<PAGE> 1
EATON VANCE MUNICIPALS TRUST
FOR THE FUNDS:
- EV Marathon California Municipals Fund
- EV Marathon Florida Municipals Fund
- EV Marathon Massachusetts Municipals Fund
- EV Marathon Mississippi Municipals Fund
- EV Marathon New York Municipals Fund
- EV Marathon Ohio Municipals Fund
- EV Marathon Rhode Island Municipals Fund
- EV Marathon West Virginia Municipals Fund
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[LOGO]
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SEMI-ANNUAL SHAREHOLDER Report
March 31, 1996
<PAGE> 2
TABLE OF CONTENTS
ITEM Page
Six-month results, listed by state ....................................... 2
President's letter to shareholders ....................................... 3
Management Reports:
EV Marathon California Municipals Fund ............................. 4
EV Marathon Florida Municipals Fund ................................. 5
EV Marathon Massachusetts Municipals Fund ........................... 6
EV Marathon Mississippi Municipals Fund ............................. 7
EV Marathon New York Municipals Fund ................................ 8
EV Marathon Ohio Municipals Fund .................................... 9
EV Marathon Rhode Island Municipals Fund ............................ 10
EV Marathon West Virginia Municipals Fund ........................... 11
Financial Results .................................................. 12
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RESULTS FOR THE SIX MONTHS ENDING MARCH 31, 1996
<TABLE>
<CAPTION>
The after-
Dividends If your tax equiv-
paid by NAV per [Graphics, combined alent
Total return Fund share Funds distri- State Federal & yield you
(excl. sales (during at bution rate picture state tax you would
charge) period) 3/31/96 at 3/31/96 of...] rate is.. need is ..
<S> <C> <C> <C> <C> <C> <C> <C>
EV Marathon California
Municipals Fund 3.4% $0.234 $ 9.50 4.95% California 43.04% 8.64%
EV Marathon Florida
Municipals Fund 2.8% $0.257 $10.77 4.78% Florida 42.13% 8.21%
EV Marathon Massachusetts
Municipals Fund 2.7% $0.249 $10.30 4.85% Massachusetts 43.68% 8.58%
EV Marathon Mississippi
Municipals Fund 2.7% $0.222 $ 9.52 4.68% Mississippi 39.20% 7.65%
EV Marathon New York
Municipals Fund 2.7% $0.262 $10.86 4.85% New York 40.56% 8.13%
EV Marathon Ohio
Municipals Fund 2.6% $0.242 $10.54 4.60% Ohio 40.80% 7.75%
EV Marathon Rhode Island
Municipals Fund 2.6% $0.230 $ 9.42 4.90% Rhode Island 42.34% 8.48%
EV Marathon West Virginia
Municipals Fund 2.9% $0.225 $ 9.55 4.72% West Virginia 40.16% 7.88%
</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.
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 may depend on an investor's willingness
to adopt a long-term investment horizon. That's why we at Eaton Vance believe
patience is a major key to successful investing.
[PHOTO OF
THOMAS J. FETTER]
Sincerely,
/s/Thomas J.Fetter
------------------
Thomas J.Fetter
President
May 9, 1996
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TAX-EXEMPT BONDS YIELD 85% OF TREASURY YIELDS
<TABLE>
<S> <C>
30-YR. AAA GENERAL OBLIGATION (GO) BONDS* 5.69%
TAXABLE EQUIVALENT YIELD OF INVESTMENT FOR
COUPLE IN 36% TAX BRACKET 8.89%
30-YEAR TREASURY BONDS 6.67%
</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
March 31, 1996.
Past performance is no guarantee of future results.
Source: Bloomberg, P.L.
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+ A portion of the Portfolios' income could be subject to Federal alternative
minimum tax.
3
<PAGE> 4
EV MARATHON CALIFORNIA MUNICIPALS FUND
THE STATE OF THE STATE: California
California's economy seems to be continuing its slow improvement from the
recession that began in 1990. The state benefits from a growing population and
diverse employment base. Despite the loss of high-paying aerospace jobs in
recent years, the state's job growth is expected to be twice that at the
national level in 1996.
Overall, job increases have been led by gains in construction, electronics,
tourism, business services, international trade and entertainment.
Despite the state's recent problems, the economic outlook is generally
favorable. The economic turnaround is expected to be created in part by growth
in the state's sizable high-technology sector. For example, it is predicted that
personal income will rise significantly during the mid 1990s, which should
continue to elevate state revenue collections. Revenues have already improved
significantly, running 3% above estimates for the current fiscal year. That is
likely to produce a $1 billion surplus at fiscal year-end.
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PORTFOLIO OVERVIEW
[STATE Based on market value as of March 31, 1996
PICTURE]
<TABLE>
<S> <C>
Number of issues................................. 99
Average quality.................................. A
Investment grade................................. 88.3%
Effective maturity (years)....................... 14.09
Largest sectors:
Lease revenues/Certificates
of participation ............................................... 20.5%
Escrowed ......................................................... 16.9
Special tax ...................................................... 14.6
Housing .......................................................... 8.7
Insured utilities ................................................ 6.4*
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
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YOUR INVESTMENT AT WORK:
[Clip art picture of a factory]
San Bernardino, CA
Joint Power Financing Authority
Lease Revenue Bond
The California Department of Transportation builds and maintains the state's
highway system. The proceeds of this bond issue will be used to build an office
building and parking facility in San Bernardino for the use of Department
employees. The new building will allow the Department to consolidate 1,200
employees currently working in higher-priced, rented buildings.
The bonds are expected to benefit from California's continued rebound from
recession. California has regained all of the jobs lost from the recession of
the early 1990s and has successfully diversified from the aerospace and defense
industries into entertainment, electronics and apparel. The Department of
Transportation will be responsible for making the lease payments that back
interest payments on the bonds.
FROM THE PORTFOLIO MANAGER:
[PICTURE OF
CYNTHIA J. CLEMSON]
"The California municipal market has been characterized by relatively low
supply. As a result, insured bonds have, at times, traded at rich levels
relative to the overall market. In a difficult bond environment, I've used those
occasions as an opportunity to trade out of insured par bonds and into discount
and premium bonds. With the economy giving conflicting signals in recent months,
I've pursued a barbell approach within the Portfolio. At one end of the barbell,
premium bonds increase the income to the Portfolio while providing some
defensive characteristics in the event of a rate reversal. At the other end of
the spectrum, discount bonds are more sensitive to interest rate movements and
provide some potential for capital appreciation if rates decline.
"I've added some non-rated bonds to the Portfolio, which often provide good
opportunities in terms of income and as strong credits. I've also focused on
improving the Portfolio's call protection, which has become an increasingly
important market criterion in the past year."
Cynthia J. Clemson
4
<PAGE> 5
EV MARATHON FLORIDA MUNICIPALS FUND
THE STATE OF THE STATE: Florida
Florida continues to rank among the southeastern region's growth leaders.
Despite a slight slowdown in economic activity in 1995, the state's economy
expanded at a faster pace than the national rate, resulting in good employment
growth.
While Florida's population gains have eased from the blistering 2.9%
pace of the 1980s, the state remains a favorite retirement destination and
continues to benefit from a large migration from northern states. The tourism
industry performed erratically in 1995, but has strengthened in recent months
and remains a major source of service sector employment. The service, trade and
construction sectors together account for 64% of the state's employment.
Like many states, the lack of a federal budget and growing social service
expeditures add a degree of uncertainty to the financial picture. However,
rising investment returns in 1995 and 1996 have boosted the state's per capita
income growth. And, importantly, Florida has benefited from a growing revenue
base, especially from rising corporate, sales and use-tax revenues. Moreover,
the state's well-managed financial program and excellent economic performance
have contributed to credit stability.
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PORTFOLIO OVERVIEW
[STATE Based on market value as of March 31, 1996
PICTURE]
<TABLE>
<S> <C>
Number of issues................................. 133
Average quality.................................. AA-
Investment grade................................. 89.6%
Effective maturity (years)....................... 16.99
Largest sectors:
Utilities.......................................................... 13.3%
General obligation ................................................ 11.5
Housing ........................................................... 11.0
Insured transportation ............................................ 7.7*
Escrowed .......................................................... 7.4
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
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YOUR INVESTMENT AT WORK:
[Clip art picture of power lines]
Jacksonville Electric Authority
Bulk Power Supply System
Scherer 4 Project
The Authority is a public body established in 1968 to own and manage the
electric utility which the City of Jacksonville owned since 1895. As of 1992,
the Authority served approximately 305,000 customers in a service area covering
most of the city.
The Authority's electric system includes generation, transmission,
interconnection and distribution facilities. Generating facilities, located at
three plants in the city, consist of nine steam-turbine generator units and
seven combustion-turbine generator units, all of which are oil/gas-fired.
The proceeds of this bond issue were used to acquire an initial interest in the
Robert W. Scherer Electric Generating Plant, a coal-fired, steam electric
generating station located near Forsyth, Ga. The Authority is entitled to 17.7%
of the capacity of the plant on a take-or-pay basis. The bonds, which represent
the Portfolio's largest single holding, are rated Aa1/AA by Moody's and Standard
& Poor's and have a 5.25% coupon.
FROM THE PORTFOLIO MANAGER:
[PICTURE OF
THOMAS J. FETTER]
"The bond market has proved difficult in 1996 as interest rates have moved
significantly higher since the first of the year. In an uncertain environment,
I've continued a barbell approach for the Portfolio, which includes some
defensive characteristics but also provides some upside potential in the event
rates turn lower. Housing bonds represented especially good value and improved
the Fund's income.
"The continued migration of transferees and retirees to Florida in recent years
has been accompanied by a massive program of infrastructure building. Financing
needs associated with these projects have required a large issuance of revenue
bonds. These bonds have been tied to a wide array of projects, such as water and
sewer or transportation facilities. The periodic infusions of bonds into the
market have provided us opportunities to invest in these sectors at very
attractive yield levels. Finally, we have focused on liquidity. Insured bonds
compose a large portion of the Portfolio, which helps improve liquidity. And of
course, we maintained the Portfolio's long-held focus on call protection in
order to avert a disruption in the Fund's high current income."
Thomas J. Fetter
5
<PAGE> 6
EV MARATHON MASSACHUSETTS MUNICIPALS FUND
THE STATE OF THE STATE: Massachusetts
The Massachusetts economic recovery that began in 1992 has continued through the
middle of the decade. Like many other states, Massachusetts lost manufacturing
jobs but gained jobs in the service sector, including the finance, real estate
and insurance industries.
The overall state economy has shown considerable strength. For example, the
Commonwealth announced a February 1996 unemployment rate of 5.0%, down from 5.1%
in January, and better than the national rate of 5.5% in February. The
Massachusetts payroll survey in February showed an increase of more than 48,000
jobs from February 1995.
Changes in the high technology and health care industries, both of which are
part of the core of the Massachusetts economy, could cause growth in the
Commonwealth's economy to fall behind the national pace through the remainder of
the decade. However, it is expected that job gains will be seen in the software,
education and biotechnology sectors.
Massachusetts' finances continue to be stable, though still burdened with high
debt levels. However, as a measure of the progress made in recent years,
Massachusetts now enjoys a rating of A1/A+, a major improvement from the Baa/BBB
ratings of 1991.
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PORTFOLIO OVERVIEW
Based on market value as of March 31, 1996
<TABLE>
<S> <C>
[STATE Number of issues ........................................ 102
PICTURE]
Average quality ......................................... A+
Investment grade ........................................ 94.5%
Effective maturity (years) .............................. 13.90
Largest sectors:
Insured hospitals ................................................... 14.6%*
Water & sewer ...................................................... 12.8
Housing ............................................................. 12.0
General obligations ................................................. 9.2
Utilities ........................................................... 7.9
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
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YOUR INVESTMENT AT WORK:
[Clip art picture of graduation cap]
Industrial Finance Authority
Phillips Academy
Phillips Academy is a nationally-known, four-year, private high school. Founded
in 1778 as a school for boys, Phillips merged in 1973 with Abbot Female Academy,
a girls' boarding school.
In 1993, the school's enrollment totaled more than 1,200 students. Its 500-acre
campus includes 163 buildings, 800 dormitory rooms,112 classrooms, a library,
two museums, eight science laboratories and two theaters.
This 1993 bond issue provided funds for Phillips Academy to undertake a campus
renewal project designed to provide maintenance that had been deferred in the
past.
Among the projects financed by the program were renovations of various
buildings, including dormitories, completion of electrical and
telecommunications systems, improvements to faculty housing and updates of some
academic buildings.
FROM THE PORTFOLIO MANAGER:
[PICTURE OF
ROBERT B. MACINTOSH]
"I've continued to pare back the Portfolio's hospital exposure because of the
ongoing changes in the healthcare industry. The Portfolio has focused on a
relative handful of hospitals that have good demographics and that focus on
medical specialties that will ensure continued revenue growth.
"We've owned a fairly large amount of Massachusetts Water Resources Authority
bonds, which were issued in part for the Boston Harbor clean-up. The Authority
has managed the project well and has received favorable court rulings that will
save millions in additional clean-up costs. Elsewhere, we continued to limit our
exposure to local general obligations. Pressures from Proposition 2 1/2 are
mounting on many communities, which could lead to ratings downgrades in the
future. Finally, improving call protection continued to be an important theme
for the Portfolio. As bonds are called investors typically must reinvest at less
attractive yields. Maintaining a good average call protection helps avoid an
untimely interruption of income."
Robert B. MacIntosh
6
<PAGE> 7
EV MARATHON MISSISSIPPI MUNICIPALS FUND
THE STATE OF THE STATE: Mississippi
Mississippi's economy has traditionally relied on cyclical manufacturing but has
grown strongly in recent years. Much of the state's employment growth has been
in the manufacturing and service sectors, and during the 1990s, a significant
part of that growth has been caused by gaming activities. It is now expected
that building activities related to gambling will continue to slow.
The state has shown a willingness to look at its long-term future through its
1992 enactment of a one-cent dedicated sales tax for educational purposes, which
should, over time, result in a more skilled work force. In addition,
Mississippi's efforts to attract new industry have paid some dividends recently,
with a number of technology-based industries locating there.
It is expected that the Mississippi economy should continue to grow, though not
to the extent seen in the early 1990s.
State finances continue to benefit from Mississippi's very conservative fiscal
management. The state's public debt level is one of the lowest in the country.
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PORTFOLIO OVERVIEW
[STATE Based on market value as of March 31, 1996
PICTURE]
<TABLE>
<S> <C>
Number of issues ........................................ 37
Average quality ......................................... Aa
Investment grade ........................................ 97.3%
Effective maturity (years) .............................. 15.43
Largest sectors:
Insured hospitals ................................................... 18.2%*
Industrial development revenue ...................................... 11.3
General obligations ................................................. 9.3
Housing ............................................................. 9.3
Insured utilities ................................................... 7.6*
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
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YOUR INVESTMENT AT WORK:
[Clip art picture of family standing under a tree]
Mississippi Development Bank
Golden Triangle
Regional Solid Waste
Management Authority Project
The proceeds of this 1995 bond issue were used to finance the acquisition and
construction of a regional, non-hazardous solid waste disposal facility in Clay
and Oktibbeha Counties. The facility will consist of a solid waste landfill and
transfer stations, and will replace six landfills that were required by law to
be closed. The 666-acre site will have a capacity of 2.1 million tons of waste
over the next twenty years.
The nine municipalities that are members of the Golden Triangle Regional Solid
Waste Management Authority are required to use the facility for residential
solid waste. The Authority will establish a tipping fee sufficient to provide
funds to pay the debt service on the bonds and the operating costs of the
facility.
FROM THE PORTFOLIO MANAGER:
[PICTURE OF
CYNTHIA J. CLEMSON]
"The Mississippi municipal market was characterized during the period by its
typically tight supply. The market continues to be dominated by smaller issues
and short-term insured bonds. Yield spreads narrowed dramatically during the
period, which gave me the opportunity to reduce the Portfolio's exposure to
insured hospitals in favor of a larger emphasis on school bonds, General
obligations and revenue bonds, as well as to reduce the Portfolio's reliance on
the short end of the market.
"Given the limited supply of Mississippi bonds, I've added some non-rated bonds
to the Portfolio. Non-rated issues often provide good opportunities in terms of
income and as strong credits. Finally, I've focused on improving the Portfolio's
call protection. Call protection has traditionally been a strong emphasis at
Eaton Vance. In the past year, however, it has become an increasingly important
element of investment strategy as bonds that lack adequate call protection have
received a cool reception from the market."
Cynthia J. Clemson
7
<PAGE> 8
EV MARATHON NEW YORK MUNICIPALS FUND
THE STATE OF THE STATE: New York
The New York economy continues to grow, albeit at a slower pace than the nation
as a whole. The recession of the early 1990s claimed more than a half-million
jobs in the state. New York employment is not expected to reach pre-recession
levels until 1998, according to Standard & Poor's. Job growth has been stagnant,
increasing at 1.1% annually compared to national job growth of 1.6% a year.
Unemployment rates have fallen, although they remain higher than the national
average.
The sluggish state economy has intensified the difficult fiscal choices facing
the state. Because a high state tax burden appears to have impaired the state's
competitive position, Governor Pataki's goal is to reduce New Yorkers' tax
bite. Consequently, the Pataki administration's current budget proposals aim to
make further cuts in social spending. These cuts are highly problematic in that
they are very dependent on actions at the federal level. In addition, cuts in
social spending are likely to trigger a fierce partisan debate with the state
legislature. But the proposals nonetheless represent a bold attempt by the
administration to reform the state's past budget procedures and strengthen the
state's competitive position.
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PORTFOLIO OVERVIEW
[STATE
PICTURE] Based on market value as of March 31, 1996
<TABLE>
<S> <C>
Number of issue .......................................... 171
Average quality .......................................... A+
Investment grade ......................................... 97.9%
Effective maturity (years) ............................... 13.56
Largest sectors:
Healthcare ........................................................... 15.3%
Education ............................................................ 14.5
Escrowed ............................................................. 11.4
Special tax revenue .................................................. 11.2
Lease/Certificate of participation ................................... 6.1
</TABLE>
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YOUR INVESTMENT AT WORK:
[Clip art picture of medical symbol]
State of New York
Dormitory Authority
St. John's Health Care Corp.
The proceeds of this bond issue are being used to renovate facilities and add 75
beds to St. John's existing 400-bed facility in Rochester.
These St. John's bonds are an especially good example of FHA-insured health care
bonds, most of which have anticipated sinking fund schedules that result in
shorter average lives than indicated by their stated maturities.
For example, these bonds have a stated maturity of twenty years, but should be
retired in full by 2002 from sinking fund payments. Thus, investors receive the
yield of a 20-year bond with the interest rate exposure of a five-year bond.
Because the secondary market does not always recognize the sinking fund story
until the sinking fund date approaches, these bonds trade infrequently.
Portfolio managers who recognize this story prize these bonds and view them as
core holdings representing good value.
FROM THE PORTFOLIO MANAGER:
[PICTURE OF
NICOLE ANDERES]
"Our efforts last year to restructure the Portfolio have served us well in the
more defensive climate of the past several months. We reduced the Portfolio's
holdings in deep discount bonds in favor of more moderate discount bonds. That
left the Portfolio better-positioned as interest rates edged higher in the first
quarter of 1996. Naturally, the Portfolio remains sensitive to the New York
supply calendar. Periodic large infusions of state issues into the market
created opportunities to purchase state-appropriated debt at fairly attractive
levels.
"I reduced the Portfolio's exposure to triple-B-rated state appropriation
credits to around 30% as of March 31 in anticipation of some potentially "rocky"
months ahead as state budget negotiations drag into the new fiscal year."
Nicole Anderes
8
<PAGE> 9
EV MARATHON OHIO MUNICIPALS FUND
THE STATE OF THE STATE: Ohio
Ohio's economy has benefited from steady growth and continued diversification.
Manufacturing continues to be a major factor in the state's employment mix,
though the proportion of jobs created by this sector has declined. Personal
income levels in Ohio are slightly below the national average. Unemployment is
relatively low. In recent years, the state has enjoyed a strongly advancing
service sector, considerable export activity and a growing financial services
industry.
The state's economic expansion helped Ohio turn in strong fiscal results during
the 1993-95 biennial period. During this time, enhanced tax revenues allowed the
state to rebuild its financial reserves, which had been drawn down during
previous recessionary years
It is expected that the state's economy will continue to grow steadily during
the remainder of the decade. It is helped by the fact that the state is
attractive to prospective employers because of its skilled labor force and
competitive taxes.
Ohio benefits from relatively conservative management and a debt burden that is
low relative to that of other industrialized states.
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PORTFOLIO OVERVIEW
Based on market value as of March 31, 1996
<TABLE>
<S> <C>
[STATE Number of issues ........................................ 126
PICTURE]
Average quality ......................................... A+
Investment grade ........................................ 88.5%
Effective maturity (years ............................... 14.91
Largest sectors:
Hospitals ........................................................... 18.2%
Insured hospital .................................................... 13.1*
Utilities ........................................................... 10.5
Housing ............................................................. 9.3
Industrial development/Pollution control ............................ 8.3
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
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YOUR INVESTMENT AT WORK:
[Clip art picture of medical symbol]
Franklin County, OH
Riverside United Methodist Hospital
Refunding Revenue Bonds
Riverside United Methodist Hospital is the largest acute care facility in
central Ohio and the dominant facility in Columbus. The hospital has been able
to attract a growing number of patients from surrounding counties. That growth
should continue with the increase in service area growth trends.
The merger of Riverside with Grant Medical Center, an affiliate of national
healthcare leader U.S. Health Corp., should allow the hospital to realize
several important benefits. Those include reduced costs through economies of
scale and the ability to enhance revenue growth through contract negotiations
with system providers. The proceeds of this $144 million bond issue were used to
refund bonds that were previously issued and used to finance a series of
improvements at the hospital.
FROM THE PORTFOLIO MANAGER:
[PICTURE OF
THOMAS J. FETTER]
"The bond market has been quite volatile in 1996, due to a sustained hike in
interest rates. That volatility has been felt in the Ohio municipal bond market,
despite the fact that Ohio issuance has decreased sharply from previous years.
I've continued a barbell strategy for the Portfolio, which involves apportioning
the Portfolio between premium and discount bonds, while generally avoiding
current coupon bonds. Hospital bonds remain a significant portion of the
Portfolio, although we remain extremely selective in our hospital investments.
The hospital sector is undergoing rapid changes that will likely result in a
massive restructuring. We've focused on institutions that we believe will be
among the better-positioned hospitals once the dust has cleared.
"As of March 31, Non-rated bonds composed around 10% of the Portfolio. We have
made non-rated issues a research specialty at Eaton Vance and are often able to
add significant value through these issues. For example, the Portfolio has an
investment in Knox Community Hospital, a small facility in Mt. Vernon. While
non-rated, the bond was issued by a well-regarded hospital and carries an
attractive 7.875% coupon."
Thomas J. Fetter
9
<PAGE> 10
EV MARATHON RHODE ISLAND MUNICIPALS FUND
THE STATE OF THE STATE: Rhode Island
Rhode Island's economy has undergone dramatic changes during the last 10 years,
with employment in the manufacturing sector dropping markedly and service sector
employment rising. The state's dependence on manufacturing, particularly
consumer goods, has been a heavy burden and remains higher than that of any
other New England state. The rate of annual job growth has remained sluggish,
near the 1% level, with trade and services pacing job creation. The state is,
however, making headway in attracting the financial services industry, a major
key to future job creation.
Rhode Island's debt level is among the highest in the nation, due to previous
bond issuance to relieve the credit union crisis and to finance the construction
of a new Providence convention center. In addition, the slow pace of job growth
has contributed to declining operating revenues, which have posed significant
financial challenges in recent years. However, the state has acted decisively to
counter the revenue crunch and to close the deficits. Despite some uncertainty,
Rhode Island's long record of financial responsibility continues to earn it a
AA- rating from major ratings agencies.
- --------------------------------------------------------------------------------
PORTFOLIO OVERVIEW
Based on market value as of March 31, 1996
<TABLE>
<S> <C>
[STATE Number of issues ....................................... 49
PICTURE]
Average quality ........................................ AA
Investment grade ....................................... 100%
Effective maturity (years) ............................. 15.77
Largest sectors:
Insured general obligations ........................................ 16.8%*
Housing ............................................................ 16.2
Insured college & university ....................................... 10.1*
Hospitals .......................................................... 7.7
Special Tax ........................................................ 6.8
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
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YOUR INVESTMENT AT WORK:
[Clip art picture of graduation cap]
Rhode Island Health and
Educational Building
University of Rhode Island
These bonds represent one of the largest core positions in the Rhode Island
Portfolio. The 5.25% discount coupon and their MBIA-insured status result in a
high degree of market liquidity for these bonds.
Issued in 1993, the proceeds of these bonds were used to refinance existing
higher-coupon debt and funded capital projects at the University of Rhode
Island.
While the bonds are rated AAA because of their MBIA bond insurance, underlying
credit quality depends on ongoing state support of the state college system, as
well as on tuition revenues generated by the schools. The university's long
history of state support and involvement, its stature in the community and its
sound reputation all contribute to a stable credit.
FROM THE PORTFOLIO MANAGER:
[PICTURE OF
NICOLE ANDERES]
"The Rhode Island municipal market has traditionally been marked by very low
supply and a heavy reliance on the secondary market. That has been especially
true in recent months, with virtually no new issuance coming to market. Because
Rhode Island is a high-tax state, there remains strong demand for state issues,
which contributes to the tight secondary market.
"Insured general obligations, housing bonds, and colleges and university bonds
were among the Portfolio's largest weightings. Rhode Island Housing and Mortgage
Homeowner bonds were issued to finance home purchases by state residents. They
were among the Portfolio's largest holdings and provided especially attractive
yields. In the education sector, we were able to take advantage of selected
opportunities among Higher Education Finance Authority bonds. These bonds
represent investments in quality issuers, stable credits, and good opportunities
in discount bonds."
Nicole Anderes
10
<PAGE> 11
EV MARATHON WEST VIRGINIA MUNICIPALS FUND
THE STATE OF THE STATE: West Virginia
West Virginia has enjoyed three years of above-average economic growth,
reflecting a broadened diversity in the state's economic base and resulting in
higher personal incomes for state residents. While the state's 7.4%
seasonally-adjusted unemployment rate was well above the national rate, it
nonetheless showed some improvement in the past year.
Due to a more favorable employment picture, West Virginia's longstanding trend
of outmigration has eased somewhat. Several large companies have expanded or
relocated to the state, partially offsetting the losses the state has suffered
in heavy manufacturing. Construction employment has also expanded, while growth
in the service sector has further diversified the state's economy. The number of
mining jobs continued to decline because of mechanization of many mining
processes and the pressure of increased competition. On the fiscal front, the
generally favorable economic trends have permitted the state to retain a
balanced budget while increasing funding for educational programs.
- --------------------------------------------------------------------------------
PORTFOLIO OVERVIEW
[STATE Based on market value as of March 31, 1996
PICTURE]
<TABLE>
<S> <C>
Number of issues ........................................ 39
Average quality ......................................... AA-
Investment grade ........................................ 95.5%
Effective maturity (years) .............................. 16.87
Largest sectors:
Industrial development/pollution control ............................ 13.2%
Insured electric utilities .......................................... 12.8*
Insured hospital .................................................... 12.8*
Insured water & sewer ............................................... 11.4*
Electric utilities .................................................. 10.9
</TABLE>
* Private insurance does not remove the market risks that are associated with
these investments.
- --------------------------------------------------------------------------------
YOUR INVESTMENT AT WORK:
[Clip art picture of graduation cap]
County of Berkeley, WV
Board of Education
Public School Bonds
The Berkeley County Board of Education is responsible for supervising all public
schools in the district. Board members are elected by the voters of the county.
As of 1995, the district had 23 schools employing 810 teachers, with another 470
people employed in non-teaching positions.
The proceeds of this $16 million bond issue were used to renovate and improve a
number of school buildings within this countywide school district. Among the
projects to be financed were construction of a new North Elementary School,
expansion and renovation of Musselman Middle School and construction of an
addition to Hedgesville Middle School. In addition, $4.3 million of the bond
proceeds was set aside for use, along with $9 million in additional state money,
in building a new Musselman High School that will accommodate about 1,100
students.
FROM THE PORTFOLIO MANAGER:
[PICTURE OF
TIMOTHY T. BROWSE]
"While the employment figures for February and March jolted the market, I remain
positive with respect to the market trend. The market appears to be focusing
solely on inflation, which is generally well under control. Nevertheless, I
remain sensitive to the downside risk in the market and, where possible, have
established some defensive positions in the Portfolio.
