<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 100.0%
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
Assisted Living -- 4.8%
-----------------------------------------------------------------------------------------
NR NR $ 6,035 Arizona Health Facilities Authority,
(Care Institute, Inc. - Mesa), 7.625%,
1/1/26 $ 6,258,114
NR NR 17,070 Bell County, TX, Health Facilities,
(Care Institute, Inc., Texas), 9.00%,
11/1/24 19,364,720
NR NR 5,000 Chester, PA, IDA, (Senior Life Choice of
Paoli, L.P.), (AMT), 8.05%, 1/1/24 5,536,800
NR NR 3,060 Chester, PA, IDA, (Senior Life-Choice of
Kimberton), (AMT), 8.50%, 9/1/25 3,468,755
NR NR 5,000 Delaware, PA, IDA, (Glen Riddle), (AMT),
8.625%, 9/1/25 5,700,450
NR NR 10,000 Glen Cove, NY, IDA, (Regency at Glen
Cove), 9.50%, 7/1/12 10,677,500
NR NR 15,000 Illinois Development Finance Authority,
(Care Institute, Inc. - Illinois),
7.80%, 6/1/25 16,339,200
NR NR 4,605 New Jersey EDA, (Chelsea at East
Brunswick), (AMT), 8.25%, 10/1/20 5,075,217
NR NR 10,000 New Jersey EDA, (Forsgate), (AMT),
8.625%, 6/1/25 11,459,500
NR NR 4,935 North Syracuse Village Housing
Authority, NY, (AJM Senior Housing,
Inc., Janus Park), 8.00%, 6/1/24 5,110,242
NR NR 7,915 Roseville, MN, Elder Care Facility,
(Care Institute, Inc. - Roseville),
7.75%, 11/1/23 8,100,448
NR NR 12,430 St. Paul, MN, Housing and Redevelopment,
(Care Institute, Inc.-Highland), 8.75%,
11/1/24 14,229,615
-----------------------------------------------------------------------------------------
$ 111,320,561
-----------------------------------------------------------------------------------------
Cogeneration -- 4.5%
-----------------------------------------------------------------------------------------
NR NR $ 22,150 Maryland Energy Cogeneration, (AES
Warrior Run), (AMT), 7.40%, 9/1/19 $ 23,654,207
NR BB+ 30,775 New Jersey EDA, (Vineland Cogeneration)
(AMT), 7.875%, 6/1/19 33,228,690
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
Cogeneration (continued)
-----------------------------------------------------------------------------------------
NR NR $ 12,950 Palm Beach County, FL, (Osceola Power),
(AMT), 6.95%, 1/1/22(1) $ 9,842,000
NR BBB- 6,100 Pennsylvania EDA, (Northampton
Generating), (AMT), 6.50%, 1/1/13 6,422,568
NR BBB- 18,450 Pennsylvania EDA, (Northampton
Generating), (AMT), 6.60%, 1/1/19 19,542,240
NR NR 7,000 Pennsylvania EDA, (Northampton
Generating), Junior Liens, (AMT),
6.875%, 1/1/11 7,333,830
NR NR 5,000 Pennsylvania EDA, (Northampton
Generating), Junior Liens, (AMT), 6.95%,
1/1/21 5,244,900
-----------------------------------------------------------------------------------------
$ 105,268,435
-----------------------------------------------------------------------------------------
Education -- 1.3%
-----------------------------------------------------------------------------------------
Aaa AAA $ 12,390 California Educational Facilities
Authority, (Stanford University), 5.35%,
6/1/27 $ 12,780,657
NR NR 1,250 Massachusetts HEFA, (Nichols College),
7.00%, 10/1/20 1,368,088
Ba1 NR 4,235 New Hampshire HEFA, (Franklin Pierce Law
Center), 7.50%, 7/1/22 4,765,646
A3 A- 9,000 New York State Dormitory Authority,
(State University Educational
Facilities), 7.50%, 5/15/11 10,975,590
-----------------------------------------------------------------------------------------
$ 29,889,981
-----------------------------------------------------------------------------------------
Electric Utilities -- 2.9%
-----------------------------------------------------------------------------------------
B2 B $ 14,000 Apache County, AZ, IDA, (Tuscon Electric
Power Co.), 5.85%, 3/1/28 $ 13,902,560
Baa1 BBB 10,000 Brazos River Authority, TX, Pollution
Control Revenue, (AMT), 5.55%, 6/1/30 9,924,400
Ba3 B+ 10,000 Connecticut State Development Authority,
(Connecticut Light and Power), 5.85%,
