,089,566
-----------
HOSPITALS - 1.5%
NR A $1,000 Benton County, Good
Samaritan Hospital
Corvallis, 6.25%, 10/1/09 $ 1,021,880
Aa3 AA 1,000 Clackamas County, Kaiser
Permanente, 6.25%, 4/1/21 1,059,600
-----------
$ 2,081,480
-----------
HOUSING - 10.6%
NR A $1,750 City of Portland Housing
Authority, Multi-Family
Mortgage Revenue,
Riverwood Project, 6.00%,
1/1/19 $ 1,743,350
Aa NR 2,500 State of Oregon Housing
and Community Services
Department, Multi-Family
Mortgage Revenue, 6.875%,
7/1/28 2,651,450
Aa NR 1,055 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.80%, 7/1/27 1,108,320
Aa1 NR 1,500 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, 5.375%,
7/1/17 1,440,135
Aa NR 3,500 State of Oregon, Housing
and Community Services
Department, Single Family
Mortgage Revenue, 5.45%,
7/1/24 3,325,630
Aa NR 2,500 State of Oregon, Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.45%, 7/1/26 2,537,825
</TABLE>
71
<PAGE> 72
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
Aa NR 2,000 State of Oregon, Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.40%, 7/1/26 2,022,240
-----------
$ 14,828,950
-----------
INDUSTRIAL
DEVELOPMENT/POLLUTION
CONTROL REVENUE - 7.4%
Baa2 BBB- $3,500 Oregon Economic
Development Authority,
Georgia Pacific, 6.35%,
8/1/25 $ 3,435,740
NR BBB- 5,000 Port of Astoria, James
River Project, 6.55%,
2/1/15 (2) 5,111,100
NR NR 750 Port of Portland, Ash
Grove Cement Co., 7.25%,
10/1/09 827,318
Baa1 A 1,000 Port of Portland, North
Portland Crown Zellerbach
Corporation, 6.125%,
5/15/08 1,000,060
-----------
$ 10,374,218
-----------
INSURED TRANSPORTATION - 4.9%
Aaa AAA $1,000 Port of Portland, Portland
International Airport,
(AMT), (AMBAC), 6.25%,
7/1/18 $ 1,071,120
Aaa AAA 2,750 Port of Portland, Portland
International Airport,
(AMT), (FGIC), 6.00%,
7/1/23 2,892,560
Aaa AAA 1,250 Port of Portland, Portland
International Airport,
(AMT), (FGIC), 5.75%,
7/1/25 1,264,400
Aaa AAA 1,500 Oregon Department of
Transportation, Westside
Light Rail, (MBIA), 6.25%,
6/1/09 1,635,585
-----------
$ 6,863,665
-----------
INSURED EDUCATION - 1.9%
Aaa AAA $1,000 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Lewis and Clark
College, (MBIA), 6.00%,
10/1/13 $ 1,044,520
Aaa AAA 1,500 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Lewis and Clark
College, (MBIA), 6.125%,
10/1/24 1,570,650
-----------
$ 2,615,170
-----------
INSURED GENERAL
OBLIGATIONS - 3.7%
Aaa AAA $1,000 Multnomah County, Parkrose
School District, (FGIC),
5.70%, 12/1/09 $ 1,054,910
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,000 Multnomah County, Parkrose
School District, (FGIC),
5.50%, 12/1/10 1,033,350
Aaa AAA 1,000 Yamhill, Clackamas &
Washington Counties,
Newberg School Dist.,
(FSA), 5.50%, 6/1/10 1,025,190
Aaa AAA 2,000 Puerto Rico, (AMBAC),
Variable, 7/1/15 (1) 2,097,980
-----------
$ 5,211,430
-----------
INSURED HOSPITALS - 4.6%
Aaa AAA $3,630 Oregon Health Science
University, Capital
Appreciation, (MBIA), 0%,
7/1/21 $ 859,693
Aaa AAA 2,500 Oregon Health Science
University, Capital
Appreciation, (MBIA),
5.25%, 7/1/28 2,369,750
Aaa AAA 2,000 City of Portland, Hospital
Facilities Authority,
Legacy Health System,
(AMBAC), 6.70%, 5/1/21 2,186,540
Aaa AAA 1,000 Western Lane Hospital
District Authority,
Sisters of St. Joseph of
Peace, (MBIA), 5.75%,
8/1/19 1,011,640
-----------
$ 6,427,623
-----------
INSURED LEASE/CERTIFICATES
OF PARTICIPATIONS - 4.9%
Aaa AAA $1,250 State of Oregon,
Department of General
Services, Certificates of
Participation, Real
Property Financing
Program, (AMBAC), 6.25%,
9/1/15 $ 1,317,750
Aaa AAA 1,500 State of Oregon,
Department of General
Services, Certificates of
Participation, Real
Property Financing
Program, (MBIA), 6.25%,
11/1/19 (2) 1,581,735
Aaa AAA 2,775 State of Oregon,
Department of
Administration,
Certificate of
Participation, (MBIA),
5.375%, 11/1/16 2,712,174
Aaa AAA 1,200 State of Oregon,
Department of
Administration,
Certificate of
Participation, (MBIA),
5.50%, 11/1/20 1,182,384
-----------
$ 6,794,043
-----------
INSURED UTILITIES - 2.6%
Aaa AAA $1,000 Lane County, Emerald
People's Utility District,
Electric System, (AMBAC),
5.75%, 11/1/16 $ 1,021,090
</TABLE>
72
<PAGE> 73
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES - (CONTINUED)
Aaa AAA 1,000 City of Eugene, Electric
Utility Revenue, (MBIA),
5.80%, 8/1/22 1,034,680
Aaa AAA 1,000 Northern Wasco County,
Peoples Utility District,
(FGIC), 5.625%, 12/1/22 1,005,910
Aaa AAA 500 Puerto Rico Electric Power
Authority, (FSA),
Variable, 7/1/03 (1) 578,845
-----------
$ 3,640,525
-----------
INSURED WATER & SEWER - 4.8%
Aaa AAA $1,000 City of Beaverton,
Washington County, Water
Revenue, (FSA), 6.125%,
6/1/14 $ 1,048,600
Aaa AAA 1,500 City of Portland, Sewer
System, (FGIC), 6.00%,
10/1/12 1,585,260
Aaa AAA 1,000 South Fork Water Board,
First Lien Water Revenue,
(FSA), 6.00%, 2/1/14 1,045,350
Aaa AAA 1,375 Washington County, Unified
Sewerage Agency, Senior
Lien, (AMBAC), 6.125%,
10/1/12 1,454,214
Aaa AAA 1,500 Washington County, Unified
Sewerage Agency, (AMBAC),
6.125%, 10/1/12 1,586,415
-----------
$ 6,719,839
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 3.2%
A A $3,000 State of Oregon,
Certificates of
Participation, Metro
Regional Center Project,
5.25%, 8/1/22 $ 2,832,270
Aa A 1,500 Multnomah County,
Certificates of
Participation, Juvenile
Justice Complex, 6.00%,
8/1/12 1,555,170
-----------
$ 4,387,440
-----------
MISCELLANEOUS - 1.1%
A1 NR $1,500 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Oregon Coast
Aquarium, 5.25%, 10/1/13 $ 1,491,420
-----------
SPECIAL TAX REVENUE - 7.3%
A NR $1,000 City of Portland, Urban
Renewal and Redevelopment
Bonds, Downtown Waterfront
Project, 6.40%, 6/1/08 $ 1,085,290
Baa1 A 1,500 Puerto Rico Highway and
Transportation Authority,
6.375%, 7/1/08 1,616,790
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 1,720 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/20 1,597,347
Baa1 A 2,000 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/17 1,912,800
Baa1 A 800 Puerto Rico Highway and
Transportation Authority,
6.625%, 7/1/18 872,968
A1 AA 3,000 Tri-County Metropolitan
Transportation District,
Limited Tax Pledge, 5.70%,
8/1/13 3,048,660
-----------
$ 10,133,855
-----------
TRANSPORTATION - 3.6%
Ba1 BB $1,500 Port of Portland, Special
Obligation Revenue Bonds,
Delta Airlines Inc.
Project, (AMT), 6.20%,
9/1/22 $ 1,500,960
NR BBB 2,000 Guam Airport Authority,
6.50%, 10/1/23 2,006,920
NR BBB 1,500 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 1,515,705
-----------
$ 5,023,585
-----------
UTILITIES - 12.6%
A1 AA $1,500 City of Eugene, Electric
Utility System, 6.00%,
8/1/11 $ 1,555,485
A1 AA 4,055 City of Eugene, Electric
Utility System, 5.75%,
8/1/16 4,124,624
Aa AA 4,000 City of Eugene, Trojan
Nuclear Power Project,
5.90%, 9/1/09 (2) 4,005,040
Aa AA 4,000 Northern Wasco County,
People's Utility District,
McNary Dam Fishway
Hydroelectric Project,
Bonneville Power
Administration, 5.20%,
12/1/24 3,718,520
Baa1 A- 4,000 Puerto Rico Electric Power
Authority, 5.00%, 7/1/12 3,680,760
A A+ 500 Puerto Rico Telephone
Authority, Variable,
1/1/20 (1) 532,635
-----------
$ 17,617,064
-----------
WATER & SEWER - 2.6%
NR A+ $2,000 Clackamus County, Water
Revenue, 6.375%, 10/1/14 $ 2,175,580
A A+ 1,500 City of Gresham, Water
Revenue, 5.20%, 11/1/10 1,493,803
-----------
$ 3,669,383
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$133,580,135) $139,688,475
===========
</TABLE>
73
<PAGE> 74
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Oregon
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 26.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 2.6% to 10.8% of total investments.