"As usual, the West Virginia market was characterized by low supply during the
six-month period. I looked for opportunities to buy bonds at attractive levels
during periods when increased supply came to market. On a separate note, the
entire bond market has become more sensitive to call features since the end of
1995. The market's increased emphasis on call protection has caused bonds with
poor call features to underperform the broad market. That has played into our
hands nicely because we have traditionally been very call-sensitive and active
in trading to improve our call features. Finally, we maintained a balanced
structure between premium and and discount bonds by moving out of current coupon
bonds as they reached their coupon levels."
Timothy T. Browse
11
<PAGE> 12
- --------------------------------------------------------------------------------
EV Marathon Municipals Funds
Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
FUND FUND FUND FUND
------------ ------------ ------------- -----------
<S> <C> <C> <C> <C>
ASSETS:
Investment in Portfolio --
Identified cost $358,233,408 $634,130,649 $265,288,174 $24,236,879
Unrealized appreciation 24,886,099 31,979,016 15,780,905 1,072,938
------------ ------------ ------------ -----------
Total investment in Portfolio, at value (Note 1A) $383,119,507 $666,109,665 $281,069,079 $25,309,817
Receivable for Fund shares sold 87,056 302,688 150,188 9,030
Deferred organization expenses (Note 1D) -- -- 320 7,205
------------ ------------ ------------ -----------
Total assets $383,206,563 $666,412,353 $281,219,587 $25,326,052
------------ ------------ ------------ -----------
LIABILITIES:
Dividends payable $ 829,373 $ 1,391,528 $ 595,572 $ 51,978
Payable for Fund shares redeemed 362,849 1,675,823 313,846 3,748
Payable to affiliate --
Trustees' fees 826 826 826 41
Accrued expenses 258,009 370,791 162,290 16,719
------------ ------------ ------------ -----------
Total liabilities $ 1,451,057 $ 3,438,968 $ 1,072,534 $ 72,486
------------ ------------ ------------ -----------
NET ASSETS $381,755,506 $662,973,385 $280,147,053 $25,253,566
============ ============ ============ ===========
SOURCES OF NET ASSETS:
Paid-in capital $391,481,873 $654,693,933 $282,894,550 $26,330,185
Accumulated net realized loss on investment and
financial futures transactions (computed on the
basis of identified cost) (34,243,620) (22,779,060) (17,848,387) (2,192,832)
Accumulated undistributed (distributions in excess
of ) net investment income (368,846) (920,504) (680,015) 43,275
Unrealized appreciation of investments and financial
futures contracts from Portfolio (computed on the
basis of
identified cost) 24,886,099 31,979,016 15,780,905 1,072,938
------------ ------------ ------------ -----------
Total $381,755,506 $662,973,385 $280,147,053 $25,253,566
============ ============ ============ ===========
SHARES OF BENEFICIAL INTEREST OUTSTANDING 40,202,056 61,576,668 27,192,211 2,652,141
============ ============ ============ ===========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
(NOTE 6) PER SHARE (net assets/shares of
beneficial interest outstanding) $9.50 $10.77 $10.30 $9.52
===== ====== ====== =====
</TABLE>
See notes to financial statements
12
<PAGE> 13
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
FUND FUND FUND FUND
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
ASSETS:
Investment in Portfolio --
Identified cost $593,497,944 $293,416,566 $39,604,051 $38,019,069
Unrealized appreciation 29,549,556 11,477,588 407,795 17,607
------------ ------------ ----------- -----------
Total investment in Portfolio, at value (Note 1A) $623,047,500 $304,894,154 $40,011,846 $38,036,676
Receivable for Fund shares sold 265,089 176,527 47,994 11,057
Deferred organization expenses (Note 1D) -- 326 4,787 5,237
------------ ------------ ----------- -----------
Total assets $623,312,589 $305,071,007 $40,064,627 $38,052,970
------------ ------------ ----------- -----------
LIABILITIES:
Dividends payable $ 1,320,119 $ 612,374 $ 85,406 $ 78,387
Payable for Fund shares redeemed 983,923 623,136 28,475 55,432
Payable to affiliate --
Trustees' fees 826 826 41 41
Accrued expenses 350,676 175,333 18,990 15,405
------------ ------------ ----------- -----------
Total liabilities $ 2,655,544 $ 1,411,669 $ 132,912 $ 149,265
------------ ------------ ----------- -----------
NET ASSETS $620,657,045 $303,659,338 $39,931,715 $37,903,705
============ ============ =========== ===========
SOURCES OF NET ASSETS:
Paid-in capital $611,327,960 $298,702,963 $41,380,198 $39,316,993
Accumulated net realized loss on investment and
financial futures transactions (computed on
the basis of identified cost) (18,684,296) (6,380,489) (1,802,862) (1,372,125)
Accumulated distributions in excess of net
investment income (1,536,175) (140,724) (53,416) (58,770)
Unrealized appreciation of investments and
financial futures contracts from Portfolio
(computed on the basis of identified cost) 29,549,556 11,477,588 407,795 17,607
------------ ------------ ----------- -----------
Total $620,657,045 $303,659,338 $39,931,715 $37,903,705
============ ============ =========== ===========
SHARES OF BENEFICIAL INTEREST OUTSTANDING 57,135,028 28,813,314 4,239,112 3,970,926
============ ============ =========== ===========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION
PRICE (NOTE 6) PER SHARE (net assets/shares of
beneficial interest outstanding) $10.86 $10.54 $9.42 $9.55
====== ====== ===== =====
</TABLE>
See notes to financial statements
13
<PAGE> 14
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
FUND FUND FUND FUND
------------ ------------ ------------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income allocated from Portfolio $ 12,944,818 $ 21,174,559 $ 9,061,514 $ 793,839
Expenses allocated from Portfolio (1,164,090) (1,730,025) (793,128) (45,304)
----------- ----------- ----------- -----------
Net investment income from Portfolio $ 11,780,728 $ 19,444,534 $ 8,268,386 $ 748,535
----------- ----------- ----------- -----------
Expenses --
Compensation of Trustees not members of the
Administrator's organization $ 1,591 $ 1,591 $ 1,591 $ 79
Distribution costs (Note 5) 1,912,014 3,198,768 1,355,346 125,174
Custodian fee (Note 4) 12,500 -- 11,575 1,833
Transfer and dividend disbursing agent fees 149,070 234,871 104,137 10,939
Printing and postage 50,510 82,026 37,867 8,190
Legal and accounting services 12,259 12,081 11,785 10,044
Registration costs 3,290 -- -- --
Amortization of organization expenses (Note 1D) -- -- 3,722 2,891
Miscellaneous 26,979 38,439 15,141 1,598
----------- ----------- ----------- -----------
Total expenses $ 2,168,213 $ 3,567,776 $ 1,541,164 $ 160,748
----------- ----------- ----------- -----------
Net investment income $ 9,612,515 $ 15,876,758 $ 6,727,222 $ 587,787
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from Portfolio --
Investment transactions (identified cost basis) $ 3,859,973 $ 5,138,262 $ 3,329,691 $ 190,568
Financial futures contracts (448,159) 1,538,465 (412,532) 4,952
----------- ----------- ----------- -----------
Net realized gain on investments $ 3,411,814 $ 6,676,727 $ 2,917,159 $ 195,520
Change in unrealized appreciation (depreciation) of
investments 1,043,547 (1,784,299) (1,469,433) 20,049
----------- ----------- ----------- -----------
Net realized and unrealized gain $ 4,455,361 $ 4,892,428 $ 1,447,726 $ 215,569
----------- ----------- ----------- -----------
Net increase in net assets from operations $ 14,067,876 $ 20,769,186 $ 8,174,948 $ 803,356
=========== =========== =========== ===========
</TABLE>
See notes to financial statements
14
<PAGE> 15
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
FUND FUND FUND FUND
----------- ---------- ------------ -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income allocated from Portfolio $19,526,527 $9,714,791 $1,194,572 $ 1,135,405
Expenses allocated from Portfolio (1,577,831) (892,963) (61,678) (80,143)
----------- ---------- ------------ -------------
Net investment income from Portfolio $17,948,696 $8,821,828 $1,132,894 $ 1,055,262
----------- ---------- ------------ -------------
Expenses --
Compensation of Trustees not members of the
Administrator's organization $ 1,591 $ 1,591 $ 79 $ 79
Distribution costs (Note 5) 2,959,131 1,443,806 177,521 177,357
Custodian fee (Note 4) -- 11,900 2,704 1,816
Transfer and dividend disbursing agent fees 207,961 131,741 16,621 13,013
Printing and postage 74,920 45,481 10,139 13,096
Legal and accounting services 12,225 11,567 9,772 10,178
Amortization of organization expenses (Note 1D) -- 4,242 2,313 1,926
Miscellaneous 28,631 7,920 2,680 6,169
----------- ---------- ------------ -------------
Total expenses $ 3,284,459 $1,658,248 $ 221,829 $ 223,634
----------- ---------- ------------ -------------
Net investment income $14,664,237 $7,163,580 $ 911,065 $ 831,628
----------- ---------- ------------ -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from Portfolio --
Investment transactions (identified cost basis) $ 6,334,053 $1,145,430 $ 102,911 $ 107,758
Financial futures contracts (1,662,558) 640,602 (203,864) 74,510
----------- ---------- ------------ -------------
Net realized gain (loss) on investments $ 4,671,495 $1,786,032 $ (100,953) $ 182,268
Change in unrealized appreciation (depreciation) of
investments (1,504,461) (522,221) 263,673 156,089
----------- ---------- ------------ -------------
Net realized and unrealized gain $ 3,167,034 $1,263,811 $ 162,720 $ 338,357
----------- ---------- ------------ -------------
Net increase in net assets from operations $17,831,271 $8,427,391 $1,073,785 $ 1,169,985
============ =========== ================ ================
</TABLE>
See notes to financial statements
15
<PAGE> 16
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
FUND FUND FUND FUND
------------ ------------ -------------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 9,612,515 $ 15,876,758 $ 6,727,222 $ 587,787
Net realized gain on investments 3,411,814 6,676,727 2,917,159 195,520
Change in unrealized appreciation
(depreciation) of investments 1,043,547 (1,784,299) (1,469,433) 20,049
------------ ------------ ------------ ------------
Net increase in net assets from operations $ 14,067,876 $ 20,769,186 $ 8,174,948 $ 803,356
------------ ------------ ------------ ------------
Distributions to shareholders (Note 2) --
From net investment income $ (9,612,515) $(15,876,758) $ (6,727,222) $ (587,787)
In excess of net investment income (135,766) (520,830) (241,932) (23,787)
------------ ------------ ------------ ------------
Total distributions to shareholders $ (9,748,281) $(16,397,588) $ (6,969,154) $ (611,574)
------------ ------------ ------------ ------------
Transactions in shares of beneficial interest
(Note 3) --
Proceeds from sales of shares $ 7,572,075 $ 22,342,681 $ 5,965,095 $ 767,313
Net asset value of shares issued to
shareholders in payment of distributions
declared 3,951,801 5,551,324 3,449,551 308,873
Cost of shares redeemed (35,738,917) (70,857,207) (21,587,135) (2,770,544)
------------ ------------ ------------ ------------
Decrease in net assets from Fund share
transactions $(24,215,041) $(42,963,202) $(12,172,489) $(1,694,358)
------------ ------------ ------------ ------------
Net decrease in net assets $(19,895,446) $(38,591,604) $(10,966,695) $(1,502,576)
NET ASSETS:
At beginning of period 401,650,952 701,564,989 291,113,748 26,756,142
------------ ------------ ------------ ------------
At end of period $381,755,506 $662,973,385 $280,147,053 $25,253,566
============ ============ ============ ============
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS
OF ) NET INVESTMENT INCOME INCLUDED IN NET ASSETS
AT END OF PERIOD $ (368,846) $ (920,504) $ (680,015) $ 43,275
============ ============ ============ ============
</TABLE>
See notes to financial statements
16
<PAGE> 17
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
FUND FUND FUND FUND
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 14,664,237 $ 7,163,580 $ 911,065 $ 831,628
Net realized gain (loss) on investments 4,671,495 1,786,032 (100,953) 182,268
Change in unrealized appreciation
(depreciation) of investments (1,504,461) (522,221) 263,673 156,089
------------ ------------ ------------ -------------
Net increase in net assets from operations $ 17,831,271 $ 8,427,391 $ 1,073,785 $ 1,169,985
------------ ------------ ------------ -------------
Distributions to shareholders (Note 2) --
From net investment income $(14,664,237) $ (7,149,022) $ (911,065) $ (831,628)
In excess of net investment income (700,032) -- (68,873) (87,796)
------------ ------------ ------------ -------------
Total distributions to shareholders $(15,364,269) $ (7,149,022) $ (979,938) $ (919,424)
------------ ------------ ------------ -------------
Transactions in shares of beneficial interest
(Note 3) --
Proceeds from sales of shares $ 17,423,694 $ 6,433,826 $ 3,061,603 $ 963,543
Net asset value of shares issued to
shareholders in payment of distributions
declared 8,273,613 3,787,596 588,867 466,099
Cost of shares redeemed (48,111,829) (23,731,351) (3,676,158) (3,345,559)
------------ ------------ ------------ -------------
Decrease in net assets from Fund share
transactions $(22,414,522) $(13,509,929) $ (25,688) $(1,915,917)
------------ ------------ ------------ -------------
Net increase (decrease) in net assets $(19,947,520) $(12,231,560) $ 68,159 $(1,665,356)
NET ASSETS:
At beginning of period 640,604,565 315,890,898 39,863,556 39,569,061
------------ ------------ ------------ -------------
At end of period $620,657,045 $303,659,338 $39,931,715 $37,903,705
============== ============== ================ ================
ACCUMULATED DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME INCLUDED IN NET ASSETS AT END
OF PERIOD $ (1,536,175) $ (140,724) $ (53,416) $ (58,770)
============== ============== ================ ================
</TABLE>
See notes to financial statements
17
<PAGE> 18
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended September 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
FUND FUND FUND FUND
------------ ------------- -------------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 21,369,277 $ 35,945,283 $ 14,377,614 $ 1,313,433
Net realized loss on investments (22,891,673) (22,369,131) (14,866,687) (1,808,400)
Change in unrealized appreciation of
investments 33,006,120 53,649,034 23,022,471 2,924,484
------------ ------------ ------------ ------------
Net increase in net assets from operations $ 31,483,724 $ 67,225,186 $ 22,533,398 $ 2,429,517
------------ ------------ ------------ ------------
Distributions to shareholders (Note 2) --
From net investment income $(21,369,277) $ (35,945,283) $(14,377,614) $(1,313,433)
In excess of net investment income (681,676) (1,308,141) (782,428) (26,919)
In excess of net realized gain on investments (5,310,924) -- -- --
------------ ------------ ------------ ------------
Total distributions to shareholders $(27,361,877) $ (37,253,424) $(15,160,042) $(1,340,352)
------------ ------------ ------------ ------------
Transactions in shares of beneficial interest
(Note 3) --
Proceeds from sales of shares $ 31,953,914 $ 58,630,115 $ 24,105,023 $ 3,997,670
Net asset value of shares issued to
shareholders in payment of distributions
declared 11,558,278 12,826,713 7,571,220 720,817
Cost of shares redeemed (85,573,814) (160,730,616) (42,946,842) (5,822,919)
------------ ------------ ------------ ------------
Decrease in net assets from Fund share
transactions $(42,061,622) $ (89,273,788) $(11,270,599) $(1,104,432)
------------ ------------ ------------ ------------
Net decrease in net assets $(37,939,775) $ (59,302,026) $ (3,897,243) $ (15,267)
NET ASSETS:
At beginning of year 439,590,727 760,867,015 295,010,991 26,771,409
------------ ------------ ------------ ------------
At end of year $401,650,952 $ 701,564,989 $291,113,748 $26,756,142
============ ============ ============ ============
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS
OF ) NET INVESTMENT INCOME INCLUDED IN NET ASSETS
AT END OF YEAR $ (233,080) $ (399,674) $ (483,083) $ 67,062
============ ============ ============ ============
</TABLE>
See notes to financial statements
18
<PAGE> 19
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended September 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
FUND FUND FUND FUND
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 31,636,295 $ 15,126,457 $ 1,817,607 $ 1,822,975
Net realized loss on investments (19,110,545) (7,146,969) (1,216,232) (1,109,974)
Change in unrealized appreciation of
investments 42,472,710 20,789,278 2,606,308 2,703,423
------------ ------------ ------------ -------------
Net increase in net assets from operations $ 54,998,460 $ 28,768,766 $ 3,207,683 $ 3,416,424
------------ ------------ ------------ -------------
Distributions to shareholders (Note 2) --
From net investment income $(31,636,295) $(15,126,457) $(1,817,607) $(1,822,975)
In excess of net investment income (1,601,605) (648,308) (91,415) (94,123)
------------ ------------ ------------ -------------
Total distributions to shareholders $(33,237,900) $(15,774,765) $(1,909,022) $(1,917,098)
------------ ------------ ------------ -------------
Transactions in shares of beneficial interest
(Note 3) --
Proceeds from sales of shares $ 52,161,842 $ 21,347,938 $ 8,679,039 $ 2,943,218
Net asset value of shares issued to
shareholders in payment of distributions
declared 18,178,003 8,621,125 1,088,603 974,647
Cost of shares redeemed (99,820,704) (48,649,678) (5,463,453) (4,324,044)
------------ ------------ ------------ -------------
Increase (decrease) in net assets from Fund
share transactions $(29,480,859) $(18,680,615) $ 4,304,189 $ (406,179)
------------ ------------ ------------ -------------
Net increase (decrease) in net assets $ (7,720,299) $ (5,686,614) $ 5,602,850 $ 1,093,147
NET ASSETS:
At beginning of year 648,324,864 321,577,512 34,260,706 38,475,914
------------ ------------ ------------ -------------
At end of year $640,604,565 $315,890,898 $39,863,556 $39,569,061
============== ============== ================ ================
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS
OF ) NET INVESTMENT INCOME INCLUDED IN NET
ASSETS AT END OF YEAR $ (836,143) $ (155,282) $ 15,457 $ 29,026
============== ============== ================ ================
</TABLE>
See notes to financial statements
19
<PAGE> 20
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON CALIFORNIA FUND
----------------------------------------------------------------------------------------------
YEAR ENDED
----------------------------------------------------------------------
SIX MONTHS ENDED SEPTEMBER 30, MARCH 31,
MARCH 31, 1996 ----------------------- ----------------------------------------
(UNAUDITED) 1995 1994* 1994 1993 1992**
----------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of
period $ 9.410 $ 9.290 $ 9.560 $ 10.200 $ 9.850 $ 10.000
------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.232 $ 0.475 $ 0.240 $ 0.480 $ 0.509 $ 0.264
Net realized and unrealized
gain (loss) on investments 0.093 0.253 (0.234) (0.395) 0.524 (0.100)
------- -------- -------- -------- -------- --------
Total income from
operations $ 0.325 $ 0.728 $ 0.006 $ 0.085 $ 1.033 $ 0.164
------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
From net investment income $ (0.232) $ (0.475) $ (0.240) $ (0.480) $ (0.509) $ (0.264)
In excess of net investment
income (0.003) (0.016) (0.036) (0.092) (0.115) (0.050)
From net realized gain on
investment transactions -- -- -- (0.153) (0.059) --
In excess of net realized gain
on investment transactions -- (0.117) -- -- -- --
------- -------- -------- -------- -------- --------
Total distributions $ (0.235) $ (0.608) $ (0.276) $ (0.725) $ (0.683) $ (0.314)
------- -------- -------- -------- -------- --------
NET ASSET VALUE, end of period $ 9.500 $ 9.410 $ 9.290 $ 9.560 $ 10.200 $ 9.850
========== ========= ========= ========= ========= =========
TOTAL RETURN (3) 3.43% 8.30% 0.06% 0.55% 10.82% 3.29%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000
omitted) $ 381,756 $401,742 $439,591 $463,414 $438,938 $362,597
Ratio of net expenses to
average daily net assets
(1)(4) 1.66%+ 1.65% 1.63%+ 1.67% 1.84% 1.87%+
Ratio of net expenses to
average daily net assets,
after expense reductions
(1)(4) 1.66%+ 1.64% 1.63%+ 1.67% 1.84% 1.87%+
Ratio of net investment income
to average daily net assets 4.80%+ 5.19% 5.06%+ 4.64% 5.05% 5.28%+
PORTFOLIO TURNOVER (2) -- -- -- 5% 139% 65%
<CAPTION>
MARATHON
CALIFORNIA FUND
-----------------------
SEPTEMBER 30,
-----------------------
1991 1990
-------- --------
<S> <C> <C>
NET ASSET VALUE, beginning of
period $ 9.570 $ 9.880
-------- --------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.533 $ 0.558
Net realized and unrealized
gain (loss) on investments 0.544 (0.203)
-------- --------
Total income from
operations $ 1.077 $ 0.355
-------- --------
LESS DISTRIBUTIONS:
From net investment income $ (0.533) $ (0.558)
In excess of net investment
income (0.114) (0.107)
From net realized gain on
investment transactions -- --
In excess of net realized gain
on investment transactions -- --
-------- --------
Total distributions $ (0.647) $ (0.665)
-------- --------
NET ASSET VALUE, end of period $ 10.000 $ 9.570
========= =========
TOTAL RETURN (3) 11.59% 3.63%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000
omitted) $353,990 $281,723
Ratio of net expenses to
average daily net assets
(1)(4) 1.90%+ 1.95%
Ratio of net expenses to
average daily net assets,
after expense reductions
(1)(4) 1.90%+ 1.95%
Ratio of net investment income
to average daily net assets 5.42%+ 5.65%
PORTFOLIO TURNOVER (2) 36% 13%
* For the six months ended September 30, 1994. The Fund changed its fiscal year from March 31 to September 30, effective
September 30, 1994.
** For the six months ended March 31, 1992. The Fund changed its fiscal year end from September 30, to March 31, effective March
31, 1992.
+ Annualized.
(1) Includes the Fund's share of its corresponding Portfolio's allocated expenses.
(2) Portfolio Turnover represents the rate of portfolio activity for the period while the Fund was making investments directly in
securities. The portfolio turnover rate for the period since the Fund transferred substantially all of its investable assets
to its respective Portfolio is shown in the Portfolio's 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 non-annualized basis.
(4) The annualized expense ratios for the six months ended March 31, 1996 and for the year ended September 30, 1995 have been
adjusted to reflect a change in reporting requirements. The new reporting guidelines require the Fund, as well as its
corresponding 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 periods ended on or before September 30, 1994 have not been adjusted to reflect
this change.
</TABLE>
See notes to financial statements
20
<PAGE> 21
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON FLORIDA FUND
---------------------------------------------------------------------------------------------
YEAR ENDED
--------------------------------------------------------------------
SIX MONTHS ENDED SEPTEMBER 30,
MARCH 31, 1996 --------------------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991
------------------ -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of
period $ 10.720 $ 10.270 $ 11.700 $ 10.940 $ 10.690 $ 9.990
------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.250 $ 0.514 $ 0.514 $ 0.516 $ 0.541 $ 0.573
Net realized and unrealized gain
(loss) on investments 0.058 0.469 (1.228) 1.040 0.434 0.838
------- -------- -------- -------- -------- --------
Total income (loss) from
operations $ 0.308 $ 0.983 $ (0.714) $ 1.556 $ 0.975 $ 1.411
------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
From net investment income $ (0.250) $ (0.514) $ (0.514) $ (0.516) $ (0.541) $ (0.573)
In excess of net investment
income (0.008) (0.019) (0.082) (0.121) (0.127) (0.138)
From net realized gain on
investment transactions -- -- -- (0.159) (0.057) --
In excess of net realized gain
on investment transactions -- -- (0.120) -- -- --
------- -------- -------- -------- -------- --------
Total distributions $ (0.258) $ (0.533) $ (0.716) $ (0.796) $ (0.725) $ (0.711)
------- -------- -------- -------- -------- --------
NET ASSET VALUE, end of period $ 10.770 $ 10.720 $ 10.270 $ 11.700 $ 10.940 $ 10.690
==================== ========= ========= ========= ========= =========
TOTAL RETURN (3) 2.89% 9.90% (6.34)% 14.85% 9.41% 14.45%
RATIOS/SUPPLEMENTAL DATA*:
Net assets, end of period (000
omitted) $662,973 $701,565 $760,867 $776,856 $463,279 $233,021
Ratio of net expenses to average
daily net assets (1)(4) 1.56%+ 1.54% 1.44% 1.53% 1.64% 1.56%
Ratio of net expenses to average
daily net assets,
after expense reductions
(1)(4) 1.53%+ 1.51% 1.44% 1.53% 1.64% 1.56%
Ratio of net investment income
to average daily net assets 4.55%+ 4.97% 4.70% 4.54% 4.91% 5.33%
PORTFOLIO TURNOVER (2) -- -- -- 9% 95% 72%
</TABLE>
* For the year ended September 30, 1991, the operating expenses of the Fund and
the Portfolio 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, the ratios would have been as follows:
<TABLE>
<S> <C>
NET INVESTMENT INCOME PER SHARE $0.561
=====
RATIOS (As a percentage of average daily net assets):
Expenses (1)(4) 1.67%
Net investment income 5.22%
+ Annualized.
(1) Includes the Fund's share of its corresponding Portfolio's allocated expenses.
(2) Portfolio Turnover represents the rate of portfolio activity for the period while the Fund was making investments directly in
securities. The portfolio turnover rate for the period since the Fund transferred substantially all of its investable assets
to its respective Portfolio is shown in the Portfolio's 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 non-annualized basis.
(4) The annualized expense ratios for the six months ended March 31, 1996 and for the year ended September 30, 1995 have been
adjusted to reflect a change in reporting requirements. The new reporting guidelines require the Fund, as well as its
corresponding 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 periods ended on or before September 30, 1994 have not been adjusted to reflect
this change.
