<PAGE>
[LOGO OF EATON [PHOTO OF BRICK WALL AND EDUCATION
VANCE APPEARS HERE] SIGN APPEARS HERE]
Semiannual Report March 31, 1997
EV
CLASSIC
NATIONAL
[PHOTO OF HIGHWAY
APPEARS HERE] MUNICIPALS
FUND
Eaton Vance
Global Management-Global Distribution
[PHOTO OF BRIDGE APPEARS HERE]
Classic
<PAGE>
EV Classic National Municipals Fund as of March 31, 1997
- --------------------------------------------------------------------------------
INVESTMENT UPDATE
- --------------------------------------------------------------------------------
[PHOTO OMITTED]
Thomas M. Metzold,
Portfolio Manager
Investment Environment
- --------------------------------------------------------------------------------
The Economy
. The U.S. economy in the second half of 1996 was favorable for the bond
markets, as continued moderate growth and low inflation combined with a
reduced federal budget deficit. Against this back-drop, bond yields finished
the year lower than at mid-year.
. The first quarter of 1997 has been marked by stronger-than-expected economic
growth, a tightening labor market, and increasing uneasiness over inflation,
which remains low. First quarter Gross Domestic Product (GDP) grew at a
remarkably fast annual rate of 5.6%, the strongest quarterly growth
in over a decade.
. Consumer spending surged 6.4% in the first quarter of 1997, aided by rising
employment and a milder-than-normal winter in some parts of the nation.
Consumer spending had increased by 3.4% in the final quarter of 1996.
The Bond Market
. At its March 25 meeting, the Federal Reserve raised the Federal Funds Target
Rate 0.25% in an effort to slow the economy and make a preemptory strike at
inflation.
. In response to 1997's economic events and the increase in short-term interest
rates, the bond market has sold off somewhat. The yield on the 30-year
Treasury Bond - a widely held gauge of bond market sentiment - rose to 7.08%
on March 31 from 6.64% at the end of 1996. Despite a subsequent rally in bond
prices since March 31, investors remain concerned about further rate hikes by
the Federal Reserve.
. During the past six months, the municipal bond market has outperformed the
Treasury market. As discussion of the flat-tax faded from the political
agenda in 1996, investors focused on the excellent values that tax-exempt
bonds represent.
The Fund
- --------------------------------------------------------------------------------
The Past Six Months
. During the six months ended March 31, 1997, the Fund had a total return of
2.0%./1/
. This return resulted from a decrease in net asset value per share to $9.35 on
March 31, 1997 from $9.41 on September 30, 1996, and the reinvestment of
$0.249 per share in tax-free income dividends./2/
. Based on the Fund's most recent dividend, and a net asset value of $9.35 per
share, the Fund's distribution rate on March 31, 1997 was 5.37%.
. To equal 5.37% in a taxable investment, a couple in the 36% combined federal
and state tax bracket would need a yield of 8.39%.
Management Discussion
. The Fund has benefited from investments in a wide range of projects and
special situations, producing higher-than-average yields while maintaining
strong underlying fundamentals. In a difficult interest rate environment,
these bonds generally held their values well while continuing to pay high
tax-exempt income.
. Unlike the broader market, which is typically sensitive to interest rate
movements, this Fund's holdings tend to be more credit-driven. As a result,
their performance is more dependent on the fundamentals and financial
strength of the underlying projects that secure the bonds.
. The Fund remains well-diversified, with strength in the industrial
development, health care, and transportation sectors.
- --------------------------------------------------------------------------------
Fund shares are not guaranteed by the FDIC and are not deposits or other
obligations of, or guaranteed by, any depository institution. Shares are subject
to investment risks, including possible loss of principal invested.
================================================================================
/1/ This return does not include the maximum applicable 1% contingent deferred
sales charge (CDSC).
/2/ Aportion of the Fund's income could be subject to federal income tax and/or
alternative minimum tax.
/3/ Returns are calculated by determining the percentage change in net asset
value with all distributions reinvested. SEC average annual returns reflect
the maximum applicable 1% contingent deferred sales charge (CDSC) deducted
for redemptions made within the first 12 months of investment. Past
performance is not indicative of future results. The value of an investment
in the Fund may fluctuate so that shares, when redeemed, may be worth more
or less than their original cost.
/4/ Based on market value as of 3/31/97. May not represent the Portfolio's
current or future investments.
- --------------------------------------------------------------------------------
Fund Information
as of March 31, 1997
Performance/3/
- --------------------------------------------------------------------------------
Average Annual Total Returns (at net asset value)
- --------------------------------------------------------------------------------
One Year 5.7%
Life of Fund (12/3/93) 3.8
SEC Average Annual Total Returns (including 1% maximum applicable CDSC)
- --------------------------------------------------------------------------------
One Year 4.7%
Life of Fund (12/3/93) 3.8
5 Largest Sectors/4/
- --------------------------------------------------------------------------------
By total investments
- ------------------------------------------------------
Industrial revenue/pollution control 17.1%
- ------------------------------------------------------
- -----------------------------------------
Escrowed 12.3%
- -----------------------------------------
- ---------------------------
Hospitals 10.6%
- ---------------------------
- ------------------------
Nursing homes 7.7%
- ------------------------
- -------------------
Transportation 6.7%
- -------------------
Portfolio Overview/4/
- --------------------------------------------------------------------------------
Number of Issues 237
Average Maturity 24.8 Yrs.
Effective Maturity 13.4 Yrs.
Average Rating A-
Average Call 10.1 Yrs.
Average Dollar Price $91.45
2
<PAGE>
EV Classic National Municipals Fund as of March 31, 1997
FINANCIAL STATEMENTS (Unaudited)
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
As of March 31, 1997
Assets
- --------------------------------------------------------------------------------
<S> <C>
Investment in National Municipals Portfolio, at value
(Note 1A) (identified cost, $70,512,755) $71,570,191
Receivable for Fund shares sold 201,011
Deferred organization expenses (Note 1D) 17,241
- --------------------------------------------------------------------------------
Total assets $71,788,443
- --------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------
Dividends payable $ 73,899
Payable for Fund shares redeemed 221,186
Payable to affiliate - Trustees' fees (Note 4) 400
Accrued expenses 16,460
- --------------------------------------------------------------------------------
Total liabilities $ 311,945
- --------------------------------------------------------------------------------
Net Assets for 7,641,352 shares of beneficial interest
outstanding $71,476,498
- --------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------
Paid-in capital $72,875,214
Accumulated net realized loss on investments
(computed on basis of identified cost) (2,519,885)
Accumulated undistributed net investment income 63,733
Unrealized appreciation of investments (computed on
basis of identified cost) 1,057,436
- --------------------------------------------------------------------------------
Total $71,476,498
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share (Note 6)
- --------------------------------------------------------------------------------
($71,476,498 / 7,641,352 shares of
beneficial interest outstanding) $ 9.35
- --------------------------------------------------------------------------------
</TABLE>
Statement of Operations
<TABLE>
<CAPTION>
For the Six Months Ended
March 31, 1997
Investment Income
- --------------------------------------------------------------------------------
<S> <C>
Interest income allocated from Portfolio $ 2,490,448
Expenses allocated from Portfolio (188,206)
- --------------------------------------------------------------------------------
Net investment income from Portfolio $ 2,302,242
- --------------------------------------------------------------------------------
Expenses
- --------------------------------------------------------------------------------
Compensation of Trustees not members of the
Administrator's organization (Note 4) $ 795
Distribution fees (Note 5) 350,573
Transfer and dividend disbursing agent fees 22,570
Printing and postage 17,978
Registration fees 15,545
Legal and accounting services 9,457
Amortization of organization expenses (Note 1D) 5,127
Custodian fee 3,503
Miscellaneous 1,570
- --------------------------------------------------------------------------------
Total expenses $ 427,118
- --------------------------------------------------------------------------------
Net investment income $ 1,875,124
- --------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) from Portfolio
- --------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 483,639
Financial futures contracts (604,432)
- --------------------------------------------------------------------------------
Net realized loss on investment transactions $ (120,793)
- --------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investment transactions $ (542,635)
Financial futures contracts 196,721
- --------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) of investments $ (345,914)
- --------------------------------------------------------------------------------
Net realized and unrealized loss on investments $ (466,707)
- --------------------------------------------------------------------------------
Net increase in net assets from operations $ 1,408,417
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
3
<PAGE>
EV Classic National Municipals Fund as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Six Months Ended
Increase (Decrease) March 31, 1997 Year Ended
in Net Assets (Unaudited) September 30, 1996
- --------------------------------------------------------------------------------
<S> <C> <C>
From operations --
Net investment income $ 1,875,124 $ 3,140,153
Net realized loss
on investments (120,793) (106,066)
Net change in unrealized
appreciation
(depreciation) of
investments (345,914) 371,859
- --------------------------------------------------------------------------------
Net increase in net assets
from operations $ 1,408,417 $ 3,405,946
- --------------------------------------------------------------------------------
Distributions to shareholders (Note 2) --
From net investment income $ (1,848,177) $ (3,129,526)
- --------------------------------------------------------------------------------
Total distributions to shareholders $ (1,848,177) $ (3,129,526)
- --------------------------------------------------------------------------------
Transactions in shares of beneficial
interest (Note 3) --
Proceeds from sale of shares $ 18,856,752 $ 84,640,889
Net asset value of shares issued to
shareholders in payment of
distributions declared 1,156,538 2,004,695
Cost of shares redeemed (15,473,279) (60,843,865)
- --------------------------------------------------------------------------------
Net increase in net assets from
Fund share transactions $ 4,540,011 $ 25,801,719
- --------------------------------------------------------------------------------
Net increase in net assets $ 4,100,251 $ 26,078,139
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
At beginning of period $ 67,376,247 $ 41,298,108
- --------------------------------------------------------------------------------
At end of period $ 71,476,498 $ 67,376,247
- --------------------------------------------------------------------------------
Accumulated
undistributed net
investment income
included in net assets
- --------------------------------------------------------------------------------
At end of period $ 63,733 $ 36,786
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
4
<PAGE>
EV Classic National Municipals Fund as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Financial Highlights
<TABLE>
<CAPTION>
Six Months Ended Year Ended September 30,
March 31, 1997 --------------------------------------------------
(Unaudited) 1996 1995 1994*
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value -- Beginning of period $ 9.410 $ 9.310 $ 8.980 $10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 0.252 $ 0.511 $ 0.517 $ 0.425
Net realized and unrealized gain (loss) on investments (0.063) 0.100 0.356 (0.961)
- ------------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from operations $ 0.189 $ 0.611 $ 0.873 $(0.536)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------------
From net investment income $(0.249) $(0.511) $(0.517) $(0.425)
In excess of net investment income -- -- (0.026) (0.059)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions $(0.249) $(0.511) $(0.543) $(0.484)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value -- End of period $ 9.350 $ 9.410 $ 9.310 $ 8.980
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return/(1)/ 2.00% 6.73% 10.10% (5.60)%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000 omitted) $71,476 $67,376 $41,298 $33,982
Ratio of net expenses to average net assets/(2)(3)/ 1.75%+ 1.74% 1.79% 1.60%+
Ratio of net expenses to average net assets after custodian 1.75%+ 1.73% 1.78% --
fee reduction/(2)/
Ratio of net investment income to average net assets 5.35%+ 5.42% 5.71% 5.39%+
</TABLE>
+ The operating expenses of the Fund may reflect an allocation of expenses to
the Administrator. Had such action not been taken, the ratios and net investment
income per share would have been as follows:
<TABLE>
<CAPTION>
Ratios (As a percentage of average daily net assets):
<S> <C>
Expenses/(2)/ 1.86%+
Net investment income 5.13%+
Net investment income per share $ 0.405
</TABLE>
+ Annualized.