See notes to financial statements
74
<PAGE> 75
- --------------------------------------------------------------------------------
South Carolina Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 2.3%
NR A $1,500 SC Education Authority,
Student Loan, (AMT), 6.30%,
9/1/08 $ 1,540,905
-----------
GENERAL OBLIGATIONS - 4.8%
NR BBB $1,025 Guam, 5.40%, 11/15/18 $ 921,127
Baa1 A 1,000 Puerto Rico Public
Building, 5.75%, 7/1/16 991,620
Baa1 A 1,000 Puerto Rico, 6.50%, 7/1/23 1,074,120
NR NR 200 Virgin Islands, 7.25%,
10/1/18 211,880
-----------
$ 3,198,747
-----------
HOSPITALS - 5.7%
NR AA- $ 725 Greenville Hospital System
Board of Trustees, 7.00%,
5/1/17 $ 766,695
Baa1 NR 1,500 Horry County, Conway
Hospital, 6.75%, 7/1/12 (3) 1,552,830
NR AAA 1,500 SC Jobs Economic
Developement, Oconee
Memorial Hospital, 6.15%,
3/1/25 1,536,075
-----------
$ 3,855,600
-----------
HOUSING - 11.7%
NR AA $ 990 South Carolina HFA, MFMR,
Westbury Place, 6.05%,
7/1/27 $ 985,753
NR BBB+ 1,000 South Carolina HFA, MFMR,
Hunting Ridge, (AMT),
6.75%, 6/1/25 1,008,470
NR AA- 1,780 South Carolina HFA, MFMR,
Runaway Bay Apt. Project,
6.20%, 12/1/20 1,766,436
Aa AA 1,500 South Carolina HFA, SFMR,
6.375%, 7/1/16 1,528,785
Aa NR 1,500 South Carolina HFA, SFMR,
6.45%, 7/1/17 1,547,715
Aa NR 1,000 South Carolina HFA, SFMR,
(AMT), 6.75%, 7/1/26 1,031,350
-----------
$ 7,868,509
-----------
INDUSTRIAL DEVELOPMENT - 18.6%
Baa2 BBB $1,890 Aiken County, IDA, Beloit
Corporation, 6.00%, 12/1/11 $ 1,918,690
NR BBB+ 1,500 Chester County, IDA, 7.35%,
2/1/14 1,633,005
A1 AA- 1,500 Darlington County, IDA,
Nucor Corporation, (AMT),
5.75%, 8/1/23 (3) 1,473,510
A2 A+ 500 Darlington County, IDB,
Sonoco Products, (AMT),
6.125%, 6/1/25 512,810
Aa3 AA 500 Florence County, IDA,
Pollution Control, E.I. du
Pont de Nemours & Co.,
6.35%, 7/1/22 533,170
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 A- 2,665 Richland County, IDA,
Pollution Control, Union
Camp Corporation, (AMT),
6.75%, 11/1/22 2,848,805
NR NR 1,500 Spartanburg County, IDA,
Solid Waste, Bavarian Motor
Works Corp., (AMT), 7.55%,
11/1/24 1,640,985
A2 A+ 2,000 York County, IDA, Hoechst
Celanese Corporation,
(AMT), 5.70%, 1/1/24 1,958,820
-----------
$12,519,795
-----------
INSURED EDUCATION - 0.4%
Aaa AAA $ 250 College of Charleston,
Housing and Auxiliary
Facilities, (MBIA), 6.00%,
10/1/07 $ 260,438
-----------
INSURED GENERAL
OBLIGATION - 1.6%
Aaa AAA $1,000 Berkeley County School
District, (AMBAC), 6.30%,
2/1/16 $ 1,061,190
-----------
INSURED HEALTHCARE - 6.9%
Aaa AAA $2,000 South Carolina Jobs-EDA,
Anderson Area Med. Center,
(MBIA), 5.25%, 2/1/15 $ 1,896,540
Aaa AAA 3,000 South Carolina Jobs-EDA,
Anderson Area Med. Center,
(MBIA), 5.25%, 2/1/15 2,766,780
-----------
$ 4,663,320
-----------
INSURED HOSPITALS - 8.5%
Aaa AAA $1,000 Florence County, McLeod
Medical Center, (FGIC),
5.25%, 11/1/09 $ 967,740
Aaa AAA 1,500 Greenwood County, Self
Memorial Hospital, (FGIC),
5.875%, 10/1/17 (4) 1,529,055
Aaa AAA 300 Lexington County Health
Services District, Inc.,
(FSA), 6.75%, 10/1/18 322,506
Aaa AAA 1,000 South Carolina Jobs-EDA,
Baptist Hospital, (AMBAC),
5.45%, 8/1/15 987,560
Aaa AAA 1,000 South Carolina Jobs-EDA,
Baptist Hospital, (AMBAC),
Variable, 8/1/15 (1) 947,860
Aaa AAA 1,000 South Carolina Jobs-EDA,
Baptist Hospital, (AMBAC),
Variable, 8/1/15 (1) 1,000,000
-----------
$ 5,754,721
-----------
INSURED LEASE/CERTIFICATE
OF PARTICIPATION -- 6.9%
Aaa AAA $ 500 Charleston County, (MBIA),
6.10%, 6/1/11 $ 532,875
</TABLE>
75
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- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED LEASE/CERTIFICATE OF
PARTICIPATION - (CONTINUED)
Aaa AAA 1,000 Charleston County, (MBIA),
7.00%, 6/1/19 1,098,380
Aaa AAA 1,060 Chesterfield County School
District, (MBIA), 6.00%,
7/1/15 1,084,380
Aaa AAA 1,000 Florence County, Law
Center, (AMBAC), 6.00%,
3/1/14 1,027,940
Aaa AAA 900 North Charleston, Coliseum
Capital Improvements,
(FGIC), 6.00%, 1/1/11 931,032
-----------
$ 4,674,607
-----------
INSURED SOLID WASTE -- 0.8%
Aaa AAA $ 500 Charleston County, (FGIC),
6.00%, 1/1/14 $ 520,965
-----------
INSURED UTILITIES -- 12.0%
Aaa AAA $ 300 Piedmont Municipal Power
Agency, (MBIA), 6.25%,
1/1/09 $ 332,154
Aaa AAA 1,000 Piedmont Municipal Power
Agency, (MBIA), 6.30%,
1/1/14 1,045,270
Aaa AAA 400 Puerto Rico Electric Power
Authority, (STRIPES),
(FSA), Variable, 7/1/02 (1) 455,736
Aaa AAA 150 Rock Hill, Downtown
Redevelopment, (AMBAC),
5.375%, 1/1/14 146,378
Aaa AAA 1,000 South Carolina Public
Service Authority, Santee
Cooper, (AMBAC), 5.00%,
1/1/14 945,750
Aaa AAA 1,000 South Carolina Public
Service Authority, Santee
Cooper, (MBIA), 5.125%,
1/1/32 915,340
Aaa AAA 1,500 South Carolina Public
Service Authority, (MBIA),
5.75%, 1/1/10 (2) 1,508,805
Aaa AAA 1,500 South Carolina Public
Service Authority, (MBIA),
5.75%, 1/1/22 (2) 1,447,110
Aaa AAA 1,250 South Carolina Public
Service Authority, (AMBAC),
6.375%, 7/1/21 1,309,375
-----------
$ 8,105,918
-----------
INSURED WATER & SEWER -- 2.2%
Aaa AAA $1,000 Berkeley County, South
Carolina Water and Sewer
System, (MBIA), 5.55%,
6/1/15 $ 989,410
Aaa AAA 500 Mount Pleasant, Waterworks
and Sewer System, (AMBAC),
6.00%, 12/1/20 517,810
-----------
$ 1,507,220
-----------
LEASE/CERTIFICATE OF
PARTICIPATION -- 3.9%
Baa NR $ 750 Lexington School District,
6.90%, 7/1/08 $ 807,278
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 BBB+ 1,750 Myrtle Beach Convention
Center, 6.875%, 7/1/17 1,845,445
-----------
$ 2,652,723
-----------
MISCELLANEOUS -- 0.5%
NR A+ $ 300 South Carolina Resource
Authority, 7.00%, 4/1/13 $ 313,404
-----------
UTILITIES -- 12.2%
A2 A- $1,650 Berkeley County, South
Carolina Electric & Gas
Company, 6.50%, 10/1/14 $ 1,777,397
A2 A 1,500 Darlington County, Carolina
Power & Light Company,
6.60%, 11/1/10 1,625,205
Aa2 AA- 1,000 Oconee County PCR, Duke
Power Co. Project 5.80%,
4/1/14 1,018,290
A BBB 500 Piedmont Municipal Power
Agency, 5.75%, 1/1/24 476,010
Baa1 A- 1,400 Puerto Rico Electric Power
Authority, 6.25%, 7/1/17 1,439,116
Baa1 A- 500 Puerto Rico Electric Power
Authority, 6.375%, 7/1/24 520,465
A1 A+ 500 South Carolina Public
Service Authority, Santee
Cooper, 6.00%, 7/1/31 502,430
A1 A+ 1,000 South Carolina Public
Service Authority, 5.125%,
1/1/32 884,920
-----------
$ 8,243,833
-----------
WATER & SEWER REVENUE -- 1.0%
Aa AA $ 500 Columbia, Waterworks and
Sewer System, 5.375%,
2/1/12 $ 510,450
A1 AA- 150 Spartanburg, Water System,
6.25%, 6/1/12 159,128
-----------
$ 669,578
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$63,721,739) $67,411,470
===========
</TABLE>
(1) The above security has been issued as an inverse floater bond.
(2) When-Issued Security.
(3) Security has been segregated to cover when-issued securities.
(4) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by South Carolina
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
76
<PAGE> 77
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
developments, at February 29, 1996, 39.4% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 1.2% to 23.6% of total investments.
See notes to financial statements
77
<PAGE> 78
- --------------------------------------------------------------------------------
Tennessee Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION -- 6.1%
NR AA $1,500 Jackson Health, Education,
& Housing, Lambuth
University, 5.90%, 9/1/20 $ 1,518,705
Aa AA 1,000 Nashville and Davidson
County, Vanderbilt
University, 5.20%, 7/1/08 964,100
Baa NR 1,000 Nashville and Davidson
County, Belmont
University, 6.40%, 12/1/19 1,038,430
-----------
$ 3,521,235
-----------
ESCROWED -- 2.7%
Aaa AAA $1,500 Shelby County, Lebonheur
Children's Hospital,
(MBIA) 5.50%, 8/15/12 $ 1,532,595
-----------
GENERAL
OBLIGATIONS -- 3.5%
Aa AA+ $1,000 Shelby County, 5.625%,
4/1/14 (2) $ 1,019,590
Aa AA+ 1,000 Shelby County, 5.125%,
3/1/16 964,250
-----------
$ 1,983,840
-----------
HOSPITALS -- 4.1%
Baa1 NR $ 500 City of Clarksville,
Clarksville Memorial,
6.25%, 7/1/08 $ 506,280
Baa1 NR 500 City of Clarksville,
Clarksville Memorial,
6.375%, 7/1/18 502,205
Baa1 BBB+ 250 Knox County, East
Tennessee Children's,
6.50%, 10/1/12 254,248
NR A- 1,000 Sumner County, Sumner
Regional Health Systems,
7.50%, 11/1/14 1,101,280
-----------
$ 2,364,013
-----------
HOUSING -- 16.6%
NR AAA $ 500 Knoxville Community
Development Corporation,
MFMR, Morningside Gardens,
(GNMA) 6.10%, 7/20/20 $ 502,790
NR A 750 Knoxville Community
Development Corporation,
MFMR, Clinton Towers,
6.65%, 10/15/10 771,683
NR A 1,645 Nashville and Davidson
County, MFMR, The Park at
Hermitage, 5.90%, 2/1/09 1,548,603
NR A 800 Murfreesboro Housing
Authority, MFMR,
Westbrooks Towers Project,
5.875%, 1/15/10 776,704
Aa A+ 465 TN HDA, Homeownership
Program, 6.80%, 7/1/17 481,647
A1 A+ 2,000 TN HDA, Mortgage Finance
Program, 5.85%, 7/1/13 2,024,140
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 A+ 2,000 TN HDA, Mortgage Finance
Program, 5.95%, 7/1/28 2,009,740
Aa AA 1,500 TN HDA, Homeownership
Program, (AMT) 5.75%,
7/1/24 1,451,040
-----------
$ 9,566,347
-----------
INDUSTRIAL DEVELOPMENT
REVENUE -- 21.3%
Aa3 AA $1,000 City of Chattanooga, E.I.