</TABLE>
See notes to financial statements
21
<PAGE> 22
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON
MARATHON MASSACHUSETTS FUND MISSISSIPPI FUND
------------------------------------------------------------------------------ -----------------
YEAR ENDED
---------------------------------------------------------
SIX MONTHS ENDED SEPTEMBER 30, SIX MONTHS ENDED
MARCH 31, 1996 --------------------------------------------------------- MARCH 31, 1996
(UNAUDITED) 1995 1994 1993 1992 1991++ (UNAUDITED)
----------------- -------- -------- -------- -------- ------- -----------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning
of period $ 10.270 $ 9.990 $ 11.250 $ 10.640 $ 10.250 $10.000 $ 9.480
------- -------- -------- -------- -------- ------- ------
INCOME (LOSS) FROM
OPERATIONS:
Net investment income $ 0.242 $ 0.499 $ 0.505 $ 0.514 $ 0.526 $ 0.245 $ 0.214
Net realized and
unrealized gain (loss)
on investments 0.039 0.307 (1.108) 0.784 0.556 0.305+++ 0.049
------- -------- -------- -------- -------- ------- ------
Total income (loss)
from operations $ 0.281 $ 0.806 $ (0.603) $ 1.298 $ 1.082 $ 0.550 $ 0.263
------- -------- -------- -------- -------- ------- ------
LESS DISTRIBUTIONS:
From net investment income $ (0.242) $ (0.499) $ (0.505) $ (0.514) $ (0.526) $(0.245) $(0.214)
In excess of net
investment income (0.009) (0.027) (0.087) (0.116) (0.142) (0.055) (0.009)
From net realized gain on
investment transactions -- -- -- (0.058) (0.024) -- --
In excess of net realized
gain on investment
transactions -- -- (0.065) -- -- -- --
------- -------- -------- -------- -------- ------- ------
Total distributions $ (0.251) $ (0.526) $ (0.657) $ (0.688) $ (0.692) $(0.300) $(0.223)
------- -------- -------- -------- -------- ------- ------
NET ASSET VALUE, end of
period $ 10.300 $ 10.270 $ 9.990 $ 11.250 $ 10.640 $10.250 $ 9.520
========== ========= ========= ========= ========= ======== ========
TOTAL RETURN (3) 2.70% 8.38% (5.57)% 12.67% 10.88% 5.33% 2.74%
RATIOS/SUPPLEMENTAL DATA**:
Net assets, end of period
(000 omitted) $ 280,147 $291,114 $295,011 $286,801 $165,964 $35,532 $25,254
Ratio of net expenses to
average daily net assets
(1)(4) 1.62%+ 1.58% 1.50% 1.58% 1.64% 1.28%+ 1.58%+
Ratio of net expenses to
average daily net
assets, after expense
reductions (1)(4) 1.60%+ 1.55% 1.50% 1.58% 1.64% 1.28%+ 1.55%+
Ratio of net investment
income to average daily
net assets 4.61%+ 5.00% 4.75% 4.69% 4.85% 5.15%+ 4.42%+
PORTFOLIO TURNOVER (2) -- -- -- 27% 72% 21% --
<CAPTION>
MARATHON
MISSISSIPPI FUND
-----------------------------
YEAR ENDED
-----------------------------
SEPTEMBER 30,
-----------------------------
1995 1994 1993*
------- ------- -------
<S> <C> <C> <C>
NET ASSET VALUE, beginning
of period $ 9.110 $10.260 $10.000
------- ------- -------
INCOME (LOSS) FROM
OPERATIONS:
Net investment income $ 0.449 $ 0.453 $ 0.106
Net realized and
unrealized gain (loss)
on investments 0.379 (1.072) 0.300
------- ------- -------
Total income (loss)
from operations $ 0.828 $(0.619) $ 0.406
------- ------- -------
LESS DISTRIBUTIONS:
From net investment income $(0.449) $(0.453) $(0.106)
In excess of net
investment income (0.009) (0.071) (0.040)
From net realized gain on
investment transactions -- -- --
In excess of net realized
gain on investment
transactions -- (0.007) --
------- ------- -------
Total distributions $(0.458) $(0.531) $(0.146)
------- ------- -------
NET ASSET VALUE, end of
period $ 9.480 $ 9.110 $10.260
======== ======== ========
TOTAL RETURN (3) 9.40% (6.20)% 3.85%
RATIOS/SUPPLEMENTAL DATA**:
Net assets, end of period
(000 omitted) $26,756 $26,771 $11,810
Ratio of net expenses to
average daily net assets
(1)(4) 1.36% 0.99% 0.75%+
Ratio of net expenses to
average daily net
assets, after expense
reductions (1)(4) 1.32% 0.99% 0.75%+
Ratio of net investment
income to average daily
net assets 4.89% 4.63% 3.50%+
PORTFOLIO TURNOVER (2) -- -- --
</TABLE>
** For the period from the start of business, April 18, 1991, to September 30,
1991, (for Marathon Massachusetts Fund) and for the six months ended March
31, 1996, the years ended September 30, 1995 and 1994 and for the period from
the start of business June 11, 1993, to September 30, 1993,(for Marathon
Mississippi 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, the
ratios would have been as follows:
<TABLE>
<S> <C> <C>
NET INVESTMENT INCOME PER SHARE $0.226 $0.209
====== ======
RATIOS (As a percentage of average daily net assets):
Expenses (1)(4) 1.68%+ 1.68%+
Net investment income 4.75%+ 4.32%+
</TABLE>
<TABLE>
<S> <C> <C> <C>
NET INVESTMENT INCOME PER SHARE 0.437 $0.407 $0.085
===== ====== ======
RATIOS (As a percentage of average daily net assets):
Expenses (1)(4) 1.49% 1.45% 1.44%+
Net investment income 4.76% 4.17% 2.81%+
</TABLE>
* For the period from the start of business, June 11, 1993, to September 30,
1993.
+ Annualized.
++ For the period from the start of business, April 18,
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 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 non-annualized basis.
(4) The annualized expense ratios for the six months ended March 31, 1996 and
year ended September 30, 1995 have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require each Fund, as
well as its corresponding 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 periods ended on or before September 30, 1994
have not been adjusted to reflect this change.
See notes to financial statements
22
<PAGE> 23
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON NEW YORK FUND
---------------------------------------------------------------------------------------------
YEAR ENDED
--------------------------------------------------------------------
SIX MONTHS ENDED SEPTEMBER 30,
MARCH 31, 1996 --------------------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991
------------------ -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of
period $ 10.830 $ 10.450 $ 11.880 $ 11.070 $ 10.740 $ 9.950
------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.252 $ 0.523 $ 0.528 $ 0.535 $ 0.553 $ 0.563
Net realized and unrealized gain
(loss) on investments 0.042 0.406 (1.165) 1.014 0.524 0.929
------- -------- -------- -------- -------- --------
Total income (loss) from
operations $ 0.294 $ 0.929 $ (0.637) $ 1.549 $ 1.077 $ 1.492
------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
From net investment income $ (0.252) $ (0.523) $ (0.528) $ (0.535) $ (0.553) $ (0.563)
In excess of net investment
income (0.012) (0.026) (0.089) (0.120) (0.135) (0.139)
From net realized gain on
investment transactions -- -- -- (0.084) (0.059) --
In excess of net realized gain
on investment transactions -- -- (0.176) -- -- --
------- -------- -------- -------- -------- --------
Total distributions $ (0.264) (0.549) $ (0.793) $ (0.739) $ (0.747) $ (0.702)
------- -------- -------- -------- -------- --------
NET ASSET VALUE, end of period $ 10.860 10.830 $ 10.450 $ 11.880 $ 11.070 $ 10.740
====================== ========= ========= ========= ========= =========
TOTAL RETURN (3) 2.68% 9.23% (5.62)% 14.53% 10.41% 15.58%
RATIOS/SUPPLEMENTAL DATA*:
Net assets, end of period (000
omitted) $620,657 $640,605 $648,325 $650,361 $415,144 $161,037
Ratio of net expenses to average
daily net assets (1)(4) 1.53%+ 1.55% 1.46% 1.55% 1.65% 1.62%
Ratio of expenses to average
daily net assets,
after expense reductions
(1)(4) 1.51%+ 1.53% 1.46% 1.55% 1.65% 1.62%
Ratio of net investment income
to average daily net assets 4.55%+ 4.99% 4.72% 4.68% 4.99% 5.28%
PORTFOLIO TURNOVER (2) -- -- -- 11% 57% 50%
</TABLE>
* For the year ended September 30, 1991, the operating expenses of the Fund
reflect a reduction of the investment adviser fee, an allocation of expenses
to the Investment Adviser, or both. Had such actions not been taken, the
ratios would have been as follows:
<TABLE>
<S> <C>
NET INVESTMENT INCOME PER SHARE $0.556
======
RATIOS (As a percentage of
average daily net assets):
Expenses (1)(4) 1.69%
Net investment income 5.21%
+ Annualized.
(1) Includes the Fund's share of its corresponding Portfolio's allocated expenses.
(2) Portfolio Turnover represents the rate of portfolio activity for the period while the Fund was making investments directly in
securities. The portfolio turnover rate for the period since the Fund transferred substantially all of its investable assets
to its respective Portfolio is shown in the Portfolio's 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 non-annualized basis.
(4) The annualized expense ratios for the six months ended March 31, 1996 and year ended September 30, 1995 have been adjusted to
reflect a change in reporting requirements. The new reporting guidelines require the Fund, as well as its corresponding
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 periods ended on or before September 30, 1994 have not been adjusted to reflect this change.
</TABLE>
See notes to financial statements
23
<PAGE> 24
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON OHIO FUND
--------------------------------------------------------------------------------------------
YEAR ENDED
-------------------------------------------------------------------
SIX MONTHS ENDED SEPTEMBER 30,
MARCH 31, 1996 -------------------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991*
------------------ -------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, beginning of
period $ 10.510 $ 10.070 $ 11.300 $ 10.550 $ 10.210 $10.000
------- -------- -------- -------- -------- -------
INCOME (LOSS) FROM OPERATIONS:
Net investment income $ 0.243 $ 0.487 $ 0.494 $ 0.499 $ 0.509 $ 0.245
Net realized and unrealized gain
(loss) on investments 0.030 0.461 (1.081) 0.901 0.495 0.261++
------- -------- -------- -------- -------- -------
Total income (loss) from
operations $ 0.273 $ 0.948 $ (0.587) $ 1.400 $ 1.004 $ 0.506
------- -------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
From net investment income $ (0.243) $ (0.487) $ (0.494) $ (0.499) $ (0.509) $(0.245)
In excess of net investment
income -- (0.021) (0.084) (0.118) (0.137) (0.051)
From net realized gain on
investment transactions -- -- -- (0.033) (0.018) --
In excess of net realized gain on
investment transactions -- -- (0.065) -- -- --
------- -------- -------- -------- -------- -------
Total distributions $ (0.243) $ (0.508) $ (0.643) $ (0.650) $ (0.664) $(0.296)
------- -------- -------- -------- -------- -------
NET ASSET VALUE, end of period $ 10.540 $ 10.510 $ 10.070 $ 11.300 $ 10.550 $10.210
====================== ========= ========= ========= ========= ========
TOTAL RETURN (3) 2.57% 9.74% (5.39)% 13.74% 10.13% 4.88%
RATIOS/SUPPLEMENTAL DATA**:
Net assets, end of period (000
omitted) $303,659 $315,891 $321,578 $299,331 $164,400 $51,215
Ratio of net expenses to average
daily net assets (1)(4) 1.64%+ 1.59% 1.50% 1.58% 1.65% 1.47%+
Ratio of net expenses to average
daily net assets,
after expense reductions (1)(4) 1.63%+ 1.57% 1.50% 1.58% 1.65% 1.47%+
Ratio of net investment income to
average daily net assets 4.54%+ 4.80% 4.62% 4.57% 4.87% 5.04%+
PORTFOLIO TURNOVER (2) -- -- -- 12% 40% 11%
</TABLE>
** For the period from the start of business, April 18, 1991 to September 30,
1991, the operating expenses of the Fund reflect a reduction of the
investment adviser fee, an allocation of expenses to the Investment Adviser,
or both. Had such actions not been taken, the ratios would have been as
follows:
<TABLE>
<S> <C>
NET INVESTMENT INCOME PER SHARE $0.243
======
RATIOS (As a percentage of average
daily net assets):
Expenses (1)(4) 1.52%+
Net investment income 4.99%+
* For the period from the start of business, April 18, 1991, to September 30, 1991.
+ Annualized.
++ 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 the Fund's share of its corresponding Portfolio's allocated expenses.
(2) Portfolio Turnover represents the rate of portfolio activity for the period while the Fund was making investments directly in
securities. The portfolio turnover rate for the period since the Fund transferred substantially all of its investable assets
to its respective Portfolio is shown in the Portfolio's 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 non-annualized basis.
(4) The annualized expense ratios for the six months ended March 31, 1996 and for the year ended September 30, 1995 have been
adjusted to reflect a change in reporting requirements. The new reporting guidelines require the Fund, as well as its
corresponding 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 periods ended on or before September 30, 1994 have not been adjusted to reflect
this change.
</TABLE>
See notes to financial statements
24
<PAGE> 25
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARATHON WEST VIRGINIA FUND
--------------------------------
MARATHON RHODE ISLAND FUND SEPTEMBER
------------------------------------------------------------ 30,
SEPTEMBER 30, -------
-----------------------------------
YEAR
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED ENDED
MARCH 31, 1996 ----------------------------------- MARCH 31, 1996 -------
(UNAUDITED) 1995 1994 1993* (UNAUDITED) 1995
------------------ ------- ------ ------- ------------------ -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
beginning of year $ 9.400 $ 9.090 $10.330 $10.000 $ 9.500 $ 9.130
------ ------- ------- ------- ------ -------
INCOME (LOSS) FROM
OPERATIONS:
Net investment income $ 0.215 $ 0.452 $ 0.454 $ 0.113 $ 0.204 $ 0.436
Net realized and
unrealized gain on
investments 0.036 0.332 (1.146) 0.361 0.072 0.393
------ ------- ------- ------- ------ -------
Total income (loss)
from operations $ 0.251 $ 0.784 $(0.692) $ 0.474 $ 0.276 $ 0.829
------ ------- ------- ------- ------ -------
LESS DISTRIBUTIONS:
From net investment
income $ (0.215) $(0.452) $(0.454) $(0.113) $ (0.204) $(0.436)
In excess of net
investment income (0.016) (0.022) (0.078) (0.008) (0.022) (0.023)
From net realized gain
on investment
transactions -- -- -- (0.023) -- --
In excess of net
realized gain on
investment
transactions -- -- (0.016) -- -- --
------ ------- ------- ------- ------ -------
Total distributions $ (0.231) $(0.474) $(0.548) $(0.144) $ (0.226) $(0.459)
------ ------- ------- ------- ------ -------
NET ASSET VALUE, end of
year $ 9.420 $ 9.400 $ 9.090 $10.330 $ 9.550 $ 9.500
======== ======= ======= ======= ======== =======
TOTAL RETURN (2) 2.64% 8.94% (6.91)% 4.53% 2.87% 9.39%
RATIOS/SUPPLEMENTAL
DATA**:
Net assets, end of year
(000 omitted) $ 39,932 $39,864 $34,261 $17,680 $ 37,904 $39,569
Ratio of net expenses to
average daily net
assets (1)(3) 1.41%+ 1.33% 1.02% 0.75%+ 1.57%+ 1.40%
Ratio of net expenses to
average daily net
assets, after expense
reductions (1)(3) 1.39%+ 1.29% 1.02% 0.75%+ 1.54%+ 1.38%
Ratio of net investment
income to average
daily net assets 4.48%+ 4.92% 4.65% 3.70%+ 4.20%+ 4.74%
</TABLE>
<TABLE>
<CAPTION>
MARATHON WEST VIRGINIA FUND
---------------------------
SEPTEMBER 30,
---------------------------
YEAR END
---------------------------
1994 1993*
------- -------
<S> <C> <C>
NET ASSET VALUE,
beginning of year $10.220 $10.000
------- -------
INCOME (LOSS) FROM
OPERATIONS:
Net investment income $ 0.450 $ 0.103
Net realized and
unrealized gain on
investments (1.011) 0.262
------- -------
Total income (loss)
from operations $(0.561) $ 0.365
------- -------
LESS DISTRIBUTIONS:
From net investment
income $(0.450) $(0.103)
In excess of net
investment income (0.069) (0.042)
From net realized gain
on investment
transactions -- --
In excess of net
realized gain on
investment
transactions (0.010) --
------- -------
Total distributions $(0.529) $(0.145)
------- -------
NET ASSET VALUE, end of
year $ 9.130 $10.220
======== ========
TOTAL RETURN (2) (5.66)% 3.47%
RATIOS/SUPPLEMENTAL
DATA**:
Net assets, end of year
(000 omitted) $38,476 $25,717
Ratio of net expenses to
average daily net
assets (1)(3) 0.95% 0.75%+
Ratio of net expenses to
average daily net
assets, after expense
reductions (1)(3) 0.95% 0.75%+
Ratio of net investment
income to average
daily net assets 4.62% 3.40%+
</TABLE>
** For the period from the start of business, June 11, 1993 to September 30,
1993 (for the Marathon Rhode Island and Marathon West Virginia Funds), for
the years ended September 30, 1994 and 1995, and for the six months ended
March 31, 1996, 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, the
ratios would have been as follows:
<TABLE>
<CAPTION>
MARATHON RHODE ISLAND FUND MARATHON WEST VIRGINIA FUND
-------------------------------------------------------- ------------------------------------
SEPTEMBER 30, SEPTEMBER 30,
SIX MONTHS ----------------------------------- SIX MONTHS ------------------
ENDED YEAR ENDED ENDED YEAR ENDED
MARCH 31, 1996 ----------------------------------- MARCH 31, 1996 ------------------
(UNAUDITED) 1995 1994 1993* (UNAUDITED) 1995
-------------- ----- ---- ----- ---------------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET INVESTMENT INCOME PER
SHARE $0.209 $0.440 $0.418 $0.096 $0.429
====== ====== ====== ====== ======
RATIOS (As a percentage
of average daily
net assets):
Expenses (1)(3) 1.54%+ 1.46% 1.38% 1.30%+ 1.48%
Net investment
income 4.35%+ 4.79% 4.29% 3.15%+ 4.66%
</TABLE>
<TABLE>
<CAPTION>
MARATHON WEST VIRGINIA FUND
---------------------------
SEPTEMBER 30,
---------------------------
YEAR ENDED
---------------------------
1994 1993*
---- ----
<S> <C> <C>
NET INVESTMENT INCOME PER
SHARE $0.414 $0.090
====== ======
RATIOS (As a percentage
of average daily
net assets):
Expenses (1)(3) 1.32% 1.19%+
Net investment
income 4.25% 2.96%+
</TABLE>
* For the period from the start of business, June 11, 1993, to September 30,
1993.
+ Computed on an annualized basis.
(1) Includes each Fund's share of its corresponding Portfolio's allocated
expenses.
(2) 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 non-annualized basis.
(3) The annualized expense ratios for the six months ended March 31, 1996 and
for year ended September 30, 1995 have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require each Fund, as
well as its corresponding 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 periods ended on or before September 30,
1994 have not been adjusted to reflect this change.
See notes to financial statements
25
<PAGE> 26
- --------------------------------------------------------------------------------
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 (1940 Act), as amended, as an open-end management investment
company. The Trust presently consists of sixty-six Funds, eight of which are
included in these financial statements. They include EV Marathon California
Municipals Fund ("Marathon California Fund"), EV Marathon Florida Municipals
Fund ("Marathon Florida Fund"), EV Marathon Massachusetts Municipals Fund
("Marathon Massachusetts Fund"), EV Marathon Mississippi Municipals Fund
("Marathon Mississippi Fund"), EV Marathon New York Municipals Fund ("Marathon
New York Fund"), EV Marathon Ohio Municipals Fund ("Marathon Ohio Fund"), EV
Marathon Rhode Island Municipals Fund ("Marathon Rhode Island Fund") and EV
Marathon West Virginia Municipals Fund ("Marathon West Virginia Fund"), each of
which is registered under the 1940 Act as a non-diversified management
investment company. 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 California Fund invests its assets in the
California Municipals Portfolio, the Marathon Florida Fund invests its assets in
the Florida Municipals Portfolio, the Marathon Massachusetts Fund invests its
assets in the Massachusetts Municipals Portfolio, the Marathon Mississippi Fund
invests its assets in the Mississippi Municipals Portfolio, the Marathon New
York Fund invests its assets in the New York Municipals Portfolio, the Marathon
Ohio Fund invests its assets in the Ohio Municipals Portfolio, the Marathon
Rhode Island Fund invests its assets in the Rhode Island Municipals Portfolio
and the Marathon West Virginia Fund invests its assets in the West 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 (98.6%, 98.7%, 96.6%, 94.7%, 98.2%, 99.2%, 94.1% and 97.1% at March
31, 1996 for the Marathon California Fund, Marathon Florida Fund, Marathon
Massachusetts Fund, Marathon Mississippi Fund, Marathon New York Fund, Marathon
Ohio Fund, Marathon Rhode Island Fund and Marathon West 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 September 30, 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 which would otherwise be necessary to relieve the
Funds of any liability for federal income or excise tax.
The amounts and expiration dates of the capital loss carryovers are as follows:
<TABLE>
<CAPTION>
FUND AMOUNT EXPIRES
- --------------------- ----------- -------------------
<S> <C> <C>
Marathon California $11,121,204 September 30, 2003
Fund 11,262,006 September 30, 2002
Marathon Florida Fund 8,281,796 September 30, 2003
24,692 September 30, 2002
Marathon 6,416,286 September 30, 2003
Massachusetts
Fund 285,596 September 30, 2002
Marathon Mississippi 734,285 September 30, 2003
Fund 5,775 September 30, 2002
Marathon New York 5,962,872 September 30, 2003
Fund
Marathon Ohio Fund 1,133,301 September 30, 2003
50,474 September 30, 2002
Marathon Rhode Island 485,900 September 30, 2003
Fund
Marathon West 485,831 September 30, 2003
Virginia
Fund
</TABLE>
Additionally, at September 30, 1995, net capital losses of $22,903,178,
$20,916,825, $13,836,423, $1,675,253,
26
<PAGE> 27
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
$16,853,801, $6,634,524, $1,257,400 and $1,075,297 for the Marathon California
Fund, Marathon Florida Fund, Marathon Massachusetts Fund, Marathon Mississippi
Fund, Marathon New York Fund, Marathon Ohio Fund, Marathon Rhode Island Fund and
Marathon West Virginia Fund, respectively, attributable to security transactions
incurred after October 31, 1994, are treated as arising on the first day of the
Fund's current taxable year.
Dividends paid by each Fund from net tax-exempt interest on 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
March 31, 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.
- --------------------------------------------------------------------------------
(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.
27
<PAGE> 28
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(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 CALIFORNIA MARATHON FLORIDA
FUND FUND
----------------------------------- -----------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
MARCH 31, 1996 SEPTEMBER 30, MARCH 31, 1996 SEPTEMBER 30,
(UNAUDITED) 1995 (UNAUDITED) 1995
---------------- ------------- ---------------- -------------
<S> <C> <C> <C> <C>
Sales 779,664 3,478,892 2,024,386 5,797,384
Issued to shareholders electing
to receive payments of
distributions in Fund shares 409,152 1,273,209 506,192 1,236,930
Redemptions (3,691,605) (9,381,175) (6,428,713) (15,643,446)
--------- --------- --------- ----------
Net decrease (2,502,789) (4,629,074) (3,898,135) (8,609,132)
========= ========= ========= ==========
</TABLE>
<TABLE>
<CAPTION>
MARATHON MASSACHUSETTS MARATHON MISSISSIPPI
FUND FUND
----------------------------------- -----------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
MARCH 31, 1996 SEPTEMBER 30, MARCH 31, 1996 SEPTEMBER 30,
(UNAUDITED) 1995 (UNAUDITED) 1995
---------------- ------------- ---------------- -------------
<S> <C> <C> <C> <C>
Sales 566,920 2,418,632 79,333 439,994
Issued to shareholders electing
to receive payments of
distributions in Fund shares 329,286 756,878 31,837 78,375
Redemptions (2,052,806) (4,355,177) (282,753) (633,453)
--------- --------- ------- -------
Net decrease (1,156,600) (1,179,667) (171,583) (115,084)
========= ========= ======= =======
</TABLE>
<TABLE>
<CAPTION>
MARATHON NEW YORK MARATHON OHIO
FUND FUND
----------------------------------- -----------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
MARCH 31, 1996 SEPTEMBER 30, MARCH 31, 1996 SEPTEMBER 30,
(UNAUDITED) 1995 (UNAUDITED) 1995
---------------- ------------- ---------------- -------------
<S> <C> <C> <C> <C>
Sales 1,570,114 5,005,648 599,855 2,118,269
Issued to shareholders electing
to receive payments of
distributions in Fund shares 748,706 1,732,283 354,063 849,588
Redemptions (4,341,545) (9,610,242) (2,211,106) (4,831,591)
--------- --------- --------- ---------
Net decrease (2,022,725) (2,872,311) (1,257,188) (1,863,734)
========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
MARATHON RHODE ISLAND MARATHON WEST VIRGINIA
FUND FUND
----------------------------------- -----------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
MARCH 31, 1996 SEPTEMBER 30, MARCH 31, 1996 SEPTEMBER 30,
(UNAUDITED) 1995 (UNAUDITED) 1995
---------------- ------------- ---------------- -------------
<S> <C> <C> <C> <C>
Sales 319,058 961,602 98,784 322,690
Issued to shareholders electing
to receive payments of
distributions in Fund shares 61,455 118,812 48,008 105,808
Redemptions (381,399) (608,786) (343,072) (475,261)
------- ------- ------- -------
Net increase (decrease) (886) 471,628 (196,280) (46,763)
======= ======= ======= =======
</TABLE>
28
<PAGE> 29
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(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 and BMR.
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).
- --------------------------------------------------------------------------------
(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 March 31, 1996, Marathon
California Fund, Marathon Florida Fund, Marathon Massachusetts Fund, Marathon
Mississippi Fund, Marathon New York Fund, Marathon Ohio Fund, Marathon Rhode
Island Fund, and Marathon West Virginia Fund, paid or accrued $1,504,468,
$2,624,263, $1,103,286, $99,910, $2,422,020, $1,184,653, $152,891 and $148,746,
respectively, to or payable to EVD, representing 0.75% of average daily net
assets. At March 31, 1996, the amount of Uncovered Distribution Charges of EVD
calculated under the Plans for Marathon California Fund, Marathon Florida Fund,
Marathon Massachusetts Fund, Marathon Mississippi Fund, Marathon New York Fund,
Marathon Ohio Fund, Marathon Rhode Island Fund, and Marathon West Virginia Fund
were approximately $5,991,000, $20,073,000, $8,985,000, $1,113,000, $17,755,000,
$9,907,000, $1,713,000 and $1,542,000, 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% (0.25% for the Marathon California Fund)
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 March 31, 1996, Marathon California Fund, Marathon Florida
Fund, Marathon Massachusetts Fund, Marathon Mississippi Fund, Marathon New York
Fund, Marathon Ohio Fund, Marathon Rhode Island Fund and Marathon West Virginia
Fund paid or accrued service fees to or payable to EVD in the amount of
$407,546, $574,505, $252,060, $25,264, $537,111, $259,153, $24,630 and $28,611,
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.
29
<PAGE> 30
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(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 $497,300, $1,372,100, $528,700, $67,000,
$977,400, $566,700, $112,600 and $115,000 of CDSC paid by shareholders of
Marathon California Fund, Marathon Florida Fund, Marathon Massachusetts Fund,
Marathon Mississippi Fund, Marathon New York Fund, Marathon Ohio Fund, Marathon
Rhode Island Fund and Marathon West Virginia Fund, respectively, for the six
months ended March 31, 1996.
- --------------------------------------------------------------------------------
(7) INVESTMENT TRANSACTIONS
Increases and decreases in each Fund's investment in its corresponding Portfolio
for the six months ended March 31, 1996 were as follows:
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
FUND FUND FUND FUND
----------- ----------- ------------- -------------
<S> <C> <C> <C> <C>
Increases $ 8,104,690 $22,675,249 $ 6,172,647 $ 1,067,250
Decreases 44,669,589 84,433,141 26,922,842 3,293,604
</TABLE>
<TABLE>
<CAPTION>
MARATHON MARATHON MARATHON MARATHON
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
FUND FUND FUND FUND
----------- ----------- ------------- -------------
<S> <C> <C> <C> <C>
Increases $18,488,126 $ 7,152,519 $ 3,352,879 $ 1,034,280
Decreases 59,156,394 28,887,809 4,421,062 4,041,874
</TABLE>
- --------------------------------------------------------------------------------
(8) SPECIAL MEETINGS OF SHAREHOLDERS
On December 8, 1995, special meetings of the shareholders of each of the
Marathon California Fund, the Marathon Florida Fund and the Marathon
Massachusetts Fund, and on December 15, 1995, special meetings of the
shareholders of each of the Marathon Mississippi Fund, the Marathon New York
Fund, the Marathon Ohio Fund, the Marathon Rhode Island Fund and the Marathon
West Virginia Fund, respectively, 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 8, 1995 and the
December 15, 1995 meetings:
<TABLE>
<CAPTION>
SHARES REPRESENTED AT
SHARES OUTSTANDING 12/8/95 AND
FUND AT 10/23/95 12/15/95 MTGS.
----------------------------------------------- ------------------ ---------------------
<S> <C> <C>
Marathon California 42,415,129 23,765,769
Marathon Florida 65,200,705 38,499,695
Marathon Massachusetts 28,280,077 15,019,091
Marathon Mississippi 2,832,454 1,434,477
Marathon New York 58,963,921 29,516,456
Marathon Ohio 30,027,662 15,623,591
Marathon Rhode Island 4,260,005 1,874,798
Marathon West Virginia 4,171,011 2,384,833
</TABLE>
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.
30
<PAGE> 31
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ITEM 2. To approve the revision of certain of each Fund's fundamental investment
restrictions as follows:
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.
*For the Marathon Florida Fund and the Marathon New York Fund this restriction
reads as follows:
2I. Amend the restriction concerning real estate.
**For the Marathon California Fund this restriction reads as follows:
2K. Eliminate the restriction prohibiting investing in investment companies.
ITEM 3. THIS ITEM APPLIES TO THE MARATHON CALIFORNIA FUND ONLY.
To change the Fund's diversification status from diversified to
non-diversified.