* For the period from the start of business, December 3, 1993, to September
30, 1994.
/(1)/ Total return is calculated assuming a purchase at the net asset value on
the first day and a sale at the net asset value on the last day of each
period reported. Dividends and distributions, if any, are assumed to be
reinvested at the net asset value on the payable date. Total return is not
computed on an annualized basis.
/(2)/ Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
/(3)/ The expense ratios for the year ended September 30, 1995 and periods
thereafter, 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 the prior periods have not been adjusted to reflect this
change.
See notes to financial statements
5
<PAGE>
EV Classic National Municipals Fund as of March 31, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
------------------------------------------------------------------------------
EV Classic National Municipals Fund (the Fund) is a diversified series of
Eaton Vance Municipals Trust (the Trust). The Trust is an entity of the type
commonly known as a Massachusetts business trust and is registered under the
Investment Company Act of 1940, as amended, as an open-end, management
investment company. The Fund invests all of its investable assets in interests
in the National Municipals Portfolio (the Portfolio), a New York Trust, having
the same investment objective as the Fund. The value of the Fund's investment
in the Portfolio reflects the Fund's proportionate interest in the net assets
of the Portfolio (3.4% at March 31, 1997). The performance of the Fund is
directly affected by the performance of the Portfolio. The financial
statements of the Portfolio, including the portfolio of investments, are
included elsewhere in this report and should be read in conjunction with the
Fund's financial statements. The following is a summary of significant
accounting policies consistently followed by the Fund in the preparation of
its financial statements. The policies are in conformity with generally
accepted accounting principles.
A Investment Valuations -- Valuation of securities by the Portfolio is
discussed in Note 1A of the Portfolio's Notes to Financial Statements which
are included elsewhere in this report.
B Income -- The Fund's net investment income consists of the Fund's pro rata
share of the net investment income of the Portfolio, less all actual and
accrued expenses of the Fund determined in accordance with generally accepted
accounting principles.
C Federal Taxes -- The 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, 1996, the Fund,
for federal income tax purposes, had a capital loss carryover of $2,087,720
which will reduce the 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 distributions to shareholders which would
otherwise be necessary to relieve the Fund of any liability for federal income
or excise tax. Such capital loss carryover will expire on September 30, 2002
($599,696) and September 30, 2004 ($1,488,024). Dividends paid by the Fund
from net interest on tax-exempt municipal bonds allocated from the Portfolio
are not includable by shareholders as gross income for federal income tax
purposes because the Fund and Portfolio intend to meet certain requirements of
the Internal Revenue Code applicable to regulated investment companies which
will enable the Fund 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 the 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 Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian to the Fund and the Portfolio. Pursuant to the respective custodian
agreements, IBT receives a fee reduced by credits which are determined based
on the average daily cash balances the Fund or the Portfolio maintains with
IBT. All significant credit balances used to reduce the Fund's custodian fees
are reported as a reduction of expenses on the statement of operations.
H Interim Financial Information -- The interim financial statements relating
to March 31, 1997 and for the six months then ended have not been audited by
independent certified public accountants, but in the opinion of the Fund's
management reflect all adjustments consisting only of normal recurring
adjustments, necessary for the fair presentation of the financial statements.
2 Distributions to Shareholders
------------------------------------------------------------------------------
The net income of the 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
the Fund at the net asset value as of the ex-dividend date. Distributions are
paid in the form of additional shares of the Fund or, at
6
<PAGE>
EV Classic National Municipals Fund as of March 31, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
the election of the shareholder, in cash. The Fund distinguishes between
distributions on a tax basis and a financial reporting basis. Generally
accepted accounting principles require that only distributions in excess of
tax basis earnings and profits be reported in the financial statements as a
return of capital. Differences in the recognition or classification of income
between the financial statements and tax earnings and profits which result in
over distributions for financial statement purposes only 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, 1998 and will be based on tax accounting methods which may differ
from amounts determined for financial statement purposes.
3 Shares of Beneficial Interest
------------------------------------------------------------------------------
The 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 follow:
<TABLE>
<CAPTION>
Six Months Ended
March 31, 1997 Year Ended
(Unaudited) September 30, 1996
-----------------------------------------------------------------------------------
<S> <C> <C>
Sales 1,986,467 9,060,672
Issued to shareholders electing to
receive payments of distributions
in Fund shares 121,755 213,302
Redemptions (1,629,903) (6,545,208)
-----------------------------------------------------------------------------------
Net increase 478,319 2,728,766
-----------------------------------------------------------------------------------
</TABLE>
4 Transactions with Affiliates
------------------------------------------------------------------------------
Eaton Vance Management (EVM) serves as the administrator of the Fund, but
receives no compensation. The Portfolio has engaged Boston Management and
Research (BMR), a subsidiary of EVM, to render investment advisory services.
See Note 2 of the Portfolio's Notes to Financial Statements which are included
elsewhere in this report. Except as to Trustees of the Fund and the Portfolio
who are not members of EVM's organization, officers and Trustees receive
remuneration for their services to the Fund out of the investment advisor fee
earned by BMR. Certain of the officers and Trustees of the Fund and the
Portfolio are officers and directors/trustees of the above organizations.
5 Distribution Plan
------------------------------------------------------------------------------
The Fund has adopted a distribution plan (the Plan) pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plan requires the Fund to pay
the Principal Underwriter, Eaton Vance Distributors, Inc. (EVD) amounts equal
to 1/365 of 0.75% of the Fund's daily net assets, for providing ongoing
distribution services and facilities to the Fund. The 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) 6.25% of the aggregate amount received by the Fund for the 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 amounts theretofore paid to EVD. The Fund paid or
accrued $262,930 to or payable to EVD for the six months ended March 31, 1997,
representing 0.75% (annualized) of average daily net assets. At March 31,
1997, the amount of Uncovered Distribution Charges of EVD calculated under the
Plan was approximately $6,702,000.
In addition, the Plan permits the Fund to make monthly payments of service
fees to the Principal Underwriter in amounts not exceeding 0.25% of the Fund's
average daily net assets for each fiscal year. The Fund paid or accrued
service fees to or payable to EVD for the six month period ended March 31,
1997 in the amount of $87,643. EVD makes monthly service fee payments to
Authorized Firms in amounts anticipated to be equivalent to 0.25% (annualized)
of the assets maintained in the Fund by their customers. On sales of shares
made on January 30, 1995 and thereafter, EVD currently expects to pay an
Authorized Firm a service fee at the time of sale equal to 0.25% of the
purchase price of the shares sold by the such Firm and monthly payments of
service fees in amounts not expected to exceed 0.25% per annum of the Fund's
average daily net assets based on the value of the Funds shares sold by such
Firm and remaining outstanding for at least one year. During the first year
after a purchase of Fund shares, EVD will retain the service fee as
reimbursement for the service fee payment made to the Authorized Firm at the
time of sale. Service fee payments are made for personal services and/or the
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 the Fund to EVD, and as such are not subject to automatic
discontinuance where there are no outstanding Uncovered Distribution Charges
of EVD.