du Pont de Nemours and
Company, 6.35%, 7/1/22 $ 1,070,100
Aa2 AA- 1,000 Humphreys County, E.I. du
Pont de Nemours and
Company, (AMT) 6.70%,
5/1/24 1,081,000
Aa2 AA 2,000 Loudon County, Kimberly-
Clark Corporation, (AMT)
6.20%, 2/1/23 (2) 2,059,100
NR A- 2,500 Maury County, Saturn
Corporation, 6.50%, 9/1/24 2,604,125
Baa1 BBB 1,000 McMinn County, Calhoun
Newsprint Company, Bowater
Incorporated Obligor,
(AMT) 7.625%, 3/1/16 1,076,420
Baa1 BBB 250 McMinn County, Calhoun
Newsprint Company, Bowater
Incorporated Obligor,
(AMT) 7.40%, 12/1/22 269,455
Baa2 BBB 1,500 Memphis-Shelby County
Airport Authority, Federal
Express Corporation,
6.75%, 9/1/12 1,586,220
Baa2 BBB 1,000 Memphis-Shelby County
Airport Authority, Federal
Express Corporation, (AMT)
6.20%, 7/1/14 998,800
NR BBB+ 500 Nashville and Davidson
County, Osco Treatment
Systems, (AMT) 6.00%,
5/1/03 509,840
A3 NR 1,000 South Fulton County, Tyson
Foods Company, 6.40%,
10/1/20 1,022,910
-----------
$ 12,277,970
-----------
INSURED GENERAL
OBLIGATION -- 0.6%
Aaa AAA $ 300 Commonwealth of Puerto
Rico, (AMBAC) Variable
7/1/15, (1) $ 314,697
-----------
INSURED HOUSING -- 1.9%
Aaa AAA $1,000 Knox County, SCA Realty
Multifamily Mortgage
Receipts, (FSA) 7.125%,
1/1/30 $ 1,090,110
-----------
</TABLE>
78
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- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITALS -- 16.8%
Aaa AAA $ 500 City of Bristol, Bristol
Memorial, (FGIC) 6.75%,
9/1/10 $ 575,980
Aaa AAA 1,000 City of Bristol, Bristol
Memorial, (FGIC) 5.125%,
9/1/13 952,810
Aaa AAA 500 Chattanooga-Hamilton
County, Erlanger Medical
Center, (FSA) 5.625%,
10/1/08 (2) 492,125
Aaa AAA 250 City of Chattanooga,
Memorial Hospital Project,
(MBIA) 6.625%, 9/1/09 286,590
Aaa AAA 2,500 City of Jackson, Jackson-
Madison County General
Hospital, (AMBAC) 5.625%,
4/1/15 2,498,425
Aaa AAA 1,000 City of Johnson, Johnson
City Medical Center,
(MBIA) 5.00%, 7/1/13 938,150
Aaa AAA 1,000 Knox County, Mercy Health
System, (AMBAC) 6.00%,
9/1/19 (2) 1,032,090
Aaa AAA 2,000 Knox County, Fort Sanders
Alliance Obligated Group,
(MBIA) 5.25%, 1/1/23 1,887,360
Aaa AAA 1,000 Sullivan County, Holston
Valley Health Care Inc.,
(MBIA) 5.75%, 2/15/13 (2) 1,013,200
-----------
$ 9,676,730
-----------
INSURED SPECIAL
TAX -- 1.9%
Aaa AAA $1,000 City of Johnson, School
District Sales Tax,
(AMBAC) 6.70%, 5/1/21 $ 1,099,690
-----------
INSURED TRANSPORTATION -- 3.7%
Aaa AAA $1,000 Memphis-Shelby County
Airport Authority, (MBIA),
5.65%, 9/1/15 $ 1,008,750
Aaa AAA 1,000 Memphis-Shelby County
Airport Authority, (MBIA),
(AMT) 6.50%, 2/15/09 1,096,560
-----------
$ 2,105,310
-----------
INSURED UTILITIES -- 2.4%
Aaa AAA $1,000 Madison County Suburban
Utility District, (MBIA)
5.00%, 2/1/19 $ 937,740
Aaa AAA 400 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA) Variable
7/1/03 (1) 463,076
-----------
$ 1,400,816
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED WATER & SEWER -- 5.0%
Aaa AAA $ 500 Roane and Morgan Counties,
Cumberland Utility
District, (MBIA) 5.90%,
1/1/23 $ 511,165
Aaa AAA 1,000 Nashville and Davidson
Counties, Water System,
(AMBAC) 5.75%, 1/1/12 1,010,560
Aaa AAA 350 Nashville and Davidson
Counties, Water System,
(AMBAC) Variable 1/1/22,
(1) 374,171
Aaa AAA 1,000 Nashville and Davidson
Counties, Water System,
(FGIC) 5.20%, 1/1/13 988,880
-----------
$ 2,884,776
-----------
LEASE/CERTIFICATE OF
PARTICIPATION -- 0.9%
A NR $ 500 Wilson County Educational
Facilities Corporation,
6.125%, 6/30/10 $ 525,515
-----------
POOLED LOANS -- 3.4%
A AA- $ 700 Tennessee Local
Development Authority,
State Loan Program, 5.00%,
3/1/15 $ 671,804
NR A- 1,200 Tennessee Local
Development Authority,
Community Provider, 6.55%,
10/1/23 1,263,528
-----------
$ 1,935,332
-----------
NURSING HOMES -- 1.8%
NR A+ $1,000 Tennessee State Veterans'
Homes Board, Humboldt
Project, 6.65%, 2/1/14 $ 1,047,720
-----------
TRANSPORTATION -- 1.8%
NR BBB $1,000 Guam Airport Authority,
(AMT) 6.70%, 10/1/23 $ 1,010,470
-----------
UTILITIES -- 3.3%
NR NR $ 400 Scott and Morgan Counties,
Citizens Gas Utility
District, 6.00%, 1/1/13 $ 398,700
Aa AA 1,000 Nashville and Davidson
Counties, Electric System,
6.00%, 5/15/17 1,034,530
Baa1 A- 500 Commonwealth of Puerto
Rico, Electric Power
Authority, 5.00%, 7/1/12 460,095
-----------
$ 1,893,325
-----------
</TABLE>
79
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- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER -- 2.2%
NR BBB+ $ 250 Hamilton County, Eastside
Utility District, 6.50%,
11/1/05 $ 268,955
NR BBB+ 250 Hamilton County, Eastside
Utility District, 6.75%,
11/1/11 266,778
A1 A 750 Davidson and Williamson
Counties, Harpeth Valley
Utility District, 6.75%,
11/1/11 744,591
-----------
$ 1,280,324
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST
$55,218,447) $ 57,510,815
===========
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Tennessee
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 32.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 3.6% to 16.0% of total investments.