The following are the results of the voting on each proposal:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE MARATHON CALIFORNIA FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 20,963,219 19,839,176 19,819,897 19,920,423 19,858,189 19,895,228 19,665,867
AGAINST 1,302,608 1,760,468 1,733,095 1,705,848 1,655,011 1,628,809 1,866,660
ABSTAIN 1,499,942 2,166,124 2,212,777 2,139,498 2,252,569 2,241,731 2,233,242
PROPOSAL
2G 2H 2I 2J 2K 2L 3
FOR 19,840,959 19,794,342 19,700,679 19,717,043 19,747,213 20,296,114 20,269,191
AGAINST 1,656,341 1,825,308 1,835,317 1,886,877 1,895,297 1,484,428 1,934,939
ABSTAIN 2,268,469 2,146,119 2,229,774 2,161,848 2,123,259 1,985,227 1,561,640
FOR THE MARATHON FLORIDA FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 35,859,671 35,042,617 34,898,826 35,023,661 34,769,252 35,020,594 34,574,658
AGAINST 997,885 1,537,151 1,625,643 1,476,777 1,685,718 1,528,311 2,003,400
ABSTAIN 1,642,140 1,919,927 1,975,221 1,999,257 2,044,726 1,950,790 1,921,657
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 34,850,539 34,823,899 34,597,236 34,455,125 34,475,691 35,418,193
AGAINST 1,602,927 1,518,920 1,908,983 1,874,479 1,950,971 1,268,929
ABSTAIN 2,046,229 2,156,877 1,933,476 2,170,091 2,073,034 1,812,574
</TABLE>
31
<PAGE> 32
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE MARATHON MASSACHUSETTS FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 14,077,983 13,769,665 13,756,903 13,782,083 13,708,084 13,747,485 13,708,189
AGAINST 314,414 513,360 530,094 470,303 470,204 501,876 550,840
ABSTAIN 626,695 734,066 732,094 766,706 840,804 769,731 760,062
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 13,819,233 13,756,730 13,633,092 13,616,601 13,662,320 14,020,838
AGAINST 459,801 429,556 643,067 634,486 621,077 348,385
ABSTAIN 740,057 832,809 742,932 768,005 735,694 649,868
FOR THE MARATHON MISSISSIPPI FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 1,339,695 1,335,728 1,318,627 1,326,028 1,318,805 1,315,046 1,302,547
AGAINST 33,902 29,503 48,217 38,547 48,041 37,408 55,980
ABSTAIN 60,880 69,245 67,633 69,902 67,631 82,023 75,950
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 1,322,964 1,314,273 1,296,558 1,298,131 1,292,650 1,330,555
AGAINST 32,329 41,042 60,049 59,619 64,976 36,289
ABSTAIN 79,183 79,161 77,869 76,727 76,830 67,633
FOR THE MARATHON NEW YORK FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 27,290,144 26,323,664 26,214,811 26,396,007 26,417,791 26,432,305 26,162,934
AGAINST 780,266 1,343,910 1,380,780 1,276,709 1,312,603 1,218,482 1,433,566
ABSTAIN 1,446,046 1,848,881 1,920,864 1,843,739 1,786,062 1,865,669 1,919,955
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 26,501,430 26,367,785 26,320,976 26,659,999 26,223,709 26,732,917
AGAINST 1,197,981 1,228,958 1,361,215 1,500,795 1,415,793 1,014,117
ABSTAIN 1,817,046 1,919,714 1,834,265 1,855,662 1,876,954 1,769,422
FOR THE MARATHON OHIO FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 14,411,250 14,050,048 13,901,111 14,048,634 13,974,384 13,983,942 13,969,433
AGAINST 526,806 767,523 854,709 697,351 772,092 746,260 816,587
ABSTAIN 685,536 806,021 887,771 877,606 877,115 893,389 837,572
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 13,942,866 13,976,386 13,894,119 13,753,851 13,759,293 14,227,153
AGAINST 811,574 688,224 847,585 955,768 952,001 580,723
ABSTAIN 869,152 958,982 881,887 913,972 912,297 815,715
</TABLE>
32
<PAGE> 33
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE MARATHON RHODE ISLAND FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 2,281,056 2,176,767 2,153,620 2,178,062 2,167,020 2,178,783 2,173,307
AGAINST 63,874 107,835 110,235 75,326 103,228 92,059 109,259
ABSTAIN 40,278 100,606 121,352 131,819 114,960 114,366 102,641
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 2,171,602 2,188,148 2,168,035 2,164,855 2,181,822 2,195,252
AGAINST 117,276 98,093 110,764 111,730 100,625 72,242
ABSTAIN 96,329 98,966 106,408 108,623 102,760 117,713
FOR THE MARATHON WEST VIRGINIA FUND:
PROPOSAL
1 2A 2B 2C 2D 2E 2F
FOR 2,266,918 2,250,852 2,261,902 2,255,751 2,249,036 2,252,829 2,246,698
AGAINST 73,278 86,142 79,980 82,926 82,856 86,168 88,010
ABSTAIN 44,637 47,839 42,951 46,156 52,941 45,836 50,125
PROPOSAL
2G 2H 2I 2J 2K 2L
FOR 2,256,451 2,253,962 2,255,551 2,247,838 2,246,536 2,263,974
AGAINST 82,604 81,178 89,481 91,955 93,507 82,755
ABSTAIN 45,778 49,693 39,800 45,050 44,790 38,104
</TABLE>
33
<PAGE> 34
The Eaton Vance Municipals Trust
For the California Municipals Portfolio
Florida Municipals Portfolio
Massachusetts Municipals Portfolio
Mississippi Municipals Portfolio
New York Municipals Portfolio
Ohio Municipals Portfolio
Rhode Island Municipals Portfolio
West Virginia Municipals Portfolio
[LOGO]
Semi-Annual Shareholder Report
March 31, 1996
Investment Adviser of Eaton Vance Municipals Portfolio
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator
Eaton Vance Management
24 Federal Street
Boston, MA 02110
(617) 482-8260
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
89 South Street
PO Box 1537
Boston, MA 02205-1537
Transfer Agent
First Data Investor Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
<PAGE> 35
- --------------------------------------------------------------------------------
California Municipals Portfolio
Portfolio of Investments - March 31, 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 - 5.6%
NR BBB- $ 4,985 Central Valley Financing
Authority, Carson Ice,
6.20%, 7/1/20 $ 4,850,455
NR BBB- 10,900 Sacramento Cogeneration
Authority, Procter &
Gamble, 6.50%, 7/1/21 11,011,071
NR BBB- 6,000 Sacramento Power
Authority, Cogeneration
Project, 6.00%, 7/1/22 5,718,000
-------------
$ 21,579,526
-------------
ESCROWED - 16.9%
NR NR $ 1,575 Fontana Public Financing
Authority, 7.75%, 12/1/20 $ 1,844,010
NR NR 4,000 Huntington Beach Public
Financing Authority,
8.375%, 5/1/18 4,402,120
NR NR 3,200 Oceanside Community
Development Commission,
8.40%, 6/1/18 3,288,512
Aaa AAA 6,400 Port of Oakland, (BIGI)
0%, 11/1/15 3,876,288
NR NR 3,000 Poway Redevelopment
Agency, 7.75%, 12/15/21 3,515,100
NR BBB 2,000 City of Rancho Mirage,
Joint Power Financing
Authority, 7.50%, 4/1/17 2,288,060
NR A- 2,360 Richmond Joint Power
Financing Authority,
7.00%, 5/15/07 2,618,585
Aaa AAA 8,000 County of Sacramento,
SFMR, (AMT), (GNMA)
8.125%, 7/1/16 (2) 10,141,680
Aaa AAA 14,285 County of Sacramento,
SFMR, (AMT), (GNMA) 8.50%,
11/1/16 (2) 18,883,199
Aaa AAA 6,000 County of Sacramento,
SFMR, (AMT), (GNMA) 8.25%,
1/1/21 (2) 7,822,020
Aaa AAA 3,000 City and County of San
Francisco Sewer System,
(AMBAC), Variable, 10/1/21
(1) 3,519,000
NR A- 2,375 City of San Luis Obispo,
8.25%, 6/1/06 2,440,122
-------------
$ 64,638,696
-------------
GENERAL OBLIGATIONS - 1.6%
Aa AA $ 5,000 East Bay Municipal
Utilities District, 5.00%,
4/1/15 $ 4,548,450
NR NR 1,500 Virgin Islands, 7.25%,
10/1/18 1,563,600
-------------
$ 6,112,050
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 1.2%
NR BBB+ $ 2,700 City of Stockton, Dameron
Hospital Association,
8.30%, 12/1/14 $ 2,830,923
NR BBB- 1,500 City of Woodland, Woodland
Memorial Hospital, 8.20%,
8/1/15 1,595,625
-------------
$ 4,426,548
-------------
HOUSING - 8.7%
NR NR $ 2,000 Los Angeles County,
Corporate Fund Housing
Authority, 10.50%, 12/1/29 $ 2,044,400
NR A+ 1,915 City of Oakland, Housing
Finance Agency, 7.10%,
1/1/10 1,954,621
Aa AA- 2,500 California Housing Finance
Agency, 8.20%, 8/1/17 2,582,325
Aa AA- 1,280 California Housing Finance
Agency, (AMT), 8.60%,
8/1/19 1,342,643
Aa AA- 2,500 California Housing Finance
Agency, 8.10%, 8/1/16 2,557,650
Aa AA- 3,680 California Housing Finance
Agency, (AMT), 7.375%,
8/1/11 3,833,971
Aa AA- 8,185 California Housing Finance
Agency, (AMT), (FHA)
7.65%, 8/1/23 8,557,172
Aa AA- 4,730 California Housing Finance
Agency, (AMT), 7.40%,
8/1/26 4,962,811
Aa AA- 3,855 California Housing Finance
Agency, (AMT), 7.50%,
8/1/25 3,980,172
A1 NR 845 Los Angeles County, SFMR,
7.875%, 8/1/16 842,039
NR AAA 455 Riverside County, SFMR,
(AMT), (GNMA) 6.85%,
10/1/16 484,120
-------------
$ 33,141,924
-------------
INSURED EDUCATION - 1.5%
Aaa AAA $ 3,330 University of California,
Multiple Purpose Project,
(MBIA) 4.75%, 9/1/21 $ 2,836,627
Aaa AAA 3,500 University of California,
Multiple Purpose Project,
(AMBAC) 5.00%, 9/1/23 3,082,975
-------------
$ 5,919,602
-------------
</TABLE>
34
<PAGE> 36
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 - 4.6%
Aaa AAA $ 3,300 California Statewide
Communities Development
Authority, $ 2,954,655
Aaa AAA Motion Picture and
Television Fund, (AMBAC)
5.68%, 1/1/24
Aaa AAA 7,700 Moulton Niguel Water
District, (AMBAC) 4.80%,
9/1/17 6,736,653
Aaa AAA 4,350 City of Stockton,
Wastewater Treatment
Plant, (FGIC) 6.80%,
9/1/24 4,756,856
Aaa AAA 13,985 Visalia Unified School
District, (MBIA) 0%,
12/1/17 3,358,777
-------------
$ 17,806,941
-------------
INSURED SPECIAL TAX - 1.1%
Aaa AAA $ 4,850 City of San Jose
Redevelopment Agency,
(MBIA) 4.75%, 8/1/24 $ 4,098,056
-------------
INSURED TRANSPORTATION - 4.2%
Aaa AAA $10,000 City and County of San
Francisco Airport, (MBIA)
6.75%, 5/1/13 $ 10,841,900
Aaa AAA 3,500 City and County of San
Francisco Airport, (AMT),
(MBIA) 5.625%, 5/1/21 3,339,420
Aaa AAA 10,000 Port of Oakland, (AMT),
(BIGI), 0%, 11/1/19 1,809,500
-------------
$ 15,990,820
-------------
INSURED UTILITIES - 6.4%
Aaa AAA $ 4,000 Anaheim Public Financing
Authority, (FGIC) 5.75%,
10/1/22 $ 3,878,400
Aaa AAA 8,000 Northern California Power
Agency, (MBIA), Variable,
8/1/25 (1) 8,896,000
Aaa AAA 3,500 Sacramento Municipal
Utilities District, (MBIA)
6.375%, 8/15/22 3,648,085
Aaa AAA 2,000 Southern California Public
Power Authority, (FGIC),
Variable, 7/1/12 (1) 1,812,000
Aaa AAA 6,915 Southern California Public
Power Authority, (MBIA),
5.00%, 1/1/20 6,100,620
-------------
$ 24,335,105
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED WATER & SEWER - 3.3%
Aaa AAA $ 5,000 East Bay Municipal Utility
District, (MBIA) 6/1/08
(1) $ 4,825,000
Aaa AAA 3,430 San Buenaventura Water
District, (AMBAC) 4.75%,
10/1/13 3,044,297
Aaa AAA 2,000 San Diego Public Finance
Authority, (FGIC) 5.00%,
5/15/25 1,763,480
Aaa AAA 3,000 San Diego County Water
Authority, (FGIC),
Variable, 4/22/09 (1) 3,102,000
-------------
$ 12,734,777
-------------
LEASE/CERTIFICATE OF
PARTICIPATION - 20.5%
A1 A- $ 8,000 California Public Works,
University of California,
5.50%, 6/1/14 $ 7,636,960
A1 A- 6,500 California Public Works,
University of California,
5.00%, 6/1/23 5,625,815
A1 A- 3,000 California Public Works,
University of California,
5.50%, 6/1/10 2,970,660
A A- 3,500 California Public Works,
Susanville Prison, 5.375%,
6/1/18 3,229,415
A A- 2,800 California Public Works,
State Prison System,
5.375%, 6/1/12 2,645,160
A1 A- 5,000 California Public Works,
University of California,
5.25%, 6/1/20 4,548,050
A1 A- 14,025 California Public Works,
University of California,
5.50%, 6/1/19 13,052,787
Aaa AAA 2,500 California Statewide
Public Works, J. Paul
Getty Trust, 5.00%,
10/1/23 2,220,500
A BBB 2,750 City of Inglewood, Civic
Center Improvement, 7.00%,
8/1/19 2,857,993
Baa1 BBB 3,100 County of Los Angeles,
Disney Parking Project,
0%, 3/1/20 613,645
Baa1 BBB 5,115 County of Los Angeles,
Disney Parking Project,
0%, 3/1/16 1,340,437
Baa1 BBB 1,925 County of Los Angeles,
Disney Parking Project,
0%, 3/1/17 466,909
Baa1 BBB 5,000 County of Los Angeles,
Disney Parking Project,
0%, 9/1/17 1,172,400
</TABLE>
35
<PAGE> 37
- --------------------------------------------------------------------------------
CALIFORNIA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
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/CERTIFICATE OF
PARTICIPATION - (CONTINUED)
Baa1 BBB 5,370 County of Los Angeles,
Disney Parking Project,
0%, 3/1/18 1,217,218
Baa1 BBB 6,925 County of Los Angeles,
Disney Parking Project,
0%, 9/1/20 1,325,098
Baa1 BBB 1,000 County of Los Angeles,
Disney Parking Project,
6.50%, 3/1/23 1,003,940
NR NR 11,000 County of Los Angeles,
Marina Del Rey, 6.50%,
7/1/08 10,970,960
A1 A+ 5,000 Pasadena Parking Facility
Project, 6.25%, 1/1/18 5,187,250
Aa A+ 4,000 City of Sacramento
Financing Authority,
5.40%, 11/1/20 3,761,720
A A 3,000 San Bernadino Joint Power
Financing Authority,
5.50%, 12/1/20 2,753,820
Aa AA 4,425 Orange County Water
District, 5.00%, 8/15/18 3,834,792
-------------
$ 78,435,529
-------------
NURSING HOMES - 0.9%
NR NR $ 3,170 City of Banning, San
Gorgonio Pass
Convalescent, (AMT),
9.50%, 12/1/11 $ 3,286,339
-------------
SOLID WASTE - 0.6%
Baa1 NR $ 2,350 Mojave Desert and Mountain
Joint Power Authority,
(AMT), 7.875%, 6/1/20 $ 2,569,702
-------------
SPECIAL TAX - 14.6%
NR NR $ 3,000 Lincoln Unified School
District, 7.625%, 9/1/21 $ 3,108,450
NR NR 3,000 Riverside County Community
Facilities District,
7.55%, 9/1/17 3,036,930
NR NR 945 City of Fairfield, North
Cordelia District, 8.00%,
9/2/11 973,803
NR NR 2,090 City of Fairfield, North
Cordelia District, 7.375%,
9/2/18 2,118,528
Baa NR 9,725 City of Pleasanton, Joint
Power Financing Authority,
6.15%, 9/2/12 9,731,224
NR NR 2,915 City of Commerce, Joint
Power Financing Authority,
8.00%, 3/1/22 3,057,660
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR BBB 5,000 Contra Costa County,
Public Financing
Authority, 7.10%, 8/1/22 5,154,300
NR BBB 3,910 City of Fontana, Public
Financing Authority,
7.00%, 9/1/21 3,968,180
NR BBB 8,220 Fontana Redevelopment
Agency, Jurupa Hills,
7.00%, 10/1/14 8,388,346
NR BBB 2,500 City of Pittsburg
Redevelopment Agency,
7.40%, 8/15/20 2,619,525
NR BBB 600 City of Rancho Mirage,
Joint Power Financing
Authority, 7.50%, 4/1/17 633,636
NR BBB 2,500 Riverside County
Redevelopment Agency,
7.50%, 10/1/26 2,625,300
NR BBB 5,605 San Carlos Redevelopment
Agency, 7.10%, 9/1/17 5,802,632
NR NR 1,400 City of Simi Valley
Community Development,
Sycamore Plaza II, 8.20%,
9/1/12 1,412,698
Baa BBB+ 3,000 Westminster Redevelopment
Agency, Community
Redevelopment, 7.30%,
8/1/21 3,135,992
-------------
$ 55,767,204
-------------
TRANSPORTATION - 6.4%
NR BBB $ 3,050 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 3,097,001
A A- 1,400 Orange County, John Wayne
International Airport,
(AMT), 8.125%, 7/1/16 1,460,788
Baa1 BBB 1,500 Stockton Port District,
7.95%, 1/1/05 1,583,820
Baa1 BBB 1,500 Stockton Port District,
8.10%, 1/1/14 1,596,285
NR NR 12,000 San Joaquin Hills
Transportation Corridor
Agency, 0%, 1/1/14 3,732,960
NR NR 35,975 San Joaquin Hills
Transportation Corridor
Agency, 0%, 1/1/27 4,756,974
NR NR 5,765 San Joaquin Hills
Transportation Corridor
Agency, 0%, 1/1/26 814,191
</TABLE>
36
<PAGE> 38
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
TRANSPORTATION - (CONTINUED)
NR NR 4,940 San Joaquin Hills
Transportation Corridor
Agency, 7.00%, 1/1/30 5,148,863
AA AA- 2,000 City of Long Beach Harbor,
(AMT), 7.25%, 5/15/19 2,137,720
-------------
$ 24,328,602
-------------
UTILITIES - 1.0%
A1 AA- $ 1,490 Southern California Public
Power Authority, 6.875%,
7/1/15 $ 1,531,690
Aa A+ 7,070 Southern California Public
Power Authority, 0%,
7/1/15 2,211,991
-------------
$ 3,743,681
-------------
WATER AND SEWER - 0.9%
NR BBB $ 3,190 Orange Cove Irrigation
District, 6.625%, 2/1/17 $ 3,262,382
-------------
TOTAL TAX - EXEMPT
INVESTMENTS (IDENTIFIED
COST, $356,860,992) $ 382,177,484
=============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by California
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1996, 21.1% 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 4.0% to 12.5% of total investments.
See notes to financial statements
37
<PAGE> 39
- --------------------------------------------------------------------------------
Florida Municipals Portfolio
Portfolio of Investments - March 31, 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 - 3.8%
Baa3 BBB- $ 7,275 Martin County, Indian Town
Project, (AMT), 7.875%,
12/15/25 $ 8,169,389
NR NR 4,000 Palm Beach County,
Okeelanta Power L.P.
Project (AMT), 6.85%,
2/15/21 4,025,160
NR NR 9,250 Palm Beach County, Osceola
Power L.P. Project (AMT),
6.95%, 1/1/22 9,381,350
NR NR 3,100 Palm Beach County, Osceola
Power L.P. Project (AMT),
6.85%, 1/1/14 3,156,141
-------------
$ 24,732,040
-------------
EDUCATION - 0.9%
NR AAA $ 5,500 Volusia County Educational
Facilities, Embry-Riddle
Aeronautical University
Project (CLEE), 6.625%,
4/15/22 $ 5,832,200
-------------
ESCROWED - 7.4%
Aaa AAA $ 9,225 Dade County, Baptist
Hospital of Miami Project,
5.75%, 5/1/21 $ 9,347,324
Aaa AAA 5,000 Florida Municipal Power
Agency Stanton II Project
(AMBAC), Variable, 10/1/20
(1) 6,150,000
NR NR 1,675 Mid-Bay Bridge Authority,
6.875%, 10/1/22 1,917,188
Aaa AAA 2,000 Orlando & Orange County
Expressway Authority
(FGIC), 8.25%, 7/1/14 2,603,340
NR AAA 2,355 Pinellas County Health
Facilities Finance
Authority, Sun Coast
Health System, Series A,
8.50%, 3/1/20 2,728,809
A NR 14,000 City of Venice Health
Facilities, 6.00%, 12/1/14 15,207,500
A NR 9,810 City of Venice Health
Facilities, 5.75%, 12/1/24 10,485,026
-------------
$ 48,439,187
-------------
GENERAL OBLIGATIONS - 11.5%
Aa AA $22,000 Florida Board of
Education, 4.75%, 6/1/22 $ 18,698,680
Aa AA 7,700 Florida Board of
Education, 5.00%, 6/1/10 7,389,844
Aa AA 15,235 Florida Board of
Education, 5.00%, 6/1/20 13,605,769
Aa AA 8,000 Florida Board of General
Services, 6.60%, 7/1/17 8,612,480
NR BBB 4,675 Guam Government, 5.40%,
11/15/18 4,130,035
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A A 7,255 Hillsborough County,
Museum of Science &
Industry, 6.45%, 1/1/22 7,846,573
Baa1 A 2,000 Puerto Rico, 6.50%, 7/1/23 2,109,920
Baa1 A 3,235 Puerto Rico Public
Building Authority, 5.50%,
7/1/21 3,001,951
Baa1 A 7,350 Puerto Rico Public
Building Authority, 5.70%,
7/1/09 7,396,820
Baa1 A 3,055 Puerto Rico Public
Building Authority, 5.75%,
7/1/16 2,955,406
-------------
$ 75,747,478
-------------
HEALTH CARE - 4.8%
NR AAA $ 5,075 Dade County Industrial
Development Authority,
Gramercy Park Nursing Care
Center, 6.60%, 8/1/23 $ 5,275,158
NR AAA 4,285 Dade County Industrial
Development Authority,
Florida Club Care Center
(GNMA), 6.60%, 1/20/18 4,358,059
NR BBB+ 3,600 Escambia County Health
Facilities Authority,
Baptist Hospital, Inc. and
The Baptist Manor, Inc.,
6.75%, 10/1/14 3,673,188
NR BBB+ 9,995 Escambia County Health
Facilities Authority,
Baptist Hospital, Inc.,
6.00%, 10/1/14 9,410,492
Baa1 NR 3,750 Jacksonville Health
Facilities Authority,
National Benevolent
Association, Cypress
Village Florida Project,
7.00%, 12/1/22 3,793,088
NR NR 5,000 Osceola County IDA -
Community Pooled Loan,
7.75%, 7/1/17 5,068,100
-------------
$ 31,578,085
-------------
HOSPITAL REVENUE - 0.8%
NR AA+ $ 4,750 Jacksonville Health
Facilities Finance
Authority, St. Luke's
Hospital Association
Project, 6.75%, 11/15/13 $ 5,042,220
-------------
HOUSING - 11.0%
NR AAA $ 630 Broward County HFA SFMR
(GNMA), (AMT), 7.35%,
3/1/23 $ 650,897
NR AAA 1,300 Clay County HFA MFMR
(GNMA), 7.40%, 12/1/25 1,373,047
Aaa NR 2,750 Clay County HFA SFMR
(GNMA), (AMT), 6.55%,
3/1/28 2,665,163
Aaa NR 290 Dade County HFA SFMR
(GNMA), 7.10%, 3/1/17 300,788
</TABLE>
38
<PAGE> 40
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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)
Aaa NR 1,155 Dade County HFA SFMR
(GNMA), (AMT), 7.75%,
9/1/22 1,208,095
Aaa NR 1,160 Dade County HFA SFMR
(GNMA), (AMT), 7.25%,
9/1/23 1,210,994
Aaa NR 75 Dade County HFA SFMR
(GNMA), 7.00%, 3/1/24 77,687
NR AAA 5,100 Dade County HFA SFMR
(GNMA), (AMT) 6.55%,
10/1/27 5,131,671
NR AAA 5,850 Dade County HFA SFMR
(GNMA), (AMT) 6.70%,
4/1/28 5,982,327
Aaa NR 2,540 Escambia County HFA SFMR
(GNMA), (AMT), 7.40%,
10/1/23 2,630,830
Aaa AAA 7,500 Escambia County HFA SFMR
(GNMA), (AMT), 6.85%,
10/1/17 7,392,225
Aaa AAA 5,000 Escambia County HFA SFMR
(GNMA), (AMT), 6.90%,
10/1/21 4,923,350
Aaa AAA 6,250 Escambia County HFA SFMR
(GNMA), (AMT), 6.95%,
10/1/27 6,186,875
NR AAA 1,125 Florida HFA (FHA), 6.35%,
6/1/14 1,164,341
Aaa NR 925 Hillsborough County HFA
SFMR (GNMA), (AMT),
7.875%, 5/1/23 981,647
NR NR 3,445 City of North Miami Health
Care Facilities, The
Imperial Club Project,
9.25%, 1/1/13 3,753,672
NR AAA 1,695 Orange County HFA SFMR
(GNMA), (AMT), 7.375%,
9/1/24 1,776,919
Aaa NR 12,000 Orange County HFA SFMR
(GNMA), (AMT), 6.85%,
10/1/27 12,371,040
NR AAA 8,000 Orange County HFA SFMR
(GNMA), (AMT), 6.60%,
4/1/28 8,062,080
Aaa NR 845 Palm Beach County HFA SFMR
(GNMA), 7.60%, 3/1/23 885,763
Aaa NR 1,455 Polk County HFA SFMR
(GNMA), 7.15%, 9/1/23 1,521,654
Baa BBB 1,400 Puerto Rico Urban Renewal
& Housing Corp, 7.875%,
10/1/04 1,558,298
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 810 Puerto Rico Housing
Finance Corp SFMR (GNMA),
7.65%, 10/15/22 851,877
-------------
$ 72,661,240
-------------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION CONTROL
REVENUE - 3.4%
NR NR $ 6,000 NJ EDA - Holt Hauling
Project (AMT), 9.75%,
12/15/16 $ 6,244,680
B1 BB+ 15,200 Polk County IDA - IMC
Fertilizer Project (AMT),
7.525%, 1/1/15 15,917,744
-------------
$ 22,162,424
-------------
INSURED GENERAL
OBLIGATION - 0.8%
Aaa AAA $ 5,515 Florida Board of Education
Capital Outlay (MBIA),
5.60%, 6/1/25 $ 5,352,694
-------------
INSURED HEALTHCARE - 0.4%
Aaa AAA $ 500 Alachua County Health
Facility, Mental Health
Services Project (CGIC),
7.75%, 7/1/10 $ 561,685
Aaa AAA 2,050 Hillsborough County IDA,
Allegany Health Systems,
J. Knox Village (MBIA),
5.75%, 12/1/21 2,022,735
-------------
$ 2,584,420
-------------
INSURED HOSPITAL - 6.1%
Aaa AAA $ 8,000 Charlotte County Health
Care, Bon-Secours Health
System Project (FSA),
Variable, 8/30/27 (1) $ 8,140,000
Aaa AAA 23,355 Jacksonville FL Health
Authority, Daughters of
Charity (MBIA), 5.00%,
11/15/15 21,105,446
Aaa AAA 2,000 Lee County, Memorial
Hospital (MBIA), Variable,
4/1/20 (1) 2,245,000
Aaa AAA 5,275 Orange County Health
Facilities Finance
Authority, Pooled Hospital
Loan Program - Orlando
Regional Medical Center &
Indian River Memorial
Hospital (FGIC), 7.875%,
12/1/25 5,552,307
Aaa AAA 3,000 Orange County Health
Facilities Authority
(MBIA), Variable, 10/1/21
(1) 3,255,000
-------------
$ 40,297,753
-------------
</TABLE>
39
<PAGE> 41
- --------------------------------------------------------------------------------
FLORIDA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
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 HOUSING - 2.4%
Aaa AAA $ 1,355 Brevard County HFA SFMR
(FSA), 7.00%, 3/1/13 $ 1,412,804
Aaa AAA 1,720 Duval County HFA SFMR
(FGIC), 7.35%, 7/1/24 1,800,169
Aaa AAA 6,530 FL HEFA, Maitland Club
Apartment Project (AMBAC)
(AMT), 6.875%, 8/1/26 6,773,961
Aaa AAA 3,000 FL HFA, Brittany of
Rosemont Project (AMBAC)
(AMT), 6.875%, 8/1/26 3,112,080
Aaa AAA 2,675 Lee County SCA MFMR (FSA)
(AMT), 7.05%, 1/1/30 2,782,910
-------------
$ 15,881,924
-------------
INSURED IDR/PCR - 1.3%
Aaa AAA $ 8,200 Citrus County PCR (MBIA),
6.35%, 2/1/22 $ 8,548,664
-------------
INSURED LEASE - 0.3%
Aaa AAA $ 2,460 Polk County FL
Correctional Privatization
(AMBAC), 5.00%, 7/1/17 $ 2,220,716
-------------
INSURED MISCELLANEOUS - 0.5%
Aaa AAA $ 2,000 Escambia County (MBIA),
7.20%, 1/1/15 $ 2,145,180
Aaa AAA 799 Osceola County IDA
Community Provider Pooled
Loan Program, (CGIC),
7.75%, 7/1/10 850,959
-------------
$ 2,996,139
-------------
INSURED SOLID WASTE - 0.3%
Aaa AAA $ 1,500 St. John's County Solid
Waste Disposal (FGIC),
7.25%, 11/1/10 $ 1,675,455
-------------
INSURED SPECIAL TAX
REVENUE - 2.3%
Aaa AAA $ 1,500 FL Department of
Environmental Protection
(AMBAC), 5.75%, 7/1/10 $ 1,538,370
Aaa AAA 1,000 City of Jacksonville
(FGIC) (AMT), 0%, 10/1/10 435,380
Aaa AAA 1,000 City of Jacksonville
(FGIC) (AMT), 0%, 10/1/11 404,960
Aaa AAA 2,000 City of Jacksonville
(FGIC) (AMT), 0%, 10/1/12 757,920
Aaa AAA 1,185 City of Opa-Locka (FGIC),
7.00%, 1/1/14 1,332,924
Aaa AAA 5,000 St. Petersburg Excise Tax
(FGIC), 5.00%, 10/1/16 4,535,100
Aaa AAA 2,000 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/10 889,340
Aaa AAA 1,760 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/12 683,196
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 2,840 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/14 974,120
Aaa AAA 4,000 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/15 1,282,680
Aaa AAA 4,140 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/16 1,252,350
Aaa AAA 2,525 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/17 720,534
-------------
$ 14,806,874
-------------
INSURED TRANSPORTATION - 7.7%
Aaa AAA $ 4,000 Dade County Aviation
Facilities (MBIA) (AMT),
6.55%, 10/1/13 $ 4,240,200
Aaa AAA 7,500 Dade County Aviation
Facilities (MBIA) (AMT),
5.75%, 10/1/18 7,369,950
Aaa AAA 11,000 Dade County Aviation
Facilities (MBIA) (AMT),
5.75%, 10/1/26 10,617,090
Aaa AAA 1,000 Dade County Seaport
Revenue (MBIA), 5.125%,
10/1/26 896,120
Aaa AAA 8,455 FL State Turnpike
Authority (FGIC), 6.35%,
7/1/22 8,776,459
Aaa AAA 8,600 Greater Orlando Aviation
Authority, Orlando Airport
Facilities (FGIC), (AMT),
6.375%, 10/1/21 8,904,612
Aaa AAA 10,920 Orlando & Orange County
Expressway Authority
(FGIC), 5.125%, 7/1/20 9,926,280
-------------
$ 50,730,711
-------------
INSURED UTILITIES - 4.9%
Aaa AAA $11,465 FL Municipal Power Agency
Stanton II Project
(AMBAC), 4.50%, 10/1/27 $ 9,207,885
Aaa AAA 7,770 FL Municipal Power Agency
Stanton II Project
(AMBAC), 4.50%, 10/1/16 6,584,453
Aaa AAA 8,000 FL Municipal Power Agency
Stanton II Project
(AMBAC), 5.10%, 10/1/25 7,130,800
Aaa AAA 4,000 Lakeland Electric & Water
(FGIC), 6.00%, 10/1/13 4,060,720
Aaa AAA 1,540 Manatee County Public
Utility (FGIC), 0%,
10/1/12 593,978
Aaa AAA 1,750 Puerto Rico Electric Power
Authority (FSA), Variable,
7/1/02 (1) 1,919,750
Aaa AAA 2,200 Puerto Rico Electric Power
Authority (FSA), Variable,
7/1/03 (1) 2,442,000
-------------
$ 31,939,586
-------------
</TABLE>
40
<PAGE> 42
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 - 4.7%
Aaa AAA $11,450 Broward County Water &
Sewer (AMBAC), 5.125%,
10/1/15 $ 10,579,686
Aaa AAA 9,500 Dade County Water and
Sewer System (FGIC),
5.00%, 10/1/13 8,720,430
Aaa AAA 2,000 City of Fort Myers Utility
(FGIC), 5.00%, 10/1/16 1,814,040
Aaa AAA 4,000 Sanford Water and Sewer
(AMBAC), 4.50%, 10/1/21 3,298,280
Aaa AAA 1,700 St. John's County Water &
Sewer (MBIA), 0%, 6/1/16 524,348
Aaa AAA 5,600 St. Lucie County Utility
System (FGIC), 6.00%.