Certain officers and Trustees of the Fund are officers or directors of EVD.
7
<PAGE>
EV Classic National Municipals Fund as of March 31, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
6 Contingent Deferred Sales Charge
------------------------------------------------------------------------------
For shares purchased on or after January 30, 1995, a contingent deferred sales
charge (CDSC) of 1% is imposed on any redemption of Fund shares made within
one year 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.
No CDSC is levied on shares which have been sold to EVD or its affiliates or
to their respective employees. 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. For the six months ended March 31,
1997, EVD received approximately $25,000 of CDSC paid by shareholders.
7 Investment Transactions
------------------------------------------------------------------------------
Increases and decreases in the Fund's investment in the Portfolio for the six
months ended March 31, 1997, aggregated $19,227,337 and $16,822,931,
respectively.
8
<PAGE>
National Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living -- 5.9%
- ----------------------------------------------------------------------------
NR NR $ 6,035 Arizona Health Facilities
Authority, Mesa Project,
7.625%, 1/1/26 $ 5,663,365
NR NR 17,070 Bell County, TX, Health
Facilities, (Care Institute
Inc.), 9.00%, 11/1/24 18,529,144
NR NR 5,000 Chester County, PA,
Industrial Development
Board (Senior Life Choice
of Paoli, L.P.), 8.05%,
1/1/24 5,077,150
NR NR 3,060 Chester County, PA,
Kimberton Project (AMT),
8.50%, 9/1/25 3,213,245
NR NR 12,555 Dekalb Private Hospital, GA
(GF/Atlanta), 8.50%, 3/1/25 12,975,467
NR NR 5,000 Delaware County, PA, Glen
Riddle Project (AMT),
8.625%, 9/1/25 5,245,800
NR NR 4,215 Florence, KY, Housing
Facilities (Blue Grass RHF
Housing, Inc.), 9.50%,
7/1/17 4,239,152
NR NR 15,000 Illinois Development
Finance Authority (Care
Institute, Inc.), 7.80%,
6/1/25 14,619,450
NR NR 15,000 Louisiana Housing Finance
Agency (HCC Assisted Living
Group) (AMT), 9.00%, 3/1/25 15,797,550
NR NR 4,605 New Jersey Economic
Development Authority
(Chelsea at East Brunswick
Project) (AMT), 8.25%,
10/1/20 4,568,252
NR NR 10,000 New Jersey Economic
Development Authority,
Forsgate Project, (AMT),
8.625%, 6/1/25 10,484,100
NR NR 7,915 Roseville, MN, Elder Care
Facility (Care Institute,
Inc.), 7.75%, 11/1/23 7,999,374
NR NR 12,430 St. Paul, MN, Housing and
Redevelopment (Care
Institute, Inc.), Highland
Park, 8.75%, 11/1/24 13,385,121
NR NR 5,000 Village of North Syracuse,
NY, Housing Authority (AJM
Senior Housing, Inc.,
Janus Park), 8.00%, 6/1/24 4,973,350
- ----------------------------------------------------------------------------
$ 126,770,520
- ----------------------------------------------------------------------------
Cogeneration -- 5.1%
- -------=--------------------------------------------------------------------
NR NR $ 20,250 Maryland Energy, AES Warrior
Run Project (AMT), 7.40%,
9/1/19 $ 21,243,263
NR A+ 30,775 New Jersey Economic
Development Authority,
Vineland Cogeneration
Limited Partnership Project
(AMT), 7.875%, 6/1/19 33,068,968
NR NR 9,950 Palm Beach County, Solid
Waste Industrial Development
Revenue (Osceola Power)
(AMT), 6.95%, 1/1/22 8,319,792
NR NR 18,450 Pennsylvania Economic
Development Authority,
Northampton Generating
Project (AMT), 6.60%,
1/1/19 18,200,372
NR NR 5,000 Pennsylvania Economic
Development Authority,
Northampton Generating
Project, Junior Liens
(AMT), 6.95%, 1/1/21 4,890,750
NR NR 7,000 Pennsylvania Economic
Development Authority,
Northampton Generating
Project, Junior Liens,
(AMT), 6.875%, 1/1/11 6,849,500
NR NR 6,100 Pennsylvania Economic
Development Authority,
Northampton Generation
Project, (AMT), 6.50%,
1/1/13 5,986,784
NR NR 10,000 Pennsylvania Economic
Development Authority,
Colver Project, (AMT),
8.05%, 12/1/15 10,649,100
- ----------------------------------------------------------------------------
$109,208,529
- ----------------------------------------------------------------------------
Colleges and Universities -- 0.4%
- ----------------------------------------------------------------------------
NR BBB- $ 3,000 Massachusetts Health and
Educational Facilities
(Nichols College), 7.00%,
10/1/20 $ 3,145,560
</TABLE>
See notes to financial statements
9
<PAGE>
National Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Colleges and Universities (continued)
- -------------------------------------------------------------------------
NR NR $ 4,360 New Hampshire Higher
Educational and Health
(Franklin Pierce Law
Center), 7.50%, 7/1/22 $ 4,421,127
- -------------------------------------------------------------------------
$ 7,566,687
- -------------------------------------------------------------------------
Electric Utilities -- 0.3%
- -------------------------------------------------------------------------
NR NR $ 5,000 West Feliciana, LA, Gulf
States Utilities Company
Project, (AMT), 9.00%,
5/1/15 $ 5,535,000
- -------------------------------------------------------------------------
$ 5,535,000
- -------------------------------------------------------------------------
Escrowed / Prerefunded -- 12.3%
- -------------------------------------------------------------------------
NR AAA $ 65,000 Bakersfield, CA,
Bakersfield
Assisted Living
Center, 0%, 4/15/21 $ 12,376,650
NR NR 2,200 Bexar County, TX,
Health Facilities
(St. Luke's
Lutheran), 7.00%,
5/1/21 2,560,140
NR AAA 27,870 Colorado Health
Facilities
Authority,
Retirement Housing,
Liberty Heights
Project, 0%, 7/15/20 5,464,192
Aaa NR 29,600 Colorado Health
Facilities
Authority,
Retirement Housing,
Liberty Heights
Project, 0%, 7/15/22 5,045,616
Aa NR 5,000 Colorado Housing
Finance Authority,
Retirement Housing,
Liberty Heights
Project, 7.55%,
11/1/27 5,510,450
Aaa NR 225,500 Dawson Ridge
Metropolitan
District Number 1,
Douglas County, CO,
0%, 10/1/22 40,479,504
Baa AAA 10,000 Detroit, MI,
Unlimited Tax,
8.70%, 4/1/10 11,311,600
Baa AAA 3,500 Detroit, MI,
Unlimited Tax,
Series 1991, 8.00%,
4/1/11 3,972,815
NR NR 7,000 Florida Mid-Bay
Bridge Authority,
6.875%, 10/1/22 8,090,390
NR AAA 186,555 Illinois
Development Finance
Authority, Regency
Park at
Lincolnwood, 0%,
7/15/23 29,651,052
NR AAA 30,360 Illinois
Development Finance
Authority, Regency
Park at
Lincolnwood, 0%,
7/15/25 4,161,142
NR NR 4,500 Illinois, Chicago
Osteopathic Health
Systems, 7.25%,
5/15/22 5,337,630
NR NR 4,650 Illinois, Chicago
Osteopathic Heath
Systems, 7.125%,
5/15/11 5,298,629
NR AAA 4,000 Jackson County, OK
(Jackson County
Memorial Hospital),
9.00%, 8/1/15 4,147,200
NR AAA 12,750 Louisiana Public
Facilities
Authority (Southern
Baptist Hospitals,
Inc.), 8.00%,
5/15/12 14,978,573
Aaa NR 138,000 Mississippi Housing
Finance Corp.,
Single Family
(AMT), 0%, 6/1/15 47,986,739
Ba1 AAA 3,090 Montgomery County,
PA (United
Hospitals, Inc.),
7.50%, 11/1/13 3,318,598
Ba1 AAA 2,000 Montgomery County,
PA (United
Hospitals, Inc.),
7.50%, 11/1/14 2,147,960
Ba1 AAA 3,465 Montgomery County,
PA (United
Hospitals, Inc.),
7.50%, 11/1/15 3,721,341
Aaa NR 6,130 North Salt Lake
Municipal Building
Authority, Davis
County, UT, 8.625%,
12/1/17 7,316,032
NR AAA 4,000 Philadelphia, PA
Municipal Water
Finance Authority,
7.00%, 8/1/18 4,352,480
NR NR 3,465 Scottsdale, AZ,
Industrial
Development
Authority
(Westminster
Village, Inc.),
10.00%, 6/1/07 3,602,768
Aaa AAA 19,165 Texas Turnpike
Authority (Houston
Ship Channel
Bridge), 12.625%,
1/1/20/(1)/ 26,287,864
NR AAA 5,120 Vermont Education
and Health
Buildings Financing
Agency,
Northwestern
Medical Center
Project, 9.75%,
9/1/18 5,614,541
- -------------------------------------------------------------------------
$ 262,733,906
- -------------------------------------------------------------------------
Hospitals -- 10.6%
- -------------------------------------------------------------------------
NR BBB $ 7,000 Arizona Health