See notes to financial statements
80
<PAGE> 81
- --------------------------------------------------------------------------------
Virginia Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION -- 6.7%
NR A- $2,000 Lynchburgh, IDA, Randolph-
Macon Woman's College,
5.875%, 9/1/23 $ 2,042,980
Baa NR 2,220 Rockingham County, IDA,
Bridgewater College,
5.95%, 10/1/13 2,231,122
NR A- 1,570 Virginia College Building
Authority, Hampden-Sydney
College, 6.60%, 9/1/16 1,675,708
NR A+ 400 Virginia College Building
Authority, Hampton
University, 6.50%, 4/1/08 430,880
NR A+ 1,000 Virginia College Building
Authority, Hampton
University, 5.75%, 4/1/14 1,011,210
NR BBB- 1,150 Virginia College Building
Authority, Marymount
University, 7.00%, 7/1/12 1,236,791
NR BBB- 2,200 Virginia College Building
Authority, Marymount
University, 7.00%, 7/1/22 2,356,376
Aa AA 1,500 Virginia College Building
Authority, Washington and
Lee University, 5.80%,
1/1/24 1,513,260
-----------
$ 12,498,327
-----------
ESCROWED -- 5.9%
Aaa NR $1,000 Arlington, IDA, Arlington
Hospital, 7.125%, 9/1/21 $ 1,152,640
A NR 500 Augusta, IDA, Augusta
Hospital, 7.00%, 9/1/21 571,970
NR NR 600 Prince William County,
IDA, Virginia Commuter
Parking Facilities Lease,
7.25%, 3/1/11 675,546
NR A+ 1,700 Virginia Beach, Virginia
Water and Sewer System,
6.625%, 2/1/17 1,916,291
A NR 1,055 Virginia Education Loan
Authority, (AMT), 6.15%,
9/1/09 1,149,939
Aaa NR 5,500 Virginia Education Loan
Authority, (AMT), 5.55%,
9/1/10 (2) 5,665,715
-----------
$ 11,132,101
-----------
GENERAL
OBLIGATIONS -- 4.7%
Aaa AAA $1,000 Fairfax County, 5.625%,
6/1/14 $ 1,011,390
Baa1 A 2,000 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 1,893,060
Baa1 A 350 Commonwealth of Puerto
Rico, 0%, 7/1/04 230,542
A1 AA 500 City of Richmond, 6.25%,
1/5/18 519,125
Aa AA 1,000 Roanoke County, 5.00%,
6/1/21 925,700
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR NR 4,000 Virgin Island, 7.25%,
10/1/18 4,237,600
-----------
$ 8,817,417
-----------
HEALTHCARE -- 0.2%
NR NR $ 365 Covington-Allegheny
County, IDA, Beverly
Enterprises, 9.375%,
9/1/01 $ 413,333
-----------
HOSPITALS -- 16.7%
A NR $3,800 Albermarle County, IDA,
Martha Jefferson Hospital,
5.50%, 10/1/20 $ 3,637,094
A NR 380 Chesapeake Hospital
Authority, Chesapeake
General Hospital, 7.60%,
7/1/00 417,164
Aa AA- 2,910 Fairfax County, IDA, Inova
Health System Hospitals,
5.00%, 8/15/14 2,694,893
Aa AA- 2,000 Fairfax County, IDA, Inova
Health System Hospitals,
5.00%, 8/15/15 1,836,660
A A 1,250 City of Martinsville, IDA,
Memorial Hospital of
Martinsville and Henry
County, 7.00%, 7/1/06 1,324,000
NR A- 2,000 Medical College of Hampton
Roads, 6.875%, 11/15/11 2,154,900
Aa AA 1,000 Norfolk County, IDA,
Sentara Health System,
5.50%, 11/1/17 974,000
Aa AA 3,000 Norfolk County, IDA,
Sentara Health System,
5.00%, 11/1/20 2,712,480
Aa AA- 3,500 Peninsula Ports Authority
of Virginia, Riverside
Health System, 6.625%,
7/1/10 3,747,485
A NR 2,400 Prince William County,
IDA, Potomac Hospital,
6.85%, 10/1/25 2,562,096
Aa AA 4,000 Virginia Beach Development
Authority, Sentara Bayside
Hospital, 6.60%, 11/1/09 4,253,560
A NR 1,060 Washington County, IDA,
Johnston Memorial
Hospital, 7.00%, 7/1/22 1,137,666
A NR 1,000 Washington County, IDA,
Johnston Memorial
Hospital, 6.25%, 7/1/06 1,054,340
A NR 2,000 Washington County, IDA,
Johnston Memorial
Hospital, 6.00%, 7/1/14 2,006,300
-----------
$ 30,512,638
-----------
HOUSING -- 11.6%
NR AAA $1,250 Fairfax County
Redevelopment and Housing
Authority, Multi Family
Mortgage Revenue, (FHA),
7.00%, 5/1/26 $ 1,327,238
</TABLE>
81
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- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
NR AAA 1,000 Hampton Redevelopment and
Housing Authority, Senior
Living, (GNMA), 6.00%,
1/20/26 1,000,800
NR AAA 200 Harrisonburg Redevelopment
and Housing Authority,
Multi Family Mortgage
Revenue, Loan-Battery
Heights, (GNMA), 7.375%,
11/20/28 211,138
Aa1 AA 5,000 Virginia HDA, Multi Family
Mortgage Revenue, 6.75%,
7/1/21 5,136,650
Aa AA 3,500 Virginia HDA, Multi Family
Mortgage Revenue, 7.05%,
5/1/18 3,722,285
Aa1 A 2,350 Virginia HDA, Single
Family Mortgage Revenue,
7.10%, 1/1/17 2,501,693
Aa1 NR 2,500 Virginia HDA, Single
Family Mortgage Revenue,
6.85%, 1/1/15 2,630,825
Aa1 A 3,000 Virginia HDA, Single
Family Mortgage Revenue,
7.10%, 1/1/22 3,184,050
Aa NR 1,900 Virginia HDA, Single
Family Mortgage Revenue,
Variable, 7/1/04 (1) 1,947,385
-----------
$ 21,662,064
-----------
INDUSTRIAL DEVELOPMENT
REVENUE -- 10.2%
Aa NR $2,190 City of Chesapeake,
Cargill Inc., 5.875%,
3/1/13 $ 2,220,967
A2 A+ 3,000 City of Giles, Hoechst
Celanese Corporation,
(AMT), 5.95%, 12/1/25 2,970,750
A2 A+ 1,000 City of Giles, Hoechst
Celanese Corporation,
(AMT), 6.625%, 12/1/22 1,058,620
A2 A 2,000 Henrico County, Browining
Ferris Inc., 5.45%,
10/1/14 1,961,840
A1 A- 4,000 Isle of Wright County,
Union Camp Corporation,
(AMT), 6.55%, 4/1/24 4,204,400
Baa3 BBB 5,520 West Point, Chesapeake
Corporation, (AMT),
6.375%, 3/1/19 5,665,452
Baa3 BBB 980 West Point, Chesapeake
Corporation, 6.25%, 3/1/19 1,007,832
-----------
$ 19,089,861
-----------
INSURED GENERAL
OBLIGATION -- 1.0%
Aaa AAA $2,000 Loudon County, (MBIA),
5.25%, 1/1/30 $ 1,879,740
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITALS -- 8.7%
Aaa AAA $1,665 City of Arlington, IDA,
The Arlington Hospital,
(AMBAC), 5.00% , 9/1/21 $ 1,505,177
Aaa AAA 5,000 Augusta County, IDA,
Augusta Hospital
Corporation, (AMBAC),
5.125%, 9/1/21 4,711,900
Aaa AAA 2,500 Chesapeake Hospital
Authority, Chesapeake
General Hospital, (MBIA),
5.25%, 7/1/18 2,379,900
Aaa AAA 2,000 Hanover County, Bonsecour
Health System, (MBIA),
5.50%, 8/15/25 1,929,340
Aaa AAA 1,000 Norfolk County, IDA,
Children's Hospital of the
King's Daughters Obligated
Group, (AMBAC), 5.50%,
6/1/20 967,420
Aaa AAA 1,000 City of Roanoke, IDA,
Franklin Memorial Hospital
and St. Albans Psychiatric
Hospital, (MBIA), 5.25%,
7/1/25 942,930
Aaa AAA 2,250 Virginia Beach, IDA,
Virginia Beach Memorial
Hospital, (AMBAC), 5.125%,
2/15/18 2,137,657
Aaa AAA 1,700 Winchester, IDA,
Winchester Medical Center,
(AMBAC), Variable, 1/1/08
(1) 1,722,678
-----------
$ 16,297,002
-----------
INSURED LEASE -- 0.5%
Aaa AAA $1,000 Riverside Regional Jail
Authority, (MBIA), 6.00%,
7/1/25 $ 1,028,880
-----------
INSURED TRANSPORTATION -- 5.6%
Aaa AAA $6,500 Metropolitan Washington
Airports Authority,
(MBIA), (AMT), 5.75%,
10/1/20 $ 6,474,195
Aaa AAA 3,000 Northern Virginia
Transportation District
Commission, (CGIC), 5.25%,
7/1/10 2,955,270
Aaa AAA 1,000 Richmond Metropolitan
Authority Expressway,
(FGIC), 6.375%, 7/15/16 1,057,240
-----------
$ 10,486,705
-----------
INSURED WATER & SEWER -- 4.9%
Aaa AAA $4,000 Hanover County Water and
Sewer Authority, (MBIA),
5.25%, 2/1/26 (2) $ 3,770,080
Aaa AAA 2,000 Loudon County Sanitation
Authority, (MBIA), 5.25%,
1/1/25 1,900,260
</TABLE>
82
<PAGE> 83
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED WATER & SEWER - (CONTINUED)
Aaa AAA 1,000 Norfolk County Water and
Sewer Authority, (AMBAC),
5.25%, 11/1/13 967,520
Aaa AAA 1,000 Roanoke County Water and
Sewer Authority, (FGIC),
5.00%, 7/1/21 915,450
Aaa AAA 1,750 Upper Occoquan Sewage
Authority, (FGIC), 5.00%,
7/1/15 1,642,568
-----------
$ 9,195,878
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 7.5%
Aa AA $1,750 Fairfax County Economic
Development Authority,
Lease, Government Center
Properties, 5.25%,
11/15/18 $ 1,635,498
Aa AA 3,200 Fairfax County Economic
Development Authority,
Lease, Government Center
Properties, 5.50%, 5/15/14 3,138,432
A NR 3,000 Rockingham and
Harrisonburg Counties,
Harrisonburg Redevelopment
and Housing Authority,
Lease, 6.50%, 9/1/14 3,138,990
Aa AA 2,000 Henrico County, IDA,
Lease, 7.00%, 8/1/13 2,294,520
Aa AA 2,250 Henrico County, IDA,
Lease, 7.125%, 8/1/21 2,583,855
NR NR 1,250 King George County, Lease,
7.00%, 12/15/12 1,317,612
-----------
$ 14,108,907
-----------
LIFE CARE - 1.1%
NR NR $2,000 Loudon County, IDA,
Falcons Landing, 8.75%,
11/1/24 $ 2,061,500
-----------
SOLID WASTE - 1.7%
A1 A+ $ 915 Fairfax County Economic
Development Authority,
Ogden Martin Systems of
Fairfax Incorporated,
(AMT), 7.75%, 2/1/11 $ 1,002,840
Baa1 A- 2,250 Southeastern Public
Service Authority, Solid
Waste Systems, (AMT),
6.00%, 7/1/13 2,181,488
-----------
$ 3,184,328
-----------
SPECIAL TAX REVENUE - 6.3%
Baa1 A $1,375 Commonwealth of Puerto
Rico Highway &
Transportation Authority,
5.50%, 7/1/19 $ 1,312,355
Baa1 A 2,200 Commonwealth of Puerto
Rico Highway &
Transportation Authority,
5.25%, 7/1/20 2,043,118
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 500 Commonwealth of Puerto
Rico Highway &
Transportation Authority,
5.00%, 7/1/22 445,685
Aa AA 1,000 Virginia State
Transportation Board
Revenue, US Route 28,
Variable, 4/1/18 (1) 1,161,620
Aa AA 2,800 Virginia State
Transportation Board
Revenue, US Route 28,
5.25%, 5/15/19 2,659,412
Aa AA 4,000 Virginia State
Transportation Board
Revenue, US Route 28,
6.50%, 4/1/18 4,239,000
-----------
$ 11,861,190
-----------
TRANSPORTATION - 0.2%
NR BBB $ 400 Charlotesville-Albermarle
VA Airport Authority,
(AMT), 6.125%, 12/1/13 $ 399,308
-----------
UTILITIES - 1.0%
Baa1 A- $3,000 Commonwealth of Puerto
Rico Electric Authority
Power, 0%, 7/1/17 $ 846,990
NR NR 1,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,061,800
-----------
$ 1,908,790
-----------
WATER & SEWER REVENUE - 5.6%
Aa AA- $2,250 Fairfax County Virginia
Water Authority, 5.75%,
4/1/29 $ 2,251,013
Aa AA- 1,000 Fairfax County Virginia
Water Authority, Variable,
4/1/29 (1) 1,008,130
Aa AA- 4,095 Fairfax County Virginia
Water Authority, 5.00%,
4/1/16 3,828,948
NR AA 1,655 Virginia Resource
Authority, Hopewell Waste
Water, (AMT), 6.00%,
10/1/25 1,705,047
NR AA 1,880 Virginia Resource
Authority, Campbell
Utilities, 5.125%, 10/1/19 1,770,846
-----------
$ 10,563,984
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$174,878,592) $187,101,953
===========
</TABLE>
(1) The above security has been issued as an inverse floater bond.