10/1/20 5,858,216
-------------
$ 30,795,000
-------------
LIFE CARE - 1.1%
NR NR $ 6,895 Atlantic Beach, Fleet
Landing Project, 8.00%,
10/1/24 $ 7,114,537
-------------
NURSING HOMES - 1.8%
NR NR $ 300 Broward County Industrial
Development Authority,
Beverly Enterprises -
Florida, Inc. Project,
9.80%, 11/1/10 $ 333,947
NR NR 475 Charlotte County
Industrial Development
Authority, Beverly
Enterprises, 10.00%,
6/1/11 539,087
NR NR 6,520 Citrus County Industrial
Development Authority,
Beverly Enterprises,
7.25%, 4/1/03 6,596,154
NR NR 2,135 Highlands County
Industrial Development
Authority, Beverly
Enterprises - Florida,
Inc. Project, 9.25%,
7/1/07 2,357,275
NR NR 410 Okaloosa County, Beverly
Enterprises, 10.75%,
10/1/03 442,370
NR NR 700 Orange County Industrial
Development Authority,
Beverly Enterprises,
9.25%, 8/1/10 774,221
NR NR 1,000 Winter Garden, Beverly
Enterprises, 8.75%, 7/1/12 1,090,660
-------------
$ 12,133,714
-------------
SOLID WASTE - 0.6%
A A $ 3,745 Broward County Waste
Energy Company, L.P. North
Project, 7.95%, 12/1/08 $ 4,153,055
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
SPECIAL TAX REVENUE - 6.0%
A1 A+ $ 8,020 Orange County 5.375%,
1/1/24 $ 7,365,968
A1 NR 3,000 City of Orlando, 6.00%,
10/1/22 3,017,940
Baa1 A 7,410 Puerto Rico Highway &
Transportation Authority,
5.50%, 7/1/19 6,930,351
Baa1 A 10,135 Puerto Rico Highway &
Transportation Authority,
5.00%, 7/1/22 8,778,836
Baa1 A 10,560 Puerto Rico Highway &
Transportation Authority,
5.25%, 7/1/21 9,510,442
Baa1 A 2,150 Puerto Rico Highway &
Transportation Authority,
5.00%, 7/1/36 1,796,647
NR AA 1,000 St. Lucie FL Special
Assessment, 6.10%, 11/1/20 1,011,520
NR AA 1,000 St. Lucie FL Special
Assessment, 6.20%, 11/1/25 1,015,620
-------------
$ 39,427,324
-------------
TRANSPORTATION - 1.5%
NR NR $10,140 Mid-Bay Bridge Authority,
6.125%, 10/1/22 $ 9,938,214
-------------
UTILITIES - 13.3%
A1 A+ $ 5,000 Citrus County PCR -
Florida Power. 6.625%,
1/1/27 $ 5,276,150
Aa AA 11,125 Gainesville Utility
System, 5.20%, 10/1/22 10,198,955
NR BBB 27,825 Guam Power Authority,
5.25%, 10/1/23 23,773,124
Aa1 AA 39,005 Jacksonville Electric
Authority, Bulk Power
Supply System, Scherer 4
Project, 5.25%, 10/1/21 35,972,361
Aa1 AA 2,850 Orlando Utilities
Commission Water and
Electric, 5.125%, 10/1/19 2,587,914
Aa AA- 1,750 Orlando Utilities
Commission Water and
Electric, 5.25%, 10/1/23 1,609,510
Aa AA- 2,965 Orlando Utilities
Commission Water and
Electric, 5.50%, 10/1/26 2,818,144
Baa1 A- 185 Puerto Rico Electric Power
Authority, 7.125%, 7/1/14 199,445
A2 A+ 2,515 St. Lucie County Solid
Waste Disposal, Florida
Power & Light Company
(AMT), 6.70%, 5/1/27 2,629,507
NR NR 2,000 Virgin Islands Water &
Power Authority, 7.40%,
7/1/11 2,093,000
-------------
$ 87,158,110
-------------
</TABLE>
41
<PAGE> 43
- --------------------------------------------------------------------------------
FLORIDA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
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 - 0.4%
Baa1 BBB+ $ 2,500 Hillsborough County
Utility, 6.625%, 8/1/11 $ 2,627,525
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $624,599,013) $ 656,577,289
=============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
The Portfolio invests primarily in debt securities issued by Florida
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 March 31, 1996, 31.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial guaranty assurance
agencies. The aggregate percentage by financial institution ranged from 0.1% to
12.8% of total investments.
See notes to financial statements
42
<PAGE> 44
- --------------------------------------------------------------------------------
Massachusetts Municipals Portfolio
Portfolio of Investments - March 31, 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 - 6.4%
Aa1 AA+ $ 1,625 Massachusetts Health and
Educational Facilities
Authority, (HEFA), Amherst
College, 6.80%, 11/1/21 $ 1,758,998
A1 A+ 250 Massachusetts HEFA, Tufts
University, 7.75%, 8/1/13 272,715
NR BBB- 3,700 Massachusetts HEFA,
Merrimack College, 7.125%,
7/1/12 3,917,819
Aa AA- 7,605 Massachusetts HEFA, Smith
College, 5.75%, 7/1/24 7,427,803
Aa1 AA 2,300 Massachusetts Industrial
Finance Agency (IFA),
Phillips Academy, 5.375%,
9/1/23 2,148,591
A1 NR 2,000 New England Educational
Loan Marketing
Corporation, 6.90%,
11/1/09 2,110,140
NR BBB- 1,000 Puerto Rico Industrial,
Tourist, Educational,
Medical and Environmental
Control Authority,
Polytechnic University,
6.50%, 8/1/24 1,003,610
-------------
$ 18,639,676
-------------
ESCROWED - 0.7%
Baa1 AAA $ 1,900 Puerto Rico Aqueduct and
Sewer Authority,
Prerefunded to 7/1/98,
7.00%, 7/1/19 $ 2,055,800
-------------
GENERAL OBLIGATIONS - 9.2%
Baa1 NR $ 1,000 City of Lowell, 6.375%,
8/15/01 $ 1,071,220
A1 A+ 3,400 Commonwealth of
Massachusetts, 5.00%,
1/1/12 3,177,946
A1 A+ 8,765 Massachusetts Bay
Transportation Authority,
5.50%, 3/1/21 8,222,972
A1 A+ 1,000 Massachusetts Bay
Transportation Authority,
5.90%, 3/1/12 1,020,230
NR BBB 2,145 Government of Guam, 5.40%,
11/15/18 1,894,957
A NR 3,375 Town of Nantucket, 6.80%,
12/1/11 3,706,257
Baa1 A 100 Puerto Rico Public
Buildings Authority,
5.50%, 7/1/21 92,796
Baa1 A 2,000 Puerto Rico Aqueduct and
Sewer Authority, 5.00%,
7/1/15 1,798,620
A1 A+ 250 University of
Massachusetts Building
Authority, 7.20%, 5/1/04 286,285
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 A+ 2,500 University of
Massachusetts Building
Authority, 6.875%, 5/1/14 2,868,600
NR NR 3,350 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 2,449,640
-------------
$ 26,589,523
-------------
HEALTH CARE - 2.6%
NR AA $ 1,485 Massachusetts HEFA, (FHA),
Deutsches Altenheim,
7.70%, 11/1/31 (4) $ 1,592,484
NR AAA 2,100 Massachusetts IFA, Heights
Crossing, (AMT), 6.15%,
2/1/35 2,027,739
NR NR 9,000 Massachusetts IFA,
Biomedical Research
Corporation, 0%, 8/1/09 4,009,320
-------------
$ 7,629,543
-------------
HOSPITALS - 6.9%
A A $ 3,000 Massachusetts HEFA,
Charlton Memorial
Hospital, 7.25%, 7/1/13 $ 3,179,400
A1 A+ 530 Massachusetts HEFA,
Spaulding Rehabilitation
Hospital, 7.625%, 7/1/21 563,952
Baa1 BBB+ 2,000 Massachusetts HEFA, New
England Baptist Hospital,
7.35%, 7/1/17 2,110,860
Aa NR 3,100 Massachusetts HEFA,
Daughters of Charity
Health System, 6.10%,
7/1/14 3,132,550
A1 A 500 Massachusetts HEFA, Dana-
Farber Cancer Institute,
6.65%, 12/1/15 511,865
A A 4,250 Massachusetts HEFA. The
Medical Center of Central
Mass., 7.10%, 7/1/21 4,469,938
Baa BBB 1,825 Massachusetts HEFA,
Sisters of Providence
Health System, 6.50%,
11/15/08 1,815,528
Baa BBB 1,635 Massachusetts HEFA,
Sisters of Providence
Health System, 6.625%,
11/15/22 1,580,375
NR A- 1,020 Massachusetts HEFA, Jordan
Hospital, 6.875%, 10/1/15 1,048,672
NR A- 1,470 Massachusetts HEFA, Jordan
Hospital, 6.875%, 10/1/22 1,501,693
-------------
$ 19,914,833
-------------
</TABLE>
43
<PAGE> 45
- --------------------------------------------------------------------------------
MASSACHUSETTS MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
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 - 12.0%
NR AAA $ 2,750 Framingham Housing
Authority, (GNMA), 6.65%,
2/20/32 $ 2,783,220
A1 A+ 5,855 Massachusetts Housing
Finance Agency, (HFA),
6.375%, 4/1/21 5,836,791
Aa A+ 400 Massachusetts HFA, 7.35%,
12/1/16 422,444
Aaa AAA 2,750 Massachusetts HFA, (FNMA),
6.90%, 11/15/21 2,901,525
Aaa AAA 1,000 Massachusetts HFA, (FNMA),
6.875%, 11/15/11 1,069,770
Aa A+ 2,795 Massachusetts HFA, (AMT),
7.125%, 6/1/25 2,914,710
Aa A+ 1,500 Massachusetts HFA, (AMT),
8.10%, 12/1/21 1,605,675
Aa A+ 2,195 Massachusetts HFA, (AMT),
8.10%, 6/1/20 2,302,665
Aa A+ 7,250 Massachusetts HFA, (AMT),
6.60%, 12/1/26 7,365,565
Aa A+ 6,400 Massachusetts HFA, (AMT),
6.60%, 12/1/26 6,502,016
Aa A+ 1,000 Massachusetts HFA, 6.35%,
6/1/17 1,008,640
-------------
$ 34,713,021
-------------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL - 2.7%
NR NR $ 2,075 Massachusetts IFA, Hingham
Water Company, (AMT),
6.60%, 12/1/15 $ 2,122,186
NR NR 3,000 Massachusetts IFA, Hingham
Water Company, (AMT),
6.90%, 12/1/29 3,079,410
A1 AA- 1,550 Puerto Rico Industrial,
Medical and Environmental
Pollution Control
Authority, The Upjohn
Company, 7.50%, 12/1/23 1,684,013
Baa3 BB+ 1,000 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.30%,
6/1/23 1,008,880
-------------
$ 7,894,489
-------------
INSURED EDUCATION - 4.7%
Aaa AAA $ 335 Massachusetts Educational
Finance Authority, (MBIA),
(AMT), 7.25%, 1/1/09 $ 338,991
Aaa AAA 2,000 Massachusetts Educational
Finance Authority,
(AMBAC), (AMT), 7.375%,
1/1/12 2,092,420
Aaa AAA 250 Massachusetts HEFA,
Northeastern University,
(AMBAC), 7.50%, 10/1/08 272,668
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 400 Massachusetts HEFA, Boston
University "RIBS", (MBIA),
Variable, 10/1/31 (1) 452,000
NR AAA 2,500 Massachusetts HEFA,
Suffolk University,
(CLEE), 5.75%, 7/1/26 2,389,525
Aaa AAA 3,000 Massachusetts HEFA, Tufts
University, (FGIC), 5.95%,
8/15/18 3,029,220
NR AAA 5,470 Massachusetts HEFA,
Wentworth Institute,
(CLEE), 5.50%, 10/1/23 5,014,677
-------------
$ 13,589,501
-------------
INSURED GENERAL OBLIGATIONS - 1.2%
Aaa AAA $ 1,795 City of Boston, (FSA),
4.875%, 9/1/09 $ 1,705,806
Aaa AAA 1,000 Commonwealth of Puerto
Rico "RIBS", (AMBAC),
Variable, 7/1/15 (1) 1,011,000
Aaa AAA 600 Town of Tyngsborough,
(AMBAC), 6.90%, 5/15/08 677,976
-------------
$ 3,394,782
-------------
INSURED HOSPITALS - 14.6%
Aaa AAA $ 300 Massachusetts HEFA,
Berkshire Health Systems,
(MBIA), 7.60%, 10/1/14 $ 329,325
Aaa AAA 1,250 Massachusetts HEFA, Beth
Israel Hospital, (AMBAC),
Variable, 7/1/25 (1) 1,260,625
Aaa AAA 1,500 Massachusetts HEFA,
Capital Asset Program,
(MBIA), 7.20%, 7/1/09 1,643,940
Aaa AAA 2,050 Massachusetts HEFA, Fallon
Healthcare System (FSA),
6.75%, 6/1/20 (4) 2,214,759
Aaa AAA 4,500 Massachusetts HEFA, Fallon
Healthcare System (FSA),
6.875%, 6/1/11 4,948,965
Aaa AAA 2,040 Massachusetts HEFA,
Beverly Hospital, (MBIA),
7.30%, 7/1/13 2,234,697
Aaa AAA 1,320 Massachusetts HEFA,
Baystate Medical Center,
(FGIC), 5.00%, 7/1/20 1,167,685
Aaa AAA 1,000 Massachusetts HEFA,
Emerson Hospital, (FSA),
5.80%, 8/15/18 985,140
Aaa AAA 2,000 Massachusetts HEFA, Cooley
Dickenson Hospital,
(AMBAC), 5.50%, 11/15/25 1,875,220
</TABLE>
44
<PAGE> 46
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 - (CONTINUED)
Aaa AAA 3,000 Massachusetts HEFA, The
Medical Center of Central
Massachusetts, (AMBAC),
"CARS", Variable, 6/23/22
(1) 3,343,500
Aaa AAA 2,000 Massachusetts HEFA, St.
Elizabeth Hospital,
"LEVRRS", (FSA), Variable,
8/15/21 (1) 2,262,000
Aaa AAA 2,600 Massachusetts HEFA, Saint
Luke's Hospital, "Yield
Curve Notes", (MBIA),
Variable, 8/15/13 (1) 2,492,100
Aaa AAA 2,600 Massachusetts HEFA, Saint
Luke's Hospital, "Yield
Curve Notes", (MBIA),
Variable, 8/15/13 (1) 2,545,400
Aaa AAA 1,200 Massachusetts HEFA,
University Hospital,
(MBIA), 7.25%, 7/1/19 1,331,676
Aaa AAA 6,950 Massachusetts HEFA, Lahey
Clinic, (MBIA), 5.375%,
7/1/23 6,440,009
Aaa AAA 1,000 Massachusetts HEFA, New
England Medical Center,
(FGIC), 6.50%, 7/1/12 1,057,990
NR AAA 2,625 Massachusetts HEFA,
Winchester Hospital,
(CLEE), 5.75%, 7/1/14 2,558,194
NR AAA 3,650 Massachusetts HEFA,
Winchester Hospital,
(CLEE), 5.75%, 7/1/24 3,487,976
-------------
$ 42,179,201
-------------
INSURED HOUSING - 1.6%
Aaa AAA $ 2,500 Massachusetts HFA, (AMT),
(AMBAC), 6.40%, 12/1/15
(2) $ 2,508,325
Aaa AAA 2,000 Massachusetts HFA,
(AMBAC), 6.45%, 1/1/36 2,051,200
-------------
$ 4,559,525
-------------
INSURED TRANSPORTATION - 2.2%
Aaa AAA $ 5,860 Massachusetts Port
Authority, (AMT), (FGIC),
7.50%, 7/1/20 $ 6,510,753
-------------
INSURED WATER AND SEWER - 0.7%
Aaa AAA $ 2,500 Massachusetts Water
Resources Authority,
(MBIA), 4.75%, 12/1/21 $ 2,127,950
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
LEASE/CERTIFICATE OF
PARTICIPATION - 3.3%
NR A- $ 7,800 Plymouth County,
Massachusetts Correctional
Facility Project, 7.00%,
4/1/22 (3) $ 8,368,620
NR BBB 1,200 Puerto Rico Industrial,
Tourist, Educational,
Medical and Environmental
Control Authority,
Guaynabo Lease, 5.625%,
7/1/22 1,100,844
-------------
$ 9,469,464
-------------
NURSING HOMES - 2.1%
NR NR $ 2,400 Massachusetts HEFA,
Fairview Care Facilities,
10.25%, 1/1/21 $ 2,735,544
NR NR 3,225 Massachusetts IFA, Age
Institute of
Massachusetts, 8.05%,
11/1/25 3,221,033
-------------
$ 5,956,577
-------------
SOLID WASTE - 0.4%
NR NR $ 1,245 City of Pittsfield, Vicon
Recovery Associates
Project, 7.95%, 11/1/04 $ 1,301,648
-------------
SPECIAL TAX REVENUE - 3.4%
A1 AA $ 3,000 Commonwealth of
Massachusetts, 6.00%,
6/1/13 $ 3,049,020
A1 AA- 4,560 Commonwealth of
Massachusetts, 5.80%,
6/1/14 4,559,544
Baa1 A 2,000 Puerto Rico Highway and
Transportation Authority,
6.625%, 7/1/18 2,205,640
-------------
$ 9,814,204
-------------
TRANSPORTATION - 4.6%
NR BBB $ 7,950 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 6,041,690
Aa AA- 7,300 Massachusetts Port
Authority, 6.00%, 7/1/23 7,366,138
-------------
$ 13,407,828
-------------
UTILITIES - 7.9%
NR BBB $ 2,765 Guam Power Authority,
5.25%, 10/1/23 $ 2,362,361
A BBB+ 3,500 Massachusetts Municipal
Wholesale Electric
Company, 6.75%, 7/1/11 3,705,625
A BBB+ 5,610 Massachusetts Municipal
Wholesale Electric
Company, 6.00%, 7/1/18 5,602,538
A BBB+ 9,060 Massachusetts Municipal
Wholesale Electric
Company, 6.625%, 7/1/18 9,446,862
</TABLE>
45
<PAGE> 47
- --------------------------------------------------------------------------------
MASSACHUSETTS MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
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)
Baa1 A- 150 Puerto Rico Electric Power
Authority, 5.50%, 7/1/20 140,103
NR NR 1,500 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,569,750
-------------
$ 22,827,239
-------------
WATER AND SEWER - 12.8%
Baa1 BBB $12,185 City of Boston Harbor
Electric Energy Company
Project, (AMT), 7.375%,
5/15/15 (3) $ 13,103,871
A A 1,500 Massachusetts Water
Resources Authority,
5.25%, 3/1/13 1,393,440
A A 5,175 Massachusetts Water
Resources Authority,
5.00%, 3/1/22 4,516,999
A A 1,360 Massachusetts Water
Resources Authority,
5.50%, 3/1/17 1,276,428
A A 13,000 Massachusetts Water
Resources Authority,
4.75%, 12/1/23 10,788,050
A A 4,165 Massachusetts Water
Resources Authority,
5.25%, 12/1/15 3,865,744
NR NR 2,000 Virgin Islands Water and
Power Authority, 7.60%,
1/1/12 2,127,920
-------------
$ 37,072,452
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST $274,146,153) $ 289,648,009
=============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) When-issued security.
(3) Security has been segregated to cover when-issued securities.
(4) Security has been segregated to cover margin requirements for open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Massachusetts
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1996, 25.0% 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 4.1% to 6.9% of total investments.
See notes to financial statements
46
<PAGE> 48
- --------------------------------------------------------------------------------
Mississippi Municipals Portfolio
Portfolio of Investments - March 31, 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>
ESCROWED - 1.6%
Aaa NR $1,500 Mississippi Housing Finance
Corporation, SFMR, (AMT),
0%, 6/1/15 $ 483,210
------------
GENERAL OBLIGATIONS - 9.3%
NR A- $1,000 Mississippi Development
Bank, Golden Triangle,
6.00%, 7/1/15 $ 979,780
Aa AA- 500 State of Mississippi,
5.75%, 6/1/14 503,510
Aa AA- 200 State of Mississippi,
5.10%, 11/15/12 190,508
Aa AA- 500 State of Mississippi,
6.75%, 12/1/14 542,915
Baa1 A 250 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 229,733
------------
$ 2,446,446
------------
HOSPITAL - 3.5%
A NR $1,000 Mississippi Hospital
Equipment & Facilities
Authority, Rankin Medical
Center, 5.60%,
3/1/19 $ 915,650
------------
HOUSING - 9.3%
Aa NR $ 500 Hinds County, Woodridge
Apartments, (FHA) 6.25%,
11/1/27 $ 502,630
Aaa NR 300 Vicksburg Leased Housing
Corporation, Magnolia
Manor, (FHA) 5.95%, 8/15/22 296,433
Aaa NR 1,000 Mississippi Home
Corporation, SFMR, Access
Program, (AMT), (GNMA)
8.125%, 12/1/24 1,102,460
Aaa NR 485 Mississippi Home
Corporation, SFMR, Access
Program, (AMT), (GNMA)
8.10%, 12/1/24 534,116
------------
$ 2,435,639
------------
INDUSTRIAL DEVELOPMENT
REVENUE - 11.3%
NR A- $ 600 Jackson County,
International Paper
Company, (AMT), 5.55%,
10/1/17 $ 568,314
A2 A 1,000 Lowndes County,
Weyerhaeuser Company,
6.80%, 4/1/22 1,100,430
NR AA- 500 Port of Gulfport, E.I. du
Pont de Nemours and
Company, (AMT), 7.15%,
5/1/16 543,285
A2 NR 145 Commonwealth of Puerto
Rico, American Home
Products, 5.10%, 12/1/18 130,091
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A3 A- 600 Warren County,
International Paper
Company, (AMT), 6.60%,
3/1/19 609,744
------------
$ 2,951,864
------------
INSURED EDUCATION - 4.0%
Aaa AAA $1,000 Mississippi Educational
Facilities Authority,
Milsaps College, (MBIA)
6.50%, 11/1/19 $ 1,049,860
------------
INSURED GENERAL OBLIGATIONS - 5.4%
Aaa AAA $ 500 Hinds County, (MBIA) 6.25%,
3/1/11 $ 536,730
Aaa AAA 1,000 Desoto County School
District, (MBIA) 4.75%,
2/1/13 887,070
------------
$ 1,423,800
------------
INSURED HOSPITALS - 18.2%
Aaa AAA $1,000 Alcorn County, Magnolia
Regional Health Center,
(AMBAC) 5.75%, 10/1/13 $ 975,250
Aaa AAA 1,000 City of Gulfport, Gulfport
Memorial Hospital, (MBIA)
6.20%, 7/1/18 1,028,900
Aaa AAA 1,275 Hinds County, Mississippi
Methodist Hospital, (AMBAC)
5.60%, 5/1/12 1,265,591
Aaa AAA 500 Mississippi Hospital
Equipment and Facilities
Authority, Methodist Health
Systems, (MBIA) 5.50%,
8/15/13 482,620
Aaa AAA 1,000 Mississippi Hospital
Equipment and Facilities
Authority, Mississippi
Baptist Medical Center,
(MBIA) 6.00%, 5/1/13 1,018,570
------------
$ 4,770,931
------------
INSURED HOUSING - 2.0%
Aaa NR $ 500 Mississippi Home
Corporation, SFMR, (AMT),
(GNMA) 6.625%, 4/1/27 $ 511,950
------------
INSURED LEASE/CERTIFICATE OF
PARTICIPATION - 5.7%
Aaa AAA $1,500 Medical Center Building
Corporation, University of
Mississippi Medical Center,
(MBIA) 5.80%, 12/1/14 $ 1,488,045
------------
INSURED UTILITIES - 7.6%
Aaa AAA $1,600 Jackson County, Gautier
Utility District, (MBIA)
6.375%, 3/1/12 $ 1,671,008
Aaa AAA 300 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA) Variable,
7/1/03 (1) 333,000
------------
$ 2,004,008
------------
</TABLE>
47
<PAGE> 49
- --------------------------------------------------------------------------------
MISSISSIPPI MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
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 - 1.9%
Aaa AAA $ 500 City of Natchez, Combined
Water and Sewer System,
(MBIA) 5.70%, 8/1/17 $ 489,685
------------
HEALTH CARE - 2.6%
NR NR $ 500 Mississippi Business
Finance Corporation,
Magnolia Healthcare, 7.99%,
7/1/25 $ 487,775
NR NR 200 City of Ridgeland Urban
Renewal, The Orchard, LTD.,
7.75%, 12/1/15 (2) 199,966
------------
$ 687,741
------------
LEASE/CERTIFICATE OF
PARTICIPATION - 3.9%
A NR $1,000 Mississippi University
Educational Building Corp.,
Facilities Renovation,
6.15%, 6/15/15 $ 1,013,900
------------
SPECIAL TAX - 6.4%
Baa1 A $ 500 Commonwealth of Puerto
Rico, Highway and
Transportation Authority,
5.25%, 7/1/20 $ 451,180
Baa1 A 1,000 Commonwealth of Puerto
Rico, Highway and
Transportation Authority,
5.25%, 7/1/21 900,610
Baa1 A 375 Commonwealth of Puerto
Rico, Highway and
Transportation Authority,
5.00%, 7/1/36 (2) 313,369
------------
$ 1,665,159
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - 7.1%
NR BBB $ 810 Guam Power Authority,
6.625%, 10/1/14 $ 831,237
Baa3 NR 1,000 Warren County, Mississippi
Power & Light Company
Project, 7.00%, 4/1/22 1,040,050
------------
$ 1,871,287
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $25,016,825) $ 26,209,175
============
</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 Mississippi
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 March 29, 1996, 44.8% 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 1.3% to 27.0% of total investments.
