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Previous: NATIONAL MUNICIPALS PORTFOLIO, NSAR-B, 1996-11-26 |
Next: OHIO MUNICIPALS PORTFOLIO, NSAR-B, 1996-11-26 |
<PAGE>
EATON VANCE MUNICIPALS TRUST
For the Marathon, Classic and Traditional National Municipals Annual Report
[LOGO]
September 30, 1996
Portfolio Investment Adviser
Boston Management and Research
24 Federal Street
Boston, MA 02110
Fund Administrator
Eaton Vance Management
24 Federal Street
Boston, MA 02110
(617) 482-8260
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
89 South Street
P.O. Box 1537
Boston, MA 02205-1537
Transfer Agent
First Data Investor Services Group
P.O. Box 1523
Westborough, MA 01581-1523
Independent Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
<PAGE>
------------------------------------
NATIONAL MUNICIPALS PORTFOLIO
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 1996
- -------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 99.96%
- -------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------
PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED SECURITY VALUE
- -----------------------------------------------------------------------------
ASSISTED LIVING FACILITIES - 5.7%
NR NR $ 6,035 Arizona Health Facilities
Authority, Mesa
Project, 7.625%, 1/1/26 $ 5,701,808
NR NR 17,070 Bell County, Texas,
Health Facilities, Care
Institute Inc., 9%, 11/1/24 18,398,046
NR NR 7,000 Chester County,
Pennsylvania, IDB,
Senior Life Choice of
Paoli, L.P., 8.05%, 1/1/24 7,059,010
NR NR 3,060 Chester County,
Pennsylvania, Kimberton
Project (AMT), 8.5%, 9/1/25 3,192,467
NR NR 12,555 Dekalb Private Hospital,
Georgia GF/Atlanta,
8.5%, 3/1/25 12,754,750
NR NR 5,000 Delaware County,
Pennsylvania, Glen
Riddle Project (AMT),
8.625%, 9/1/25 5,264,050
NR NR 18,740 Illinois Development
Finance Authority, Care
Institute Inc., 7.8%,
6/1/25 18,140,133
NR NR 18,545 Louisiana HFA - HCC
Assisted Living Group
1, 9%, 3/1/25 18,994,716
NR NR 10,000 New Jersey EDA, Forsgate
Project (AMT), 8.625%,
6/1/25 9,982,100
NR NR 7,915 Roseville, Minnesota,
Elder Care Facility,
Care Institute Inc.,
7.75%, 11/1/23 7,969,139
NR NR 12,430 St. Paul, Minnesota,
Housing and
Redevelopment, Care
Institute, Inc.,
Highland Park, 8.75%,
11/1/24 13,228,130
NR NR 5,000 Village of North
Syracuse, New York,
Housing Authority, AJM
Senior Housing, Inc.,
Janus Park, 8%, 6/1/24 4,972,100
--------------
$ 125,656,449
--------------
COGENERATION FACILITIES - 4.2%
NR NR $ 20,250 Maryland Energy, AES
Warrior Run Project
(AMT), 7.4%, 9/1/19 $ 21,173,400
NR BB+ 21,650 New Jersey EDA, Vineland
Cogeneration Limited
Partnership Project
(AMT), 7.875%, 6/1/19 23,393,258
NR NR 2,300 Palm Beach County,
Florida, Solid Waste
IDR, Osceola Power
Limited Partnership
Project (AMT), 6.95%,
1/1/22 2,050,726
NR NR 5,000 Pennsylvania EDA,
Northampton Generating
Project, Junior Liens
(AMT), 6.95%, 1/1/21 4,871,950
NR NR 7,000 Pennsylvania EDA,
Northampton Generating
Project, Junior Liens
(AMT), 6.875%, 1/1/11 6,826,820
NR NR 18,450 Pennsylvania EDA,
Northampton Generating
Project (AMT),
6.6%, 1/1/19 17,867,349
NR NR 6,100 Pennsylvania EDA,
Northampton Generating
Project (AMT),
6.5%, 1/1/13 5,973,608
NR NR 10,000 Pennsylvania EDA, Colver
Project (AMT), 8.05%,
12/1/15 10,462,300
--------------
$ 92,619,411
--------------
COLLEGES & UNIVERSITIES - 0.4%
NR BBB- $ 3,300 Massachusetts Health and
Educational Facilities,
Nichols College,
7%, 10/1/20 $ 3,464,340
NR NR 4,360 New Hampshire Higher
Educational and Health,
Franklin Pierce Law
Center, 7.5%, 7/1/22 4,463,201
--------------
$ 7,927,541
--------------
ESCROWED - 12.2%
NR AAA $ 65,000 Bakersfield, California,
Bakersfield Assisted
Living Center, 0%, 4/15/21 $ 12,039,950
NR NR 2,200 Bexar County, Texas,
Health Facilities, St.
