<PAGE>
[LOGO OF EATON VANCE APPEARS HERE]
[PHOTO OF BRICK WALL AND EDUCATION
SIGN APPEARS HERE]
[PHOTO OF HIGHWAY APPEARS HERE]
Semiannual Report March 31, 1997
EV
TRADITIONAL
NATIONAL
MUNICIPALS
FUND
Traditional
Eaton Vance
Global Management-Global Distribution
[PHOTO OF BRIDGE APPEARS HERE]
<PAGE>
EV Traditional 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
2.5%./1/
. This return resulted from a decrease in net asset value per share to $10.52
on March 31, 1997 from $10.58 on September 30, 1996, and the reinvestment of
$0.321 per share in tax-free income dividends./2/
. Based on the Fund's most recent dividend, and a net asset value of $10.52 per
share, the Fund's distribution rate on March 31, 1997 was 6.13%.
. To equal 6.13% in a taxable investment, a couple in the 36% combined federal
and state tax bracket would need a yield of 9.58%.
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 3.75% initial sales charge.
/2/ A portion 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 (NAV) with all distributions reinvested. SEC average annual returns
reflect a maximum 3.75% sales charge. 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
<TABLE>
<CAPTION>
Performance/3/ 5 Largest Sectors/4/ Portfolio Overview/4/
- ------------------------------------------------- ----------------------------------- ----------------------------------
<S> <C> <C>
By total investments Number of Issues 237
Average Annual Total Returns (at net asset value)
- ------------------------------------------------- Industrial revenue/pollution control 17.1% Average Maturity 24.8 Yrs.
One Year 6.5%
Life of Fund (4/5/94) 8.5 Escrowed 12.3% Effective Maturity 13.4 Yrs.
SEC Average Annual Total Returns (including maximum Hospitals 10.6% Average Rating A-
- ---------------------------------------------------
sales charge) Nursing Homes 7.7% Average Call 10.1 Yrs.
- ----------------
One Year 2.5% Transportation 6.7% Average Dollar Price $91.45
Life of Fund (4/5/94) 7.1
</TABLE>
2
<PAGE>
EV Traditional 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, $36,192,816) $ 37,022,691
Receivable for Fund shares sold 220,570
Deferred organization expenses (Note 1D) 14,083
- ---------------------------------------------------------------------------------------
Total assets $ 37,257,344
- ---------------------------------------------------------------------------------------
Liabilities
- ---------------------------------------------------------------------------------------
Dividends payable $ 132,150
Payable for Fund shares redeemed 2,011
Accrued expenses 19,464
- ---------------------------------------------------------------------------------------
Total liabilities $ 153,625
- ---------------------------------------------------------------------------------------
Net Assets for 3,528,089 shares of beneficial interest outstanding $ 37,103,719
- ---------------------------------------------------------------------------------------
Sources of Net Assets
- ---------------------------------------------------------------------------------------
Paid-in capital $ 36,500,933
Accumulated net realized loss on investments (computed on basis
of identified cost) (234,767)
Accumulated undistributed net investment income 7,678
Unrealized appreciation of investments (computed on basis of
identified cost) 829,875
- ---------------------------------------------------------------------------------------
Total $ 37,103,719
- ---------------------------------------------------------------------------------------
Net Asset Value and Redemption
Price Per Share
- ---------------------------------------------------------------------------------------
($37,103,719 / 3,528,089 shares of
beneficial interest outstanding) $ 10.52
- ---------------------------------------------------------------------------------------
Computation of Offering Price
- ---------------------------------------------------------------------------------------
Offering price per share (100 / 96.25 of $10.52) $ 10.93
- ---------------------------------------------------------------------------------------
On sales of $50,000 or more, the offering price is reduced.