See notes to financial statements
48
<PAGE> 50
- --------------------------------------------------------------------------------
New York Municipals Portfolio
Portfolio of Investments - March 31, 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 - 0.3%
NR NR $ 1,970 Village of North Syracuse
Housing Authority, (AJM
Senior Housing, Inc. Janus
Park Project), 8.00%,
6/1/24 $ 1,961,135
-------------
EDUCATION - 14.5%
A NR $ 1,000 Dutchess County IDA, Bard
College, 7.00%, 11/1/17 $ 1,077,270
A1 NR 6,170 Monroe County IDA,
University of Rochester,
7.25%, 12/1/16 6,448,884
Baa BBB- 1,660 City of New Rochelle IDA
Civic Facilities, College
of New Rochelle, 6.75%,
7/1/22 1,705,102
Baa1 BBB+ 9,000 Dormitory Authority, State
University Educational
Facilities, 6.25%, 5/15/17 8,978,220
Baa1 BBB+ 1,300 Dormitory Authority, State
University Educational
Facilities, 7.50%, 5/15/11 1,498,939
Baa1 BBB+ 11,500 Dormitory Authority, State
University Educational
Facilities, 5.25%, 5/15/13 10,618,870
Aaa AA+ 6,895 Dormitory Authority, State
University Educational
Facilities, 4.75%, 7/1/14 6,215,290
Aa AA 2,650 Dormitory Authority, State
University Educational
Facilities, 5.00%, 7/1/15 2,437,550
Baa1 BBB+ 415 Dormitory Authority, State
University Educational
Facilities, 7.375%,
5/15/14 454,911
Baa1 BBB+ 9,850 Dormitory Authority, State
University Educational
Facilities, 5.25%, 5/15/15 8,984,382
Baa1 BBB+ 7,605 Dormitory Authority, State
University Educational
Facilities, 5.25%, 5/15/19 6,843,663
Baa1 BBB+ 6,805 Dormitory Authority, State
University Educational
Facilities, 5.25%, 5/15/21 6,081,901
NR AA 1,300 Dormitory Authority, New
York Medical College
(Asset Guaranty), 6.875%,
7/1/21 1,402,453
Baa1 BBB+ 28,975 Dormitory Authority, State
University Educational
Facilities, 5.50%, 5/15/13 27,495,247
-------------
$ 90,242,682
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ELECTRIC UTILITIES - 4.9%
A1 A $ 2,500 New York State Energy
Resources & Development
Authority, Brooklyn Union
Gas (RIBS)(AMT), Variable,
7/1/26 (1) $ 2,963,750
A1 A+ 500 New York State Energy
Resource & Development
Authority, Consolidated
Edison (AMT), 7.75%,
1/1/24 529,000
A1 A+ 2,365 New York State Energy
Resource & Development
Authority, Consolidated
Edison (AMT), 7.50%,
7/1/25 2,544,480
A1 A+ 1,000 New York State Energy
Resource & Development
Authority, Consolidated
Edison (AMT), 7.50%,
1/1/26 1,081,500
Aa AA- 19,445 Power Authority of the
State of New York, 5.25%,
1/1/18 17,950,457
Baa1 A- 1,500 Puerto Rico Electric Power
Authority, 0%, 7/1/17 404,085
Baa1 A- 2,250 Puerto Rico Electric Power
Authority, 5.50%, 7/1/20 2,101,545
NR NR 3,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 3,139,500
-------------
$ 30,714,397
-------------
ESCROWED - 11.4%
Aaa AAA $ 725 Albany Municipal Water
(MBIA), 7.50%, 12/1/17 $ 799,501
Aaa BBB 1,000 Dormitory Authority, City
University, 7.625%, 7/1/20 1,140,150
Aaa BBB+ 1,530 Dormitory Authority, State
University Educational
Facilities, 7.70%, 5/15/12 1,743,695
NR BBB 1,000 Dormitory Authority, City
University, 8.125%, 7/1/08 1,102,480
Baa1 BBB- 2,250 Dormitory Authority,
Upstate Community College,
7.20%, 7/1/21 2,560,725
Baa1 NR 2,000 Dormitory Authority,
Upstate Community College,
7.30%, 7/1/21 2,285,440
Baa BBB+ 13,380 New York State Housing
Finance Agency Health
Facilities, 6.00%, 5/1/16 13,379,197
Aaa AAA 500 Erie County Water
Authority, Water Works
System, 6.00%, 12/1/08 535,280
Aaa AAA 500 Metropolitan
Transportation Authority
Commuter Facilities Bonds,
7.50%, 7/1/19 565,600
</TABLE>
49
<PAGE> 51
- --------------------------------------------------------------------------------
NEW YORK MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ESCROWED - (CONTINUED)
Aaa AAA 1,000 New York Local Government
Assistance Corporation,
7.00%, 4/1/16 1,126,720
Aaa AAA 1,500 New York Local Government
Assistance Corporation,
6.75%, 4/1/21 1,690,125
Aaa BBB 1,000 New York State Housing
Finance Agency Service
Contracts, 7.80%, 9/15/11 1,160,990
Aaa AAA 1,775 New York State Housing
Finance Agency Service
Contracts, 7.375%, 9/15/21 2,055,876
Aaa BBB+ 90 New York State Medical
Care Facilities Finance
Agency, (MCFFA), Mental
Health Services
Facilities, 7.75%, 8/15/10 102,127
Aaa AAA 450 New York State MCFFA,
Mental Health Services
Facilities, 7.875%,
8/15/08 518,917
Aaa AAA 3,320 New York State MCFFA,
Mental Health Services
Facilities, 7.50%, 2/15/21 3,804,189
Aaa NR 8,100 New York State Urban
Development Corporation
Correctional Facilities,
6.50%, 1/1/21 8,784,450
Baa1 BBB 4,750 New York State Thruway
Authority, Local Highway
and Bridge Service
Contract Bonds, 7.25%,
1/1/10 (2) 5,357,145
Baa1 BBB 7,200 New York State Urban
Development Corporation,
5.70%, 4/1/20 6,839,496
Baa1 BBB 500 New York State Urban
Development Corporation,
Alfred Technology, 7.875%,
1/1/20 567,825
Baa1 BBB 750 New York State Urban
Development Corporation,
Clarkson Center, 7.80%,
1/1/20 864,997
Baa1 BBB 750 New York State Urban
Development Corporation,
Clarkson Center, 8.00%,
1/1/20 841,538
Aaa AAA 5,350 New York State UDC,
Onondaga Co. Convention
Center, 7.875%, 1/1/10 6,199,741
NR AA- 500 Power Authority of the
State of New York, 8.00%,
1/1/17 542,215
NR A 1,760 Puerto Rico Highway &
Transportation Authority,
6.625%, 7/1/18 1,976,339
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 AAA 3,750 Puerto Rico Aqueduct &
Sewer Authority, 7.875%,
7/1/17 4,127,212
-------------
$ 70,671,970
-------------
GENERAL OBLIGATIONS - 2.3%
A A- $ 5,965 New York State, 6.125%,
6/15/14 $ 6,186,421
Baa1 A- 120 New York City, 8.25%,
5/15/16 138,904
Baa1 A- 4,000 New York City, 7.50%,
2/1/18 4,333,440
Aa AA 1,700 Onondaga County, 5.875%,
2/15/11 1,776,364
Aa AA 1,600 Onondaga County, 5.875%,
2/15/12 1,659,392
-------------
$ 14,094,521
-------------
HEALTH CARE - 15.3%
NR AAA $ 6,705 Dormitory Authority,
United Health Services,
FHA, 7.35%, 8/1/29 $ 7,243,344
NR AA 1,000 Dormitory Authority, St.
Johns, FHA Insured Nursing
Home, 6.05%, 2/1/16 1,010,840
Aa AA 750 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.35%, 2/15/29 809,108
NR AAA 3,550 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.125%, 2/15/14 3,640,809
NR AA 9,000 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.70%, 8/15/23 9,402,750
Aa AA 6,600 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.25%, 2/15/31 7,119,354
Aa AA 1,500 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.95%, 2/15/32 1,591,065
Aa AA 2,190 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.00%, 8/15/32 2,342,577
Aa AA 1,050 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.75%, 2/15/12 1,110,837
</TABLE>
50
<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>
HEALTH CARE - (CONTINUED)
Aa AA 1,000 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.55%, 8/15/12 1,037,680
NR AA 2,670 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.10%, 8/15/15 2,676,461
Aa AA 3,500 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.20%, 8/15/14 3,588,445
Aa AA 2,425 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.20%, 2/15/10 2,500,199
Aa AA 2,500 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.50%, 2/15/35 2,546,525
Aa AA 6,550 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.25%, 8/15/15 6,720,824
Aa AA 6,625 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.20%, 8/15/15 6,678,133
Aa AA 950 New York State MCFFA,
Insured Mortgage Project
(FHA), 7.45%, 8/15/31 1,027,511
Baa1 BBB+ 1,610 New York State MCFFA,
Mental Health Services
Facilities, 7.625%,
8/15/17 1,797,404
Baa1 BBB+ 145 New York State MCFFA,
Mental Health Services
Facilities, 7.75%, 8/15/10 159,949
Baa1 BBB+ 495 New York State MCFFA,
Mental Health Services
Facilities, 7.875%,
8/15/08 554,821
Baa1 BBB+ 1,230 New York State MCFFA,
Mental Health Services
Facilities, 7.50%, 2/15/21 1,365,940
Baa1 BBB+ 4,785 New York State MCFFA,
Mental Health Services
Facilities,, Series 1994
A, 5.25%, 8/15/23 4,149,887
Baa NR 5,540 New York State MCFFA,
Secured Hospital, 7.35%,
8/15/11 5,919,435
Baa BBB 19,700 New York State MCFFA,
Secured Hospital
(Brookdale), 6.80%,
8/15/12 20,323,701
-------------
$ 95,317,579
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 0.7%
Aa AAA $ 1,500 Dormitory Authority, Long
Island Jewish Medical
Center (FHA), 7.75%,
8/15/27 $ 1,605,150
NR AAA 1,000 Dormitory Authority, St.
Francis Hospital (FHA),
7.65%, 8/1/30 1,106,890
Baa1 BBB+ 1,800 Syracuse Industrial
Development Agency (IDA),
St. Joseph's Hospital
Health Center, 7.50%,
6/1/18 1,904,688
-------------
$ 4,616,728
-------------
HOUSING - 5.8%
NR NR $ 4,704 New York City Housing
Development Corporation
(HDC), Allerville Project,
6.50%, 11/15/18 $ 4,770,839
NR NR 2,062 New York City HDC, Dayton
Project, 6.50%, 11/15/18 2,067,436
NR AAA 2,550 New York City HDC, Multi-
Unit Management, 7.35%,
6/1/19 2,678,163
Baa A 4,750 New York City HDC, General
Housing, 6.50%, 5/1/22 4,797,785
Aa AAA 235 New York State Housing
Finance Agency, Baytown,
7.10%, 8/15/35 248,468
Aa NR 565 New York State Mortgage
Agency, 7.70%, 10/1/12 606,754
Aaa AAA 250 New York State Mortgage
Agency, 6.90%, 4/1/03 262,945
Aa NR 8,750 New York State Mortgage
Agency, 6.90%, 4/1/15 9,266,950
Aa NR 500 New York State Mortgage
Agency, 6.65%, 4/1/22 515,280
Aa NR 1,000 New York State Mortgage
Agency, 7.50%, 4/1/15 1,083,300
Aa NR 270 New York State Mortgage
Agency, 8.00%, 10/1/17 284,880
Aa NR 275 New York State Mortgage
Agency, 7.65%, 4/1/19 290,820
Aa NR 1,600 New York State Mortgage
Agency (AMT), 7.95%,
10/1/21 1,715,344
Aa NR 6,350 New York State Mortgage
Agency (AMT), 6.40%,
10/1/20 6,431,280
Baa BBB 350 Puerto Rico Commonwealth
Urban Renewal & Housing
Corporation, 7.875%,
10/1/04 389,575
</TABLE>
51
<PAGE> 53
- --------------------------------------------------------------------------------
NEW YORK MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
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)
Aaa AAA 380 Puerto Rico Housing
Financial Corporation
Single-Family (GNMA),
7.65%, 10/15/22 399,646
-------------
$ 35,809,465
-------------
INSURED COLLEGE & UNIVERSITY - 1.9%
Aaa AAA $ 2,485 Dormitory Authority, State
University (AMBAC), 5.25%,
7/1/14 $ 2,353,544
Aaa AAA 6,950 Dormitory Authority,
Marist College (MBIA),
6.00%, 7/1/22 7,025,685
Aaa AAA 2,000 Dormitory Authority, New
York University (MBIA),
5.00%, 7/1/11 1,893,560
Aaa AAA 450 Dormitory Authority,
Colgate University, 6.00%,
7/1/16 466,592
-------------
$ 11,739,381
-------------
INSURED GENERAL OBLIGATIONS - 0.8%
Aaa AAA $ 1,035 Erie County Water
Authority (AMBAC), 0%,
12/1/17 $ 218,965
Aaa AAA 2,480 New York State
Environmental Facilities
Corporation (EFC), Jamaica
Water Supply Company (AMT)
(AMBAC), 7.625%, 4/1/29 2,686,584
Aaa AAA 1,955 New York State Dorm
Authority, City
University, 5.75%, 7/1/13 1,980,474
-------------
$ 4,886,023
-------------
INSURED GENERAL OBLIGATIONS
LOCAL - 1.8%
Aaa AAA $ 465 Chautauqua County
Unlimited Tax (FGIC),
7.30%, 4/1/07 $ 548,128
Aaa AAA 520 Chautauqua County
Unlimited Tax (FGIC),
6.40%, 9/15/08 574,132
Aaa AAA 770 Chautauqua County
Unlimited Tax (FGIC),
6.40%, 9/15/09 846,800
Aaa AAA 725 Jamestown, (Secondary
AMBAC), 7.00%, 3/15/07 836,164
Aaa AAA 600 Jamestown, (Secondary
AMBAC), 7.00%, 3/15/08 692,304
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/09 813,372
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/10 815,542
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/11 817,033
Aaa AAA 675 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/12 788,683
Aaa AAA 675 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/13 788,947
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 515 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/14 601,736
Aaa AAA 2,000 New York City (AMBAC),
7.00%, 8/1/17 2,227,220
Aaa AAA 500 Oyster Bay (FGIC), 6.60%,
2/15/12 554,610
Aaa AAA 450 Oyster Bay (GDIC), 6.60%,
2/15/13 499,149
-------------
$ 11,403,820
-------------
INSURED GENERAL OBLIGATIONS
SCHOOL DISTRICT - 0.3%
Aaa AAA $ 700 Bethlehem Central School
District (AMBAC), 7.10%,
11/1/08 $ 819,497
Aaa AAA 700 Bethlehem Central School
District (AMBAC), 7.10%,
11/1/09 822,332
-------------
$ 1,641,829
-------------
INSURED GENERAL OBLIGATIONS
TERRITORY - 0.7%
Aaa AAA $ 4,500 Commonwealth of Puerto
Rico Public Improvement
Residual Interest Tax
Exempt Securities (FSA),
Variable, 7/1/22 (1) $ 4,628,250
-------------
INSURED HEALTH CARE - 4.8%
Aaa AAA $ 9,130 New York State Dormitory
Authority, Mental Health
Facilities (MBIA), 5.125%,
8/15/21 $ 8,282,188
Aaa AAA 1,500 New York State MCFFA, Long
Term Health Care (CGIC),
6.80%, 11/1/14 1,600,530
Aaa AAA 1,300 New York State MCFFA, New
York Hospital FHA Insured
Mortgage (AMBAC), 6.60%,
2/15/11 1,417,156
Aaa AAA 5,400 New York State MCFFA, New
York Hospital FHA Insured
Mortgage (AMBAC), 6.75%,
8/15/14 5,845,014
Aaa AAA 13,025 New York State MCFFA,
Mental Health Services
Facilities (MBIA), 5.375%,
2/15/14 12,330,116
-------------
$ 29,475,004
-------------
INSURED HOUSING - 0.1%
Aaa AAA $ 500 New York City HDC, Charter
Oaks (MBIA), 7.375%,
4/1/17 $ 520,650
-------------
</TABLE>
52
<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 MISCELLANEOUS - 3.7%
Aaa AAA $ 500 New York City IDA, (USTA
National Tennis Center
Incorporated Project)
(FSA), 6.375%, 11/15/14 $ 523,725
Aaa AAA 2,000 New York State Dormitory
Authority, City
University, (Sec. AMBAC),
5.75%, 7/1/13 2,026,060
Aaa AAA 21,500 New York State Energy
Research & Development
Authority, Brooklyn Union
Gas, 5.50%, 1/1/21 20,601,515
-------------
$ 23,151,300
-------------
INSURED SOLID WASTE - 1.6%
Aaa AAA $ 1,650 Dutchess County Resource
Recovery Solid Waste
(FGIC), 7.50%, 1/1/09 $ 1,805,232
Aaa AAA 6,795 Islip Resource Recovery
Agency (MBIA), 6.50%,
7/1/09 7,426,052
Aaa AAA 1,000 Montgomery, Otesgo,
Schoharie Solid Waste
Management Authority
(MBIA), 5.25%, 1/1/14 943,690
-------------
$ 10,174,974
-------------
INSURED TOLL & TURNPIKE - 0.5%
Aaa AAA $ 3,000 Triborough Bridge & Tunnel
Authority Residual
Interest Tax Exempt
Securities (MBIA),
Variable, 1/1/19 (1) $ 3,030,000
-------------
INSURED TRANSIT - 0.5%
Aaa AAA $ 3,000 Triborough Bridge & Tunnel
Authority Residual
Interest Tax Exempt
Securities (MBIA),
Variable, 1/1/12 (1) $ 3,225,000
-------------
INSURED WATER & SEWER - 0.1%
Aaa AAA $ 275 Albany Municipal Water
Financial Authority
(MBIA), 7.50%, 12/1/17 $ 297,014
-------------
LEASE/CERTIFICATE OF PARTICIPATION -
6.1%
Baa1 BBB $ 5,100 Dormitory Authority, City
University, 7.00%, 7/1/09 $ 5,634,735
Baa1 BBB 4,325 Dormitory Authority, City
University, 7.50%, 7/1/10 4,994,034
Baa1 BBB 15,815 Dormitory Authority, City
University, 5.75%, 7/1/13 15,326,000
Baa1 BBB 250 Dormitory Authority, City
University, 6.375%, 7/1/08 256,977
NR BBB 5,865 New York State Thruway
Authority, 0%, 1/1/01 4,535,932
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 BBB 5,775 New York State Urban
Development Corporation
(UDC) Correctional
Facilities, 5.50%, 1/1/14 5,461,706
A A 1,825 Syracuse - Hancock
International Airport
Certificates of
Participation, 6.625%,
1/1/12 1,909,535
-------------
$ 38,118,919
-------------
MISCELLANEOUS - 1.6%
Aa AA- $ 200 City of New York Municipal
Assistance Corporation,
7.50%, 7/1/08 $ 216,092
Aa AA- 485 City of New York Municipal
Assistance Corporation,
7.625%, 7/1/08 524,110
Aa AA- 635 City of New York Municipal
Assistance Corporation,
7.625%, 7/1/08 703,377
NR NR 1,300 New York City IDA, (YMCA
of Greater New York),
8.00%, 8/1/16 1,393,392
VRDC - IVRC Trust,
Variable, 6/26/02 (1) 7,200,900
7,000
-------------
$ 10,037,871
-------------
SOLID WASTE - 2.1%
Baa1 A- $ 2,665 Hempstead IDA Resource
Recovery, American
Refunding Fuel Co., 7.40%,
12/1/10 $ 2,754,731
Baa NR 9,530 New York State EFC
Resource Recovery,
Huntington Project, 7.50%,
10/1/12 10,037,091
-------------
$ 12,791,822
-------------
SPECIAL TAX REVENUE - 11.2%
A A $ 4,750 New York State LGAC,
5.25%, 4/1/16 $ 4,411,325
A A 5,225 New York State LGAC,
5.50%, 4/1/17 4,999,437
A A 7,420 New York State LGAC,
5.50%, 4/1/18 6,927,238
A A 33,135 New York State LGAC,
5.50%, 4/1/21 30,801,633
New York State LGAC,
5.00%, 4/1/23 4,550,856
5,270
A A 5,000 New York State LGAC,
5.00%, 4/1/21 4,409,650
NR BBB+ 2,630 New York State Municipal
Bond Bank Agency, 6.875%,
3/15/06 2,837,323
</TABLE>
53
<PAGE> 55
- --------------------------------------------------------------------------------
NEW YORK MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
SPECIAL TAX REVENUE - (CONTINUED)
Baa1 A 4,840 Puerto Rico Highway and
Transportation Authority,
6.625%, 7/1/18 5,337,649
Baa1 A 2,000 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 1,926,280
Baa1 BBB 3,335 Triborough Bridge & Tunnel
Authority, Convention
Center, 6.00%, 1/1/11 3,331,398
-------------
$ 69,532,789
-------------
TRANSPORTATION - 3.7%
Baa1 BBB $ 2,000 MTA Transit Facilities
Service Contract, 5.75%,
7/1/13 $ 1,952,800
Baa1 BBB 725 MTA Transit Facilities
Service Contract, 5.75%,
7/1/13 711,711
NR BBB 2,350 New York State Thruway
Authority, Cross
Westchester Expressway
Project, 0%, 1/1/03 1,609,633
Ba1 BB 2,800 Port Authority of New York
and New Jersey, Delta
Airlines LaGuardia
Airport, 6.95%, 6/1/08 2,967,496
A1 AA- 1,500 Port Authority of New York
and New Jersey (AMT),
Variable, 1/15/27 (1) 1,560,750
Aa A+ 11,580 TBTA General Purpose,
5.50%, 1/1/17 11,230,630
Aa A+ 2,500 TBTA General Purpose,
6.125%, 1/1/21 2,629,475
-------------
$ 22,662,495
-------------
WATER & SEWER REVENUE - 3.3%
Aa A $11,050 New York State EFC, State
Water Pollution Control,
6.875%, 6/15/10 $ 12,211,797
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa A+ 4,545 New York State EFC, State
Water Pollution Control,
7.20%, 3/15/11 4,979,138
Aa A 2,750 New York State EFC, State
Water Pollution Control,
7.00%, 6/15/12 3,028,053
Aa A 150 New York State EFC, State
Water Pollution Control,
7.50%, 6/15/12 166,228
-------------
$ 20,385,216
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $591,994,397) $ 621,130,834
=============
</TABLE>
(1) The above securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by New York
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1996, 16.8% 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 0.3% to 9.1% of total investments.