Luke's Lutheran, 7%, 5/1/21 2,527,492
NR AAA 177,055 Colorado HFA, Retirement
Housing, Liberty
Heights Project,
0%, 7/15/24 25,743,797
NR AAA 27,870 Colorado HFA, Retirement
Housing, Liberty
Heights Project,
0%, 7/15/20 5,348,532
Aaa NR 29,600 Colorado HFA, Retirement
Housing, Liberty
Heights Project,
0%, 7/15/22 4,944,680
Aaa NR 225,500 Dawson Ridge Metropolitan
District No. 1, Douglas
County, Colorado, 0%,
10/1/22 37,234,560
Ba1 AAA 10,000 Detroit, Michigan,
Unlimited Tax, 8.7%, 4/1/10 11,463,800
Ba1 AAA 3,500 Detroit, Michigan,
Unlimited Tax, Series
1991, 8%, 4/1/11 4,027,555
Ba1 NR 3,090 Montgomery County,
Pennsylvania, United
Hospitals, Inc.,
7.5%, 11/1/13 3,348,139
Ba1 NR 2,000 Montgomery County,
Pennsylvania, United
Hospitals, Inc.,
7.5%, 11/1/14 2,167,080
Ba1 NR 3,465 Montgomery County,
Pennsylvania, United
Hospitals, Inc.,
7.5%, 11/1/15 3,754,466
NR NR 7,000 Florida, Mid-Bay Bridge
Authority Revenue
Bonds, 6.875%, 10/1/22 7,952,420
NR AAA 30,360 Illinois Development
Finance Authority,
Regency Park at
Lincolnwood, 0%, 7/15/25 4,005,698
NR AAA 186,555 Illinois Development
Finance Authority,
Regency Park at
Lincolnwood, 0%, 7/15/23 28,332,108
NR AAA 4,000 Jackson County, Oklahoma,
Jackson County Memorial
Hospital, 9%, 8/1/15 4,245,240
NR AAA 12,750 Louisiana Public
Facilities Authority,
Southern Baptist
Hospitals, Inc.,
8%, 5/15/12 14,972,070
Aaa NR 138,000 Mississippi Housing
Finance Corporation,
Single Family Mortgage,
0%, 6/1/15 46,205,160
Aaa NR 6,130 North Salt Lake Municipal
Building Authority,
Davis County, Utah,
8.625%, 12/1/17 7,374,819
Baa AAA 4,000 Philadelphia, Pennsylvania,
Municipal Water Finance
Authority, 7%, 8/1/18 4,407,120
NR NR 3,465 Scottsdale, Arizona, IDA,
Westminster Village,
Inc., 10%, 6/1/07 3,705,055
Aaa AAA 19,165 Texas Turnpike Authority,
Houston Ship Channel
Bridge, 12.625%, 1/1/20 26,831,192
NR NR 5,120 Vermont Educational and
Health Buildings
Financing Agency,
Northwestern Medical
Center Project, 9.75%,
9/1/18 5,720,730
Aaa AAA 2,675 Washington Public Power
Supply System, Nuclear
Project No. 1,
14.375%, 7/1/01 3,384,169
--------------
$ 269,735,832
--------------
HOSPITALS - 10.5%
NR BBB $ 7,000 Arizona Health
Facilities, Phoenix
Memorial, 8.2%, 6/1/21 $ 7,599,130
NR NR 2,425 Berlin, Maryland,
Atlantic General,
8.375%, 6/1/22 2,562,425
Baa NR 10,180 Chaves County, New
Mexico, Eastern New
Mexico Medical Center,
7.25%, 12/1/22 10,573,864
NR BBB+ 8,405 Christian County,
Kentucky, Jennie Stuart
Medical Center,
7.625%, 4/1/10 8,647,989
Baa BBB 32,000 Colorado Health
Facilities, Rocky
Mountain Adventist
Healthcare, 6.625%, 2/1/22 32,352,640
NR BBB- 3,000 Colorado Health
Facilities, National
Jewish Center For
Immunology and
Respiratory Medicine,
6.875%, 2/15/12 3,017,700
NR BBB- 5,015 Colorado Health
Facilities, National
Jewish Center For
Immunology and
Respiratory Medicine,
7.1%, 2/15/22 5,018,109
Baa1 NR 4,000 Crossville, Tennessee,
HEFA, Cumberland
Medical Center,
6.75%, 11/1/12 4,090,280
Baa1 BBB 6,000 District of Columbia,
Washington Hospital
Center Issue-Medlantic
Healthcare Group, Inc.,
7.125%, 8/15/19 6,221,340
NR A- 5,000 Dubuque, Iowa, Finley
Hospital Project,
6.875%, 1/1/12 5,322,050
NR BBB- 5,545 Grove City Area Hospital
Authority, Pennsylvania,
United Community Hospital,
8.125%, 7/1/12 5,687,007
NR BBB- 4,000 Hawaii Department of
Budget and Finance,
Special Purpose
Mortgage Revenue,
Wahiawa General
Hospital, 7.5%, 7/1/12 4,149,640
NR NR 4,620 Health Services Authority
of Hazleton, Luzerne
County, Pennsylvania,
Hazleton-Saint Joseph
Medical Center, 8.375%,
7/1/12 4,803,968
NR NR 4,650 Illinois, Chicago
Osteopathic Health
Systems, 7.125%, 5/15/11 5,249,013
NR NR 4,500 Illinois, Chicago
Osteopathic Health
Systems, 7.25%, 5/15/22 5,331,780
Baa1 NR 1,000 Illinois HFA, Holy Cross
Hospital, 6.7%, 3/1/14 1,011,260
Baa1 NR 2,650 Illinois HFA, Holy Cross
Hospital, 6.75%, 3/1/24 2,690,333
Baa NR 4,500 Indiana Health Facility
Financing Authority,
Memorial Hospital and
Health Care Center,
7.4%, 3/1/22 4,644,360
NR BBB 8,250 Louisiana Public Finance
Authority, General
Health Systems Project,
6.8%, 11/1/16 8,316,908
Baa1 BBB+ 3,750 Louisiana Public
Facilities Authority,
Woman's Hospital
Foundation, 7.25%, 10/1/22 3,988,913
NR BBB- 9,855 Lufkin Health Facilities
Development Cooration, Memorial
Health System of East Texas,
6.875%, 2/15/26 10,005,190
Baa BBB- 10,000 Maricopa County, Arizona,
Sun Health Corporation,
8.125%, 4/1/12 10,954,300
Baa NR 2,000 Marshall County, Alabama,
Guntersville-Arab
Medical Center,
7%, 10/1/09 2,066,180
Baa NR 2,000 Marshall County, Alabama,
Guntersville-Arab
Medical Center,
7%, 10/1/13 2,055,420
Baa BB 3,900 Massachusetts Health and
Education Facilities
Authority, Milford-
Whitinsville Hospital,
7.75%, 7/15/17 4,063,098
NR BBB 6,000 Midland County Hospital
District, Memorial
Hospital and Medical
Center, 0%, 6/1/07 3,121,260
NR BBB 6,500 Midland County Hospital
District, Memorial
Hospital and Medical
Center, 0%, 6/1/11 2,493,205
Ba NR 5,000 Mississippi Hospital