Facilities, Phoenix
Memorial, 8.20%,
6/1/21 $ 7,548,520
</TABLE>
See notes to financial statements
10
<PAGE>
National Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospitals (continued)
- ---------------------------------------------------------------------------
NR NR $ 2,425 Berlin, MD
(Atlantic General),
8.375%, 6/1/22 $ 2,500,975
Baa NR 10,180 Chaves County, NM
(Eastern New Mexico
Medical Center),
7.25%, 12/1/22 10,706,001
NR BBB- 3,000 Colorado Health
Facilities
(National Jewish
Center For
Immunology and
Respiratory
Medicine), 6.875%,
2/15/12 3,042,210
NR BBB- 5,015 Colorado Health
Facilities
(National Jewish
Center For
Immunology and
Respiratory
Medicine), 7.10%,
2/15/22 5,078,139
Baa BBB 32,000 Colorado Health
Facilities (Rocky
Mountain Adventist
Healthcare),
6.625%, 2/1/22 32,681,279
NR AAA 177,055 Colorado Health
Facilities
Authority,
Retirement Housing,
Liberty Heights
Project, 0%, 7/15/24 26,239,551
Baa1 NR 4,000 Crossville, TN,
Health and
Educational
Financing Authority
(Cumberland Medical
Center), 6.75%,
11/1/12 4,100,400
NR BBB+ 250 Denison, TX,
Hospital Authority
(Texoma Medical
Center), 6.125%,
8/15/17(2) 244,995
NR BBB+ 2,500 Denison, TX,
Hospital Authority
(Texoma Medical
Center), 6.125%,
8/15/27(2) 2,424,450
Baa1 BBB+ 6,000 District of
Columbia
(Washington
Hospital Center
Issue-Medlantic
Healthcare Group,
Inc.), 7.125%,
8/15/19 6,284,160
NR A- 5,000 Dubuque, IA, Finley
Hospital Project,
6.875%, 1/1/12 5,305,650
NR BBB- 5,545 Grove City Area
Hospital Authority,
PA (United
Community
Hospital), 8.125%,
7/1/12 5,632,833
NR BBB- 4,000 Hawaii Department
of Budget and
Finance, Special
Purpose Mortgage
Revenue (Wahiawa
General Hospital),
7.50%, 7/1/12 4,239,600
NR NR 4,620 Health Services
Authority of
Hazelton, Luzerne
County, PA
(Hazleton-Saint
Joseph Medical
Center), 8.375%,
7/1/12 5,449,198
Baa1 NR 1,000 Illinois Health
Facilities
Authority (Holy
Cross Hospital),
6.70%, 3/1/14 1,027,930
Baa1 NR 2,650 Illinois Health
Facilities
Authority (Holy
Cross Hospital),
6.75%, 3/1/24 2,723,856
Baa2 NR 4,500 Indiana Health
Facility Financing
Authority (Memorial
Hospital and Health
Care Center),
7.40%, 3/1/22 4,749,255
A3 BBB+ 3,750 Louisiana Public
Facilities
Authority (Woman's
Hospital
Foundation), 7.25%,
10/1/22 3,990,713
NR BBB 8,250 Louisiana Public
Finance Authority,
General Health
Systems Project,
6.80%, 11/1/16 8,351,558
Baa BBB- 10,000 Maricopa County, AZ
(Sun Health
Corporation),
8.125%, 4/1/12 10,952,000
Baa NR 2,000 Marshall County, AL
(Guntersville-Arab
Medical Center),
7.00%, 10/1/09 2,090,340
Baa NR 2,000 Marshall County, AL
(Guntersville-Arab
Medical Center),
7.00%, 10/1/13 2,084,580
Baa3 BB 3,900 Massachusetts HEFA
(Milford-Whitinsville
Hospital), 7.75%,
7/15/17 4,085,640
Ba2 NR 5,000 Mississippi
Hospital Equipment
and Facilities
Authority (Magnolia
Hospital), 7.375%,
10/1/21 5,068,000
A3 BBB+ 10,000 Philadelphia, PA
(Albert Eistein
Medical Center),
7.00%, 10/1/21 10,447,100
Ba2 BBB+ 9,000 Philadelphia, PA,
Graduate Health
System Obligated
Group, 6.625%,
7/1/21 8,828,640
Baa NR 2,000 Prince George's
County, MD (Greater
SouthEast
Healthcare System),
6.375%, 1/1/23 1,941,960
Baa1 BBB+ 10,000 Randolph County
Building
Commission, WV
(Davis Memorial
Hospital), 7.65%,
11/1/21 10,700,600
NR BBB- 8,000 Scranton-Lackawanna
Health and Welfare
Authority, PA
(Moses Taylor
Hospital), 8.25%,
7/1/09 8,564,000
</TABLE>
See notes to financial statements
11
<PAGE>
National Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospitals (continued)
- ---------------------------------------------------------------------
NR BBB- $ 4,500 Scranton-Lackawanna
Health and Welfare
Authority, PA
(Moses Taylor
Hospital), 8.50%,
7/1/20 $ 4,849,560
Baa3 BBB 8,000 South Dakota Health
and Educational
Finance Authority,
Prarie Lakes Health
Care System Issue,
7.25%, 4/1/22 8,423,200
NR NR 4,900 Winslow, AZ,
Industrial
Development
Authority (Winslow
Memorial Hospital),
9.50%, 6/1/22 5,395,880
- ---------------------------------------------------------------------
$ 225,752,773
- ---------------------------------------------------------------------
Hotels -- 0.3%
- ---------------------------------------------------------------------
NR NR $ 1,046 Illinois
Development Finance
Authority (Comfort
Inn - O'Hare),
2.50%, 5/1/16 $ 575,053
NR NR 1,929 Illinois
Development Finance
Authority (Comfort
Inn - O'Hare),
10.00%, 5/1/16 2,082,860
NR NR 1,025 Kirksville, MO,
Industrial
Development
Authority (Holiday
Inn), 10.50%,
7/1/03/(3)/ 461,250
NR NR 3,615 Kirksville, MO,
Industrial
Development
Authority (Holiday
Inn), 11.00%,
7/1/16/(3)/ 1,626,750
NR NR 4,205 Niagara County, NY,
Industrial
Development
Authority
(Wintergarden Inn
Associates), 9.75%,
6/1/11/(3)/ 1,682,000
- ---------------------------------------------------------------------
$ 6,427,913
- ---------------------------------------------------------------------
Housing -- 2.8%
- ---------------------------------------------------------------------
Aa AA- $ 9,600 California Housing
Finance Agency
(AMT), Residual
Interest Bonds,
Variable, 8/1/23/(4)/ $ 10,020,000
NR NR 9,405 Lake Creek
Affordable Housing
Corp., Multifamily
Housing, 8.00%,
12/1/23 9,742,357
NR NR 8,000 Los Angeles County
Housing Authority,
CA, Multifamily
Housing, Corporate
Fund for Housing
Projects, 10.50%,
12/1/29 7,853,520
NR NR 1,300 Lucas County,
County Creek
Project (AMT),
8.00%, 7/1/26 1,243,411
NR A 1,000 Maricopa County,
AZ, Industrial
Development
Authority,
Multifamily, 6.45%,
1/1/17 1,019,690
NR A 5,675 Maricopa County,
AZ, Industrial
Development
Authority,
Multifamily,
6.625%, 1/1/27 5,797,410
NR NR 2,185 Minneapolis
Community
Development,
Multifamily
(Lindsay Brothers),
1.50%, 12/1/07 1,127,242
NR NR 3,240 Minneapolis
Community
Development,
Multifamily
(Lindsay Brothers),
9.50%, 12/1/07 3,394,678
NR NR 4,740 North Little Rock,
AR, Residential
Housing Facilities
(Parkstone Place),
9.75%, 8/1/21 4,942,445
NR NR 8,745 North Miami, FL,
Health Care
Facilities (The
Imperial Club),
9.25%, 1/1/13 9,701,616
NR NR 4,000 North Miami, FL,
Health Care
Facilities (The
Imperial Club),
10.00%, 1/1/13 3,805,120
NR NR 1,600 Pittsfield
Township, MI
(Economic
Development Corp),
7.875%, 8/15/27 1,476,928
- ---------------------------------------------------------------------
$ 60,124,417
- ---------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 17.1%
- ---------------------------------------------------------------------
Baa2 BBB $ 23,660 Alliance Airport
Authority Texas,
(Federal Express),
(AMT), 6.375%,
4/1/21 $ 23,651,246
NR NR 7,500 Austin, TX
(Cargoport
Development LLC)
(AMT), 8.30%,
10/1/21 7,577,400
NR NR 2,000 Camden County, NJ,
Holt Hauling and
Warehousing System,
Inc. Project (AMT),
9.875%, 1/1/21 2,212,900
Baa2 NR 3,000 Camden, AL,
MacMillan Bloedel
Project, 7.75%,
5/1/09 3,209,340
Baa2 BBB+ 6,050 Carbon County, UT
(Laidlaw) (AMT),
7.50%, 2/1/10 6,634,188
</TABLE>
See notes to financial statements
12
<PAGE>
National Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Industrial Development Revenue / Pollution
Control Revenue (continued)
- ----------------------------------------------------------------------------
Baa2 BB+ $ 28,000 Chicago, IL, O'Hare
International (American
Airlines), 7.875%, 11/1/25 $ 30,265,479
Baa2 BB+ 20,275 Chicago, IL, O'Hare
International, (American
Airlines), 8.20%, 12/1/24 23,763,922
NR NR 4,140 College Park, GA (Airport
Parking Venture), 7.00%,
5/15/16 3,696,606
Baa1 BBB 24,000 Courtland, AL (Champion
International Corporation)
(AMT), 7.00%, 6/1/22 25,024,320
Baa2 BB+ 41,000 Dallas-Fort Worth, TX,
International Airport Facility
(American Airlines), 7.25%,
11/1/30 43,900,749
Baa3 BB 52,500 Denver, CO, (United Airlines)
(AMT), 6.875%, 10/1/32 54,393,149
Ba1 BB+ 12,175 Farmington, NM, Pollution
Control Revenue, 6.375%,
4/1/22 12,254,138
Baa1 BBB 11,480 Gulf Coast Waste Disposal, TX
(Champion International Corp.)