See notes to financial statements
54
<PAGE> 56
- --------------------------------------------------------------------------------
Ohio Municipals Portfolio
Portfolio of Investments - March 31, 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 - 7.4%
A A+ $ 1,000 University of Cincinnati,
6.50%, 12/1/11 $ 1,036,680
A1 AA- 650 University of Cincinnati,
6.50%, 6/1/11 689,956
Aa AA- 550 Ohio State Higher
Educational Facilities,
Case Western University,
6.50%, 10/1/20 596,222
NR AAA 2,100 Ohio Higher Educational
Facilities, Ohio Northern
University (CLEE), 5.60%,
5/1/13 2,079,399
NR AAA 1,750 Ohio Higher Educational
Facilities, Ohio Northern
University (CLEE), 5.65%,
5/1/18 1,708,945
A1 A+ 1,300 Ohio State Higher
Educational Facilities,
Public Facilities, 5.50%,
12/1/07 1,328,626
A1 NR 7,000 Ohio State Student Loan
Funding Corp (AMT),
6.10%, 8/1/07 7,144,130
A1 NR 7,000 Ohio State Student Loan
Funding Corp (AMT),
6.10%, 8/1/08 7,102,340
A1 AA- 1,500 Ohio State University
Revenue, 5.75%, 12/1/09 1,535,805
-------------
$ 23,222,103
-------------
ESCROWED - 1.4%
A AAA $ 2,760 Middleburg Heights
Hospital - Southwest
General, 6.75%, 8/15/21 $ 3,089,406
Baa1 NR 1,000 Scioto City Ohio, 7.15%,
8/1/11 1,127,040
-------------
$ 4,216,446
-------------
GENERAL OBLIGATIONS - 6.2%
NR NR $ 3,035 Belmont County, 7.30%,
12/1/17 $ 3,179,314
NR NR 2,450 Cleveland City School
District, 7.25%, 6/15/98 2,486,260
Aaa AAA 1,035 City of Columbus, 5.50%,
11/1/12 1,029,380
A1 NR 1,360 Copley-Fairlawn City
School District, 6.25%,
12/1/15 1,419,976
A1 NR 500 Huber Heights, Ohio,
6.75%, 12/1/11 544,610
A1 NR 725 City of Medina, Ohio Fire
Station Improvement,
3.00%, 12/1/10 535,754
Aa AA 1,500 Ohio State Infrastructure
Improvement, 0%, 8/1/11 633,810
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR NR 1,000 Tuscarawas Public Library
Improvement, 6.90%,
12/1/11 1,076,350
Baa NR 1,000 Youngstown, Ohio, 7.55%,
12/1/11 1,103,900
NR NR 6,855 Youngstown, Ohio, 7.35%,
6/15/05 7,397,436
-------------
$ 19,406,790
-------------
HEALTH CARE - 2.5%
NR AAA $ 1,000 Allen County Ohio, LIMA
Convalescent Home
Foundation (GNMA), 6.40%,
1/1/21 $ 1,018,790
Aa2 NR 1,600 Hamilton County,
Episcopal Retirement
Homes, 6.80%, 1/1/08 1,715,248
NR BBB- 1,800 Marion County, United
Church Homes, 6.30%,
11/15/15 1,754,406
Baa BBB 2,925 Puerto Rico Urban Renewal
& Housing Corporation,
0%, 10/1/99 2,473,994
Aa2 NR 600 Warren County, Otterbein
Home Project, 7.20%,
7/1/11 656,604
-------------
$ 7,619,042
-------------
HOSPITALS - 18.2%
Baa BBB- $ 1,000 Butler County,
Hamilton-Hughe Hospital,
7.50%, 1/1/10 $ 1,044,840
NR BBB 1,000 Cambridge Ohio, Guernsey
Memorial Hospital, 8.00%,
12/1/11 1,071,600
A1 A 2,100 Cuyahoga County, Fairview
General Hospital, 6.25%,
8/15/10 2,139,837
A1 A 2,370 Cuyahoga County, Meridia
Health System, 7.00%,
8/15/23 2,484,803
A1 A 2,000 Cuyahoga County, Meridia
Health System, 6.50%,
8/15/12 2,039,600
Aa AA 750 Cuyahoga County,
University Hospitals
Health System, 6.50%,
1/15/19 775,313
Aa AA 4,450 Cuyahoga County,
University Hospitals
Health System, 6.00%,
1/15/22 4,474,208
NR BBB 4,130 Defiance Hospital, Inc.,
7.625%, 11/1/03 4,236,389
Baa BBB- 765 East Liverpool City
Hospital-Series A, 8.00%,
10/1/21 806,287
Baa BBB- 1,000 East Liverpool City
Hospital-Series B, 8.00%,
10/1/21 1,053,970
</TABLE>
55
<PAGE> 57
- --------------------------------------------------------------------------------
OHIO MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - (CONTINUED)
A A- 4,000 Erie County, Firelands
Community Hospital,
6.75%, 1/1/08 4,208,440
Aa NR 3,000 Franklin County,
Children's Hospital,
6.60%, 5/1/13 3,151,920
A A 1,015 City of Garfield Heights,
Marymount Hospital,
6.65%, 11/15/11 1,048,454
A A 1,000 City of Garfield Heights,
Marymount Hospital,
6.70%, 11/15/15 1,036,270
Aa2 NR 1,000 Hamilton County, Wesley
Hall Project, 6.50%,
3/1/15 1,056,770
A1 A 4,000 Hamilton County, Bethesda
Hospital, Inc., 6.25%,
1/1/12 4,015,520
A1 A+ 1,095 Lorain County, Humility
of Mary Health Care
Corp., 7.125%, 12/15/06 1,189,707
A1 A+ 5,900 Lorain County, Humility
of Mary Health Care
Corp., 5.90%, 12/15/08 6,012,571
A1 A+ 1,000 Lorain County, Humility
of Mary Health Care
Corp., 7.20%, 12/15/11 1,073,370
NR A+ 1,750 Lorain County, Lakeland
Community Hospital, Inc.,
6.50%, 11/15/12 1,787,993
NR BBB+ 1,000 Lucas County, Flowers
Hospital, 6.125%, 12/1/13 935,960
NR A 1,000 Muskingham County-
Bethesda Care System
(CLEE), 5.40%, 12/1/16 924,930
NR NR 10,000 Mt Vernon, Knox Community
Hospital, 7.875%, 6/1/12 10,063,500
-------------
$ 56,632,252
-------------
HOUSING - 9.3%
Aa NR $ 1,300 City of Clermont, Laurels
Project (FHA), 6.00%,
9/1/20 $ 1,294,956
Aa NR 1,000 Franklin County, Hamilton
Creek Apartments (FHA),
(AMT), 5.80%, 7/1/14 949,230
Aa NR 3,650 Franklin County, Hamilton
Creek Apartments (FHA),
(AMT), 5.55%, 7/1/24 3,259,669
Aa NR 2,500 Franklin County MFMR-
Tuttle Park Project
(FHA), (AMT), 6.50%,
3/1/26 2,539,650
Aa NR 5,985 Franklin County MFMR-
Tuttle Park Project
(FHA), (AMT), 6.50%,
3/1/36 6,086,625
NR AAA 3,490 Ohio HFA, (GNMA), (AMT),
6.375%, 3/1/25 3,525,424
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR AAA 4,735 Ohio HFA, (GNMA), (AMT),
6.70%, 3/1/25 4,844,994
NR AAA 1,250 Ohio HFA, MFMR-Asbury
Woods (FHA), 7.00%,
10/1/24 1,277,900
Aa NR 2,850 Ohio HFA, Oakleaf Village
Project, (FHA), 5.70%,
9/1/26 2,666,916
Aa NR 1,000 Ohio HFA, Aristocrat
South Board & Care
Project (FHA), (AMT),
7.30%, 8/1/31 1,031,250
Aaa AAA 1,035 Ohio HFA SFMR, (GNMA)
(AMT), Variable, 3/31/31
(1) 1,098,777
A1 A+ 500 Ohio Building Authority
Juvenile Correctional
Building, 5.80%, 10/1/07 517,480
-------------
$ 29,092,871
-------------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL
REVENUES - 8.3%
Baa1 NR $ 3,750 Ohio Air Quality
Development Authority,
Ashland Oil Inc, 6.85%,
4/1/10 $ 3,988,425
NR A- 585 Ohio IDR, Enterprise Bond
Fund, Burrows Paper Corp.
(AMT), 7.625%, 6/1/11 646,197
NR A- 300 Ohio IDR, Enterprise Bond
Fund, Cheryl & Co.,
(AMT), 5.50%, 12/1/04 299,157
NR A- 530 Ohio IDR, Enterprise Bond
Fund, Cheryl & Co.,
(AMT), 5.90%, 12/1/09 533,281
NR A- 1,775 Ohio IDR, Enterprise Bond
Fund, Consolidated
Biscuit, (AMT), 7.00%,
12/1/09 1,970,694
NR A- 3,385 Ohio IDR, Enterprise Bond
Fund, J J & W LP Project
(AMT), 6.70%, 12/1/14 3,509,399
NR A- 750 Ohio IDR, Enterprise Bond
Fund, Luigino's Inc.
(AMT), 6.85%, 6/1/01 766,793
NR A- 935 Ohio IDR, Enterprise Bond
Fund, Progress Plastic
Products, (AMT), 6.80%,
12/1/01 1,012,699
NR A- 1,525 Ohio IDR, Enterprise Bond
Fund, Progress Plastic
Products, (AMT), 7.80%,
12/1/09 1,770,357
NR A- 680 Ohio IDR, Enterprise Bond
Fund, Royal Appliance
Manufacturing Co., Series
1991 #9 (AMT), 7.625%,
12/1/11 755,888
</TABLE>
56
<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>
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL
REVENUE - (CONTINUED)
NR A- 1,000 Ohio IDR, Enterprise Bond
Fund, Royal Appliance
Manufacturing Co., Series
1991 #5 (AMT), 7.625%,
12/1/11 1,111,600
NR A- 880 Ohio IDR, Enterprise Bond
Fund, VSM Corp., (AMT),
7.375%, 12/1/11 967,666
NR AA- 1,000 Ohio Pollution Control,
Standard Oil Company,
6.75%, 12/1/15 1,129,480
NR BB 1,020 Ohio Economic
Development, KMART Corp.,
6.75%, 5/15/07 901,790
Baa2 BBB 3,990 Ohio Water Development
Authority, Union Carbide
Corp. Project, 5.50%,
1/15/07 5.50%, 1/15/07 3,885,263
Ba2 NR 1,500 Portage County, Kroger
Corporation, 7.25%,
7/1/99 1,580,940
Ba2 NR 1,000 Summit County, Kroger
Corporation, 6.85%,
7/1/99 1,044,020
-------------
$ 25,873,649
-------------
INSURED EDUCATION - 0.3%
Aaa AAA $ 1,000 Ohio Higher Education,
University of Dayton
Project (FGIC), 5.80%,
12/1/14 $ 1,005,430
-------------
INSURED GENERAL OBLIGATIONS - 2.3%
Aaa AAA $ 1,000 Hilliard Ohio School
District (FGIC), 5.00%,
12/1/20 $ 894,460
Aaa AAA 1,595 Marion County Local
School District (MBIA),
5.375%, 12/1/19 1,514,086
Aaa AAA 1,700 Puerto Rico (AMBAC),
Variable, 7/1/15 (1) 1,718,700
Aaa AAA 3,000 Puerto Rico (FSA),
Variable, 7/1/22 (1) 3,085,500
-------------
$ 7,212,746
-------------
INSURED HEALTH CARE - 2.4%
Aaa AAA $ 1,945 Hamilton County, Sisters
of Charity Health Care
System (MBIA), 5.25%,
5/15/13 $ 1,833,765
Aaa AAA 5,925 Montgomery County,
Sisters of Charity Health
Care System (MBIA),
5.25%, 5/15/11 5,732,556
-------------
$ 7,566,321
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITAL - 13.1%
Aaa AAA $ 2,500 Akron, Bath and Copley
Townships Children's
Hospital Medical Center
of Akron, (AMBAC), 5.25%,
11/15/20 $ 2,302,375
Aaa AAA 1,000 Clermont County, Mercy
Health System (AMBAC),
Variable, 10/5/21 (1) 1,157,000
Aaa AAA 1,500 Cuyahoga County, Fairview
Hospital, (MBIA), 5.50%,
8/15/19 1,400,925
Aaa AAA 4,000 Cuyahoga County, Fairview
Hospital, (MBIA), 5.50%,
1/15/17 3,823,200
Aaa AAA 10,500 Franklin County,
Riverside United
Methodist (AMBAC), 5.75%,
5/15/20 10,258,290
Aaa AAA 6,700 Franklin County,
Riverside United
Methodist (MBIA), 5.75%,
5/15/20 6,587,976
Aaa AAA 2,750 Mansfield General
Hospital (AMBAC), 6.70%,
12/1/09 2,967,003
Aaa AAA 5,000 Middleburg Heights
Hospital-Southwestern
General (FSA), 5.75%,
8/15/21 4,895,100
Aaa AAA 1,000 Montgomery County, Ohio
Miami Valley Hospital,
(AMBAC), 6.25%, 11/15/16 1,036,270
Aaa AAA 6,565 Portage County, Robinson
Memorial Hospital,
(MBIA), 5.80%, 11/15/15 6,319,140
-------------
$ 40,747,279
-------------
INSURED HOUSING - 0.9%
Aaa AAA $ 985 Ohio Capital Corporation
FHA Insured Mortgage
Loans, (MBIA), 7.25%,
7/1/24 $ 1,026,990
Aaa AAA 750 Ohio Capital Corporation
FHA Insured Mortgage
Loans, (MBIA), 6.50%,
1/1/25 763,388
Aaa AAA 1,100 Ohio Capital Corporation
MFMR-Horizon Apts.
(MBIA), 6.50%, 1/1/23 1,124,662
-------------
$ 2,915,040
-------------
INSURED IDR/IDB - 2.3%
Aaa AAA $ 7,000 Ohio Air Quality
Development Authority,
JMG Funding, L.P.
Project, (AMBAC), (AMT),
6.375%, 1/1/29 $ 7,207,690
-------------
INSURED LEASE - 0.2%
Aaa AAA $ 1,000 Ohio Higher Education,
University of Dayton,
(FGIC), 0%, 12/1/06 $ 572,530
-------------
</TABLE>
57
<PAGE> 59
- --------------------------------------------------------------------------------
OHIO MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
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 SPECIAL TAX REVENUES - 0.7%
Aaa AAA $ 2,110 Hudson Local School
District, (FGIC), 0%,
12/15/09 $ 1,008,728
Aaa AAA 1,000 Hudson Local School
District, (FGIC), 0%,
12/15/10 449,770
Aaa AAA 1,400 Pickerington Local School
District, (AMBAC), 0%,
12/1/11 582,344
-------------
$ 2,040,842
-------------
INSURED UTILITIES - 2.0%
Aaa AAA $ 1,650 Cleveland Public Power
System, (MBIA), 7.00%,
11/15/17 $ 1,810,034
Aaa AAA 2,000 Cuyahoga County Medical
Center Utility System
(AMT) (MBIA), 6.10%,
8/15/15 2,011,220
Aaa AAA 2,300 Puerto Rico Electric
Power Authority, (FSA),
Variable, 7/1/02 (1) 2,523,100
-------------
$ 6,344,354
-------------
LEASE/CERTIFICATE OF
PARTICIPATION - 0.8%
Baa1 A $ 2,500 Puerto Rica Public
Building Authority,
6.00%, 7/1/12 $ 2,504,800
-------------
LIFE CARE - 0.7%
Aa NR $ 2,000 Franklin County,
Kensington Place Project,
6.75%, 1/1/34 $ 2,046,060
-------------
NURSING HOMES - 1.7%
NR NR $ 1,650 Cuyahoga County-Judson
Retirement Community,
8.875%, 11/15/19 $ 1,788,485
NR NR 3,100 Green County-Fairview
Extended Care, 10.125%,
1/1/11 3,496,180
-------------
$ 5,284,665
-------------
SPECIAL TAX REVENUE - 4.7%
Baa1 A $ 3,000 Puerto Rico Highway &
Transportation Authority,
6.625%, 7/1/12 $ 3,209,700
Baa1 A 5000 Puerto Rico Highway &
Transportation Authority,
5.25%, 7/1/20 4,511,800
Baa1 A 4995 Puerto Rico Highway &
Transportation Authority,
5.00%, 7/1/22 4,326,616
Baa1 A 1850 Puerto Rico Highway &
Transportation Authority,
5.50%, 7/1/36 1,684,055
Baa1 A 1000 Puerto Rico Highway &
Transportation Authority,
5.00%, 7/1/36 835,650
-------------
$ 14,567,821
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
TRANSPORTATION - 3.2%
NR BBB $ 5,630 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 5,716,759
A1 AA- 4,330 Ohio Turnpike Commission,
5.75%, 2/15/24 4,235,519
-------------
$ 9,952,278
-------------
UTILITIES - 10.5%
NR BBB $ 5,500 Guam Power Authority,
5.25%, 10/1/13 (3) $ 4,903,690
A1 A+ 18,335 OH State Air Quality
Development Authority,
6.10%, 9/01/30 18,281,279
Baa1 A- 3,000 Puerto Rico Electric
Power Authority, 5.00%,
7/1/12 2,714,220
Baa1 A- 360 Puerto Rico Electric
Power Authority, 7.125%,
7/1/14 388,109
Baa1 A- 20,165 Puerto Rico Electric
Power Authority, 0%,
7/1/17 5,432,249
NR NR 1,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,046,500
-------------
$ 32,766,047
-------------
WATER & SEWER REVENUE - 0.9%
NR NR $ 800 The Mahoning Valley
Sanitary District, 7.00%,
12/15/08 $ 849,672
NR NR 950 The Mahoning Valley
Sanitary District, 7.00%,
12/15/09 1,006,069
NR NR 1,000 City of Vermilion, Ohio
Water System, 7.25%,
8/15/15 1,070,950
-------------
$ 2,926,691
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $300,256,227) $ 311,723,747
=============
</TABLE>
(1) The above security has been issued as an inverse floater bond.
The Portfolio invests primarily in debt securities issued by Ohio
municipalities. The ability of the issuers of the debt securities to meet their
debt 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 March 31, 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 1.3% to 10.9% of total investments.
See notes to financial statements
58
<PAGE> 60
- --------------------------------------------------------------------------------
Rhode Island Municipals Portfolio
Portfolio of Investments - March 31, 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 - 5.1%
Aa AA $ 1,500 Rhode Island Health and
Educational Building
Corporation, Brown
University, 5.375%, 9/1/23 $ 1,395,465
A NR 750 Rhode Island Student Loan
Authority, 5.60%, 12/1/12 703,590
------------
$ 2,099,055
------------
ELECTRIC UTILITIES - 3.8%
Baa1 A- $ 710 Puerto Rico Electric Power
Authority, 5.00%, 7/1/12 $ 642,365
Baa1 A- 1,000 Puerto Rico Electric Power
Authority, 5.50%, 7/1/25 934,020
------------
$ 1,576,385
------------
GENERAL OBLIGATIONS
(LOCAL) - 0.8%
Ba NR $ 310 West Warwick, 6.80%,
7/15/98 $ 317,034
------------
GENERAL OBLIGATIONS
(TERRITORY) - 2.8%
Baa1 A $ 500 Puerto Rico Public
Improvement, 5.50%, 7/1/13 $ 484,265
NR BBB 750 Government of Guam, 5.40%,
11/15/18 662,572
------------
$ 1,146,837
------------
HOSPITALS - 7.7%
NR AA $ 1,500 Rhode Island Health and
Educational Building
Corporation, Landmark
Medical Center, 5.875%,
10/1/19 $ 1,454,505
NR A 1,015 Rhode Island Health and
Educational Building
Corporation, Butler
Hospital, 5.125%, 1/1/08 953,014
Baa BBB+ 830 Rhode Island Health and
Educational Building
Corporation, Westerly
Hospital, 6.00%, 7/1/14 755,433
------------
$ 3,162,952
------------
HOUSING - 16.2%
Aa AA+ $ 1,500 Rhode Island Housing and
Mortgage Finance
Corporation (AMT), 6.60%,
10/1/25 $ 1,579,093
Aa AA 100 Rhode Island Housing and
Mortgage Finance
Corporation (AMT), 6.70%,
10/1/12 103,692
Aa AA+ 270 Rhode Island Housing and
Mortgage Finance
Corporation, 6.70%, 10/1/14 280,760
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA+ 875 Rhode Island Housing and
Mortgage Finance
Corporation (AMT), 6.80%,
10/1/25 (2) 904,173
Aa AA+ 1,000 Rhode Island Housing and
Mortgage Finance
Corporation (AMT), 7.10%,
10/1/23 (2) 1,035,740
Aa AA+ 2,000 Rhode Island Housing and
Mortgage Finance
Corporation (AMT), 7.55%,
10/1/22 2,123,840
Aa A 35 Rhode Island Housing and
Mortgage Finance
Corporation, 7.875%,
10/1/22 36,261
Aa AA+ 500 Rhode Island Housing and
Mortgage Finance
Corporation, 6.20%, 10/1/06 513,100
Aa AA+ 95 Rhode Island Housing and
Mortgage Finance
Corporation, 6.85%, 4/1/27 98,303
------------
$ 6,674,962
------------
INDUSTRIAL DEVELOPMENT
REVENUE - 3.6%
Baa3 BB+ $ 500 Puerto Rico Port Authority,
American Airlines,
Inc.(AMT), 6.30%, 6/1/23 $ 504,440
Aa2 AA 1,000 Rhode Island Industrial
Facilities Corp., Mobil
Corp., 6.00%, 11/1/14 1,012,160
------------
$ 1,516,600
------------
INSURED COLLEGE AND
UNIVERSITY - 10.1%
Aaa AAA $ 1,000 Rhode Island Health and
Educational Building,
Providence College Issue
(MBIA), 5.60%, 11/1/15 $ 966,510
Aaa AAA 730 Rhode Island Health and
Educational Building,
Providence College Issue
(MBIA), 5.60%, 11/1/22 696,989
Aaa AAA 500 Rhode Island Health and
Educational Building,
Board of Governors
University of Rhode Island
(MBIA), 5.50%, 9/15/13 485,255
Aaa AAA 2,200 Rhode Island Health and
Educational Building,
Board of Governors
University of Rhode Island
(MBIA), 5.25%, 9/15/23 2,006,664
------------
$ 4,155,418
------------
</TABLE>
59
<PAGE> 61
- --------------------------------------------------------------------------------
RHODE ISLAND MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
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 - 16.8%
Aaa AAA $ 1,500 Kent County Water
Authority, 6.35%, 7/15/14 $ 1,572,525
Aaa AAA 1,000 Rhode Island Depositors
Economic Protection
Corporation, Special
Obligation, 5.80%, 8/1/09 1,035,640
Aaa AAA 1,000 Rhode Island Depositors
Economic Protection
Corporation, Special
Obligation, 5.80%, 8/1/12 1,010,440
Aaa AAA 2,000 Rhode Island Clean Water
Revolving Fund Series-A,
5.875%, 10/1/15 2,008,520
Aaa AAA 1,480 Rhode Island Port Authority
and Economic Development
Corporation Airport, (FSA),
5.25%, 7/1/23 1,310,170
------------
$ 6,937,295
------------
INSURED GENERAL OBLIGATIONS
(LOCAL) - 4.9%
Aaa AAA $ 1,000 Burrellville, (MBIA),
5.75%, 10/15/17 $ 984,210
Aaa AAA 1,000 Cranston, Rhode Island,
6.10%,6/15/15 1,026,370
------------
$ 2,010,580
------------
INSURED GENERAL OBLIGATIONS
(STATE) - 2.4%
Aaa AAA $ 1,000 State of Rhode Island,
5.50%, 7/15/12 $ 980,940
------------
INSURED GENERAL OBLIGATION
(TERRITORY) - 0.6%
Aaa AAA $ 250 Puerto Rico, Public
Improvement Bonds of 1992,
Yield Curve Notes,
Variable, (AMBAC),
Variable, 7/1/15 (1) $ 252,750
------------
INSURED HOUSING - 6.1%
Aaa AAA $ 870 Providence Housing
Development Corporation
Mortgage, (Barbara Jordan
Apartments) (MBIA), 6.50%,
7/1/09 $ 896,779
Aaa AAA 1,075 Villa Excelsior Housing
Development Corporation
Mortgage (MBIA), 6.75%,
1/1/19 1,115,893
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 500 Villa Excelsior Housing
Development Corporation
Mortgage (MBIA), 6.85%,
1/1/24 520,845
------------
$ 2,533,517
------------
INSURED LEASE/CERTIFICATE OF
PARTICIPATION - 4.6%
Aaa AAA $ 800 City of Pawtucket, Public
Building Authority (CGIC),
5.75%, 3/15/14 $ 797,304
Aaa AAA 590 Providence Rhode Island
Public Building Authority,
Feinstein School (MBIA),
5.25%, 12/15/13 556,199
Aaa AAA 630 Providence Rhode Island
Public Building Authority,
Feinstein School (MBIA),
5.25%, 12/15/14 589,346
------------
$ 1,942,849
------------
INSURED WATER & SEWER - 4.0%
Aaa AAA $ 350 Rhode Island Clean Water,
Water Pollution Control,
5.40%, 10/1/15 $ 336,144
Aaa AAA 500 Rhode Island Clean Water,
Water Pollution Control
(MBIA), 5.85%, 10/1/09 515,415
Aaa AAA 750 Rhode Island Clean Water,
Safe Drinking Water (MBIA),
6.70%, 1/1/15 806,430
------------
$ 1,657,989
------------
MISCELLANEOUS - 3.7%
Baa1 A- $ 500 Rhode Island Depositors
Economic Protection
Corporation, 5.75%, 8/1/21 $ 472,605
Aaa AAA 550 Rhode Island Depositors
Economic Protection
Corporation, 5.25%, 8/1/21 536,135
NR BBB 500 Guam Airport Authority
Series 93-B, 6.70%, 10/1/23 507,705
------------
$ 1,516,445
------------
SPECIAL TAX - 6.8%
Baa BBB- $ 1,500 City of Providence, Rhode
Island, Special Obligation
Tax Increment Bonds, 7.65%,
6/1/16 $ 1,634,175
</TABLE>
60
<PAGE> 62
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
SPECIAL TAX - (CONTINUED)
Baa1 A 750 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/17 703,507
Baa1 A 500 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/20 451,180
------------
$ 2,788,862
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $41,015,563) $ 41,270,470
============
</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 Rhode Island
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 March 31, 1996, 49.5% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregated percentage by financial
institution ranged from 1.9% to 39.9% of total investments.
See notes to financial statements
61
<PAGE> 63
- --------------------------------------------------------------------------------
West Virginia Municipals Portfolio
Portfolio of Investments - March 31, 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 - 10.9%
NR BBB $ 750 Guam Power Authority,
5.25%, 10/1/13 $ 668,685
NR BBB 500 Guam Power Authority,
5.25%, 10/1/23 427,190
A2 A 2,000 Harrison, West Virginia PCR
(Monongahela Power Company
Harrison Station), 6.75%,
8/1/24 2,088,940
A3 BBB+ 1,000 Mason West Virginia PCR
(Appalachian Power Co.),
6.85%, 6/1/22 1,049,500
------------
$ 4,234,315
------------
ESCROWED - 1.8%
Aaa AAA $2,500 Kanawha - Putnam, West
Virginia Single Family
Mortgage (AMBAC), 0%,
12/1/16 $ 708,025
------------
GENERAL OBLIGATIONS - 3.3%
NR BBB $ 400 Guam General Obligation,
5.375%, 11/15/13 $ 359,752
Baa1 A 1,000 Puerto Rico General
Obligation, 5.40%, 7/1/25 918,930
------------
$ 1,278,682
------------
HOSPITALS - 10.1%
NR BBB+ $1,750 Berkeley, West Virginia
Building Commissions (City
Hospital), 6.50%, 11/1/22 $ 1,738,922
A1 NR 1,000 West Virginia HFA
(Charleston Area Medical
Center), 6.50%, 0/1/23 1,024,630
A1 NR 1,125 West Virginia HFA
(Charleston Area Medical
Center), 6.50%, 9/1/16 1,155,769
------------
$ 3,919,321
------------
HOUSING - 3.7%
Aa1 AA+ $ 500 West Virginia Housing
Development Finance, 5.45%,
11/1/21 $ 472,340
Aa1 AA+ 1,000 West Virginia Housing
Developing Finance, 5.55%,
5/1/17 967,400
------------
$ 1,439,740
------------
<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 - 13.2%
NR A- $1,375 Jefferson, West Virginia
IDR (Royal Venders,
Incorporated), 5.90%,
8/1/04 $ 1,409,375
Baa2 BBB 300 Kanawha, West Virginia IDR
(Union Carbide Chemicals
and Plastics Company),
8.00%, 8/1/20 326,937
A2 NR 1,500 Puerto Rico IM&E (American
Home Products Corporation),
5.10%, 12/1/18 1,345,770
Baa3 BB+ 1,025 Puerto Rico Port Authority
(American Airlines) (AMT),
6.30%, 6/1/23 1,034,102
NR NR 1,000 Upshur, West Virginia Solid
Waste (TJI Project) (AMT),
7.00%, 7/15/25 1,012,290
------------
$ 5,128,474
------------
INSURED EDUCATION - 10.3%
Aaa AAA $1,150 West Virginia State College
System (AMBAC), 6.00%,
4/1/12 (2) $ 1,173,196
Aaa AAA 650 West Virginia State
University System (AMBAC),
6.00%, 4/1/12 665,405
Aaa AAA 1,200 West Virginia State
University (Marshall
Library) (AMBAC), 5.60%,
4/1/11 1,186,812
Aaa AAA 1,000 West Virginia State
University (Marshall
Library) (AMBAC), 5.75%,
4/1/16 983,670
------------
$ 4,009,083
------------
INSURED ELECTRIC UTILITIES - 12.8%
Aaa AAA $2,000 Marshall, West Virginia PCR
(Ohio Power Kammer Plant)
(MBIA), 5.45%, 12/1/16 $ 1,925,980
Aaa AAA 2,250 Mason, West Virginia PCR
(Ohio Power Company)
(AMBAC), 5.45%, 12/1/16 2,147,873
Aaa AAA 250 Puerto Rico Electric Power
Authority (FSA), Variable,
7/1/03 (1) 277,500
Aaa AAA 670 Putnam, West Virginia PCR
(Appalachian Power Company)
(AMBAC), 5.45%, 6/1/19 635,361
------------
$ 4,986,714
------------
</TABLE>
62
<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>
INSURED GENERAL OBLIGATION - 1.9%
Aaa AAA $ 845 Berkeley, West Virginia
Board of Education General
Obligation (FGIC), 4.125%,
6/1/10 $ 733,933
------------
INSURED HOSPITAL - 12.8%
Aaa AAA $1,000 West Virginia HFA (Linked
Bulls & Bears) (MBIA),
6.10%, 1/1/18 $ 1,014,660
Aaa AAA 200 West Virginia HFA
(University Hospital)
(MBIA), 5.00%, 6/1/13 181,324
Aaa AAA 2,000 West Virginia HFA
(University Hospital)
(MBIA), 5.00%, 6/1/16 1,776,280
Aaa AAA 1,300 West Virginia HFA (Cabell
Huntington Hospital)
(AMBAC), 6.25%, 1/1/19 1,344,889
Aaa AAA 650 West Virginia HFA
(Charleston Area Medical
Center) (MBIA), 5.75%,
9/1/13 642,220
------------
$ 4,959,373
------------
INSURED TRANSPORTATION - 2.1%
Aaa AAA $1,250 West Virginia Parkways
Economic Development and
Tourism Authority (FGIC),
0%, 5/15/04 $ 813,675
------------
INSURED WATER & SEWER - 11.4%
Aaa AAA $1,500 Huntington, West Virginia
Sewerage System (FSA),
5.375%, 11/1/23 $ 1,387,545
Aaa AAA 500 West Virginia Water
Development (Loan Program
II) (FSA), 5.75%, 11/1/19 492,990
Aaa AAA 2,000 West Virginia Water
Development (Loan Program
II) (FSA), 5.25%, 11/1/35 1,784,940
Aaa AAA 750 West Virginia Water
Development (Loan Program
II) (FSA), 6/00%, 11/1/14 761,100
------------
$ 4,426,575
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NURSING HOMES - 1.9%
NR NR $ 745 Kanawha, West Virginia IDR
(Beverly Enterprises),
7.25%, 11/1/04 $ 753,417
------------
SOLID WASTE - 2.6%
A2 A $1,000 Braxton, West Virginia
Solid Waste (Weyerhaeuser)
(AMT), 6.50%, 4/1/25 $ 1,023,650
------------
SPECIAL TAX REVENUE - 1.2%
Baa1 A $ 500 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 $ 473,820
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $38,895,653) $ 38,888,797
============
</TABLE>
(1) The above designated security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements for open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by West Virginia
municipalities. The ability of the issuers of the debt securities to meet their
debt 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 March 31, 1996, 51.2% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 4.0% to 22.7% of total investments.