Equipment and
Facilities Authority,
Magnolia Hospital,
7.375%, 10/1/21 5,069,350
A BBB+ 10,000 Philadelphia,
Pennsylvania, Albert
Einstein Medical
Center, 7%, 10/1/21 10,550,400
Baa1 BBB+ 9,000 Philadelphia,
Pennsylvania, Graduate
Health System Obligated
Group, 6.625%, 7/1/21 8,748,450
Baa NR 5,000 Prince George's County,
Maryland, Greater
Southeast Healthcare
System, 6.375% 1/1/23 4,700,250
Baa1 BBB+ 10,000 Randolph County Building
Commission, West
Virginia, Davis
Memorial Hospital,
7.65%, 11/1/21 10,685,600
NR BB+ 8,000 Scranton-Lackawanna
Health and Welfare
Authority, Pennsylvania
Moses Taylor Hospital,
8.25%, 7/1/09 8,513,440
NR BB+ 4,500 Scranton-Lackawanna
Health and Welfare
Authority, Pennsylvania,
Moses Taylor Hospital,
8.5%, 7/1/20 4,814,775
Baa BBB 8,000 South Dakota HEFA,
Prairie Lakes Health
Care System Issue,
7.25%, 4/1/22 8,372,880
NR NR 4,900 Winslow, Arizona, IDA,
Winslow Memorial
Hospital, 9.5%, 6/1/22 5,391,127
--------------
$ 232,883,634
--------------
HOTELS - 0.4%
NR NR $ 1,929 Illinois Development
Finance Authority,
Comfort Inn - O'Hare,
10%, 5/1/16 $ 2,082,860
NR NR 1,046 Illinois Development
Finance Authority,
Comfort Inn - O'Hare,
2.5%, 5/1/16 587,464
NR NR 1,025 Kirksville, Missouri,
IDA, Holiday Inn,
10.5%, 7/1/03 (4) 563,750
NR NR 3,615 Kirksville, Missouri,
IDA, Holiday Inn, 11%,
7/1/16 (4) 1,988,250
NR NR 4,205 Niagara County, New York,
IDA, Wintergarden Inn
Associates,
9.75%, 6/1/11 (4) 2,312,750
NR NR 1,775 Orange Beach, Alabama,
Romar Hotels, Inc.,
10.5%, 4/1/16 1,823,937
--------------
$ 9,359,011
--------------
HOUSING - 2.7%
Aa AA- $ 9,700 California Housing
Finance Agency (AMT),
Residual Interest
Bonds, Variable Rate,
8/1/23(1) $ 10,160,750
Aa NR 5,000 Colorado Housing and
Finance Authority,
Single Family Program
1996 Series C, 7.55%,
11/1/27 5,462,500
NR NR 9,500 Lake Creek Affordable
Housing Corporation,
Multifamily Housing,
8%, 12/1/23 9,791,175
NR NR 8,000 Los Angeles County
Housing Authority,
California, Multifamily
Housing, Corporate Fund
for Housing Projects,
10.5%, 12/1/29 8,178,720
NR NR 1,300 Lucas County, Ohio, EDA,
County Creek Project
(AMT), 8%, 7/1/26 1,235,052
NR BBB+ 2,000 Massachusetts Housing
Finance Authority,
Multifamily, Harbor
Point Revenue (AMT),
8%, 12/1/15 2,053,720
NR NR 3,305 Minneapolis Community
Development, Multifamily,
Lindsay Brothers,
9.5%, 12/1/07 3,493,749
NR NR 2,185 Minneapolis Community
Development, Multifamily,
Lindsay Brothers,
1.5%, 12/1/07 1,139,630
NR NR 4,740 North Little Rock,
Arkansas, Residential
Housing Facilities,
Parkstone Place,
9.75%, 8/1/21 4,955,433
NR NR 4,000 North Miami, Florida,
Health Care Facilities,
The Imperial Club,
10%, 1/1/13 3,773,440
NR NR 8,840 North Miami, Florida,
Health Care Facilities,
The Imperial Club,
9.25%, 1/1/13 9,622,694
--------------
$ 59,866,863
--------------
INDUSTRIAL DEVELOPMENT
REVENUE - 8.5%
NR NR $ 7,500 Austin-Bergstrom
International Airport
Development
Corporation, Texas,
Austin Cargoport
Development L.L.C.
Project (AMT), 8.3%,
10/1/21 $ 7,499,925
Baa2 NR 3,000 Camden, Alabama, IDB,
MacMillan Bloedel
Project, 7.75%, 5/1/09 3,226,170
NR NR 2,000 Camden County, New
Jersey, Holt Hauling
and Warehousing System,
Inc. Project (AMT),
9.875%, 1/1/21 2,021,200
NR NR 4,140 College Park, Georgia,
Airport Parking
Venture, 10%, 5/15/16 3,726,000
Baa1 BBB 24,000 Courtland, Alabama, IDB,
Champion International
Corporation (AMT), 7%,
6/1/22 25,169,040
NR NR 8,040 East Chicago, Indiana,
PCR, Inland Steel
Company Project #9
(AMT), 10%, 11/1/11 8,313,280
Ba3 BB 3,145 East Chicago, Indiana,
PCR, Inland Steel
Company Project (AMT),
6.8%, 6/1/13 3,173,462
Baa1 BBB 21,480 Gulf Coast Waste
Disposal, Texas,
Champion International
Corporation (AMT),
6.875%, 12/1/28 22,277,982
NR NR 5,928 Gwinnett County, Georgia,
IDR, Plastics/
Packaging, Inc. (AMT),
10.75%, 5/1/13 3,556,542
NR NR 1,595 Kansas City, Missouri,
IDA, AFCO CARGO MCI
Limited Partnership
Project (AMT), 8.5% 1/1/17 1,738,391
NR NR 6,500 Kimball, Nebraska, EDA,
Clean Harbors, Inc.
Project (AMT),
10.75%, 9/1/26 6,533,280
Baa1 BBB 10,000 Maine Finance Authority,
Great Northern Paper,
Inc., Project - Bowater
Incorporated (AMT),
7.75%, 10/1/22 10,892,600
NR BB+ 5,000 Maine Solid Waste
Disposal, Boise Cascade
Corporation (AMT),
7.9%, 6/1/15 5,420,450
NR NR 1,700 Massachusetts Industrial
Finance Agency, IDR,
Boston Beer Company
(AMT), 11.5%, 7/15/07 1,834,147
Baa1 BBB 5,000 McMinn County, Tennessee,
IDB, Calhoun Newsprint
Company Project -
Bowater Incorporated
(AMT), 7.4%, 12/1/22 5,371,400
NR NR 10,000 Michigan Strategic, S.D.
Warren Co., Series 87A
(AMT), 7.375%, 1/15/22 10,253,400
NR NR 15,000 Michigan Strategic, S.D.
Warren Co., Series 87B
(AMT), 7.375%, 1/15/22 15,380,100
NR NR 4,200 Middleboro, Massachusetts,
IDR, Read Corporation,
9.5%, 10/1/10 4,196,682
NR NR 4,000 New Jersey, EDA, Holt
Hauling and Warehousing
System, Inc. Project,
10.25%, 9/15/24 4,178,240
NR NR 1,000 State of Ohio Solid
Waste, Republic
Engineered Steel, Inc.