9/1/28 10,125,800
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
10
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Electric Utilities (continued)
-----------------------------------------------------------------------------------------
Ba3 B+ $ 13,000 Connecticut State Development Authority,
(Western Massachusetts Electric Co.),
5.85%, 9/1/28 $ 13,092,950
A1 A+ 9,500 Intermountain Power Agency, UT, 5.00%,
7/1/23 9,144,130
NR NR 11,000 Long Island, NY, Power Authority,
(RITES), Variable Rate, 12/1/29(2) 11,602,470
-----------------------------------------------------------------------------------------
$ 67,792,310
-----------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 21.8%
-----------------------------------------------------------------------------------------
NR AAA $ 6,317 Albuquerque, NM, Retirement Facilities,
(La Vida Liena Retirement Center),
Prerefunded to 2/1/03, 8.625%, 2/1/20 $ 7,498,248
NR AAA 6,800 Albuquerque, NM, Retirement Facilities,
(La Vida Liena Retirement Center),
Prerefunded to 2/1/03, 8.85%, 2/1/23 8,024,612
Aaa AAA 42,500 Bakersfield, CA, (Bakersfield Assisted
Living Center), Escrowed to Maturity,
0.00%, 4/15/21 13,119,750
NR NR 2,200 Bexar County, TX, Health Facilities,
(St. Luke's Lutheran), Escrowed to
Maturity, 7.00%, 5/1/21 2,764,938
NR AAA 171,955 Colorado Health Facilities Authority,
(Liberty Heights), Escrowed to Maturity,
0.00%, 7/15/24 44,197,593
Aaa NR 225,500 Dawson Ridge, CO, Metropolitan District
#1, Escrowed to Maturity, 0.00%, 10/1/22 58,900,599
Aaa NR 30,000 Dawson Ridge, CO, Metropolitan District
#1, Escrowed to Maturity, 0.00%, 10/1/22 7,836,000
Aaa AAA 7,610 Detroit, MI, Sewer Disposal, (FGIC),
Prerefunded to 7/17/03, Variable
Rate, 7/1/23(2) 8,865,650
NR NR 7,000 Florida State, (Mid-Bay Bridge
Authority), Escrowed to Maturity,
6.875%, 10/1/22 8,702,260
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
Escrowed / Prerefunded (continued)
-----------------------------------------------------------------------------------------
NR NR $ 4,310 Hazelton Luzerne, PA, (Saint Joseph
Medical Center), Prerefunded to 7/1/03,
8.375%, 7/1/12 $ 5,034,640
NR AAA 101,555 Illinois Development Finance Authority,
(Regency Park), Escrowed to Maturity,
0.00%, 7/15/23 25,357,268
NR AAA 60,360 Illinois Development Finance Authority,
(Regency Park), Escrowed to Maturity,
0.00%, 7/15/25 13,443,983
NR NR 4,650 Illinois HEFA, (Chicago Osteopathic
Health Systems), Escrowed to Maturity,
7.125%, 5/15/11 5,482,676
NR NR 4,500 Illinois HEFA, (Chicago Osteopathic
Health Systems), Prerefunded to
11/15/19, 7.25%, 5/15/22 5,677,740
NR AAA 4,790 Kansas City, MO, IDA, (Kingswood United
Methodist Manor), Prerefunded to
11/15/03, 9.00%, 11/15/13 5,846,722
Aaa AAA 20,400 Loudoun County, VA, IDA, (Falcons
Landing), Prerefunded to 11/1/04, 8.75%,
11/1/24 25,668,300
NR AAA 11,890 Louisiana Public Facilities Authority,
(Southern Baptist Hospitals, Inc.),
Escrowed to Maturity, 8.00%, 5/15/12 14,548,366
Aaa AAA 18,600 Louisville, KY, Hospital Revenue,
(MBIA), Prerefunded to 10/30/01,
Variable
Rate, 10/1/14(2) 20,191,974
Baa1 BBB- 6,500 Maricopa County, AZ, (Sun Health Corp.),
Prerefunded to 4/1/02, 8.125%, 4/1/12 7,391,020
NR NR 5,675 Maricopa County, AZ, IDA, (Place Five
and The Greenery), Escrowed to Maturity,
6.625%, 1/1/27 6,591,910
NR NR 1,000 Maricopa County, AZ, IDA, Multifamily,
Escrowed to Maturity, 6.45%, 1/1/17 1,135,150
Aaa AAA 41,015 Massachusetts Turnpike Authority,
(FGIC), Escrowed to Maturity, 5.125%,
1/1/23 41,679,852
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
11
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Escrowed / Prerefunded (continued)
-----------------------------------------------------------------------------------------
NR NR $ 4,300 Mille Lacs Capital Improvements, MN,