(AMT), 6.875%, 12/1/28 11,937,593
NR NR 5,928 Gwinnett County, GA
(Plastics/Packaging, Inc.)
(AMT), 9.00%, 5/1/13/(3)/ 3,556,542
NR NR 6,500 Kimball, NE, Economic
Development Authority, (Clean
Harbors Inc.) (AMT), 10.75%,
9/1/26 6,550,050
NR NR 2,000 Los Angeles International
Airport (Continental Airlines)
(AMT), 9.00%, 8/1/08 2,117,500
Baa1 BBB 10,000 Maine Finance Authority,
(Great Northern Paper, Inc.,
Project - Bowater Inc.)
(AMT), 7.75%, 10/1/22 10,851,200
NR BBB 5,000 Maine Solid Waste Disposal
(Boise Cascade Corp.) (AMT),
7.90%, 6/1/15 5,400,750
NR NR 1,700 Massachusetts Industrial
Finance Agency (Boston Beer
Co.) (AMT), 11.50%,
7/15/07 1,781,566
Baa1 BBB 5,000 McMinn County,TN (Calhoun
Newsprint Co. Project - Bowater
Inc.) (AMT), 7.40%,
12/1/22 5,366,100
NR NR 10,000 Michigan Strategic (S.D.
Warren Co.), 7.375%,
1/15/22 10,378,700
NR NR 15,000 Michigan Strategic (S.D.
Warren Co.), 7.375%,
1/15/22 15,568,050
NR NR 4,100 Middleboro, MA (Read Corp.),
9.50%, 10/1/10 4,096,761
NR NR 17,000 New Jersey Economic
Development Authority (Holt
Hauling and Warehouse),
7.80%, 12/15/16 16,966,170
NR NR 1,500 New Jersey Economic
Development Authority (Holt
Hauling and Warehouse),
7.80%, 12/15/16 1,496,880
Baa2 BBB- 7,500 Pennsylvania (MacMillan
Bloedel) (AMT), 7.60%,
12/1/20 8,311,050
NR BBB+ 10,000 Pennsylvania (Sun Company,
Inc.), (AMT), 7.60%,
12/1/24 11,078,100
B1 B 2,000 Riverdale Village, IL, ACME
Metals, Inc. Project (AMT),
7.95%, 4/1/25 1,989,340
B1 B 2,585 Riverdale Village, IL, ACME
Metals, Inc. Project, (AMT),
7.90%, 4/1/24 2,683,489
NR NR 4,000 Savannah, GA (Intercat-
Savannah Inc.) (AMT), 9.00%,
1/1/15 4,234,800
Aa3 NR 2,605 Savannah, GA (Intercat-
Savannah, Inc.) (AMT),
9.75%, 7/1/10 2,773,049
NR NR 1,000 State of Ohio, Solid Waste
(Republic Engineered Steel,
Inc.) (AMT), 9.00%, 6/1/21 1,006,630
- ----------------------------------------------------------------------------
$ 364,727,757
- ----------------------------------------------------------------------------
Insured Electric Utilities -- 4.9%
- ----------------------------------------------------------------------------
Aaa AAA $ 32,000 Intermountain Power Agency,
UT (MBIA), 5.75%, 7/1/19/(2)/ $ 31,386,879
Aaa AAA 10,000 Intermountain Power Agency,
UT (MBIA), 6.00%, 7/1/16 10,011,000
Aaa AAA 10,000 Los Angeles, CA, Department of
Water and Power (MBIA),
5.00%, 10/15/33 8,557,800
</TABLE>
See notes to financial statements
13
<PAGE>
National Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Electric Utilities (continued)
- ---------------------------------------------------------------------
Aaa AAA $ 21,000 Sacramento, CA,
Municipal Utility
District, (MBIA),
4.75%, 9/1/21/(1)/ $ 17,598,000
Aaa AAA 16,500 Sacramento, CA,
Municipal Utility
District,
(MBIA),Variable,
11/15/15/(4)/ 15,035,625
Aaa AAA 7,500 South Carolina
Public Services,
Forwards, Series
96A, (FGIC), 5.75%,
1/1/22 7,348,950
Aaa AAA 15,350 South Carolina
Public Services,
Residual Interest
Bonds, (FGIC),
Variable, 1/1/25/(4)/ 11,205,500
Aaa AAA 2,675 Washington Public
Power Supply
System, Nuclear
Project Number 2,
(MBIA), 14.375%,
7/1/01 3,326,684
- ---------------------------------------------------------------------
$ 104,470,438
- ---------------------------------------------------------------------
Insured General Obligations -- 1.2%
- ---------------------------------------------------------------------
Aaa AAA $ 19,500 State of California
(FGIC), 4.75%,
9/1/23 $ 16,277,625
Aaa AAA 10,000 State of California
(FSA), 4.75%, 9/1/18 8,476,800
- ---------------------------------------------------------------------
$ 24,754,425
- ---------------------------------------------------------------------
Insured Hospitals -- 0.9%
- ---------------------------------------------------------------------
Aaa AAA $ 10,000 Louisville, KY
(Alliant Health
System, Inc.)