Project (AMT), 9%, 6/1/21 1,045,370
Baa2 BBB- 7,500 Pennsylvania, EDA,
MacMillan Bloedel
Project (AMT), 7.6%,
12/1/20 8,304,750
Baa1 BBB+ 10,000 Pennsylvania, EDA, Sun
Company, Inc. (R&M)
(AMT), 7.6%, 12/1/24 11,129,100
Baa3 BBB- 12,000 Port of Corpus Christi,
Texas, Valero Refining
& Marketing Company,
10.25%, 6/1/17 12,766,680
B1 B 2,000 Riverdale Village,
Illinois, IDA, ACME
Metals, Inc. Project
(AMT), 7.95%, 4/1/25 2,017,220
B1 B 2,585 Riverdale Village,
Illinois, IDA, ACME
Metals, Inc. Project
(AMT),7.90%, 4/1/24 2,599,708
NR NR 2,605 Savannah, Georgia, IDR,
Intercat - Savannah,
Inc. (AMT), 9.75%, 7/1/10 2,782,244
NR NR 4,000 Savannah, Georgia, IDR,
Intercat - Savannah,
Inc. (AMT), 9%, 1/1/15 4,234,240
--------------
$ 189,641,603
--------------
INSURED GENERAL
OBLIGATIONS - 1.1%
Aaa AAA $ 10,000 California General
Obligation, (FSA),
4.75%, 9/1/18 $ 8,678,300
Aaa AAA 19,500 California General
Obligation, (FGIC),
4.75%, 9/1/23 16,691,025
--------------
$ 25,369,325
--------------
INSURED HOSPITALS - 0.9%
Aaa AAA $ 10,000 Louisville, Kentucky,
Alliant Health System,
Inc., (MBIA), Variable
Rate, 10/1/14 (1) $ 11,250,000
Aaa AAA 7,000 Montgomery County,
Pennsylvania, Abington
Memorial Hospital,
(AMBAC), Variable Rate,
6/1/11 (1) 7,854,770
--------------
$ 19,104,770
--------------
INSURED HOUSING - 0.4%
Aaa AAA $ 7,525 SCA Multifamily Mortgage,
IDB, Hamilton County,
Tennessee (AMT), (FSA),
7.35%, 1/1/30 $ 8,101,415
--------------
INSURED INDUSTRIAL
DEVELOPMENT REVENUE - 0.5%
Aaa AAA $ 11,950 Chicago, Illinois, The
Peoples Gas Light and
Coke Company (AMT),
(AMBAC), Residual
Interest Bonds,
Variable Rate, 12/1/23 (1) $ 11,083,625
--------------
INSURED SPECIAL TAX
REVENUE - 5.7%
Aaa AAA $ 20,000 Los Angeles County,
California,
Metropolitan
Transportation,
(AMBAC), 4.75%, 7/1/18 $ 17,388,000
Aaa AAA 92,995 Metropolitan Pier and
Exposition Authority,
Illinois, McCormick
Place Expansion
Project, (MBIA), 0%, 6/15/28 13,848,815
Aaa AAA 92,995 Metropolitan Pier and
Exposition Authority,
Illinois, McCormick
Place Expansion
Project, (FGIC), 0%, 6/15/29 13,041,618
Aaa AAA 9,800 Metropolitan Pier and
Exposition Authority,
Illinois, McCormick
Place Expansion
Project, Residual
Interest Bonds, (MBIA),
Variable Rate,
6/15/27 (1) 9,873,500
Aaa AAA 3,415 New Orleans Regional
Transit Authority,
Louisiana, Sales Tax,
(FGIC), 0%, 12/1/12 1,352,716
Aaa AAA 10,935 New Orleans Regional
Transit Authority,
Louisiana, Sales Tax,
(FGIC), 0%, 12/1/15 3,547,205
Aaa AAA 10,000 New Orleans Regional
Transit Authority,
Louisiana, Sales Tax,
(FGIC), 0%, 12/1/21 2,208,700
Aaa AAA 10,655 Rancho Mirage,
California, Water
District Financing,
(AMBAC), 4.75%, 8/15/21 9,196,863
Aaa AAA 13,350 Rancho Mirage,
California, Whitewater
Redevelopment Project,
(MBIA), 5%, 4/1/24 12,068,534
Aaa AAA 40,000 South Orange, California,
Public Financing,
Foothill Area, (FGIC),
5.5%, 8/15/15 37,842,400
Aaa AAA 7,000 Utah Municipal Finance
Corporation, Local
Government Revenue,
(FSA), 0%, 3/1/10 3,266,970
Aaa AAA 6,000 Utah Municipal Finance
Corporation, Local
Government Revenue,
(FSA), 0%, 3/1/11 2,627,220
--------------
$ 126,262,541
--------------
INSURED TRANSPORTATION - 2.0%
Aaa AAA $ 14,400 Metropolitan Washington
Airports Authority,
Residual Interest
Bonds, (MBIA), Variable
Rate, 10/1/21 (1) $ 14,022,000
Aaa AAA 18,200 Mobile, Alabama, Airport
Authority, (MBIA),
6.375%, 10/1/14 19,312,202
Aaa AAA 10,000 Triborough Bridge and
Tunnel Authority,
(MBIA), Variable Rate,
1/1/19 (1) 10,142,500
--------------
$ 43,476,702
--------------
INSURED UTILITY REVENUE
BONDS - 5.5%
Aaa AAA $ 10,000 Intermountain Power
Agency, Utah, (MBIA),
6%, 7/1/16 $ 10,240,500
Aaa AAA 32,000 Intermountain Power
Agency, Utah, (MBIA),
5.75%, 7/1/19 (2) 30,610,240
Aaa AAA 16,500 Sacramento, California,
Municipal Utility
District, (MBIA),
Variable Rate, 11/15/15 (1) 15,345,000
Aaa AAA 21,000 Sacramento, California,
Municipal Utility
District, (MBIA),
4.75%, 9/1/21 18,074,910
Aaa AAA 7,500 South Carolina Public
Services, Forwards,
Series 96A, (MBIA),
5.75%, 1/1/22 7,459,650
Aaa AAA 15,350 South Carolina Public
Services, Residual
Interest Bonds, (FGIC),
Variable Rate, 1/1/25 (1) 11,704,375
Aaa AAA 29,450 Washington Public Power
Supply System, Nuclear
Project No. 2, (MBIA),
4.8%, 7/1/04 28,627,167
--------------
$ 122,061,842
--------------
INSURED WATER & SEWER - 1.2%
Aaa AAA $ 10,000 Detroit, Michigan, Sewer
Revenue, (FGIC),