(Mille Lacs Band of Chippewa Indians),
Prerefunded to 11/1/02, 9.25%, 11/1/12 $ 5,141,510
Baa3 NR 5,000 Mississippi Hospital Equipment and
Facilities Authority, (Magnolia
Hospital), Prerefunded to 10/01/01,
7.375%, 10/1/21 5,514,150
Aaa NR 100,000 Mississippi Housing Finance Corp.,
Single Family, (AMT), Escrowed to
Maturity, 0.00%, 6/1/15 45,075,999
Aaa AAA 10,000 New Hampshire HEFA, (Riverwoods at
Exeter), Prerefunded to 3/1/03, 9.00%,
3/1/23 12,241,800
NR NR 22,500 New Jersey Sports and Exposition
Authority, (Monmouth Park), Prerefunded
to 1/1/05, 8.00%, 1/1/25 27,263,475
Aaa NR 6,105 North Salt Lake Municipal Building
Authority, Davis County, UT, Prerefunded
to 12/01/02, 8.625%, 12/1/17 7,281,800
Aaa AAA 46,210 San Joaquin Hills Transportation
Corridor Agency, CA, Toll Road Bonds,
Escrowed to Maturity, 0.00%, 1/1/20 16,350,946
Aaa AAA 72,685 San Joaquin Hills Transportation
Corridor Agency, CA, Toll Road Bonds,
Escrowed to Maturity, 0.00%, 1/1/21 24,411,257
Aaa AAA 45,045 San Joaquin Hills Transportation
Corridor Agency, CA, Toll Road Bonds,
Escrowed to Maturity, 0.00%, 1/1/23 13,633,320
Aaa AAA 15,000 San Joaquin Hills Transportation
Corridor Agency, CA, Toll Road Bonds,
Escrowed to Maturity, 0.00%, 1/1/25 4,088,850
Baa2 BBB 5,435 South Dakota HEFA, (Prairie Lakes Health
Care), Prerefunded to 04/01/03, 7.25%,
4/1/22 6,184,487
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
Escrowed / Prerefunded (continued)
-----------------------------------------------------------------------------------------
Aaa AAA $ 1,600 Washington Public Power Supply System,
(Nuclear Project Number 2), (MBIA),
Escrowed to Maturity, 14.375%, 7/1/01 $ 1,805,104
-----------------------------------------------------------------------------------------
$ 506,951,949
-----------------------------------------------------------------------------------------
General Obligations -- 1.2%
-----------------------------------------------------------------------------------------
Aa2 AA+ $ 10,000 Florida Board of Education, 4.75%,
6/1/28 $ 9,434,900
Aaa AAA 15,000 North East Independent School District,
TX, 4.50%, 10/1/28 13,602,900
Aa1 AA+ 4,665 Washington State, 5.75%, 7/1/14 5,023,459
-----------------------------------------------------------------------------------------
$ 28,061,259
-----------------------------------------------------------------------------------------
Hospital -- 5.8%
-----------------------------------------------------------------------------------------
NR BBB $ 6,500 Arizona HFA, (Phoenix Memorial
Hospital), 8.20%, 6/1/21 $ 6,912,230
NR NR 2,360 Berlin, MD, (Atlantic General Hospital),
8.375%, 6/1/22 2,536,434
NR NR 10,180 Chaves County, NM, (Eastern New Mexico
Medical Center), 7.25%, 12/1/22 11,542,491
NR NR 11,000 Colorado Health Facilities Authority,
(Rocky Mountain Adventist), (RITES),
Variable Rate, 2/1/22(2) 11,763,070
Baa3 NR 4,000 Corinth and Alcorn County, MS, (Magnolia
Registered Health Center), 5.50%,
10/1/21 3,874,640
Baa3 NR 300 Corinth and Alcorn County, MS, (Magnolia
Registered Health Center), 5.50%,
10/1/21 290,598
Baa1 NR 4,000 Crossville, TN, HEFA, (Cumberland
Medical Center), 6.75%, 11/1/12 4,263,280
A3 BBB+ 6,000 District of Columbia, (Washington
Hospital Center Issue-Medlantic
Healthcare Group, Inc.), 7.125%, 8/15/19 6,709,860
NR A- 5,000 Dubuque, IA, (Finley Hospital), 6.875%,
1/1/12 5,365,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
12
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospital (continued)
-----------------------------------------------------------------------------------------
NR BB $ 4,000 Hawaii State Department of Budget and
Finance, (Wahiawa General Hospital),
7.50%, 7/1/12 $ 4,282,560
Baa1 NR 1,000 Illinois Health Facilities Authority,
(Holy Cross Hospital), 6.70%, 3/1/14 1,090,300
Baa1 NR 2,650 Illinois Health Facilities Authority,