</TABLE>
Statement of Operations
<TABLE>
<CAPTION>
For the Six Months Ended
March 31, 1997
Investment Income (Note 1B)
- ---------------------------------------------------------------------------------------
<S> <C>
Interest income allocated from Portfolio $ 1,307,786
Expenses allocated from Portfolio (98,923)
- ---------------------------------------------------------------------------------------
Net investment income from Portfolio $ 1,208,863
- ---------------------------------------------------------------------------------------
Expenses
- ---------------------------------------------------------------------------------------
Compensation of Trustees not members of the Administrator's
organization (Note 4) $ 39
Service fees (Note 5) 33,066
Printing and postage 16,272
Registration fees 15,528
Transfer and dividend disbursing agent fees 11,523
Legal and accounting services 8,457
Amortization of organization expenses (Note 1D) 5,604
Custodian fee 1,878
Miscellaneous 949
- ---------------------------------------------------------------------------------------
Total expenses $ 93,316
- ---------------------------------------------------------------------------------------
Net investment income $ 1,115,547
- ---------------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) from Portfolio
- ---------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 258,192
Financial futures contracts (322,960)
- ---------------------------------------------------------------------------------------
Net realized loss on investment transactions $ (64,768)
- ---------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investment transactions $ (309,586)
Financial futures contracts 112,189
- ---------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation)
of investments $ (197,397)
- ---------------------------------------------------------------------------------------
Net realized and unrealized loss on investments $ (262,165)
- ---------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $ 853,382
- ---------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
3
<PAGE>
EV Traditional 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 $ 1,115,547 $ 1,983,155
Net realized loss on investments (64,768) (37,805)
Net change in unrealized
appreciation (depreciation)
of investments (197,397) 268,532
- -------------------------------------------------------------------------------------
Net increase in net assets from
operations $ 853,382 $ 2,213,882
- -------------------------------------------------------------------------------------
Distributions to shareholders (Note 2) --
From net investment income $ (1,112,449) $ (1,976,984)
- -------------------------------------------------------------------------------------
Total distributions to shareholders $ (1,112,449) $ (1,976,984)
- -------------------------------------------------------------------------------------
Transactions in shares of beneficial
interest (Note 3) --
Proceeds from sale of shares $ 15,148,119 $ 16,306,575
Net asset value of shares issued
to shareholders in payment of
distributions declared 381,222 701,768
Cost of shares redeemed (13,277,332) (8,658,429)
- -------------------------------------------------------------------------------------
Net increase in net assets from Fund
share transactions $ 2,252,009 $ 8,349,914
- -------------------------------------------------------------------------------------
Net increase in net assets $ 1,992,942 $ 8,586,812
- -------------------------------------------------------------------------------------
Net Assets
- -------------------------------------------------------------------------------------
At beginning of period $ 35,110,777 $ 26,523,965
- -------------------------------------------------------------------------------------
At end of period $ 37,103,719 $ 35,110,777
- -------------------------------------------------------------------------------------
Accumulated undistributed
net investment income
included in net assets
- -------------------------------------------------------------------------------------
At end of period $ 7,678 $ 4,580
- -------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
4
<PAGE>
EV Traditional National Municipals Fund as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Financial Highlights
<TABLE>
<CAPTION>
Six Months Ended
March 31, 1997 Year Ended September 30,
------------------------------------
(Unaudited) 1996 1995 1994*
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value -- Beginning of period $ 10.580 $ 10.470 $ 10.000 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 0.322 $ 0.668 $ 0.691 $ 0.334
Net realized and unrealized gain (loss) on investments (0.061) 0.108 0.471 0.002++
- ------------------------------------------------------------------------------------------------------------------------------------
Total income from operations $ 0.261 $ 0.776 $ 1.162 $ 0.336
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------------
From net investment income $ (0.321) $ (0.666) $ (0.691) $ (0.334)
In excess of net investment income -- -- (0.001) (0.002)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions $ (0.321) $ (0.666) $ (0.692) $ (0.336)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value -- End of period $ 10.520 $ 10.580 $ 10.470 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return/(1)/ 2.46% 7.59% 12.10% 3.34%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data/plus/
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000 omitted) $ 37,104 $ 35,111 $ 26,524 $ 4,281
Ratio of net expenses to average daily net assets/(2)(3)/ 1.04%+ 0.86% 0.67% 0.43%+
Ratio of net expenses to average daily net assets
after custodian fee reduction/(2)/ 1.04%+ 0.85% 0.66% --
Ratio of net investment income to average daily net assets 6.05%+ 6.28% 6.60% 5.97%+
</TABLE>
/plus/ 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> <C>
Expenses /(2)/
Net investment income 1.10% 1.84%+
Net investment income per share 6.17% 4.56%
$ 0.646 $ 0.255
</TABLE>
+ Annualized.
++ The per share amount is not in accord with the net realized and unrealized
gains and losses 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.
* For the period from the start of business, April 5, 1994, 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 the 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 Traditional National Municipals Fund as of March 31, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
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EV Traditional 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 (1.8% 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 $158,203
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
($20) and September 30, 2004 ($158,183). 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.
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 or, at the election of the shareholder,
in cash. The Fund distinguishes between distributions on a tax basis and a
financial reporting basis. Generally accepted accounting principles require
that only distributions in excess of tax basis
6
<PAGE>
EV Traditional National Municipals Fund as of March 31, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
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.
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 were as follow:
<TABLE>
<CAPTION>
Six Months Ended
March 31, 1997 Year Ended
(Unaudited) September 30, 1996
------------------------------------------------------------------------------
<S> <C> <C>
Sales 1,414,672 1,539,028
Issued to shareholders electing to
receive payments of distributions
in Fund shares 35,670 66,251
Redemptions (1,242,200) (818,680)
------------------------------------------------------------------------------
Net increase 208,142 786,599
------------------------------------------------------------------------------
</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 or BMR's organization, officers and Trustees
receive remuneration for their services to the Fund out of the investment
advisor fee earned by BMR. Eaton Vance Distributors, Inc. (EVD), a subsidiary
of EVM and the Fund's Principal Underwriter, did not receive any portion of
the sales charge on sales of Fund shares for the six months ended March 31,
1997. Certain of the officers and Trustees of the Fund and the Portfolio are
officers and directors/trustees of the above organizations.