(2) Security segregated to cover margin requirements on open financial futures
contracts.
83
<PAGE> 84
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The Portfolio invests primarily in debt securities issued by Virginia
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 20.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 1.6% to 10.9% of total investments.
See notes to financial statements
84
<PAGE> 85
- --------------------------------------------------------------------------------
Municipals Portfolios
Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $106,424,866 $74,234,823 $111,816,704 $132,011,225
Unrealized appreciation 5,470,697 3,204,377 6,048,639 5,756,878
------------ ----------- ------------ ------------
Total investments, at value (Note 1A) $111,895,563 $77,439,200 $117,865,343 $137,768,103
Cash 3,775,216 502 728,744 356
Receivable for daily variation margin on open
financial futures contracts (Note 1E) 14,429 9,619 11,056 --
Receivable for investments sold 3,274,546 1,332,514 -- 1,826,684
Interest receivable 1,747,318 1,117,095 1,774,984 2,103,721
Deferred organization expenses (Note 1D) 2,976 4,427 4,418 2,498
------------ ----------- ------------ ------------
Total assets $120,710,048 $79,903,357 $120,384,545 $141,701,362
------------ ----------- ------------ ------------
LIABILITIES:
Demand note payable (Note 5) $ -- $ 446,000 $ -- $ 805,000
Payable for when-issued securities (Note 1F) 3,807,358 -- -- --
Payable for daily variation margin on open financial
futures contracts (Note 1E) -- -- -- 2,250
Payable to affiliate --
Trustees' fees 1,344 1,038 1,344 1,344
Accrued expenses 6,038 5,267 3,909 6,198
------------ ----------- ------------ ------------
Total liabilities $ 3,814,740 $ 452,305 $ 5,253 $ 814,792
------------ ----------- ------------ ------------
NET ASSETS applicable to investors' interest in
Portfolio $116,895,308 $79,451,052 $120,379,292 $140,886,570
============== ============ ============== ==============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $111,427,800 $76,248,802 $114,333,843 $135,130,145
Unrealized appreciation of investments and financial
futures contracts (computed on the basis of
identified cost) 5,467,508 3,202,250 6,045,449 5,756,425
------------ ----------- ------------ ------------
Total $116,895,308 $79,451,052 $120,379,292 $140,886,570
============== ============ ============== ==============
</TABLE>
See notes to financial statements
85
<PAGE> 86
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- --------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $34,129,415 $109,820,786 $86,186,683 $177,222,075
Unrealized appreciation 747,074 4,526,239 4,860,814 11,697,650
----------- ------------ ----------- --------------
Total investments, at value (Note 1A) $34,876,489 $114,347,025 $91,047,497 $188,919,725
Cash 629 660,973 259,339 886,858
Receivable for daily variation margin on open
financial futures contracts (Note 1E) -- 14,429 9,214 --
Receivable for investments sold 729,029 623,137 2,325,006 3,010,676
Interest receivable 632,342 1,511,986 1,115,082 2,814,993
Deferred organization expenses (Note 1D) 4,022 3,108 2,663 6,645
----------- ------------ ----------- --------------
Total assets $36,242,511 $117,160,658 $94,758,801 $195,638,897
----------- ------------ ----------- --------------
LIABILITIES:
Demand note payable (Note 5) $ 671,000 $ -- $ -- $ --
Payable for investments purchased -- 795,923 2,619,433 2,355,275
Payable for daily variation margin on open
financial futures contracts (Note 1E) 1,625 -- -- 11,625
Payable to affiliate --
Trustees' fees 255 1,344 1,038 1,751
Accrued expenses 4,654 6,518 6,307 4,772
----------- ------------ ----------- --------------
Total liabilities $ 677,534 $ 803,785 $ 2,626,778 $ 2,373,423
----------- ------------ ----------- --------------
NET ASSETS applicable to investors' interest in
Portfolio $35,564,977 $116,356,873 $92,132,023 $193,265,474
============ ============== ============ ==================
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $34,800,598 $111,833,824 $87,250,124 $181,454,400
Unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 764,379 4,523,049 4,881,899 11,811,074
----------- ------------ ----------- --------------
Total $35,564,977 $116,356,873 $92,132,023 $193,265,474
============ ============== ============ ==================
</TABLE>
See notes to financial statements
86
<PAGE> 87
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $133,580,135 $ 63,721,739 $55,218,447 $174,878,592
Unrealized appreciation 6,108,340 3,689,731 2,292,368 12,223,361
------------ -------------- ----------- ------------
Total investments, at value (Note 1A) $139,688,475 $ 67,411,470 $57,510,815 $187,101,953
Cash 843,197 411 441 657
Receivable for daily variation margin on open
financial futures contracts (Note 1E) -- -- 5,528 --
Receivable for investments sold 1,228,248 -- 15,224 1,082,087
Interest receivable 1,901,206 920,435 963,338 3,338,993
Deferred organization expenses (Note 1D) 3,994 4,259 4,631 5,414
------------ ------------ ----------- ------------
Total assets $143,665,120 $ 68,336,575 $58,499,977 $191,529,104
------------ ------------ ----------- ------------
LIABILITIES:
Demand note payable (Note 5) $ -- $ 3,007,000 $ 86,000 $ 39,000
Payable for investments purchased 1,246,342 -- -- --
Payable for when-issued securities (Note 1F) -- 2,872,768 -- --
Payable for daily variation margin on open
financial futures contracts (Note 1E) 2,313 4,265 -- 3,062
Payable to affiliate --
Trustees' fees 1,344 1,038 1,038 1,752
Accrued expenses 7,232 6,686 5,882 7,676
------------ ------------ ----------- ------------
Total liabilities $ 1,257,231 $ 5,891,757 $ 92,920 $ 51,490
------------ ------------ ----------- ------------
NET ASSETS applicable to investors' interest in
Portfolio $142,407,889 $ 62,444,818 $58,407,057 $191,477,614
============ ============ =========== ============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $136,300,014 $ 58,759,352 $56,116,284 $179,254,870
Unrealized appreciation of investments and
financial futures contracts (computed on
the basis of identified cost) 6,107,875 3,685,466 2,290,773 12,222,744
------------ ------------ ----------- ------------
Total $142,407,889 $ 62,444,818 $58,407,057 $191,477,614
============ ============ =========== ============
</TABLE>
See notes to financial statements
87
<PAGE> 88
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $ 3,499,416 $ 2,354,496 $ 3,667,739 $ 4,257,937
----------- ----------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 235,755 $ 144,914 $ 246,008 $ 296,998
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 3,929 2,982 3,929 3,929
Custodian fee (Note 2) 29,520 21,798 33,164 37,636
Legal and accounting services 24,042 21,442 24,025 24,042
Amortization of organization expenses (Note 1D) 783 750 1,093 659
Miscellaneous 5,882 10,772 3,873 7,909
----------- ----------- ----------- -----------
Total expenses $ 299,911 $ 202,658 $ 312,092 $ 371,173
Deduct reduction of custodian fee (Note 2) 20,598 6,022 33,164 21,191
----------- ----------- ----------- -----------
Net expenses $ 279,313 $ 196,636 $ 278,928 $ 349,982
----------- ----------- ----------- -----------
Net investment income $ 3,220,103 $ 2,157,860 $ 3,388,811 $ 3,907,955
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 1,384,817 $ 399,919 $ 618,593 $ 17,989
Financial futures contracts (92,720) (69,573) 141,995 (164,116)
----------- ----------- ----------- -----------
Net realized gain (loss) on investments $ 1,292,097 $ 330,346 $ 760,588 $ (146,127)
----------- ----------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments $ 1,601,256 $ 1,659,720 $ 2,619,264 $ 3,749,161
Financial futures contracts 59,845 42,896 (3,190) 78,338
----------- ----------- ----------- -----------
Net unrealized appreciation $ 1,661,101 $ 1,702,616 $ 2,616,074 $ 3,827,499
----------- ----------- ----------- -----------
Net realized and unrealized gain on investments $ 2,953,198 $ 2,032,962 $ 3,376,662 $ 3,681,372
----------- ----------- ----------- -----------
Net increase in net assets from operations $ 6,173,301 $ 4,190,822 $ 6,765,473 $ 7,589,327
============ ============ ============ ============
</TABLE>
See notes to financial statements
88
<PAGE> 89
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- --------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $ 1,067,090 $ 3,456,399 $ 2,767,249 $ 5,814,376
----------- ----------- ----------- --------------
Expenses --
Investment adviser fee (Note 2) $ 40,694 $ 230,735 $ 175,384 $ 421,159
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 789 3,929 2,982 5,190
Custodian fee (Note 2) 13,110 32,294 26,614 51,006
Legal and accounting services 21,342 21,242 21,942 28,642
Amortization of organization expenses (Note 1D) 675 757 701 1,678
Miscellaneous 6,854 8,709 13,137 13,903
----------- ----------- ----------- --------------
Total expenses $ 83,464 $ 297,666 $ 240,760 $ 521,578
----------- ----------- ----------- --------------
Deduct --
Preliminary reduction of investment adviser fee
(Note 2) $ 20,233 $ -- $ -- $ --
Reduction of custodian fee (Note 2) 12,110 14,973 6,284 47,892
----------- ----------- ----------- --------------
Total $ 32,343 $ 14,973 $ 6,284 $ 47,892
----------- ----------- ----------- --------------
Net expenses $ 51,121 $ 282,693 $ 234,476 $ 473,686
----------- ----------- ----------- --------------
Net investment income $ 1,015,969 $ 3,173,706 $ 2,532,773 $ 5,340,690
----------- ----------- ----------- --------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 322,880 $ 1,365,190 $ 866,948 $ 1,150,992
Financial futures contracts (269,296) (92,720) 85,046 82,628
----------- ----------- ----------- --------------
Net realized gain on investments $ 53,584 $ 1,272,470 $ 951,994 $ 1,233,620
----------- ----------- ----------- --------------
Change in unrealized appreciation --
Investments $ 486,163 $ 2,553,341 $ 1,585,354 $ 4,416,493
Financial futures contracts 32,556 59,843 21,085 113,424
----------- ----------- ----------- --------------
Net unrealized appreciation $ 518,719 $ 2,613,184 $ 1,606,439 $ 4,529,917
----------- ----------- ----------- --------------
Net realized and unrealized gain on
investments $ 572,303 $ 3,885,654 $ 2,558,433 $ 5,763,537
----------- ----------- ----------- --------------
Net increase in net assets from
operations $ 1,588,272 $ 7,059,360 $ 5,091,206 $ 11,104,227
============ ============ ============ ==================
</TABLE>
See notes to financial statements
89
<PAGE> 90
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- -------------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $ 4,221,056 $ 1,908,397 $ 1,742,068 $ 5,788,249
----------- -------------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 298,353 $ 103,031 $ 93,209 $ 415,579
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 3,929 2,982 2,982 5,191
Custodian fee (Note 2) 39,584 18,425 13,308 52,462
Interest expense (Note 5) -- 26,653 -- --
Legal and accounting services 23,942 21,442 21,342 28,142
Amortization of organization expenses (Note
1D) 1,043 719 1,176 1,377
Miscellaneous 10,603 3,604 5,544 10,658