(Holy Cross Hospital), 6.75%, 3/1/24 2,895,019
Baa2 NR 4,500 Indiana Health Facility Financing
Authority, (Memorial Hospital and Health
Care Center), 7.40%, 3/1/22 4,815,990
NR BBB 8,010 Louisiana Public Facilities Authority,
(General Health Systems), 6.80%, 11/1/16 8,783,045
NR AA+ 10,000 Maricopa County, AZ, IDA, Residual
Certs, Variable
Rate, 11/15/37(2)(3) 9,802,700
Baa NR 2,000 Marshall County, AL, (Guntersville-Arab
Medical Center), 7.00%, 10/1/09 2,135,400
Baa NR 2,000 Marshall County, AL, (Guntersville-Arab
Medical Center), 7.00%, 10/1/13 2,141,180
Baa2 BBB+ 2,000 Oklahoma Development Finance Authority,
(Hillcrest Health System), 5.625%,
8/15/29 1,991,760
Ca CCC 9,000 Philadelphia, PA, HEFA, (Graduate Health
System), 6.625%, 7/1/21(1) 3,420,000
Ca CCC 2,250 Philadelphia, PA, HEFA, (Graduate Health
System), 7.25%, 7/1/18(1) 855,000
Caa3 NR 3,075 Prince George's County, MD, (Greater
Southeast Healthcare System), 6.375%,
1/1/23 2,060,250
Baa3 BBB- 7,750 Rhode Island HEFA, (Saint Joseph Health
Services), 5.50%, 10/1/29 7,334,678
NR AA+ 22,500 Rochester, MN, Health Care Facilities
Revenue, (Mayo Clinic), 5.50%, 11/15/27 23,323,050
Aaa AAA 4,800 Winslow, AZ, IDA, (Winslow Memorial
Hospital), 9.50%, 6/1/22 5,738,832
-----------------------------------------------------------------------------------------
$ 133,927,367
-----------------------------------------------------------------------------------------
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
Hotel -- 0.1%
-----------------------------------------------------------------------------------------
NR NR $ 4,205 Niagara County, NY IDA, (Wintergarden
Inn Associates), 9.75%, 6/1/11(1) $ 1,682,000
-----------------------------------------------------------------------------------------
$ 1,682,000
-----------------------------------------------------------------------------------------
Housing -- 2.5%
-----------------------------------------------------------------------------------------
NR NR $ 7,055 Arkansas Development Finance Authority,
MFMR, (Park Apartments), (AMT), 5.95%,
12/1/28 $ 7,005,686
Aa AA- 9,400 California Housing Finance Agency, RIBS,
(AMT), Variable Rate, 8/1/23(2) 10,739,500
Aa2 NR 5,000 Colorado HFA, Single Family Housing,
(AMT), 7.55%, 11/1/27 5,676,400
NR NR 10,800 Lake Creek, CO, (Affordable Housing
Corp.), Multifamily, 6.25%, 12/1/23 10,906,488
NR NR 8,000 Los Angeles County Housing Authority,
CA, (Corporate Fund for Housing),
Multifamily, 10.50%, 12/1/29 7,771,840
NR NR 1,500 Maricopa County, AZ, IDA, (National
Health Facilities II), 6.375%, 1/1/19 1,513,170
NR NR 3,525 Minneapolis, MN, Community Development,
(Lindsay Brothers), 1.50%, 12/1/07 2,854,298
NR NR 3,305 Minneapolis, MN, Community Development,
(Lindsay Brothers), 9.50%, 12/1/07 3,716,076
Aa1 AA+ 8,710 Montana Board of Housing, Single Family,
(AMT), 5.45%, 6/1/27 8,809,555
-----------------------------------------------------------------------------------------
$ 58,993,013
-----------------------------------------------------------------------------------------
Industrial Development Revenue -- 17.6%
-----------------------------------------------------------------------------------------
NR NR $ 7,500 Austin, TX, (Cargoport Development LLC),
(AMT), 8.30%, 10/1/21 $ 8,260,800
NR NR 2,000 California Pollution Control Financing
Authority, (Laidlaw Environmental),
(AMT), 6.70%, 7/1/07 2,087,040
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Industrial Development Revenue (continued)
-----------------------------------------------------------------------------------------
NR BB- $ 2,000 Camden County, NJ, (Holt Hauling),
(AMT), 9.875%, 1/1/21 $ 2,461,740
Baa2 BBB 6,050 Carbon County, UT, (Laidlaw
Environmental), (AMT), 7.50%, 2/1/10 6,810,304
Baa2 BBB- 20,275 Chicago, IL, O'Hare International,