5 Service Plan
------------------------------------------------------------------------------
The Fund has adopted a Service plan (the Plan) designed to meet the service
fee requirements of the sales charge rule of The National Association of
Securities Dealers, Inc. The Service Plan provides that the Fund may make
service fee payments to the Principal Underwriter, Eaton Vance Distributors,
Inc. (EVD), a subsidiary of Eaton Vance Management, Authorized Firms or other
persons in amounts not exceeding 0.25% of the Fund's average daily net assets
for any fiscal year. The Trustees have initially implemented the Plan by
authorizing the Fund to make quarterly service fee payments to the Principal
Underwriter and Authorized Firms in amounts not exceeding 0.25% of the Fund's
average daily net assets for any fiscal year which is attributable to shares
of the Fund sold by such persons and remaining outstanding for at least one
year. Service fee payments are made for personal services and/or the
maintenance of shareholder accounts. The Fund paid or accrued service fees for
the six months ended March 31, 1997 of $33,066.
Certain officers and Trustees of the Fund are officers or directors of EVD.
6 Investment Transactions
------------------------------------------------------------------------------
Increases and decreases in the Fund's investment in the National Municipals
Portfolio for the six months ended March 31, 1997, aggregated $15,033,624 and
$14,123,874, respectively.
7
<PAGE>
National Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- --------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------------------
Assisted Living -- 5.9%
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
8
<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%, 3,972,815
4/1/11
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
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
- --------------------------------------------------------------------------------------
Hospitals (continued)
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
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
- ----------------------------------------------------------------------------------
Hospitals (continued)
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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%, 3,209,340
5/1/09
Baa2 BBB+ 6,050 Carbon County, UT
(Laidlaw) (AMT), 7.50%,
2/1/10 6,634,188
</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>
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
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>
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
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 Special Tax Revenue (continued)
- -------------------------------------------------------------------------------------
Aaa AAA $ 6,000 Utah Municipal Finance
Corp., Local Government
Revenue, (FSA), 0%, 3/1/11 $ 2,733,420
- -------------------------------------------------------------------------------------
$ 125,719,030
- -------------------------------------------------------------------------------------
Insured Transportation -- 3.8%
- -------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------
Insured Water and Sewer -- 1.2%
- -------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 0.6%
- -------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------
Life Care -- 6.1%
- -------------------------------------------------------------------------------------
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
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
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Life Care (continued)
- -----------------------------------------------------------------------------------
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
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
- -------------------------------------------------------------------------------------------
Nursing Homes (continued)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <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%, 1/1/18 14,311,008
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
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
- ------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------
<C> <C> <C> <S> <C>
Life Care -- 0.0%
- ------------------------------------------------------------------------------------
NR NR $ 725 Ridgeland, MS, Urban
Renewal, The Orchard
Limited Project, Series
1993B, 9.000%, 12/1/00 $ 730,278
- ------------------------------------------------------------------------------------
$ 730,278
- ------------------------------------------------------------------------------------
Total Taxable Investments
(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
17
<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
18
<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
19
<PAGE>
National Municipals Portfolio as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Six Months Ended 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
20
<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.
21
<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.
22
<PAGE>
EV Traditional National Municipals Fund as of March 31, 1997
INVESTMENT MANAGEMENT
<TABLE>
<CAPTION>
EV Traditional National Municipals Fund
<S> <C>
Officers Independent Trustees
Thomas J. Fetter Donald R. Dwight
President President, Dwight Partners, Inc.
Chairman, Newspapers of New England, Inc.
James B. Hawkes
Vice President and Trustee Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment
Robert B. MacIntosh Banking, Harvard University Graduate School of
Vice President Business Administration
James L. O'Connor Norton H. Reamer
Treasurer President and Director, United Asset
Management Corporation
Thomas Otis
Secretary John L. Thorndike
Formerly Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
<CAPTION>
National Municipals Portfolio
<S> <C>
Officers Independent Trustees
Thomas J. Fetter Donald R. Dwight
President President, Dwight Partners, Inc.
Chairman, Newspapers of New England, Inc.
James B. Hawkes
Vice President and Trustee Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment
Robert B. MacIntosh Banking, Harvard University Graduate School of
Vice President Business Administration
Thomas M. Metzold Norton H. Reamer
Vice President and Portfolio Manager President and Director, United Asset
Management Corporation
James L. O'Connor John L. Thorndike
Treasurer Formerly Director, Fiduciary Company Incorporated
Thomas Otis Jack L. Treynor
Secretary Investment Adviser and Consultant
</TABLE>
23
<PAGE>
Investment Adviser of
National Municipals Portfolios
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator of EV Traditional
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 Traditional 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.
- --------------------------------------------------------------------------------
T-HMSRC-5/97