(MBIA), Variable,
10/1/14/(4)/ $ 11,112,500
Aaa AAA 7,000 Montgomery, PA
(Abington Memorial
Hospital) (AMBAC),
Variable,
7/5/11/(4)/ 7,936,250
- ---------------------------------------------------------------------
$ 19,048,750
- ---------------------------------------------------------------------
Insured Housing -- 0.4%
- ---------------------------------------------------------------------
NR NR $ 7,525 SCA Multifamily
Mortgage,
Industrial
Development Board,
Hamilton County,
TN, (AMT) (FSA),
7.35%, 1/1/30 $ 8,154,692
- ---------------------------------------------------------------------
$ 8,154,692
- ---------------------------------------------------------------------
Insured Industrial Development Revenue /
Pollution Control Revenue -- 0.5%
- ---------------------------------------------------------------------
Aaa AAA $ 11,950 Chicago, IL (The
Peoples Gas Light
and Coke Company)
(AMT), (AMBAC),
Residual Interest
Bonds, Variable,
12/1/23/(4)/ $ 10,665,375
- ---------------------------------------------------------------------
$ 10,665,375
- ---------------------------------------------------------------------
Insured Special Tax Revenue -- 5.9%
- ---------------------------------------------------------------------
Aaa AAA $ 20,000 Los Angeles County,
CA, Metropolitan
Transportation
(AMBAC), 4.75%,
7/1/18 $ 17,007,200
Aaa AAA 92,995 Metropolitan Pier
and Exposition
Authority, IL,
McCormick Place
Expansion Project
(FGIC), 0%,
6/15/29 13,142,053
Aaa AAA 92,995 Metropolitan Pier
and Exposition
Authority, IL,
McCormick Place
Expansion Project,
(MBIA), 0%, 6/15/28 13,978,078
NR NR 9,800 Metropolitan Pier
and Exposition
Authority, IL,
McCormick Place
Expansion Project,
Residual Interest
Bonds, (MBIA),
Variable,
6/15/27/(4)/ 9,677,500
Aaa AAA 10,655 Rancho Mirage, CA,
Water District
Financing, (AMBAC),
4.75%, 8/15/21 8,930,169
Aaa AAA 13,350 Rancho Mirage, CA,
Whitewater
Redevelopment
Project, (MBIA),
5.00%, 4/1/24/(1)/ 11,729,043
Aaa AAA 3,415 Regional
Transportation
Authority, LA
(FGIC), 0%, 12/1/12 1,398,613
Aaa AAA 10,935 Regional
Transportation
Authority, LA
(FGIC), 0%, 12/1/15 3,673,395
Aaa AAA 10,000 Regional
Transportation
Authority, LA
(FGIC), 0%, 12/1/21 2,307,600
Aaa AAA 40,000 South Orange, CA,
Public Financing,
Foothill Area,
(FGIC), 5.50%,
8/15/15/(1)/ 37,746,399
Aaa AAA 7,000 Utah Municipal
Finance Corp.,
Local Government
Revenue, (FSA), 0%,
3/1/10 3,395,560
</TABLE>
See notes to financial statements
14
<PAGE>
National Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Insured Special Tax Revenue (continued)
- --------------------------------------------------------------------------------
<C> <C> <C> <S> <C>
Aaa AAA $ 6,000 Utah Municipal
Finance Corp.,
Local Government
Revenue, (FSA), 0%,
3/1/11 $ 2,733,420
- --------------------------------------------------------------------------------
$125,719,030
- --------------------------------------------------------------------------------
<CAPTION>
Insured Transportation -- 3.8%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA $23,015 Massachusetts State
Turnpike Authority
(FGIC), 5.125%,
1/1/23 $ 20,624,202
Aaa AAA 19,000 Massachusetts State
Turnpike Authority
(MBIA), 5.00%,
1/1/20 16,839,510
Aaa AAA 1,000 Massachusetts State
Turnpike Authority
(MBIA), 5.00%,
1/1/20 886,290
Aaa AAA 14,400 Metropolitan
Washington DC
Airport Authority
(MBIA), Variable,
7.735%, 4/1/21 /(4)/ 13,464,000
Aaa AAA 18,200 Mobile, AL, Airport
Authority (MBIA),
6.375%, 10/1/14 /(1)/ 19,238,128
Baa AAA 10,000 Triborough Bridge
and Tunnel
Authority, (MBIA),
Variable,
1/1/19 /(4)/ 10,062,500
- --------------------------------------------------------------------------------
$ 81,114,630
- --------------------------------------------------------------------------------
<CAPTION>
Insured Water and Sewer -- 1.2%
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Aaa AAA $10,000 Detroit, MI, Sewer
Revenue (FGIC),
Variable,
7/1/23 /(4)/ $ 8,925,000
Aaa AAA 7,150 Harrisburg, PA,
Water Revenue
Bonds, Residual
Interest Bonds
(FGIC), Variable,
8/11/16 /(4)/ 5,916,625
Aaa AAA 10,000 New York City
Municipal Water
Finance Authority,
(FSA), Variable,
6/15/21 /(4)/ 10,462,500
- --------------------------------------------------------------------------------
$ 25,304,125
- --------------------------------------------------------------------------------
<CAPTION>
Lease Revenue / Certificates of Participation -- 0.6%
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
NR NR $ 6,645 Hardeman County, TN
(Correctional
Facilities Corp.),
7.75%, 8/1/17 $ 6,660,616
NR A- 3,500 Plymouth County, MA
(Plymouth County
Correctional
Facility), 7.00%,
4/1/22 3,842,860
NR NR 2,500 Saint Louis, MO,
Convention and
Sports Facility,
7.90%, 8/15/21 2,912,750
- --------------------------------------------------------------------------------
$ 13,416,226
- --------------------------------------------------------------------------------
<CAPTION>
Life Care -- 6.1%
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
NR NR $ 8,616 Albuquerque, NM,
First Mortgage
Industrial
Development
Revenue, (La Vida
Llena Retirement
Center), 8.625%,
2/1/20 $ 8,980,198
NR NR 7,000 Albuquerque, NM,
First Mortgage
Industrial
Development
Revenue, (La Vida
Llena Retirement
Center), 8.85%,
2/1/23 7,479,500
NR NR 5,744 Albuquerque, NM,
First Mortgage
Industrial
Development
Revenue, (La Vida
Lllena Retirement
Center), 2.25%,
2/1/23 2,014,191
NR NR 10,000 Atlantic Beach,
Fixed Rate
Improvement, Fleet
Landing Project,
8.00%, 6/1/24 10,550,800
NR NR 5,200 Kansas City, MO
Industrial
Development
Authority
(Kingswood United
Methodist Manor),
9.00%, 11/15/13 5,481,892
NR NR 20,400 Loudoun County,
Industrial
Development
Authority (Falcons
Landing), 8.75%,
11/1/24 21,404,904
NR NR 2,100 Loudoun County, VA,
Industrial
Development
Authority,
Residential Care
(Falcons Landing),
9.25%, 7/1/04 2,258,319
NR NR 1,950 New Hampshire
Higher Educational
and Health
Facilities
(Riverwoods at
Exeter), 8.00%,
3/1/01 1,993,505
NR NR 10,000 New Hampshire
Higher Educational
and Health
Facilities
(Riverwoods at
Exeter), 9.00%,
3/1/23 10,830,600
</TABLE>
See notes to financial statements
15
<PAGE>
National Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ------------------------------------------------------------------------------------------
Life Care (continued)
- ------------------------------------------------------------------------------------------
<C> <C> <C> <S> <C>
NR NR $ 3,500 New Jersey Economic
Development Authority
(Cadbury Corp.), 7.50%,
7/1/21 $ 3,509,660
NR NR 20,000 New Jersey Economic
Development Authority,
Keswick Pines Project,
8.75%, 1/1/24 21,074,800
NR NR 5,800 Ridgeland, MS, Urban
Renewal, The Orchard Project
Series 1993A, 7.75%,
12/1/15 6,007,524
NR NR 13,955 Saint Tammany Public Finance,
Christwood Project, 9.00%,
11/15/25 14,757,133
NR NR 4,500 Vermont Industrial
Development Authority (Wake
Robin Corp.), 8.75%,
3/1/23 4,819,140
NR NR 7,500 Vermont Industrial
Development Authority (Wake
Robin Corp.), 8.75%,
4/1/23 /(5)/ 8,067,450
- ------------------------------------------------------------------------------------------
$129,229,616
- ------------------------------------------------------------------------------------------
Miscellaneous -- 2.5%
- ------------------------------------------------------------------------------------------
NR NR $ 6,530 American Samoa Economic
Development, Executive Office
Building, 10.125%, 9/1/08 $ 7,062,587
NR NR 1,465 Atlanta, GA, Downtown
Development Authority,
(Central Atlanta Hospitality
Childcare, Inc.), 8.00%,
1/1/26 1,418,882
NR A- 6,500 Los Angeles Regional Airports
Improvement Corporation
(LAXFuel) (AMT), 6.50%,
1/1/32 6,561,880
NR NR 4,585 Mille Lacs Capital
Improvements (Mille Lacs Band
of Chippewa Indians), 9.25%,
11/1/12 5,112,642
NR NR 22,500 New Jersey Sports and
Exposition Authority,
Monmouth Park Project,
8.00%, 1/1/25 24,701,850
NR NR 10,200 Orange County Community
Activity Center Revenue Bonds,
8.00%, 3/1/24 9,638,184
- -------------------------------------------------------------------------------------------
$ 54,496,025
- -------------------------------------------------------------------------------------------
Nursing Homes -- 7.7%
- -------------------------------------------------------------------------------------------
NR NR $13,550 Bell County, TX, (Riverside
Healthcare, Inc. - Normandy
Terrace), 9.00%, 4/1/23 $ 14,726,276
NR NR 4,600 Collier County, FL, IDA,
Retirement Rental, (Beverly
Enterprises - Florida, Inc.),
10.75%, 3/1/03 5,155,128
NR NR 5,000 Delaware County, PA
(Mainline - Haverford Nursing
and Rehabilitation Centers),
9.00%, 8/1/22 5,505,850
NR NR 5,460 Hillsborough County, FL,
Industrial Development
Authority, Center for
Independent Living, Tampa
Projects, 11.00%, 3/1/19 /(6)/ 4,914,000
NR NR 4,650 Hillsborough County, FL,
Industrial Development
Authority, Center for
Independent Living, Tampa
Projects, 10.25%, 3/1/09 /(6)/ 4,185,000
Baa1 NR 10,000 Indianapolis, IN (National
Benevolent Association - Robin
Run Village), 7.625%,
10/1/22 10,752,500
NR NR 3,665 Lackawanna County, PA,
Industrial Development
Authority, (Edella Street
Associates), 8.875%, 9/1/14 3,957,357
NR NR 3,270 Luzerne County, PA, Industrial
Development Authority (River
Street Associates), 8.75%,
6/15/07 3,508,350
NR NR 6,040 Massachusetts Health and
Education Facilities Authority
(Fairview Extended Care
Services, Inc.), 10.125%,
1/1/11 6,794,638
NR NR 13,250 Massachusetts IFA, AGE
Institute of Massachusetts
Project, 8.05%, 11/1/25 13,360,505
NR NR 11,790 Mississippi Finance Corp.