(American Airlines), 8.20%, 12/1/24 23,890,033
NR NR 6,000 Clark County, NV, (Nevada Power),
(RITES), (AMT), Variable Rate,
11/1/30(2) 6,257,160
Baa1 BBB 24,000 Courtland, AL, (Champion International
Corp.), (AMT), 7.00%, 6/1/22 25,764,960
Baa2 BBB- 41,000 Dallas-Fort Worth, TX, International
Airport Facility, (American Airlines),
7.25%, 11/1/30 44,967,569
Baa3 BB+ 52,500 Denver, CO, Airport Special Facilities,
(United Airlines), (AMT), 6.875%,
10/1/32 56,079,974
Baa2 BBB- 8,000 Effingham County, GA, Solid Waste
Disposal, (Fort James), (AMT), 5.625%,
7/1/18 8,016,400
Baa1 BBB 18,480 Gulf Coast, TX, Waste Disposal,
(Champion International Corp.), (AMT),
6.875%, 12/1/28 20,057,268
Baa1 BBB 7,000 Gulf Coast, TX, Waste Disposal,
(Champion International Corp.), (AMT),
7.45%, 5/1/26 7,571,620
NR NR 5,928 Gwinnett County, GA, (Plastics/
Packaging, Inc.), (AMT), 0.00%,
5/1/13(1) 2,548,855
NR NR 6,645 Hardeman County, TN, (Correctional
Facilities Corp.), 7.75%, 8/1/17 7,446,653
Ba2 BB 4,725 Hawaii State Department of
Transportation, (Continental Airlines,
Inc.), (AMT), 5.625%, 11/15/27 4,721,315
NR NR 6,500 Kimball, NE, EDA, (Clean Harbors, Inc.),
10.75%, 9/1/26 7,071,675
Baa2 NR 7,500 Little River County, AR,
(Georgia-Pacific Corp.), (AMT), 5.60%,
10/1/26 7,543,800
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
Industrial Development Revenue (continued)
-----------------------------------------------------------------------------------------
Baa1 BBB $ 5,000 McMinn County, TN, (Calhoun Newsprint
Co. - Bowater, Inc.), (AMT), 7.40%,
12/1/22 $ 5,517,700
NR NR 10,000 Michigan Strategic, (S.D. Warren Co.),
7.375%, 1/15/22 10,984,900
NR NR 15,000 Michigan Strategic, (S.D. Warren Co.),
(AMT), 7.375%, 1/15/22 16,477,350
NR NR 3,810 Middleboro, MA, (Read Corp.), 9.50%,
10/1/10 4,023,970
NR NR 17,000 New Jersey EDA, (Holt Hauling), 7.75%,
3/1/27 18,853,680
NR NR 1,500 New Jersey EDA, (Holt Hauling), (AMT),
7.90%, 3/1/27 1,680,945
NR NR 1,000 Ohio Solid Waste Revenue, (Republic
Engineered Steels, Inc.), (AMT), 9.00%,
6/1/21 1,070,900
NR NR 22,600 Peninsula Ports Authority, VA, (Zeigler
Coal), 6.90%, 5/2/22 22,650,172
Baa3 BBB 10,000 Pennsylvania, IDA, (Sun Company), (AMT),
7.60%, 12/1/24 11,337,200
B3 D 2,585 Riverdale Village, IL, (ACME Metals,
Inc.), (AMT), 7.90%, 4/1/24(1) 2,248,950
B3 D 2,000 Riverdale Village, IL, (ACME Metals,
Inc.), (AMT), 7.95%, 4/1/25(1) 1,740,000
NR NR 2,400 Savannah, GA, (Intercat-Savannah, Inc.),
(AMT), 9.75%, 7/1/10 2,536,536
NR NR 3,810 Savannah, GA, EDA, (Intercat-Savannah,
Inc.), (AMT), 9.00%, 1/1/15 4,170,350
NR NR 2,000 Skowhegan, ME, (S.D. Warren Co.), (AMT),
6.65%, 10/15/15 2,117,060
NR NR 3,500 Toole County, UT, Pollution Control,
(Laidlaw Environmental), (AMT), 7.55%,
7/1/27 3,837,190
Aa2 AA+ 37,000 Valdez, AK, Marine Terminal, (BP
Pipelines, Inc.), 5.85%, 8/1/25 38,553,999
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Industrial Development Revenue (continued)
-----------------------------------------------------------------------------------------
Aa2 AA $ 15,000 Valdez, AK, Marine Terminal, (Mobil
Alaska Pipeline), 5.75%, 11/1/28 $ 15,576,900
Baa2 AA- 4,000 Yavapai County, AZ, IDA, (Citizens
Utilities Co.), (AMT), 5.45%, 6/1/33 4,109,720
-----------------------------------------------------------------------------------------
$ 409,044,688
-----------------------------------------------------------------------------------------
Insured - Electric Utilities -- 4.3%
-----------------------------------------------------------------------------------------
Aaa AAA $ 10,000 Brazos River Authority, TX, (Houston
Lighting and Power Co.), (AMBAC), (AMT),
5.05%, 11/1/18(4) $ 9,919,700
Aaa AAA 22,000 Intermountain Power Agency, UT, (MBIA),
5.75%, 7/1/19 23,536,700
Aaa AAA 10,000 Intermountain Power Agency, UT, (MBIA),
6.00%, 7/1/16 10,916,700