----------- -------------- ----------- -----------
Total expenses $ 377,454 $ 176,856 $ 137,561 $ 513,409
Deduct reduction of custodian fee (Note 2) 17,373 12,773 -- 34,811
----------- -------------- ----------- -----------
Net expenses $ 360,081 $ 164,083 $ 137,561 $ 478,598
----------- -------------- ----------- -----------
Net investment income $ 3,860,975 $ 1,744,314 $ 1,604,507 $ 5,309,651
----------- -------------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost
basis) $ (16,998) $ 276,104 $ 32,732 $ 449,257
Financial futures contracts (93,012) 53,208 (51,558) 156,136
----------- -------------- ----------- -----------
Net realized gain (loss) on investments $ (110,010) $ 329,312 $ (18,826) $ 605,393
----------- -------------- ----------- -----------
Change in unrealized appreciation
(depreciation) --
Investments $ 3,458,971 $ 1,345,620 $ 1,763,380 $ 4,829,199
Financial futures contracts 38,392 (4,265) 32,944 (617)
----------- -------------- ----------- -----------
Net unrealized appreciation $ 3,497,363 $ 1,341,355 $ 1,796,324 $ 4,828,582
----------- -------------- ----------- -----------
Net realized and unrealized gain on
investments $ 3,387,353 $ 1,670,667 $ 1,777,498 $ 5,433,975
----------- -------------- ----------- -----------
Net increase in net assets from
operations $ 7,248,328 $ 3,414,981 $ 3,382,005 $10,743,626
============ ================== ============ ============
</TABLE>
See notes to financial statements
90
<PAGE> 91
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 3,220,103 $ 2,157,860 $ 3,388,811 $ 3,907,955
Net realized gain (loss) on investment
transactions 1,292,097 330,346 760,588 (146,127)
Change in unrealized appreciation of
investments 1,661,101 1,702,616 2,616,074 3,827,499
------------ ----------- ------------ ------------
Net increase in net assets from operations $ 6,173,301 $ 4,190,822 $ 6,765,473 $ 7,589,327
------------ ----------- ------------ ------------
Capital transactions --
Contributions $ 3,505,238 $ 1,732,586 $ 2,339,719 $ 3,649,943
Withdrawals (11,269,284) (8,007,358) (11,674,567) (15,621,326)
------------ ----------- ------------ ------------
Decrease in net assets resulting from
capital transactions $ (7,764,046) (6,274,772) $ (9,334,848) $(11,971,383)
------------ ----------- ------------ ------------
Net decrease in net assets $ (1,590,745) $(2,083,950) $ (2,569,375) $ (4,382,056)
NET ASSETS:
At beginning of period 118,486,053 81,535,002 122,948,667 145,268,626
------------ ----------- ------------ ------------
At end of period $116,895,308 $79,451,052 $120,379,292 $140,886,570
============ =========== ============ ============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- --------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 1,015,969 $ 3,173,706 $ 2,532,773 $ 5,340,690
Net realized gain on investment transactions 53,584 1,272,470 951,994 1,233,620
Change in unrealized appreciation of
investments 518,719 2,613,184 1,606,439 4,529,917
----------- ------------ ----------- ------------
Net increase in net assets from operations $ 1,588,272 $ 7,059,360 $ 5,091,206 $ 11,104,227
----------- ------------ ----------- ------------
Capital transactions --
Contributions $ 2,204,992 $ 4,557,915 $ 2,640,896 $ 6,719,329
Withdrawals (2,536,966) (10,264,578) (8,762,182) (19,736,806)
----------- ------------ ----------- ------------
Decrease in net assets resulting from
capital transactions $ (331,974) $ (5,706,663) $(6,121,286) $(13,017,477)
----------- ------------ ----------- ------------
Net increase (decrease) in net assets $ 1,256,298 $ 1,352,697 $(1,030,080) $ (1,913,250)
NET ASSETS:
At beginning of period 34,308,679 115,004,176 93,162,103 195,178,724
----------- ------------ ----------- ------------
At end of period $35,564,977 $116,356,873 $92,132,023 $193,265,474
=========== ============ =========== ============
</TABLE>
See notes to financial statements
91
<PAGE> 92
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 3,860,975 $ 1,744,314 $ 1,604,507 $ 5,309,651
Net realized gain (loss) on investment
transactions (110,010) 329,312 (18,826) 605,393
Change in unrealized appreciation of
investments 3,497,363 1,341,355 1,796,324 4,828,582
------------ ----------- ----------- ------------
Net increase in net assets from operations $ 7,248,328 $ 3,414,981 $ 3,382,005 $ 10,743,626
------------ ----------- ----------- ------------
Capital transactions --
Contributions $ 3,445,068 $ 3,171,856 $ 2,016,075 $ 5,864,266
Withdrawals (14,676,428) (5,553,687) (5,664,326) (16,878,200)
------------ ----------- ----------- ------------
Decrease in net assets resulting from
capital transactions $(11,231,360) (2,381,831) $(3,648,251) $(11,013,934)
------------ ----------- ----------- ------------
Net increase (decrease) in net assets $ (3,983,032) $ 1,033,150 $ (266,246) $ (270,308)
NET ASSETS:
At beginning of period 146,390,921 61,411,668 58,673,303 191,747,922
------------ ----------- ----------- ------------
At end of period $142,407,889 $ 62,444,818 $58,407,057 $191,477,614
============ =========== =========== ============
</TABLE>
See notes to financial statements
92
<PAGE> 93
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Year Ended August 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 6,676,427 $ 4,614,351 $ 7,291,242 $ 8,179,915
Net realized loss on investment transactions (3,373,448) (2,517,820) (7,312,379) (2,715,132)
Change in unrealized appreciation of
investments 5,884,230 3,464,139 6,679,653 4,942,400
------------ ------------ ------------ ------------
Net increase in net assets from operations $ 9,187,209 $ 5,560,670 $ 6,658,516 $ 10,407,183
------------ ------------ ------------ ------------
Capital transactions --
Contributions $ 15,271,028 $ 7,773,910 $ 12,224,959 $ 13,579,954
Withdrawals (23,135,575) (14,716,313) (33,658,605) (23,928,447)
------------ ------------ ------------ ------------
Decrease in net assets resulting from
capital transactions $ (7,864,547) (6,942,403) $(21,433,646) $(10,348,493)
------------ ------------ ------------ ------------
Net increase (decrease) in net assets $ 1,322,662 $ (1,381,733) $(14,775,130) $ 58,690
NET ASSETS:
At beginning of year 117,163,391 82,916,735 137,723,797 145,209,936
------------ ------------ ------------ ------------
At end of year $118,486,053 $ 81,535,002 $122,948,667 $145,268,626
============ ============ ============ ============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- --------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 1,975,712 $ 6,659,328 $ 5,326,719 $ 11,250,399
Net realized loss on investment transactions (1,669,621) (3,315,017) (3,038,940) (9,105,062)
Change in unrealized appreciation of
investments 1,664,246 4,913,566 5,471,264 9,060,016
----------- ------------ ----------- ------------
Net increase in net assets from operations $ 1,970,337 $ 8,257,877 $ 7,759,043 $ 11,205,353
----------- ------------ ----------- ------------
Capital transactions --
Contributions $ 6,817,148 $ 14,770,279 $ 8,450,749 $ 18,834,488
Withdrawals (5,902,141) (25,879,697) (18,215,122) (34,633,470)
----------- ------------ ----------- ------------
Increase (decrease) in net assets resulting
from capital transactions $ 915,007 $(11,109,418) $(9,764,373) $(15,798,982)
----------- ------------ ----------- ------------
Net increase (decrease) in net assets $ 2,885,344 $ (2,851,541) $(2,005,330) $ (4,593,629)
NET ASSETS:
At beginning of year 31,423,335 117,855,717 95,167,433 199,772,353
----------- ------------ ----------- ------------
At end of year $34,308,679 $115,004,176 $93,162,103 $195,178,724
=========== ============ =========== ============
</TABLE>
See notes to financial statements
93
<PAGE> 94
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Year Ended August 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 8,186,774 $ 3,526,297 $ 3,284,148 $ 11,081,732
Net realized loss on investment transactions (4,370,692) (4,027,763) (1,911,797) (7,610,652)
Change in unrealized appreciation of
investments 7,371,961 4,266,658 2,627,149 10,279,680
------------ -------------- ----------- ------------
Net increase in net assets from operations $ 11,188,043 $ 3,765,192 $ 3,999,500 $ 13,750,760
------------ -------------- ----------- ------------
Capital transactions --
Contributions $ 12,298,876 $ 9,608,721 $ 7,946,656 $ 24,173,920
Withdrawals (30,215,219) (14,226,934) (9,768,536) (40,695,946)
------------ -------------- ----------- ------------
Decrease in net assets resulting from
capital transactions $(17,916,343) $ (4,618,213) $(1,821,880) $(16,522,026)
------------ -------------- ----------- ------------
Net increase (decrease) in net assets $ (6,728,300) $ (853,021) $ 2,177,620 $ (2,771,266)
NET ASSETS:
At beginning of year 153,119,221 62,264,689 56,495,683 194,519,188
------------ -------------- ----------- ------------
At end of year $146,390,921 $ 61,411,668 $58,673,303 $191,747,922
============== ================= ============ ==============
</TABLE>
See notes to financial statements
94
<PAGE> 95
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA PORTFOLIO ARKANSAS PORTFOLIO
-------------------------------------------------------- -----------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ------------------------------------- FEBRUARY 29, --------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30, 1996 AUGUST 31, AUGUST 31,
(UNAUDITED) 1995 1994* 1993** (UNAUDITED) 1995 1994***
---------------- ---------- ---------- ----------- ---------------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average
daily net
assets)++:
Net expenses (1) 0.50%+ 0.47% 0.44%+ 0.25%+ 0.50%+ 0.46% 0.24%+
Net investment
income 5.42%+ 5.77% 5.37%+ 5.52%+ 5.33%+ 5.69% 5.60%+
Portfolio Turnover 24% 51% 26% 10% 5% 23% 16%
NET ASSETS, end of
year (000 omitted) $116,895 $118,486 $117,163 $83,628 $ 79,451 $81,535 $ 82,917
++The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee and an allocation of expenses to
the Investment Adviser. Had such actions not been taken, the ratios would have been as follows:
RATIOS (As a percentage of average daily net assets):
Expenses (1) 0.35%+ 0.43%+
Net investment
income 5.42%+ 5.41%+
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GEORGIA PORTFOLIO
--------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, -------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.51%+ 0.46% 0.44%+ 0.40%+
Net investment income 5.53%+ 5.73% 5.37%+ 5.37%+
Portfolio Turnover 11% 48% 45% 35%
NET ASSETS, end of year
(000 omitted) $116,895 $122,949 $137,724 $ 119,311
KENTUCKY PORTFOLIO
-------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ----------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.51%+ 0.49% 0.46%+ 0.40%+
Net investment income 5.41%+ 5.75% 5.39%+ 5.40%+
Portfolio Turnover 10% 30% 21% 11%
NET ASSETS, end of year
(000 omitted) $140,887 $ 145,269 $145,210 $ 117,936
</TABLE>
(1) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Portfolio to increase its expense ratio
by the effect of any expense offset arrangements with its service
providers. The expense ratios for each of the three periods ended August
31, 1995 and 1994 and September 30, 1993 have not been adjusted to reflect
this change.