(Magnolia Healthcare), 7.99%,
7/1/25 11,674,222
NR NR 6,750 Missouri Health and Education
Authority (Bethesda Health
Group of Saint Louis Inc.),
6.625%, 8/15/05 6,887,295
NR NR 14,000 Missouri Health and Education
Authority (Bethesda Health
Group of Saint Louis, Inc.),
7.50%, 8/15/12 14,861,700
</TABLE>
See notes to financial statements
16
<PAGE>
National Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Nursing Homes (continued)
- --------------------------------------------------------------------------------
<C> <C> <C> <S> <C>
NR NR $12,500 Montgomery County,
PA, Industrial
Development
Authority
(Advancement of
Geriatric Health
Care Institute),
8.375%, 7/1/23 $ 13,118,500
NR NR 5,000 New Jersey Economic
Development
Authority
(Claremont Health
System, Inc.),
9.10%, 9/1/22 5,398,100
NR NR 5,915 New Jersey Economic
Development
Authority (Victoria
Health
Corporation),
7.75%, 1/1/24 6,024,368
NR NR 3,110 Okaloosa County,
(Beverly
Enterprises-Florida,
Inc.), 10.75%,
10/1/03 3,259,529
NR NR 3,500 Philadelphia, PA,
The Philadelphia
Protestant Home
Project, 8.625%,
7/1/21 3,716,475
Baa1 NR 3,870 Racine County, WI,
Health Center,
8.125%, 8/1/21 3,982,849
NR NR 5,000 Rhode Island Health
and Education
Building (Steere
House), 8.25%,
7/1/15 5,259,900
NR NR 5,000 Sussex County, DE
(Delaware Health
Corporation),
7.50%, 1/1/14 5,000,400
NR NR 5,000 Sussex County, DE
(Delaware Health
Corporation),
7.60%, 1/1/24 5,000,400
NR NR 4,500 Tarrant County
Health Facilities,
TX (3927
Foundation, Inc.),
10.25%, 9/1/19 4,746,060
NR NR 2,500 Westmoreland
County, PA,
Industrial
Development
Authority (Highland
Health Systems,
Inc.), 9.25%, 6/1/22 2,677,800
- --------------------------------------------------------------------------------
$164,467,202
- --------------------------------------------------------------------------------
Pooled Loans -- 0.2%
- --------------------------------------------------------------------------------
A1 AA- $ 5,000 Port Seattle, WA,
6.00%, 12/1/14 $ 5,028,050
- --------------------------------------------------------------------------------
$ 5,028,050
- --------------------------------------------------------------------------------
Solid Waste -- 1.9%
- --------------------------------------------------------------------------------
Baa1 NR $ 2,500 Mercer County, NJ,
Improvement
Authority (AMT),
0%, 4/1/14 $ 720,750
Baa1 NR 5,000 Mercer County, NJ,
Improvement
Authority (AMT),
0%, 4/1/15 1,339,800
Baa1 NR 10,690 Mercer County, NJ,
Improvement
Authority (AMT),
0%, 4/1/16 2,662,451
NR NR 35,000 Robbins, Cook
County, IL (Robbins
Resource Recovery
Partners, L.P.),
8.375%, 10/15/16 36,344,699
- --------------------------------------------------------------------------------
$ 41,067,700
- --------------------------------------------------------------------------------
Special Tax Revenue -- 0.2%
- --------------------------------------------------------------------------------
Baa BBB $ 3,815 Inglewood, CA
Public Financing
Authority, In-Town,
Manchester-Prairie
and North Inglewood
Industrial Park
Redevelopment
Projects-Redevelopment
Loans, 7.00%, 5/1/22 $ 4,028,907
- --------------------------------------------------------------------------------
$ 4,028,907
- --------------------------------------------------------------------------------
Transportation -- 6.7%
- --------------------------------------------------------------------------------
Baa BBB $ 8,000 Denver, CO, Airport
System Revenue
(AMT), 7.00%,
11/15/25 $ 8,326,240
Baa BBB 5,725 Denver, CO, Airport
System Revenue
(AMT), 7.50%,
11/15/23 6,281,470
A A- 5,000 Hawaii Airport
System (AMT),
7.00%, 7/1/18 5,327,250
Aaa NR 13,008 Indiana
Transportation
Finance Authority,
6.25%, 11/1/16 14,071,274
A2 NR 3,492 Indiana
Transportation
Finance Authority,
6.25%, 11/1/16 3,590,335
A1 A+ 5,500 Massachusetts State
Turnpike Authority,
5.00%, 1/1/20 4,880,865
A1 AA- 15,000 Port Authority of
New York and
New Jersey (AMT),
Variable,
1/15/27 /(4)/ 15,768,750
NR NR 35,100 San Joaquin Hills,
CA, Toll Roads, 0%,
1/1/17 9,847,656
NR NR 54,400 San Joaquin Hills,
CA, Toll Roads, 0%, 14,311,008
1/1/18
NR NR 46,210 San Joaquin Hills,
CA, Toll Roads, 0%,
1/1/20 10,571,462
NR NR 72,685 San Joaquin Hills,
CA, Toll Roads, 0%,
1/1/21 15,441,201
</TABLE>
See notes to financial statements
17
<PAGE>
National Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Transportation (continued)
- --------------------------------------------------------------------------------
<C> <C> <C> <S> <C>
NR NR $ 29,225 San Joaquin Hills,
CA, Toll Roads, 0%,
1/1/22 $ 5,816,652
NR NR 45,045 San Joaquin Hills,
CA, Toll Roads, 0%,
1/1/23 8,399,091
NR NR 108,260 San Joaquin Hills,
CA, Toll Roads, 0%,
1/1/24 18,911,939
NR NR 15,000 San Joaquin Hills,
CA, Toll Roads, 0%,
1/1/25 2,454,900
- --------------------------------------------------------------------------------
$ 144,000,093
- --------------------------------------------------------------------------------
Water and Sewer -- 0.5%
- --------------------------------------------------------------------------------
A2 A- $ 10,000 New York City
Municipal Water
Finance Authority,
6.25%, 6/15/21 $ 10,166,600
- --------------------------------------------------------------------------------
$ 10,166,600
- --------------------------------------------------------------------------------
Total Tax-Exempt Investments
(identified cost $1,984,862,205) $2,133,979,386
- --------------------------------------------------------------------------------
</TABLE>
Taxable Investment -- 0.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Life Care -- 0.0%
- --------------------------------------------------------------------------------
<C> <C> <C> <S> <C>
NR NR $ 725 Ridgeland, MS,
Urban Renewal, The
Orchard Limited
Project, Series
1993B, 9.000%,
12/1/00 $ 730,278
- --------------------------------------------------------------------------------
$ 730,278
- --------------------------------------------------------------------------------
Total Taxable Investment
(identified cost $725,000) $ 730,278
- --------------------------------------------------------------------------------
Total Investments -- 100.0%
(identified cost $1,985,587,205) $2,134,709,664
- --------------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover when-issued securities.
/(2)/ When-issued security.
/(3)/ Non-income producing security.
/(4)/ Security has been issued as an inverse floater bond.
/(5)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(6)/ The Portfolio is accruing only partial interest on this security.
At March 31, 1997 the concentration of the Portfolio's investments in the
various states, determined as a percentage of total investments, is as follows:
California 12.6%
Others, representing less than 10% individually 87.4%
The Portfolio invests primarily in debt securities issued by municipalities. The
ability of the issuers of the debt securities to meet their obligations may be
affected by economic developments in a specific industry or municipality. In
order to reduce the risk associated with such economic developments, at March
31, 1997, 18.7% of the securities in the portfolio of investments are backed by
bond insurance of various financial institutions and financial guaranty
assurance agencies. The aggregate percentage insured by financial institutions
ranged from 1.1% to 8.7% of total investments.