Variable Rate, 7/1/23 (1) $ 9,225,000
Aaa AAA 7,150 Harrisburg, Pennsylvania,
Water Revenue Bonds,
Residual Interest
Bonds, (FGIC), Variable
Rate, 8/11/16 (1) 6,104,313
Aaa AAA 10,000 New York City Municipal
Water Finance Authority,
(FSA), Variable Rate,
6/15/21 (1) 10,387,500
--------------
$ 25,716,813
--------------
LEASE/CERTIFICATE OF
PARTICIPATION - 1.1%
A A $ 16,500 Indiana Transportation
Finance, Airport
Facilities, 6.25%, 11/1/16 $ 16,707,405
NR A- 3,500 Plymouth County,
Massachusetts, COP,
Plymouth County
Correctional Facility,
7%, 4/1/22 3,836,245
NR NR 2,500 St. Louis, Missouri,
Convention and Sports
Facility, 7.9%, 8/15/21 2,749,100
--------------
$ 23,292,750
--------------
LIFE CARE - 6.2%
NR NR $ 8,616 Albuquerque, New Mexico,
First Mortgage IDR, La
Vida Llena Retirement
Center, 8.625%, 2/1/20 $ 9,151,829
NR NR 7,000 Albuquerque, New Mexico,
First Mortgage IDR, La
Vida Llena
Retirement Center,
8.85%, 2/1/23 7,491,540
NR NR 5,744 Albuquerque, New Mexico,
First Mortgage IDR, La
Vida Llena
Retirement Center
2.25%, 2/1/23 1,976,912
NR NR 10,000 Atlantic Beach, Florida,
Fixed Rate Improvement,
Fleet Landing Project,
8%, 10/1/24 10,362,200
NR NR 4,215 Florence, Kentucky,
Housing Facilities,
Bluegrass RHF Housing,
Inc., 9.5%, 7/1/17 4,288,215
NR NR 6,595 Fulton County Residential
Care Facilities for the
Elderly Authority,
Georgia, Lenbrook
Square Foundation,
Inc., 9.75%, 1/1/17 6,777,286
NR NR 4,300 Kansas City, Missouri,
IDA, Kingswood United
Methodist Manor,
9%, 11/15/13 4,656,857
NR NR 2,100 Loudon County, Virginia,
IDA, Residential Care,
Falcons Landing,
9.25%, 11/1/04 2,258,109
NR NR 20,400 Loudon County, Virginia,
IDA, Residential Care,
Falcons Landing,
8.75%, 11/1/24 20,700,492
NR NR 1,950 New Hampshire Higher
Educational & Health
Facilities, Riverwoods
at Exeter, 8%, 3/1/01 1,998,302
NR NR 10,000 New Hampshire Higher
Educational & Health
Facilities, Riverwoods
at Exeter, 9%, 3/1/23 10,842,300
NR NR 3,500 New Jersey EDA, Cadbury
Corporation-1991
Project, 7.5%, 7/1/21 3,511,585
NR NR 20,000 New Jersey EDA, Keswick
Pines Project, 8.75%,
1/1/24 21,045,400
NR NR 5,800 Ridgeland, Mississippi,
Urban Renewal, The
Orchard Project Series
1993A, 7.75%, 12/1/15 5,868,034
NR NR 13,955 St. Tammany Public
Finance, Christwood
Project, 9%, 11/15/25 14,800,393
NR NR 7,500 Vermont IDA, Wake Robin
Corporation, 8.75%, 4/1/23 8,125,800
NR NR 4,500 Vermont IDA, Wake Robin
Corporation, 8.75%, 3/1/23 4,812,885
--------------
$ 138,668,139
--------------
MISCELLANEOUS - 2.5%
NR NR $ 6,530 American Samoa Economic
Development, Executive
Office Building,
10.125%, 9/1/08 $ 7,171,638
NR NR 1,465 Atlanta, Georgia,
Downtown Development
Authority, Central
Atlanta Hospitality
Childcare, Inc., 8%, 1/1/26 1,401,214
NR A- 6,500 Los Angeles Regional
Airports Improvement
Corporation, LAXFuel
(AMT), 6.5%, 1/1/32 6,570,395
NR NR 4,710 Mille Lacs Capital
Improvements, Mille
Lacs Band of Chippewa
Indians, 9.25%, 11/1/12 5,278,544
NR NR 22,500 New Jersey, Sports &
Exhibition Authority,
Monmouth Park Project,
8%, 1/1/25 24,453,000
NR NR 10,200 Orange County Community
Activity Center Revenue
Bonds, 8%, 3/1/24 10,459,080
--------------
$ 55,333,871
--------------
NURSING HOME - 7.7%
NR NR $ 13,550 Bell County, Texas,
Riverside Healthcare,
Inc.- Normandy Terrace,
9%, 4/1/23 $ 14,739,961
NR NR 4,910 Collier County, Florida,
IDA, Retirement Rental,
Beverly Enterprises -
Florida, Inc., 10.75%,
3/1/03 5,560,722
NR NR 5,000 Delaware County,
Pensylvania, Mainline -
Haverford Nursing and
Rehabilitation Centers,
9%, 8/1/22 5,496,100
NR NR 5,460 Hillsborough County,
Florida, IDA, Center
for Independent Living,
Tampa Projects,
11%, 3/1/19 (5) 4,914,000
NR NR 4,650 Hillsborough County,
Florida, IDA, Center
for Independent Living,
Tampa Projects, 10.25%,
3/1/09 (5) 4,185,000
Baa1 NR 10,000 Indianapolis, Indiana,
National Benevolent
Association - Robin Run
Village, 7.625%, 10/1/22 10,741,200
NR NR 3,665 Lackawanna County,
Pennsylvania, IDA,
Edella Street
Associates,
8.875%, 9/1/14 3,962,708
NR NR 3,270 Luzerne County,
Pennsylvania, IDA,
River Street
Associates,
8.75%, 6/15/07 3,512,405
NR NR 6,250 Massachusetts HEFA,
Fairview Extended Care
Services, Inc.,
10.125%, 1/1/11 7,073,000
NR NR 13,250 Massachusetts IFA, AGE
Institute of
Massachusetts Project,
8.05%, 11/1/25 13,290,015
NR NR 11,790 Mississippi Finance
Corp., Magnolia
Healthcare, 7.99%, 7/1/25 11,656,773
NR NR 6,750 Missouri HEFA, Bethesda
Health Group of St.