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
See notes to financial statements
95
<PAGE> 96
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA PORTFOLIO MARYLAND PORTFOLIO
------------------------------------------ -------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ----------------------- FEBRUARY 29, ----------------------------------------
1996 AUGUST 31, AUGUST 31, 1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994*** (UNAUDITED) 1995 1994* 1993**
---------------- ---------- ---------- ---------------- ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average
daily net
assets)++:
Net expenses (1) 0.36%+ 0.22% 0.14%+ 0.51%+ 0.47% 0.44%+ 0.36%+
Net investment
income 5.75%+ 6.06% 5.86%+ 5.45%+ 5.79% 5.44%+ 5.41%+
Portfolio Turnover 56% 46% 21% 12% 30% 41% 34%
NET ASSETS, end of
year (000 omitted) $ 35,565 $ 34,309 $ 31,423 $116,357 $ 115,004 $117,856 $94,213
++The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee and an allocation of expenses to
the Investment Adviser. Had such actions not been taken, the ratios would have been as follows:
RATIOS (As a
percentage of
average daily net
assets):
Expenses (1) 0.47%+ 0.33% 0.33%+ 0.38%+
Net investment
income 5.64%+ 5.95% 5.67%+ 5.39%+
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MISSOURI PORTFOLIO
--------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, -------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.52%+ 0.48% 0.45%+ 0.40%+
Net investment income 5.43%+ 5.76% 5.36%+ 5.36%+
Portfolio Turnover 24% 24% 28% 6%
NET ASSETS, end of year
(000 omitted) $ 92,132 $ 93,162 $ 95,167 $75,273
<CAPTION>
NORTH CAROLINA
-------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ----------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.53%+ 0.48% 0.46%+ 0.43%+
Net investment income 5.44%+ 5.78% 5.40%+ 5.43%+
Portfolio Turnover 24% 33% 37% 21%
NET ASSETS, end of year
(000 omitted) $193,265 $ 195,179 $199,772 $ 172,534
</TABLE>
(1) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Portfolio to increase its expense ratio
by the effect of any expense offset arrangements with its service
providers. The expense ratios for each of the three periods ended August
31, 1995 and 1994 and September 30, 1993 have not been adjusted to reflect
this change.
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
See notes to financial statements
96
<PAGE> 97
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON PORTFOLIO SOUTH CAROLINA PORTFOLIO
-------------------------------------------------------- -----------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ------------------------------------- FEBRUARY 29, --------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30, 1996 AUGUST 31, AUGUST 31,
(UNAUDITED) 1995 1994* 1993** (UNAUDITED) 1995 1994***
---------------- ---------- ---------- ----------- ---------------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average
daily net assets):
Net expenses (1) 0.52%+ 0.50% 0.46%+ 0.43%+ 0.56%+ 0.44% 0.37%+
Net investment
income 5.29%+ 5.60% 5.26%+ 5.30%+ 5.57%+ 5.81% 5.47%+
Portfolio Turnover 16% 22% 15% 32% 15% 75% 23%
NET ASSETS, end of
year (000 omitted) $142,408 $146,391 $153,119 $ 127,497 $ 62,445 $61,412 $ 62,265
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TENNESSEE PORTFOLIO
--------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, -------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets)++:
Net expenses (1) 0.47%+ 0.41% 0.36%+ 0.08%+
Net investment income 5.44%+ 5.81% 5.49%+ 5.60%+
Portfolio Turnover 12% 20% 10% 69%
NET ASSETS, end of year
(000 omitted) $ 58,407 $ 58,673 $ 56,496 $ 39,266
<CAPTION>
VIRGINIA PORTFOLIO
-------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ----------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets)++:
Net expenses (1) 0.53%+ 0.48% 0.46%+ 0.43%+
Net investment income 5.50%+ 5.81% 5.49%+ 5.49%+
Portfolio Turnover 13% 38% 48% 29%
NET ASSETS, end of year
(000 omitted) $191,478 $ 191,748 $194,519 $ 174,260
++The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee and an allocation of expenses to
the Investment Adviser. Had such actions not been taken, the ratios would have been as follows:
RATIOS (As a percentage of average daily net assets):
Expenses (1) 0.31%+
Net investment income 5.37%+
</TABLE>
(1) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Portfolio to increase its expense ratio
by the effect of any expense offset arrangements with its service
providers. The expense ratios for each of the three periods ended August
31, 1995 and 1994 and September 30, 1993 have not been adjusted to reflect
this change.
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
See notes to financial statements
97
<PAGE> 98
- --------------------------------------------------------------------------------
Notes to Financial Statements
(Unaudited)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
Alabama Municipals Portfolio (Alabama Portfolio), Arkansas Municipals Portfolio
(Arkansas Portfolio), Georgia Municipals Portfolio (Georgia Portfolio), Kentucky
Municipals Portfolio (Kentucky Portfolio), Louisiana Municipals Portfolio
(Louisiana Portfolio), Maryland Municipals Portfolio (Maryland Portfolio),
Missouri Municipals Portfolio (Missouri Portfolio), North Carolina Municipals
Portfolio (North Carolina Portfolio), Oregon Municipals Portfolio (Oregon
Portfolio), South Carolina Municipals Portfolio (South Carolina Portfolio),
Tennessee Municipals Portfolio (Tennessee Portfolio) and Virginia Municipals
Portfolio (Virginia Portfolio), collectively the Portfolios, are registered
under the Investment Company Act of 1940 as non-diversified open-end management
investment companies which were organized as trusts under the laws of the State
of New York on May 1, 1992. The Declarations of Trust permit the Trustees to
issue interests in the Portfolios. The following is a summary of significant
accounting policies of the Portfolios. The policies are in conformity with
generally accepted accounting principles.
A. INVESTMENT VALUATIONS--Municipal bonds are normally valued on the basis of
valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the mean
between the latest bid and asked prices. Futures contracts listed on commodity
exchanges are valued at closing settlement prices. Short-term obligations,
maturing in sixty days or less, are valued at amortized cost, which approximates
value. Investments for which valuations or market quotations are unavailable are
valued at fair value using methods determined in good faith by or at the
direction of the Trustees.
B. INCOME--Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for federal
income tax purposes.
C. INCOME TAXES--The Portfolios are treated as partnerships for Federal tax
purposes. No provision is made by the Portfolios for federal or state taxes on
any taxable income of the Portfolios because each investor in the Portfolio is
ultimately responsible for the payment of any taxes. Since some of the
Portfolios' investors are regulated investment companies that invest all or
substantially all of their assets in the Portfolios, the Portfolios normally
must satisfy the applicable source of income and diversification requirements
(under the Internal Revenue Code) in order for their respective investors to
satisfy them. The Portfolios will allocate at least annually among their
respective investors each investor's distributive share of the Portfolios' net
taxable (if any) and tax-exempt investment income, net realized capital gains,
and any other items of income, gain, loss, deductions or credit. Interest income
received by the Portfolios on investments in municipal bonds, which is
excludable from gross income under the Internal Revenue Code, will retain its
status as income exempt from federal income tax when allocated to each
Portfolio's investors. The portion of such interest, if any, earned on private
activity bonds issued after August 7, 1986, may be considered a tax preference
item for investors.
D. DEFERRED ORGANIZATION EXPENSES--Costs incurred by a Portfolio in connection
with its organization are being amortized on the straight-line basis over five
years.
E. FINANCIAL FUTURES CONTRACTS--Upon the entering of a financial futures
contract, a Portfolio is required to deposit ("initial margin") either in cash
or securities an amount equal to a certain percentage of the purchase price
indicated in the financial futures contract. Subsequent payments are made or
received by a Portfolio ("margin maintenance") each day, dependent on the daily
fluctuations in the value of the underlying security, and are recorded for book
purposes as unrealized gains or losses by a Portfolio. A Portfolio's investment
in financial futures contracts is designed only to hedge against anticipated
future changes in interest rates. Should interest rates move unexpectedly, a
Portfolio may not achieve the anticipated benefits of the financial futures
contract and may realize a loss.
F. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS--The Portfolios may engage in
when-issued or delayed delivery transactions. The Portfolios record when-issued
securities on trade date and maintain security positions such that sufficient
liquid assets will be available to make payment for the securities purchased.
Securities purchased on a when-issued or delayed delivery basis are
marked-to-market daily and begin accruing interest on settlement date.
G. 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 at
the date of the financial statements and the reported amounts of revenue and
expense during the reporting period. Actual results could differ from those
estimates.
H. OTHER--Investment transactions are accounted for on a trade date basis.
I. INTERIM FINANCIAL INFORMATION--The interim financial statements relating to
February 29, 1996 and for the six month period then ended have not been audited
by independent certified public accountants, but in the opinion of the
Portfolios' management, reflect all adjustments necessary for the fair
presentation of the financial statements.
98
<PAGE> 99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(2) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The investment adviser fee is earned by Boston Management and Research (BMR), a
wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation for
management and investment advisory services rendered to each Portfolio.
The fee is based upon a percentage of average daily net assets plus a percentage
of gross income (i.e., income other than gains from the sale of securities).
For the six months ended February 29, 1996, each Portfolio paid advisory fees as
follows:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT EFFECTIVE RATE*
--------------------------------- -------- ---------------
<S> <C> <C>
Alabama $235,755 0.40%
Arkansas 144,914 0.36%
Georgia 246,008 0.40%
Kentucky 296,998 0.41%
Louisiana 40,694 0.23%
Maryland 230,735 0.39%
Missouri 175,384 0.38%
North Carolina 421,159 0.43%
Oregon 298,353 0.41%
South Carolina 103,031 0.33%
Tennessee 93,209 0.32%
Virginia 415,579 0.43%
</TABLE>
* Advisory fees paid as a percentage of average daily net assets (annualized).