Aaa AAA 10,000 Los Angeles, CA, Department of Water and
Power, (MBIA), 5.00%, 10/15/33 9,862,100
Aaa AAA 12,500 Matagorda County, TX, Navigation
District, (Houston Lighting), (AMBAC),
(AMT), 5.125%, 11/1/28 12,367,875
Aaa AAA 16,500 Sacramento, CA, Municipal Utility
District, (MBIA), Variable Rate,
11/15/15(2) 18,026,250
Aaa AAA 15,350 South Carolina Public Services, RIBS,
(FGIC), Variable
Rate, 1/1/25(2)(3) 14,429,000
-----------------------------------------------------------------------------------------
$ 99,058,325
-----------------------------------------------------------------------------------------
Insured - General Obligations -- 3.6%
-----------------------------------------------------------------------------------------
Aaa AAA $ 30,000 Chicago, IL, Board of Education, (FGIC),
0.00%, 12/1/20 $ 9,699,000
Aaa AAA 20,000 Chicago, IL, Board of Education, (FGIC),
0.00%, 12/1/26 4,662,800
Aaa AAA 7,000 Detroit, MI, School District, (FGIC),
4.75%, 5/1/28 6,625,290
Aaa AAA 10,000 Detroit, MI, School District, (FGIC),
5.25%, 5/1/25(4) 10,309,800
Aaa AAA 12,500 Florida Board of Education, (FGIC),
4.50%, 6/1/23 11,488,500
Aaa AAA 10,000 Florida Board of Education, (FGIC),
4.50%, 6/1/24 9,174,000
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
Insured - General Obligations (continued)
-----------------------------------------------------------------------------------------
Aaa AAA $ 5,500 Michigan State Trunk Line, (MBIA),
5.00%, 11/1/26 $ 5,382,905
Aaa AAA 18,000 South-Western City School District, OH,
Franklin and Pickway Counties, (AMBAC),
4.75%, 12/1/26 17,057,340
Aaa NR 9,455 Spring Ford School District, PA, (FGIC),
4.75%, 3/1/25 8,975,159
-----------------------------------------------------------------------------------------
$ 83,374,794
-----------------------------------------------------------------------------------------
Insured - Hospital -- 0.3%
-----------------------------------------------------------------------------------------
Aaa AAA $ 7,000 Montgomery County, PA, HEFA, (Abington
Memorial Hospital) (AMBAC), Variable
Rate, 7/5/11(2) $ 8,085,000
-----------------------------------------------------------------------------------------
$ 8,085,000
-----------------------------------------------------------------------------------------
Insured - Housing -- 0.4%
-----------------------------------------------------------------------------------------
Aaa AAA $ 7,525 SCA Multifamily Mortgage, Industrial
Development Board, Hamilton County, TN,
(FSA), (AMT), 7.35%, 1/1/30 $ 8,368,176
-----------------------------------------------------------------------------------------
$ 8,368,176
-----------------------------------------------------------------------------------------
Insured - Industrial Development Revenue -- 0.6%
-----------------------------------------------------------------------------------------
Aaa AAA $ 11,950 Chicago, IL, (The Peoples Gas Light and
Coke Company), (AMBAC), RIBS, (AMT),
Variable Rate, 12/1/23(2)(3) $ 12,897,635
-----------------------------------------------------------------------------------------
$ 12,897,635
-----------------------------------------------------------------------------------------
Insured - Senior Living / Life Care -- 0.2%
-----------------------------------------------------------------------------------------
Aaa AAA $ 4,500 Maryland HEFA, (Medlantic/ Helix Issue),
(AMBAC), 4.75%, 8/15/28 $ 4,271,130
-----------------------------------------------------------------------------------------
$ 4,271,130
-----------------------------------------------------------------------------------------
Insured - Special Tax Revenue -- 2.7%
-----------------------------------------------------------------------------------------
Aaa AAA $ 7,000 George L. Smith, (Georgia World Congress