Louis, Inc.,
6.625%, 8/15/05 6,702,480
NR NR 14,000 Missouri HEFA, Bethesda
Health Group of St.
Louis, Inc., 7.5%, 8/15/12 14,261,520
NR NR 12,500 Montgomery County,
Pennsylvania, IDA,
Advancement of Geriatric
Health Care Institute,
8.375%, 7/1/23 13,077,125
NR NR 5,000 New Jersey EDA, Claremont
Health System, Inc.,
9.1%, 9/1/22 5,297,100
NR NR 5,915 New Jersey EDA, Victoria
Health Corporation,
7.75%, 1/1/24 6,002,838
NR NR 3,110 Okaloosa County, Florida,
Beverly Enterprises-
Florida, Inc.,
10.75%, 10/1/03 3,307,889
NR NR 3,500 Philadelphia, Pennsylvania,
The Philadelphia Protestant
Home Project, 8.625%, 7/1/21 3,642,940
Baa1 BBB 4,630 Racine County, Wisconsin,
Health Center, 8.125%, 8/1/21 4,764,409
NR NR 5,000 Rhode Island Health and
Education Building,
Steere House,
8.25%, 7/1/15 5,271,600
NR NR 5,000 Sussex County, Delaware,
Delaware Health
Corporation, 7.6%, 1/1/24 4,967,250
NR NR 5,000 Sussex County, Delaware,
Delaware Health
Corporation, 7.5%, 1/1/14 4,972,400
NR NR 4,500 Tarrant County Health
Facilities, Texas, 3927
Foundation, Inc.,
10.25%, 9/1/19 4,681,575
NR NR 6,000 Westmoreland County,
Pennsylvania, IDA,
Highland Health System,
Inc., 9.25%, 6/1/22 6,364,920
NR NR 3,555 Wood County, West
Virginia, West Virginia
Rehabilitation Services,
Inc. (AMT), 9.5%, 12/1/15 3,678,821
--------------
$ 172,124,751
--------------
SOLID WASTE - 2.1%
Baa2 BBB+ $ 6,050 Carbon County, Utah,
Laidlaw (AMT), 7.5%, 2/1/10 $ 6,650,886
Ba NR 2,500 Mercer County, New
Jersey, Improvement
Authority (AMT), 0%, 4/1/14 672,275
Ba NR 5,000 Mercer County, New
Jersey, Improvement
Authority (AMT), 0%, 4/1/15 1,247,300
Ba NR 10,690 Mercer County, New
Jersey, Improvement
Authority (AMT), 0%, 4/1/16 2,473,880
NR NR 35,000 Robbins, Cook County,
Illinois, Robbins
Resource Recovery
Partners, L.P., 9.25%,
10/15/16 35,525,000
--------------
$ 46,569,341
--------------
SPECIAL ASSESSMENT - 0.9%
A BBB $ 8,000 Hoffman Estates,
Illinois, Economic
Development Project
Area, 0%, 5/15/05 $ 4,914,400
A BBB 11,000 Hoffman Estates,
Illinois, Economic
Development Project
Area, 0%, 5/15/06 6,326,760
A BBB 17,460 Hoffman Estates,
Illinois, Economic
Development Project
Area, 0%, 5/15/07 9,384,051
--------------
$ 20,625,211
--------------
TAX ALLOCATION - 0.2%
Baa BBB $ 3,815 Inglewood, California
Public Financing
Authority, In-Town,
Manchester-Prairie and
North Inglewood
Industrial Park
Redevelopment Projects-
Redevelopment Loans,
7%, 5/1/22 $ 4,043,327
--------------
TRANSPORTATION - 15.6%
Baa2 BB+ $ 28,000 Chicago, Illinois, O'Hare
International, American
Airlines (AMT),
7.875%, 11/1/25 $ 30,143,120
Baa2 BB+ 20,275 Chicago, Illinois, O'Hare
International, American
Airlines, 8.2%, 12/1/24 23,563,402
Baa2 BB+ 41,000 Dallas-Fort Worth, Texas,
International Airport
Facility, American
Airlines (AMT), 7.25%,
11/1/30 43,667,460
Baa BBB 8,000 Denver, Colorado, Airport
System Revenue (AMT),
7%, 11/15/25 8,293,840
Baa BBB 7,800 Denver, Colorado, Airport
System Revenue (AMT),
8%, 11/15/17 8,247,096
Baa BBB 5,725 Denver, Colorado, Airport
System Revenue (AMT),
7.5%, 11/15/23 6,263,265
Baa3 BB 95,500 Denver, Colorado, United
Airlines (AMT), 6.875%,
10/1/32 (3) 97,883,680
A A 5,000 Hawaii Airport System
(AMT), 7%, 7/1/18 5,350,800
NR NR 2,100 Los Angeles International
Airport, Continental
Airlines (AMT),
9%, 8/1/08 2,257,059
NR NR 4,425 Los Angeles International
Airport, Continental
Airlines (AMT),
9%, 8/1/17 4,671,650
NR BBB 2,150 New York State Thruway
Authority, Cross-
Westchester Expressway,
0%, 1/1/03 1,509,042
NR BBB 2,940 New York State Thruway
Authority, Cross-
Westchester Expressway,
0%, 1/1/04 1,953,013
NR BBB 2,905 New York State Thruway
Authority, Cross-
Westchester Expressway,
0%, 1/1/06 1,693,208
A1 AA 15,000 Port Authority of New
York and New Jersey
(AMT), Variable Rate,
1/15/27 (1) 15,519,600
A1 AA 5,000 Port of Seattle,
Washington (AMT), 6%,
12/1/14 5,000,400
NR NR 35,100 San Joaquin Hills,
California, Toll Roads,
0%, 1/1/17 9,684,792
NR NR 54,400 San Joaquin Hills,
California, Toll Roads,
0%, 1/1/18 14,085,247
NR NR 20,000 San Joaquin Hills,
California, Toll Roads,
0%, 1/1/19 4,838,600
NR NR 46,210 San Joaquin Hills,
California, Toll Roads,
0%, 1/1/20 10,465,178
NR NR 72,685 San Joaquin Hills,
California, Toll Roads,
0%, 1/1/21 15,442,655
NR NR 29,225 San Joaquin Hills,
California, Toll Roads,
0%, 1/1/22 5,824,835
NR NR 45,045 San Joaquin Hills,
California, Toll Roads,
0%, 1/1/23 8,358,550
NR NR 108,260 San Joaquin Hills,
California, Toll Roads,
0%, 1/1/24 18,840,488
NR NR 15,000 San Joaquin Hills,
California, Toll Roads,
0%, 1/1/25 2,370,300
--------------
$ 345,927,280
--------------
UTILITY REVENUE BONDS - 1.3%
Baa2 BBB+ $ 10,000 Brazos River Authority,
Texas, PCR, Texas
Utilities Electric
Company, 9.25%, 3/1/18 $ 10,763,300
Aa A+ 5,000 Intermountain Power
Agency, Utah, Variable
Rate, 7/1/11 (1) 4,656,250
Aa AA- 10,000 Los Angeles, California,
Department of Water &
Power, 5%, 10/15/33 8,644,600
NR NR 5,000 West Feliciana,
Louisiana, PCR,Gulf
States Utilities
Company Project (AMT),
9%, 5/1/15 5,585,850
--------------
$ 29,650,000
--------------
WATER & SEWER - 0.5%
A A- $ 10,000 New York City Municipal
Water Finance
Authority, 6.25%, 6/15/21 $ 10,159,400
--------------
TOTAL TAX-EXEMPT
INVESTMENTS
(identified cost,
$2,052,805,053) $2,215,261,447
--------------
- ------------------------------------------------------------------------------
TAXABLE INVESTMENTS
- ------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------
PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
- ------------------------------------------------------------------------------
TAXABLE INVESTMENT - 0.04%
NR NR $ 800 Ridgeland, Mississippi,
Urban Renewal, The
Orchard Limited Project,
Series 1993B, 9%, 12/1/00
(identified cost, $800,000) $ 806,400
--------------
TOTAL INVESTMENTS
(identified cost,
$2,053,605,053) $2,216,067,847
==============
(1) The above designated security has been issued as an inverse floater bond.
(2) When-issued security.
(3) Security has been segregated to cover margin requirements on open
financial futures contracts.
(4) Non-income producing security.
(5) The Portfolio is accruing only partial interest on this security.
At September 30, 1996, the concentration of the Portfolio's investments in the
various states, determined as a percentage of total investments, is as
follows:
California -- 12.7%
Colorado -- 11.3%
Illinois -- 10.5%
Others, representing less than 10%
individually -- 66.5%
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 September 30, 1996, 17.3% of the securities in the portfolio
of investments are backed by bond insurance of various financial guaranty
assurance agencies. The aggregate percentage by financial institution ranges
from 1.5% to 9.1% of total investments.
Note: The classification of securities by industry sector set forth above is
unaudited.
See notes to financial statements
<PAGE>
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
- ------------------------------------------------------------------------------
September 30, 1996
- ------------------------------------------------------------------------------
ASSETS:
Investments, at value (Note 1A) (identified cost,
$2,053,605,053) $2,216,067,847
Cash 169
Receivable for daily variation margin on open financial
futures contracts (Note 1E) 562,500
Receivable for investments sold 195,000
Interest receivable 40,701,405
Deferred organization expenses (Note 1D) 27,075
--------------
Total assets $2,257,553,996
LIABILITIES:
Payable for investments purchased $ 5,471,938
Payable for when issued securities (Note 1G) 30,400,000
Demand note payable 9,087,000
Payable to affiliate --
Trustees' fees 7,383
Accrued expenses 109,673
-----------
Total liabilities 45,075,994
--------------
NET ASSETS applicable to investors' interest in Portfolio $2,212,478,002
==============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $2,055,738,521
Unrealized appreciation of investments and
financial futures contracts (computed on
the basis of identified cost) 156,739,481
--------------
Total $2,212,478,002
==============
See notes to financial statements
<PAGE>
STATEMENT OF OPERATIONS
- ------------------------------------------------------------------------------
For the Year Ended September 30, 1996
- ------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME (Note 1B):
Interest income $161,799,128
Expenses --
Investment adviser fee (Note 2) $ 9,942,568
Compensation of Trustees not members of the Investment
Adviser's organization (Note 2) 29,186
Custodian fee (Note 1J) 394,918
Interest expense (Note 5) 618,203
Legal and accounting services 124,079
Amortization of organization expenses (Note 1D) 19,566
Miscellaneous 73,434
------------
Total expenses $ 11,201,954
Deduct reduction of custodian fee (Note 1J) 232,447
------------
Net expenses 10,969,507
------------
Net investment income $150,829,621
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (1,962,977)
Financial futures transactions 3,270,695
------------
Net realized gain on investments $ 1,307,718
Change in unrealized appreciation (depreciation) of --
Investments $ 27,088,213
Financial futures contracts (5,723,313)
------------
Net unrealized appreciation of investments 21,364,900
------------
Net realized and unrealized gain on investments $ 22,672,618
------------
Net increase in net assets from operations $173,502,239
============
</TABLE>
See notes to financial statements
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30,
-------------------------------
1996 1995
-------------- --------------
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 150,829,621 $ 155,285,975
Net realized gain (loss) on investment
transactions 1,307,718 (86,966,435)
Change in unrealized appreciation of
investments 21,364,900 177,320,778
-------------- --------------
Net increase in net assets from
operations $ 173,502,239 $ 245,640,318
-------------- --------------
Capital transactions --
Contributions $ 517,368,709 $ 443,671,368
Withdrawals (739,039,309) (639,601,609)
-------------- --------------
Decrease in net assets resulting from
capital transactions $ (221,670,600) $ (195,930,241)
-------------- --------------
Net increase (decrease) in net
assets $ (48,168,361) $ 49,710,077
NET ASSETS:
At beginning of year 2,260,646,363 2,210,936,286
-------------- --------------
At end of year $2,212,478,002 $2,260,646,363
============== ==============
- ------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED SEPTEMBER 30,
--------------------------------------------------------
1996 1995 1994 1993*
----------- --------- --------- ---------
<S> <C> <C> <C> <C>
RATIOS (as a percentage of average daily net assets):
Expenses (1) 0.49% 0.50% 0.50% 0.47%+
Expenses after custodian fee reduction 0.48% 0.49% -- --
Net investment income 6.65% 7.00% 6.55% 6.58%+
PORTFOLIO TURNOVER 19% 54% 40% 13%
NET ASSETS, at end of period (000 omitted) $2,212,478 $2,260,646 $2,210,936 $2,083,322
</TABLE>
+ Computed on an annualized basis.