See notes to financial statements
18
<PAGE>
National Municipals Portfolio as of March 31, 1997
FINANCIAL STATEMENTS (Unaudited)
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
As of March 31, 1997
Assets
- --------------------------------------------------------------------------------
<S> <C>
Investments, at value (Note 1A)
(identified cost basis $1,985,587,205) $ 2,134,709,664
Cash 922
Receivable for investments sold 9,814,585
Interest receivable 39,304,269
Deferred organization expenses (Note 1D) 17,345
- --------------------------------------------------------------------------------
Total assets $ 2,183,846,785
- --------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------
Demand note payable (Note 5) $ 44,769,000
Payable for investments purchased 33,326,180
Payable to affiliate Trustees' fees (Note 2) 7,300
Accrued expenses 177,812
- --------------------------------------------------------------------------------
Total liabilities $ 78,280,292
- --------------------------------------------------------------------------------
Net Assets applicable to investors' interest in Portfolio $ 2,105,566,493
- --------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $ 1,956,444,034
Net unrealized appreciation of investments
(computed on basis of identified cost) 149,122,459
- --------------------------------------------------------------------------------
Total $ 2,105,566,493
- --------------------------------------------------------------------------------
</TABLE>
Statement of Operations
<TABLE>
<CAPTION>
For the Six Months Ended
March 31, 1997
Investment Income (Note 1B)
- --------------------------------------------------------------------------------
<S> <C>
Interest income $ 77,255,187
- --------------------------------------------------------------------------------
Total income $ 77,255,187
- --------------------------------------------------------------------------------
Expenses
- --------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 4,810,748
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 14,616
Interest expense (Note 5) 700,129
Custodian fee 169,643
Legal and accounting services 75,215
Amortization of organization expenses (Note 1D) 9,730
Miscellaneous 59,379
- --------------------------------------------------------------------------------
Total expenses $ 5,839,460
- --------------------------------------------------------------------------------
Net investment income $ 71,415,727
- --------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) on Investments
- --------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 15,122,044
Financial futures contracts (18,889,375)
- --------------------------------------------------------------------------------
Net realized loss on investments transactions $ (3,767,331)
- --------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ (13,338,322)
Financial futures contracts 5,721,300
- --------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation)
of investments $ (7,617,022)
- --------------------------------------------------------------------------------
Net realized and unrealized loss on investments $ (11,384,353)
- --------------------------------------------------------------------------------
Net increase in net assets from operations $ 60,031,374
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
19
<PAGE>
National Municipals Portfolio as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Six Months Ended
Increase (Decrease) March 31, 1997 Year Ended
in Net Assets (Unaudited) September 30, 1996
- -------------------------------------------------------------------------------
<S> <C> <C>
From operations --
Net investment income $ 71,415,727 $ 150,829,621
Net realized gain (loss) on
investments (3,767,331) 1,307,718
Net change in unrealized
appreciation (depreciation)
of investments (7,617,022) 21,364,900
- -------------------------------------------------------------------------------
Net increase in net assets
from operations $ 60,031,374 $ 173,502,239
- -------------------------------------------------------------------------------
Capital transactions--
Contributions $ 152,809,022 $ 517,368,709
Withdrawals (319,751,905) (739,039,309)
- -------------------------------------------------------------------------------
Net decrease in net assets
resulting from capital
transactions $ (166,942,883) $ (221,670,600)
- -------------------------------------------------------------------------------
Total decrease in net assets $ (106,911,509) $ (48,168,361)
- -------------------------------------------------------------------------------
Net Assets
- -------------------------------------------------------------------------------
At beginning of period $ 2,212,478,002 $ 2,260,646,363
- -------------------------------------------------------------------------------
At end of period $ 2,105,566,493 $ 2,212,478,002
- -------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
20
<PAGE>
National Municipals Portfolio as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Six MonthsEnded Year Ended September 30,
March 31, 1997 ------------------------------------------------------
(Unaudited) 1996 1995 1994 1993*
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average daily net assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net expenses/(1)/ 0.54%+ 0.49% 0.50% 0.50% 0.47%+
Net expenses after custodian fee reduction 0.54%+ 0.48% 0.49% -- --
Net investment income 6.55%+ 6.65% 7.00% 6.55% 6.58%+
Portfolio Turnover 10% 19% 54% 40% 13 %
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $2,105,566 $2,212,478 $2,260,646 $2,210,936 $2,083,322
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the period from the start of business, February 1, 1993, to
September 30, 1993.
/(1)/ The expense ratios for the year ended September 30, 1995 and periods
thereafter 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 the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
21
<PAGE>
National Municipals Portfolio as of March 31, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
------------------------------------------------------------------------------
National Municipals Portfolio (the Portfolio) is registered under the
Investment Company Act of 1940 as a diversified open-end management investment
company which was organized as a trust under the laws of the State of New York
on May 1, 1992. The Declaration of Trust permits the Trustees to issue
interests in the Portfolio. The following is a summary of significant
accounting policies of the Portfolio. The policies are in conformity with
generally accepted accounting principles.
A Investment Valuation -- Municipal bonds are normally valued on the basis of
valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the mean
between the latest bid and asked prices. Futures contracts listed on the
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 Portfolio is treated as a partnership for federal tax
purposes. No provision is made by the Portfolio for federal or state taxes on
any taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes. Since some of the
Portfolio's investors are regulated investment companies that invest all or
substantially all of their assets in the Portfolio, the Portfolio normally
must satisfy the applicable source of income and diversification requirements
(under the Internal Revenue Code) in order for its investors to satisfy them.
The Portfolio will allocate at least annually among its investors each
investor's distributive share of the Portfolio's net taxable (if any) and tax-
exempt investment income, net realized capital gains, and any other items of
income, gain, loss, deduction or credit. Interest income received by the
Portfolio 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 the 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 the 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, the 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 the 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 the Portfolio. The
Portfolio's investment in financial futures contracts is designed only to
hedge against anticipated future changes in interest rates. Should interest
rates move unexpectedly, the Portfolio may not achieve the anticipated
benefits of the financial futures contracts and may realize a loss.
F Legal Fees -- Legal fees and other related expenses incurred as part of
negotiations of the terms and requirements of capital infusions, or that are
expected to result in the restructuring of or a plan of reorganization for an
investment are recorded as realized losses. Ongoing expenditures to protect or
enhance an investment are treated as operating expenses.
G When-issued and Delayed Delivery Transactions -- The Portfolio may engage in
when-issued or delayed delivery transactions. The Portfolio records when-
issued securities on trade date and maintains 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.
H Use of Estimates -- The preparation of the 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 Other -- Investment transactions are accounted for on a trade date basis.
22
<PAGE>
National Municipals Portfolio as of March 31, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
J Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolio. Pursuant to the custodian agreement, IBT receives
a fee reduced by the credits which are determined based on the average daily
cash balance the Portfolio maintains with IBT. All significant credit balances
used to reduce the Portfolio's custodian fees are reflected as a reduction of
operating expense on the Statement of Operations.
K Interim Financial Information -- The interim financial statements relating
to March 31, 1997 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 only of normal recurring
adjustments, necessary for the fair presentation of the financial statements.
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 the 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, 1997, the fee was equivalent to
0.44% (annualized) of the Portfolio's average net assets for such period and
amounted to $4,810,748. Except as to Trustees of the Portfolio who are not
members of EVM's or BMR's organization, officers and Trustees receive
remuneration for their services to the Portfolio out of such investment
adviser fee. 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, 1997, no significant amounts have
been deferred. Certain of the officers and Trustees of the Portfolio are
officers and directors/trustees of the above organizations.
3 Investments
------------------------------------------------------------------------------
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, aggregated $216,993,467 and $301,600,458,
respectively.
4 Federal Income Tax Basis of Investments
------------------------------------------------------------------------------
The cost and unrealized appreciation/depreciation in value of the investments
owned at March 31, 1997, as computed on a federal income tax basis, were as
follows:
<TABLE>
<S> <C>
Aggregate cost $1,985,587,205
------------------------------------------------------------------------------
Gross unrealized appreciation $ 165,519,624
Gross unrealized depreciation (16,397,165)
------------------------------------------------------------------------------
Net unrealized appreciation $ 149,122,459
------------------------------------------------------------------------------
</TABLE>
5 Line of Credit
------------------------------------------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR and
EVM and its affiliates in a $120 million unsecured line of credit agreement
with a group of banks. Borrowing will be made by the portfolios or funds
solely to facilitate the handling of unusual and/or unanticipated short-term
cash requirements. Interest is charged to each portfolio or fund based on its
borrowings at the bank's base rate or at an amount above either the bank's
adjusted certificate of deposit rate, Eurodollar rate or federal funds
effective rate. In addition, a fee computed at an annual rate of 0.15% on the
daily unused portion of the facility is allocated among the participating
portfolios and funds at the end of each quarter. For the six months ended
March 31, 1997, the average daily loan balance was $11,098,132 and the average
interest rate was 6.22%. The maximum borrowings at any month end during the
six months ended March 31, 1997 was $91,316,000. At March 31, 1997, the
Portfolio had a balance outstanding pursuant to this line of credit of
$44,769,000.
6 Financial Instruments
------------------------------------------------------------------------------
The Portfolio regularly trades in financial instruments with off-balance sheet
risk in the normal course of its 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 the 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.
There were no outstanding obligations under these financial instruments at
March 31, 1997.
23
<PAGE>
EV Classic National Municipals Fund as of March 31, 1997
INVESTMENT MANAGEMENT
EV Classic National Municipals Fund
Officers
Thomas J. Fetter
President
James B. Hawkes
Vice President and Trustee
Robert B. MacIntosh
Vice President
James L. O'Connor
Treasurer
Thomas Otis
Secretary
Independent Trustees
Donald R. Dwight
President, Dwight Partners, Inc.
Chairman, Newspapers of New England, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment
Banking, Harvard University Graduate School of
Business Administration
Norton H. Reamer
President and Director, United Asset
Management Corporation
John L. Thorndike
Formerly Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
National Municipals Portfolio
Officers
Thomas J. Fetter
President
James B. Hawkes
Vice President and Trustee
Robert B. MacIntosh
Vice President
Thomas M. Metzold
Vice President and Portfolio Manager
James L. O'Connor
Treasurer
Thomas Otis
Secretary
Independent Trustees
Donald R. Dwight
President, Dwight Partners, Inc.
Chairman, Newspapers of New England, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment
Banking, Harvard University Graduate School of
Business Administration
Norton H. Reamer
President and Director, United Asset
Management Corporation
John L. Thorndike
Formerly Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
24
<PAGE>
Investment Adviser of
National Municipals Portfolios
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator of EV Classic
National Municipals Fund
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.
Attention: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
EV Classic National Municipals Fund
24 Federal Street
Boston, MA 02110
- --------------------------------------------------------------------------------
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.
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C-HMSRC-5/97