Center- Domed Stadium), (MBIA), (AMT),
5.50%, 7/1/20(5) $ 7,035,910
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured - Special Tax Revenue (continued)
-----------------------------------------------------------------------------------------
Aaa AAA $ 9,800 Metropolitan Pier and Exposition
Authority, IL, (McCormick Place
Expansion), RIBS, (MBIA), Variable Rate,
6/15/27(2)(3) $ 11,410,434
Aaa AAA 6,370 New Jersey Sports and Exposition
Authority, (MBIA), 4.50%, 3/1/19 5,974,805
Aaa AAA 3,415 Regional Transportation Authority, LA,
(FGIC), 0.00%, 12/1/12 1,766,955
Aaa AAA 10,935 Regional Transportation Authority, LA,
(FGIC), 0.00%, 12/1/15 4,754,647
Aaa AAA 10,000 Regional Transportation Authority, LA,
(FGIC), 0.00%, 12/1/21 3,111,900
Aaa AAA 20,000 South Orange County, CA, Public
Financing Authority, (FGIC), Variable
Rate, 8/15/15(2)(4) 21,500,000
Aaa AAA 7,000 Utah Municipal Finance Corp., Local
Government Revenue, (FSA), 0.00%, 3/1/10 4,210,990
Aaa AAA 6,000 Utah Municipal Finance Corp., Local
Government Revenue, (FSA), 0.00%, 3/1/11 3,409,320
-----------------------------------------------------------------------------------------
$ 63,174,961
-----------------------------------------------------------------------------------------
Insured - Transportation -- 4.5%
-----------------------------------------------------------------------------------------
Aaa AAA $ 26,000 Central Puget Sound, WA, Transportation
Authority, (FGIC), 4.75%, 2/1/28(4) $ 24,297,000
Aaa AAA 19,000 Massachusetts State Turnpike Authority,
(FGIC), 5.00%, 1/1/20 19,231,990
Aaa AAA 14,400 Metropolitan Washington, DC Airport
Authority, (MBIA), Variable Rate,
4/1/21(2)(3) 15,662,304
Aaa AAA 18,200 Mobile, AL, Airport Authority, (MBIA),
6.375%, 10/1/14(4) 20,161,232
Aaa AAA 5,000 New Jersey State Transportation
Authority, (FSA), 4.50%, 6/15/19 4,711,300
Aaa AAA 10,000 Philadelphia, PA, IDA, (Philadelphia
Airport System), (FGIC), (AMT), 5.125%,
7/1/28 9,791,400
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
Insured - Transportation (continued)
-----------------------------------------------------------------------------------------
NR AAA $ 10,000 Triborough Bridge and Tunnel Authority,
NY, (MBIA), Variable Rate, 1/1/19(2)(3) $ 10,711,800
-----------------------------------------------------------------------------------------
$ 104,567,026
-----------------------------------------------------------------------------------------
Insured - Water and Sewer -- 4.1%
-----------------------------------------------------------------------------------------
Aaa AAA $ 30,395 California State Department Water
Resources, (Central Valley Water
Systems), (FGIC), 5.25%, 12/1/28(4) $ 30,968,553
Aaa AAA 2,390 Detroit, MI, Sewer Disposal, (FGIC),
Variable
Rate, 7/1/23(2) 2,631,988
Aaa AAA 25,500 Fulton County, GA, Water and Sewer,
(FGIC), 4.75%, 1/1/28(4) 24,141,105
Aaa AAA 7,150 Harrisburg, PA, Water Revenue Bonds,
RIBS, (FGIC), Variable Rate, 8/11/16(2) 7,453,875
Aaa AAA 12,800 Honolulu, HI, City and County Waterworks
System Revenue, (FGIC), 4.50%, 7/1/28 11,611,392
Aaa AAA 9,000 Louisville and Jefferson County, KY,
Metropolitan Sewer District and Drainage
System Revenue, (FGIC), 4.75%, 5/15/28 8,517,870
Aaa AAA 10,000 San Diego Public Finance Authority, CA,
(FGIC), 5.25%, 5/15/27 10,224,000
-----------------------------------------------------------------------------------------
$ 95,548,783
-----------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 0.2%
-----------------------------------------------------------------------------------------
NR AA- $ 3,500 Plymouth County, MA, (Plymouth County
Correctional Facility), 7.00%, 4/1/22 $ 3,935,645
-----------------------------------------------------------------------------------------
$ 3,935,645
-----------------------------------------------------------------------------------------