To enhance the net income of the Louisiana Portfolio, BMR made a preliminary
reduction in its fee in the amount of $20,233 for the six months ended February
29, 1996. Except as to Trustees of the Portfolios who are not members of EVM's
or BMR's organization, officers and Trustees receive remuneration for their
services to the Portfolios out of such investment adviser fee.
Investors Bank & Trust Company (IBT) serves as custodian of the Portfolios.
Prior to November 10, 1995, IBT was an affiliate of EVM and BMR. Pursuant to the
custodian agreements, IBT receives a fee reduced by credits which are determined
based on the average daily cash balances each Portfolio maintains with IBT. All
significant credit balances used to reduce the Portfolio's custody fees are
reported as a reduction of expenses in the Statements of Operations. Certain of
the officers and Trustees of the Portfolios are officers and directors/trustees
of the above organizations.
Trustees of the Portfolios that are not affiliated with the Investment Adviser
may elect to defer receipt of all or a percentage of their annual fees in
accordance with the terms of the Trustees Deferred Compensation Plan. For the
six months ended February 29, 1996, no significant amounts have been deferred.
- --------------------------------------------------------------------------------
(3) INVESTMENTS
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, for the six months ended February 29, 1996 were as
follows:
<TABLE>
<CAPTION>
ALABAMA PORTFOLIO ARKANSAS PORTFOLIO GEORGIA PORTFOLIO KENTUCKY PORTFOLIO
------------------- ------------------------ ------------------- ------------------------
<S> <C> <C> <C> <C>
Purchases $27,670,858 $ 3,927,474 $13,027,865 $ 14,575,121
Sales 35,272,238 9,444,548 17,817,486 23,881,130
</TABLE>
<TABLE>
<CAPTION>
LOUISIANA PORTFOLIO MARYLAND PORTFOLIO MISSOURI PORTFOLIO NORTH CAROLINA PORTFOLIO
------------------- ------------------------ ------------------- ------------------------
<S> <C> <C> <C> <C>
Purchases $19,864,205 $ 13,188,699 $21,927,678 $ 46,771,780
Sales 19,414,807 16,974,262 25,077,331 54,251,103
</TABLE>
<TABLE>
<CAPTION>
OREGON PORTFOLIO SOUTH CAROLINA PORTFOLIO TENNESSEE PORTFOLIO VIRGINIA PORTFOLIO
------------------- ------------------------ ------------------- ------------------------
<S> <C> <C> <C> <C>
Purchases $23,681,196 $ 12,627,560 $ 6,731,260 $ 24,192,170
Sales 33,494,840 9,810,662 8,679,936 29,261,305
</TABLE>
99
<PAGE> 100
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the investments
owned by each Portfolio at February 29, 1996, as computed on a federal income
tax basis, are as follows:
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ --------------
<S> <C> <C> <C> <C>
Aggregate Cost $106,424,866 $ 74,234,823 $111,816,704 $132,011,225
------------ -------------- ------------ --------------
Gross unrealized
appreciation $ 5,762,960 $ 3,370,569 $ 6,367,562 $ 6,591,130
Gross unrealized
depreciation 292,263 166,192 318,923 834,252
------------ -------------- ------------ --------------
Net unrealized
appreciation $ 5,470,697 $ 3,204,377 $ 6,048,639 $ 5,756,878
============== ================= ============== ==================
</TABLE>
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ --------------
<S> <C> <C> <C> <C>
Aggregate Cost $ 34,129,415 $109,820,786 $ 88,186,683 $177,222,075
------------ -------------- ------------ --------------
Gross unrealized
appreciation $ 1,035,743 $ 5,214,566 $ 5,272,757 $ 12,222,862
Gross unrealized
depreciation 288,669 688,327 411,943 525,212
------------ -------------- ------------ --------------
Net unrealized
appreciation $ 747,074 $ 4,526,239 $ 4,860,814 $ 11,697,650
============== ================= ============== ==================
</TABLE>
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ --------------
<S> <C> <C> <C> <C>
Aggregate Cost $133,580,135 $ 63,721,739 $ 55,218,447 $174,878,592
------------ -------------- ------------ --------------
Gross unrealized
appreciation $ 6,683,073 $ 3,770,741 $ 2,529,175 $ 12,379,727
Gross unrealized
depreciation 574,733 81,010 236,807 156,366
------------ -------------- ------------ --------------
Net unrealized
appreciation $ 6,108,340 $ 3,689,731 $ 2,292,368 $ 12,223,361
============== ================= ============== ==================
</TABLE>
100
<PAGE> 101
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(5) LINE OF CREDIT
The Portfolios participate with other portfolios and funds managed by BMR and
EVM in a $120 million unsecured line of credit agreement with a bank. The line
of credit consists of a $20 million committed facility and a $100 million
discretionary facility. Each Portfolio may temporarily borrow up to 5% of its
total assets to satisfy redemption requests or settle transactions. Interest is
charged to each portfolio or fund based on its borrowings at an amount above
either the bank's adjusted certificate of deposit rate, a variable adjusted
certificate of deposit rate, or a federal funds effective rate. In addition, a
fee computed at an annual rate of 1/4 of 1% on the $20 million committed
facility and on the daily unused portion of the $100 million discretionary
facility is allocated among the participating funds and portfolios at the end of
each quarter. At February 29, 1996, the Arkansas Portfolio, Kentucky Portfolio,
Louisiana Portfolio, South Carolina Portfolio, Tennessee Portfolio and Virginia
Portfolio had a balance outstanding pursuant to this line of credit of $446,000,
$805,000, $671,000, $3,007,000, $86,000 and $39,000, respectively. For the South
Carolina Portfolio the average daily loan balance for the six months ended
February 29, 1996 was $2,378,831 and the average daily interest rate was 6.95%.
The maximum borrowings during the six months ended February 29, 1996 was
$5,391,000. The Portfolios, exclusive of the South Carolina Portfolio, did not
have any significant borrowings or allocated fees during the six months ended
February 29, 1996.
- --------------------------------------------------------------------------------
(6) FINANCIAL INSTRUMENTS
The Portfolios regularly trade in financial instruments with off-balance sheet
risk in the normal course of their investing activities to assist in managing
exposure to various market risks. These financial instruments include written
options and futures contracts and may involve, to a varying degree, elements of
risk in excess of the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at February 29, 1996
is as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
FUTURES CONTRACTS APPRECIATION
PORTFOLIO EXPIRATION DATE CONTRACTS POSITION (DEPRECIATION)
- ---------------- ----------------- ------------------------ -------- --------------
<S> <C> <C> <C> <C>
Alabama 6/96 20 U.S. Treasury Bonds Short $ (3,189)
Arkansas 6/96 20 U.S. Treasury Bonds Short 2,127
Georgia 6/96 30 U.S. Treasury Bonds Short (3,190)
Kentucky 6/96 36 U.S. Treasury Bonds Short (453)
Louisiana 6/96 13 U.S. Treasury Bonds Short 17,305
Maryland 6/96 30 U.S. Treasury Bonds Short (3,190)
Missouri 6/96 25 U.S. Treasury Bonds Short 21,085
North Carolina 6/96 93 U.S. Treasury Bonds Short 113,424
Oregon 6/96 37 U.S. Treasury Bonds Short (465)
South Carolina 6/96 31 U.S. Treasury Bonds Short (4,265)
Tennessee 6/96 15 U.S. Treasury Bonds Short (1,595)
Virginia 6/96 49 U.S. Treasury Bonds Short (617)
</TABLE>
At February 29, 1996 each Portfolio had sufficient cash and/or securities to
cover margin requirements on open futures contracts.
101
<PAGE> 102
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
Investment Management
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
FUNDS OFFICERS INDEPENDENT TRUSTEES
THOMAS J. FETTER DONALD R. DWIGHT
President President, Dwight Partners, Inc.
Chairman, Newspapers of New England, Inc.
JAMES B. HAWKES
Vice President, Trustee SAMUEL L. HAYES, III
Jacob H. Schiff Professor of Investment
ROBERT B. MACINTOSH Banking, Harvard University Graduate
Vice President School of Business Administration
JAMES L. O'CONNOR NORTON H. REAMER
Treasurer President and Director, United Asset
Management Corporation
THOMAS OTIS
Secretary JOHN L. THORNDIKE
Director, Fiduciary Company
Incorporated
JACK L. TREYNOR
Investment Adviser and Consultant
- ---------------------------------------------------------------------------------------------------------
PORTFOLIOS OFFICERS INDEPENDENT TRUSTEES
THOMAS J. FETTER DONALD R. DWIGHT
President and Portfolio Manager President, Dwight Partners, Inc.
of South Carolina Municipals Portfolio Chairman, Newspapers of New England, Inc.
JAMES B. HAWKES SAMUEL L. HAYES, III
Vice President, Trustee Jacob H. Schiff Professor of Investment
Banking, Harvard University Graduate
ROBERT B. MACINTOSH School of Business Administration
Vice President and Portfolio Manager
of Louisiana and North Carolina NORTON H. REAMER
Municipals Portfolios President and Director, United Asset
Management Corporation
TIMOTHY T. BROWSE
Vice President and Portfolio Manager of JOHN L. THORNDIKE
Alabama, Arkansas and Maryland Director, Fiduciary Company Incorporated
Municipals Portfolios
JACK L. TREYNOR
CYNTHIA J. CLEMSON Investment Adviser and Consultant
Vice President and Portfolio Manager of
Georgia, Missouri, Oregon and Tennessee
Municipals Portfolios
DAVID C. REILLY
Vice President and Portfolio Manager of
Kentucky and Virginia Municipals Portfolios
</TABLE>
<PAGE> 103
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PORTFOLIO INVESTMENT ADVISER
Boston Management and Research
24 Federal Street
Boston, MA 02110
FUND ADMINISTRATOR
Eaton Vance Management
24 Federal Street
Boston, MA 02110
PRINCIPAL UNDERWRITER
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
CUSTODIAN
Investors Bank & Trust Company
89 South Street
P.O. Box 1537
Boston, MA 02205-1537
TRANSFER AGENT
First Data Investor Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
103
<PAGE> 104
This report must be preceded or accompanied by a current prospectus which
contains more complete information on the Funds, including its distribution
plan, sales charges and expenses. Please read the prospectus carefully before
you invest or send money.
EATON VANCE
24 FEDERAL STREET
BOSTON, MA 02110