See notes to financial statements
63
<PAGE> 65
- --------------------------------------------------------------------------------
Municipals Portfolios
Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $356,860,992 $624,599,013 $274,146,153 $25,016,825
Unrealized appreciation 25,316,492 31,978,276 15,501,856 1,192,350
------------ ------------ ------------ -----------
Total investments, at value (Note 1A) $382,177,484 $656,577,289 $289,648,009 $26,209,175
Cash 2,547,155 18,443,700 781 333,232
Receivable for investments sold 40,000 3,669,096 463,399 5,135
Interest receivable 6,109,166 13,871,511 5,369,086 502,985
Deferred organization expenses (Note 1D) 11,743 16,718 9,821 1,388
------------ ------------ ------------ -----------
Total assets $390,885,548 $692,578,314 $295,491,096 $27,051,915
------------ ------------ ------------ -----------
LIABILITIES:
Demand note payable (Note 5) $ -- $ -- $ 1,742,000 $ --
Payable for investments purchased 2,191,672 17,363,575 -- 315,348
Payable for when-issued securities (Note 1F) -- -- 2,500,000 --
Payable for daily variation margin on open financial
futures contracts (Note 1E) 150,000 -- 277,500 10,500
Payable to affiliate --
Trustees' fees 4,831 5,327 4,336 438
Accrued expenses 10,332 30,708 8,660 2,544
------------ ------------ ------------ -----------
Total liabilities $ 2,356,835 $ 17,399,610 $ 4,532,496 $ 328,830
------------ ------------ ------------ -----------
NET ASSETS applicable to investors' interest in
Portfolio $388,528,713 $675,178,704 $290,958,600 $26,723,085
============ ============ ============ ===========
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $363,299,110 $643,200,428 $275,050,926 $25,536,817
Unrealized appreciation of investments and financial
futures contracts (computed on the basis of
identified cost) 25,229,603 31,978,276 15,907,674 1,186,268
------------ ------------ ------------ -----------
Total $388,528,713 $675,178,704 $290,958,600 $26,723,085
============ ============ ============ ===========
</TABLE>
See notes to financial statements
64
<PAGE> 66
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $591,994,397 $300,256,227 $41,015,563 $38,895,653
Unrealized appreciation (depreciation) 29,136,437 11,467,520 254,907 (6,856)
------------ ------------ ----------- -----------
Total investments, at value (Note 1A) $621,130,834 $311,723,747 $41,270,470 $38,888,797
Cash 3,375,215 7,869,755 465,943 1,799,648
Receivable for investments sold 4,926,254 747,946 -- --
Interest receivable 10,283,430 5,018,083 804,532 668,269
Deferred organization expenses (Note 1D) 11,773 7,330 1,425 1,421
------------ ------------ ----------- -----------
Total assets $639,727,506 $325,366,861 $42,542,370 $41,358,135
------------ ------------ ----------- -----------
LIABILITIES:
Payable for investments purchased $ 5,015,784 $ 18,119,428 $ -- $ 2,173,230
Payable for daily variation margin on open
financial futures contracts (Note 1E) 258,000 -- 24,000 15,000
Payable to affiliate --
Trustees' fees 5,327 4,336 413 413
Accrued expenses 12,083 21,267 2,387 1,503
------------ ------------ ----------- -----------
Total liabilities $ 5,291,194 $ 18,145,031 $ 26,800 $ 2,190,146
------------ ------------ ----------- -----------
NET ASSETS applicable to investors' interest in
Portfolio $634,436,312 $307,221,830 $42,515,570 $39,167,989
============ ============ =========== ===========
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $604,659,199 $295,754,310 $42,203,378 $39,183,846
Unrealized appreciation (depreciation) of
investments and financial futures contracts
(computed on the basis of identified cost) 29,777,113 11,467,520 312,192 (15,857)
------------ ------------ ----------- -----------
Total $634,436,312 $307,221,830 $42,515,570 $39,167,989
============ ============ =========== ===========
</TABLE>
See notes to financial statements
65
<PAGE> 67
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $13,137,711 $21,447,783 $ 9,374,783 $ 857,840
----------- ----------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 1,012,878 $ 1,626,264 $ 690,932 $ 30,182
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 9,294 10,249 8,340 821
Custodian fee (Note 2) 77,494 115,039 87,923 9,476
Legal and accounting services 38,502 39,202 33,302 22,202
Amortization of organization expenses (Note 1D) 2,820 4,377 2,611 312
Miscellaneous 40,482 72,234 27,780 5,129
----------- ----------- ----------- -----------
Total expenses $ 1,181,470 $ 1,867,365 $ 850,888 $ 68,122
----------- ----------- ----------- -----------
Deduct --
Preliminary reduction of investment adviser fee
(Note 2) $ -- $ -- $ -- $ 15,092
Reduction of custodian fee (Note 2) -- 115,039 30,338 4,295
----------- ----------- ----------- -----------
Total $ -- $ 115,039 $ 30,338 $ 19,387
----------- ----------- ----------- -----------
Net expenses $ 1,181,470 $ 1,752,326 $ 820,550 $ 48,735
----------- ----------- ----------- -----------
Net investment income $11,956,241 $19,695,457 $ 8,554,233 $ 809,105
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 3,915,509 $ 5,202,959 $ 3,445,962 $ 204,582
Financial futures contracts (454,837) 1,558,850 (427,273) 4,515
----------- ----------- ----------- -----------
Net realized gain on investments $ 3,460,672 $ 6,761,809 $ 3,018,689 $ 209,097
----------- ----------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments $ 1,013,399 $(1,829,730) $(2,022,139) $ 29,667
Financial futures contracts 86,610 -- 509,918 21,678
----------- ----------- ----------- -----------
Net unrealized appreciation (depreciation) of
investments $ 1,100,009 $(1,829,730) $(1,512,221) $ 51,345
----------- ----------- ----------- -----------
Net realized and unrealized gain on
investments $ 4,560,681 $ 4,932,079 $ 1,506,468 $ 260,442
----------- ----------- ----------- -----------
Net increase in net assets from operations $16,516,922 $24,627,536 $10,060,701 $ 1,069,547
=========== =========== =========== ===========
</TABLE>
See notes to financial statements
66
<PAGE> 68
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ------------ -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $19,853,641 $ 9,795,126 $1,277,647 $ 1,167,236
----------- ----------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 1,509,619 $ 725,887 $ 56,492 $ 49,492
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 10,249 8,340 796 795
Custodian fee (Note 2) 91,978 76,322 13,857 12,400
Interest expense (Note 5) -- 61,516 -- --
Legal and accounting services 39,502 33,202 22,210 22,102
Amortization of organization expenses (Note 1D) 3,148 1,986 319 317
Miscellaneous 41,668 17,244 4,318 5,025
----------- ----------- ----------- -----------
Total expenses $ 1,696,164 $ 924,497 $ 97,992 $ 90,131
----------- ----------- ----------- -----------
Deduct --
Preliminary reduction of investment adviser fee
(Note 2) $ -- $ -- $ 27,546 $ --
Reduction of custodian fee (Note 2) 91,978 24,147 4,553 7,731
----------- ----------- ----------- -----------
Total $ 97,978 $ 24,147 $ 32,099 $ 7,731
----------- ----------- ----------- -----------
Net expenses $ 1,604,186 $ 900,350 $ 65,893 $ 82,400
----------- ----------- ----------- -----------
Net investment income $18,249,455 $ 8,894,776 $1,211,754 $ 1,084,836
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 6,438,218 $ 1,154,949 $ 109,799 $ 111,039
Financial futures contracts (1,688,687) 645,899 (219,645) 76,641
----------- ----------- ----------- -----------
Net realized gain on investments $ 4,749,531 $ 1,800,848 $ (109,846) $ 187,680
----------- ----------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments $(2,566,537) $ (524,171) $ 203,444 $ 160,766
Financial futures contracts 1,003,538 -- 94,756 (1,688)
----------- ----------- ----------- -----------
Net unrealized appreciation (depreciation) of
investments $(1,562,999) $ (524,171) $ 298,200 $ 159,078
----------- ----------- ----------- -----------
Net realized and unrealized gain on
investments $ 3,186,532 $ 1,276,677 $ 188,354 $ 346,758
----------- ----------- ----------- -----------
Net increase in net assets from
operations $21,435,987 $10,171,453 $1,400,108 $ 1,431,594
=========== =========== =========== ===========
</TABLE>
See notes to financial statements
67
<PAGE> 69
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 11,956,241 $ 19,695,457 $ 8,554,233 $ 809,105
Net realized gain on investments 3,460,672 6,761,809 3,018,689 209,097
Change in unrealized appreciation (depreciation)
of investments 1,100,009 (1,829,730) (1,512,221) 51,345
------------ ------------ ------------ -----------
Net increase in net assets from operations $ 16,516,922 $ 24,627,536 $ 10,060,701 $ 1,069,547
------------ ------------ ------------ -----------
Capital transactions --
Contributions $ 9,588,831 $ 24,348,369 $ 7,365,133 $ 1,161,900
Withdrawals (48,247,178) (86,000,337) (28,637,481) (4,501,322)
------------ ------------ ------------ -----------
Decrease in net assets resulting from capital
transactions $(38,658,347) (61,651,968) $(21,272,348) $(3,339,422)
------------ ------------ ------------ -----------
Total decrease in net assets $(22,141,425) $(37,024,432) $(11,211,647) $(2,269,875)
NET ASSETS:
At beginning of period 410,670,138 712,203,136 302,170,247 28,992,960
------------ ------------ ------------ -----------
At end of period $388,528,713 $675,178,704 $290,958,600 $26,723,085
============ ============ ============ ===========
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 18,249,455 $ 8,894,776 $ 1,211,754 $ 1,084,836
Net realized gain (loss) on investments 4,749,531 1,800,848 (109,846) 187,680
Change in unrealized appreciation
(depreciation) of investments (1,562,999) (524,171) 298,200 159,078
------------- ------------ ----------- -----------
Net increase in net assets from operations $ 21,435,987 $ 10,171,453 $ 1,400,108 $ 1,431,594
------------- ------------ ----------- -----------
Capital transactions --
Contributions $ 21,355,757 $ 7,415,543 $ 3,496,890 $ 1,425,192
Withdrawals (61,091,741) (29,381,814) (5,287,395) (4,523,858)
------------- ------------ ----------- -----------
Decrease in net assets resulting from
capital transactions $ (39,735,984) $(21,966,271) $(1,790,505) $(3,098,666)
------------- ------------ ----------- -----------
Total decrease in net assets $ (18,299,997) $(11,794,818) $ (390,397) $(1,667,072)
NET ASSETS:
At beginning of period 652,736,309 319,016,648 42,905,967 40,835,061
------------- ------------ ----------- -----------
At end of period $ 634,436,312 $307,221,830 $42,515,570 $39,167,989
============= ============ =========== ===========
</TABLE>
See notes to financial statements
68
<PAGE> 70
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended September 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 26,176,138 $ 43,615,848 $ 17,915,854 $ 1,761,923
Net realized loss on investments (23,050,795) (22,866,182) (15,667,434) (2,036,920)
Change in unrealized appreciation of investments 33,475,523 54,420,669 23,987,414 3,242,877
------------- ------------- ------------ -----------
Net increase in net assets from operations $ 36,600,866 $ 75,170,335 $ 26,235,834 $ 2,967,880
------------- ------------- ------------ -----------
Capital transactions --
Contributions $ 39,676,667 $ 64,327,943 $ 27,917,577 $ 4,982,661
Withdrawals (110,738,796) (199,418,295) (60,522,944) (8,434,232)
------------- ------------- ------------ -----------
Decrease in net assets resulting from capital
transactions $ (71,062,129) $(135,090,352) $(32,605,367) $(3,451,571)
------------- ------------- ------------ -----------
Total decrease in net assets $ (34,461,263) $ (59,920,017) $ (6,369,533) $ (483,691)
NET ASSETS:
At beginning of year 445,131,401 772,123,153 308,539,780 29,476,651
------------- ------------- ------------ -----------
At end of year $ 410,670,138 $ 712,203,136 $302,170,247 $28,992,960
============= ============= ============ ===========
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 38,506,539 $ 18,465,329 $ 2,410,958 $ 2,332,643
Net realized loss on investments (19,277,660) (7,231,426) (1,392,005) (1,158,097)
Change in unrealized appreciation of
investments 43,043,554 20,963,434 2,874,743 2,810,543
------------ ------------ ----------- -----------
Net increase in net assets from operations $ 62,272,433 $ 32,197,337 $ 3,893,696 $ 3,985,089
------------ ------------ ----------- -----------
Capital transactions --
Contributions $ 61,423,633 $ 24,237,228 $ 9,514,698 $ 3,302,492
Withdrawals (126,606,533) (61,829,470) (8,622,345) (6,925,830)
------------ ------------ ----------- -----------
Increase (decrease) in net assets resulting
from capital transactions $(65,182,900) $(37,592,242) $ 892,353 $(3,623,338)
------------ ------------ ----------- -----------
Total increase (decrease) in net assets $ (2,910,467) $ (5,394,905) $ 4,786,049 $ 361,751
NET ASSETS:
At beginning of year 655,646,776 324,411,553 38,119,918 40,473,310
------------ ------------ ----------- -----------
At end of year $652,736,309 $319,016,648 $42,905,967 $40,835,061
============ ============ =========== ===========
</TABLE>
See notes to financial statements
69
<PAGE> 71
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA PORTFOLIO
----------------------------------------------------
YEAR ENDED
--------------------------------- FLORIDA PORTFOLIO
-------------------------------------------------------
SIX MONTHS ENDED SEPTEMBER 30, MARCH 31, SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1996 ------------------- --------- MARCH 31, 1996 ----------------------------------
(UNAUDITED) 1995 1994**** 1994*** (UNAUDITED) 1995 1994 1993*
---------------- -------- -------- --------- ---------------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average daily
net assets):
Net expenses
(1) 0.58%+ 0.59% 0.57% + 0.55% + 0.53%+ 0.55% 0.48% 0.47%+
Net expenses,
after
expense
reductions
(1) 0.58%+ 0.58% 0.57% + 0.55% + 0.49%+ 0.52% 0.48% 0.47%+
Net investment
income 5.86%+ 6.22% 6.09% + 5.72% + 5.55%+ 5.94% 5.65% 5.53%+
NET ASSETS, end
of period
(000 omitted) $388,529 $410,763 $445,131 $467,259 $675,179 $712,203 $772,123 $772,422
PORTFOLIO
TURNOVER 8% 58% 40% 91% 34% 61% 57% 55%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MASSACHUSETTS PORTFOLIO MISSISSIPPI PORTFOLIO
---------------------------------------------------- -------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1996 --------------------------------- MARCH 31, 1996 ----------------------------------
(UNAUDITED) 1995 1994 1993* (UNAUDITED) 1995 1994 1993**
---------------- -------- -------- --------- ---------------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average daily
net assets)++:
Net expenses
(1) 0.56%+ 0.56% 0.51% 0.49% + 0.37%+ 0.27% 0.05% 0.00%+
Net expenses,
after
expense
reductions
(1) 0.54%+ 0.53% 0.51% 0.49% + 0.34%+ 0.23% 0.05% 0.00%+
Net investment
income 5.64%+ 6.00% 5.74% 5.72% + 5.61%+ 5.97% 5.67% 4.49%+
NET ASSETS, end
of period
(000 omitted) $290,959 $302,170 $308,540 $290,613 $ 26,723 $ 28,993 $ 29,477 $ 11,233
PORTFOLIO
TURNOVER 29% 87% 53% 38% 2% 52% 38% 11%
</TABLE>
++The operating expenses of the Mississippi Portfolio 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:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of average daily net assets):
Expenses (1) 0.47% 0.39% 0.32% 0.25%+
Net investment
income 5.51% 5.85% 5.40% 4.24%+
</TABLE>
+ Annualized.
* For the period from the start of business, February 1, 1993, to September
30, 1993.
** For the period from the start of business, June 11, 1993, to September 30,
1993.
*** For the period from the start of business, May 3, 1993 to March 31, 1994.
****For the six months ended September 30, 1994. The California Portfolio
changed its fiscal year from March 31 to September 30, effective September
30, 1994.
(1) The annualized expense ratios for the six months ended March 31, 1996 and
year ended September 30, 1995 have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the 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 periods ended on or before September 30, 1994 have not been adjusted
to reflect this change.
See notes to financial statements
70
<PAGE> 72
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK PORTFOLIO OHIO PORTFOLIO
--------------------------------------------------- -------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1996 -------------------------------- MARCH 31, 1996 ----------------------------------
(UNAUDITED) 1995 1994 1993* (UNAUDITED) 1995 1994 1993*
---------------- -------- -------- -------- ---------------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average daily
net assets):
Net expenses
(1) 0.52%+ 0.54% 0.48% 0.48%+ 0.58%+ 0.57% 0.51% 0.49%+
Net expenses,
after expense
reductions
(1) 0.50%+ 0.51% 0.48% 0.48% 0.57%+ 0.55% 0.51% 0.49%+
Net investment
income 5.55%+ 5.97% 5.70% 5.64%+ 5.57%+ 5.80% 5.61% 5.61%+
NET ASSETS, end
of period
(000 omitted) $634,436 $652,736 $655,647 $648,807 $307,222 $319,017 $324,412 $298,092
PORTFOLIO
TURNOVER 28% 55% 47% 37% 25% 51% 31% 24%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RHODE ISLAND PORTFOLIO WEST VIRGINIA PORTFOLIO
------------------------------------------------ ----------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1996 ----------------------------- MARCH 31, 1996 -------------------------------
(UNAUDITED) 1995 1994 1993** (UNAUDITED) 1995 1994 1993**
---------------- ------- ------- ------- ---------------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage
of average
daily net assets)++:
Net expenses (1) 0.32%+ 0.29% 0.12% 0.00%+ 0.44%+ 0.31% 0.10% 0.00%+
Net expenses, after
expense
reductions (1) 0.30%+ 0.25% 0.12% 0.00%+ 0.41%+ 0.28% 0.10% 0.00%+
Net investment income 5.55%+ 5.96% 5.64% 4.86%+ 5.31%+ 5.81% 5.52% 4.50%+
NET ASSETS, end of
period
(000 omitted) $ 42,516 $42,906 $38,120 $16,981 $ 39,168 $40,835 $40,473 $24,760
PORTFOLIO TURNOVER 10% 42% 42% 23% 19% 19% 39% 19%
</TABLE>
++The operating expenses of the Rhode Island and West Virginia 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:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage
of average daily net
assets):
Expenses (1) 0.45%+ 0.41% 0.33% 0.26%+ 0.39% 0.33% 0.21%+
Net investment income 5.43%+ 5.80% 5.43% 4.60%+ 5.73% 5.29% 4.30%+
</TABLE>
+ Annualized.
* For the period from the start of business, February 1, 1993, to September 30,
1993.
** For the period from the start of business, June 11, 1993, to September 30,
1993.
(1) The annualized expense ratios for the six months ended March 31, 1996 and
the year ended September 30, 1995 have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the 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
periods ended on or before September 30, 1994 have not been adjusted to
reflect this change.
See notes to financial statements
71
<PAGE> 73
- --------------------------------------------------------------------------------
Notes to Financial Statements
(Unaudited)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
California Municipals Portfolio (California Portfolio), Florida Municipals
Portfolio (Florida Portfolio), Massachusetts Municipals Portfolio (Massachusetts
Portfolio), Mississippi Municipals Portfolio (Mississippi Portfolio), New York
Municipals Portfolio (New York Portfolio), Ohio Municipals Portfolio (Ohio
Portfolio), Rhode Island Municipals Portfolio (Rhode Island Portfolio) and West
Virginia Municipals Portfolio (West Virginia Portfolio), collectively the
Portfolios, are registered under the Investment Company Act of 1940 as
non-diversified open-end management investment companies. The Portfolios 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 consistently
followed by the Portfolios in the preparation of their financial statements. 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 Portfolios 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
contracts and may realize a loss.
F. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS-- The Portfolios may engage in
when-issued or delayed delivery transactions. The Portfolio records when-issued
securities on trade date and maintain security positions such that sufficient
liquid assets will be available to make payments for the securities purchased.
Securities purchased on a when-issued or delayed delivery basis are
marked-to-market daily and begin earning interest on settlement date.
G. OTHER--Investment transactions are accounted for on a trade date basis.
H. 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.
I. INTERIM FINANCIAL INFORMATION--The interim financial statements relating to
March 31, 1996 and for the six-month period then ended have not been audited by
independent certified public accountants, but in the opinion of the Portfolio's
management, reflect all adjustments, consisting of normal recurring adjustments,
necessary for the fair presentation of the financial statements.
72
<PAGE> 74
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(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 March 31, 1996, each Portfolio paid advisory fees as
follows:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT EFFECTIVE RATE*
- ------------------ ---------- ----------------
<S> <C> <C>
California $1,012,878 0.50%
Florida 1,626,264 0.46%
Massachusetts 690,932 0.46%
Mississippi 30,182 0.22%
New York 1,509,619 0.46%
Ohio 725,887 0.45%
Rhode Island 56,492 0.26%
West Virginia 49,492 0.24%
</TABLE>
* Advisory fees paid annualized as a percentage of average daily net assets
(annualized).
To enhance the net income of the Mississippi Portfolio and Rhode Island
Portfolio, BMR made a preliminary reduction in its fee in the amount of $15,092
and $27,546, respectively, for the six months ended March 31, 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 are reported as a reduction of expenses in the
statement of operations.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations. Trustees of the Portfolio 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 March 31, 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 March 31, 1996 were as follows:
<TABLE>
<CAPTION>
CALIFORNIA PORTFOLIO FLORIDA PORTFOLIO MASSACHUSETTS PORTFOLIO MISSISSIPPI PORTFOLIO
-------------------- ----------------- ----------------------- ---------------------
<S> <C> <C> <C> <C>
Purchases $31,732,251 $ 241,885,303 $86,272,069 $ 683,602
Sales 61,551,010 284,418,733 93,730,224 3,079,255
</TABLE>
<TABLE>
<CAPTION>
RHODE ISLAND WEST VIRGINIA
NEW YORK PORTFOLIO OHIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- ----------------- ----------------------- ---------------------
<S> <C> <C> <C> <C>
Purchases $180,172,889 $79,718,030 $4,266,990 $7,748,440
Sales 205,937,344 85,450,807 5,001,750 9,028,746
</TABLE>
73
<PAGE> 75
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the investments
owned by each Portfolio at March 31, 1996, as computed on a federal income tax
basis, are as follows:
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------- ------------- -----------
<S> <C> <C> <C> <C>
Aggregate Cost $356,860,992 $ 624,599,013 $ 274,146,153 $25,016,825
============ ============= ============= ===========
Gross unrealized
appreciation $ 26,181,413 $ 34,700,645 $ 16,144,890 $ 1,264,113
Gross unrealized
depreciation 864,921 2,722,369 643,034 71,763
------------ ------------- ------------- -----------
Net unrealized
appreciation $ 25,316,492 $ 31,978,276 $ 15,501,856 $ 1,192,350
============ ============= ============= ===========
</TABLE>
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ -----------
<S> <C> <C> <C> <C>
Aggregate Cost $591,994,397 $300,256,227 $41,015,563 $38,895,653
============ ============ =========== ===========
Gross unrealized
appreciation $ 32,622,519 $ 12,865,533 $ 840,961 $ 544,075
Gross unrealized
depreciation 3,486,082 1,398,013 586,054 550,931
------------ ------------ ----------- -----------
Net unrealized
appreciation
(depreciation) $ 29,136,437 $ 11,467,520 $ 254,907 $ (6,856)
============ ============ ========== ===========
</TABLE>
- --------------------------------------------------------------------------------
(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 securities transactions.
Interest is charged to each portfolio or fund based on its borrowings at an
amount above either the bank's adjusted certificate of deposit rate, a variable
adjusted certificate of deposit rate, or a federal funds effective rate. In
addition, a fee computed at an annual rate of 1/4 of 1% on the $20 million
committed facility and on the daily unused portion of the $100 million
discretionary facility is allocated among the participating funds and portfolios
at the end of each quarter. At March 31, 1996, the Massachusetts Portfolio had a
loan balance outstanding pursuant to this line of credit of $1,742,000. For the
six months ended March 31, 1996, the Ohio Portfolio had an average daily loan
balance of $2,970,822 and the average interest rate was 7.02%. The Ohio
Portfolio had a maximum loan balance outstanding at any month end during the six
months ended March 31, 1996 of $6,862,000. The California, Florida,
Massachusetts, Mississippi, New York, Rhode Island and West Virginia Portfolios
did not have any significant borrowings or allocated fees during the six months
ended March 31, 1996.
74
<PAGE> 76
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(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 March 31, 1996,
were as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
FUTURES CONTRACTS APPRECIATION
PORTFOLIO EXPIRATION DATE CONTRACTS POSITION (DEPRECIATION)
- -------------- ----------------- ------------------------ -------- --------------
<S> <C> <C> <C> <C>
California 6/96 200 U.S. Treasury Bonds Short $ (86,889)
Massachusetts 6/96 370 U.S. Treasury Bonds Short 405,818
Mississippi 6/96 14 U.S. Treasury Bonds Short (6,082)
New York 6/96 344 U.S. Treasury Bonds Short 640,676
Rhode Island 6/96 32 U.S. Treasury Bonds Short 57,285
West Virginia 6/96 20 U.S. Treasury Bonds Short (9,001)
</TABLE>
At March 31, 1996 each Portfolio had sufficient cash and/or securities to cover
margin requirements on open futures contracts.
The Florida Portfolio and Ohio Portfolio did not have any open obligations under
these financial instruments at March 31, 1996.
75
<PAGE> 77
- ------------------------------------------------------------------------------
PORTFOLIOS OFFICERS INDEPENDENT TRUSTEES
THOMAS J. FETTER DONALD R. DWIGHT
President and Portfolio President, Dwight Partners, Inc.
Manager of Florida Chairman, Newspaper of New
and Ohio Municipals England, Inc.
Portfolios
JAMES B. HAWKES SAMUEL L. HAYES, III
Vice President, Trustee Jacob H. Schiff Professor of
Investment Banking, Harvard
University
ROBERT B. MACINTOSH Graduate School of
Vice President and Business Administration
Portfolio
Manager of Massachusetts
Municipals Portfolio NORTON H. REAMER
President and Director,
NICOLE ANDERES United Asset Management
Vice President and Corporation
Portfolio Manager of New
York and Rhode Island
Municipals JOHN L. THORNDIKE
Portfolios Director,
Fiduciary Company Incorporated
TIMOTHY T. BROWSE
Vice President and
Portfolio Manager of JACK L. TREYNOR
West Virginia Municipals Investment Adviser
Portfolio and Consultant
CYNTHIA J. CLEMSON
Vice President and
Portfolio Manager of
California and Mississippi
Municipals Portfolios
JAMES L. O'CONNOR
Treasurer
THOMAS OTIS
Secretary
76
<PAGE> 78
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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
77
<PAGE> 79
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE> 80
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE> 81
- --------------------------------------------------------------------------------
This report must be preceded or accompanied by a current prospectus which
contains more complete information on the Fund, including its distribution plan,
sales charges and expenses. Please read the prospectus carefully before you
invest or send money.
EATON VANCE
MUNICIPALS TRUST
24 FEDERAL STREET
BOSTON, MA 02110
M-8TFCSRC-5/96
<PAGE> 82
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
MUNICIPALS TRUST
24 FEDERAL STREET
BOSTON, MA 02110