* For the period from the start of business, February 1, 1993 to September
30, 1993.
(1) The expense ratios for the years ended September 30, 1996 and 1995 have
been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require the Portfolio to increase its expense ratio by
the effect of any expense offset arrangements with its service providers.
The expense ratios for each of the periods ended on or before September 30,
1994 have not been adjusted to reflect this change.
See notes to financial statements
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(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 VALUATIONS -- Municipal bonds are normally valued on the basis
of valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the mean
between the latest bid and asked prices. Futures contracts listed on commodity
exchanges are valued at closing settlement prices. Short-term obligations,
maturing in sixty days or less, are valued at amortized cost, which
approximates value. Investments for which valuations or market quotations are
unavailable are valued at fair value using methods determined in good faith by
or at the direction of the Trustees.
B. INCOME -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for federal
income tax purposes.
C. INCOME TAXES -- The 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 payment for the securities
purchased. Securities purchased on a when-issued or delayed delivery basis are
marked-to-market daily and begin accruing interest on settlement date.
H. USE OF ESTIMATES -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts
of revenue and expense during the reporting period. Actual results could
differ from those estimates.
I. OTHER -- Investment transactions are accounted for on a trade date basis.
J. EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolio. Prior to November 10, 1995, IBT was an affiliate
of EVM. Pursuant to the custodian agreement, IBT receives a fee reduced by
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 fee are reflected as a reduction of operating
expense on the statements of operations.
- ------------------------------------------------------------------------------
(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 year ended September 30, 1996, the fee was equivalent to 0.44% of the
Portfolio's average net assets and amounted to $9,942,568. 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 year ended September 30, 1996, 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 $419,950,345 and $533,404,649, respectively,
for the year ended September 30, 1996.
- ------------------------------------------------------------------------------
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation/depreciation in value of the investments
owned at September 30, 1996, as computed on a federal income tax basis, are as
follows:
Aggregate cost $2,053,605,053
==============
Gross unrealized appreciation $ 177,997,440
Gross unrealized depreciation 15,534,646
--------------
Net unrealized appreciation $ 162,462,794
==============
- ------------------------------------------------------------------------------
(5) LINE OF CREDIT
The Portfolio participates with other portfolios and funds managed by BMR and
EVM in a $120 million unsecured line of credit agreement with a bank. The line
of credit consists of a $20 million committed facility and a $100 million
discretionary facility. Borrowings will be made by the Portfolio 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 an amount above either the bank's adjusted certificate of
deposit rate, a variable adjusted certificate of deposit rate or a federal
funds effective rate. In addition, a fee computed at an annual rate of 1/4 of
1% on the $20 million committed facility and on the daily unused portion of
the $100 million discretionary facility is allocated among the participating
portfolios and funds at the end of each quarter. For the year ended September
30, 1996, the average daily loan balance was $9,009,481 and the average
interest rate was 6.86%. The maximum borrowings at any month end during the
year ended September 30, 1996 was $28,866,000. At September 30, 1996, the
Portfolio had a balance outstanding pursuant to this line of credit of
$9,087,000.
- ------------------------------------------------------------------------------
(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 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.
A summary of obligations under these financial instruments at September 30,
1996, is as follows:
FUTURES CONTRACTS NET UNREALIZED
EXPIRATION DATE CONTRACTS POSITION DEPRECIATION
--------------- --------- -------- --------------
12/96 2,000 U.S. Treasury Bonds Short $5,723,313
At September 30, 1996, the Portfolio had sufficient cash and/or securities
to cover margin requirements on open futures contracts.
<PAGE>
INDEPENDENT AUDITORS' REPORT
- --------------------------------------------------------------------------------
TO THE TRUSTEES AND INVESTORS OF
NATIONAL MUNICIPALS PORTFOLIO:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of National Municipals Portfolio as of
September 30, 1996, the related statement of operations for the year then
ended, the statements of changes in net assets for the years ended September
30, 1996 and 1995 and the supplementary data for the years ended September 30,
1996, 1995 and 1994, and for the period from the start of business, February
1, 1993, to September 30, 1993. These financial statements and supplementary
data are the responsibility of the Trust's management. Our responsibility is
to express an opinion on these financial statements and supplementary data
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
supplementary data are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned at September 30, 1996 by correspondence with the custodian and brokers;
where replies were not received from brokers, we performed other auditing
procedures. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and supplementary data present
fairly, in all material respects, the financial position of National
Municipals Portfolio at September 30, 1996, the results of its operations, the
changes in its net assets, and its supplementary data for the respective
stated periods in conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
BOSTON, MASSACHUSETTS
NOVEMBER 1, 1996
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INVESTMENT MANAGEMENT FOR PORTFOLIOS
EV Marathon, Classic and Traditional National Municipal Funds
24 Federal Street
Boston, MA 02110
OFFICERS
THOMAS J. FETTER
President
JAMES B. HAWKES
Vice President, 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
Director, Fiduciary Company Incorporated
JACK L. TREYNOR
Investment Adviser and Consultant
<PAGE>
National Municipals Portfolio
24 Federal Street
Boston, MA 02110
Officers Independent Trustees
THOMAS J. FETTER DONALD R. DWIGHT
President President, Dwight Partners, Inc.
Chairman, Newspapers of
JAMES B. HAWKES New England, Inc.
Vice President, Trustee
SAMUEL L. HAYES, III
ROBERT B. MACINTOSH Jacob H. Schiff Professor of
Vice President Investment Banking, Harvard
University Graduate School of
THOMAS M. METZOLD Business Administration
Vice President and
Portfolio Manager NORTON H. REAMER
President and Director,
JAMES L. O'CONNOR United Asset Management
Treasurer Corporation
THOMAS OTIS JOHN L. THORNDIKE
Secretary Director, Fiduciary Company
Incorporated
JACK L. TREYNOR
Investment Adviser and Consultant
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