Miscellaneous -- 1.0%
-----------------------------------------------------------------------------------------
NR NR $ 5,890 American Samoa Economic Development
Authority, (Executive Office Building),
10.125%, 9/1/08 $ 6,117,118
NR A- 6,500 Los Angeles, CA, Regional Airports
Improvement Corp., (LAXFuel), (AMT),
6.50%, 1/1/32 6,749,535
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
16
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Miscellaneous (continued)
-----------------------------------------------------------------------------------------
NR NR $ 10,200 Orange County, NC, (Community Activity
Corp.), 8.00%, 3/1/24(1) $ 6,120,000
NR NR 1,600 Pittsfield Township, MI, EDC, (Arbor
Hospice), 7.875%, 8/15/27 1,680,272
NR NR 3,445 Tax Revenue Exempt Securities Trust,
Community Health Provider, (Pooled Loan
Program Various States Trust
Certificates), 5.50%, 12/1/36 3,359,220
-----------------------------------------------------------------------------------------
$ 24,026,145
-----------------------------------------------------------------------------------------
Nursing Home -- 6.4%
-----------------------------------------------------------------------------------------
NR NR $ 13,125 Bell County, TX, (Riverside Healthcare,
Inc. - Normandy Terrace), 9.00%, 4/1/23 $ 15,760,106
NR NR 3,755 Collier County, FL, IDA, Retirement
Rental, (Beverly Enterprises - Florida,
Inc.), 10.75%, 3/1/03 4,172,894
NR NR 4,945 Delaware County, PA, (Mainline-Haverford
Nursing and Rehabilitation Centers),
9.00%, 8/1/22 5,758,700
NR NR 2,150 Hillsborough County, FL, IDA, (Tampa Bay
Retirement Center), 0.00%, 6/1/25 1,075,000
NR NR 10,150 Hillsborough County, FL, IDA, (Tampa Bay
Retirement Center), 7.00%, 6/1/25 9,991,356
Baa1 NR 10,000 Indianapolis, IN, (National Benevolent
Association - Robin Run Village),
7.625%, 10/1/22 10,942,500
NR NR 3,475 Lackawanna County, PA, IDA, (Edella
Street Associates), 8.875%, 9/1/14 3,834,871
NR NR 2,885 Luzerne County, PA, IDA, (River Street
Associates), 8.75%, 6/15/07 3,164,095
NR NR 13,250 Massachusetts IFA, (Age Institute of
Massachusetts), 8.05%, 11/1/25 14,785,278
NR NR 11,765 Mississippi Business Finance Corp.,
(Magnolia Healthcare), 7.99%, 7/1/25 12,649,375
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
Nursing Home (continued)
-----------------------------------------------------------------------------------------
NR NR $ 6,750 Missouri HEFA, (Bethesda Health Group of
Saint Louis, Inc.), 6.625%, 8/15/05 $ 7,267,793
NR NR 14,000 Missouri HEFA, (Bethesda Health Group of
Saint Louis, Inc.), 7.50%, 8/15/12 15,654,800
NR NR 12,500 Montgomery, PA, IDA, (Advancement of
Geriatric Health Care Institute),
8.375%, 7/1/23 13,417,000
NR NR 4,945 New Jersey EDA, (Claremont Health
System, Inc.), 9.10%, 9/1/22 5,525,691
NR NR 5,915 New Jersey EDA, (Victoria Health Corp.),
7.75%, 1/1/24 6,447,350
A3 BBB 3,870 Racine County, WI, Health Center,
8.125%, 8/1/21 3,973,058
NR NR 5,000 Sussex County, DE, (Delaware Health
Corp.), 7.50%, 1/1/14 5,367,950
NR NR 5,000 Sussex County, DE, (Delaware Health
Corp.), 7.60%, 1/1/24 5,377,600
NR NR 2,470 Westmoreland, PA, (Highland Health
Systems, Inc.), 9.25%, 6/1/22 2,765,214
-----------------------------------------------------------------------------------------
$ 147,930,631
-----------------------------------------------------------------------------------------
Senior Living / Life Care -- 4.1%
-----------------------------------------------------------------------------------------
NR NR $ 14,700 Albuquerque, NM, Retirement Facilities,
(La Vida Liena Retirement Center),
5.75%, 12/15/28 $ 14,615,622
NR NR 10,000 Albuquerque, NM, Retirement Facilities,
(La Vida Liena Retirement Center),
6.60%, 12/15/28 9,947,100
NR NR 10,000 Atlantic Beach, FL, (Fleet Landing),
8.00%, 10/1/24 11,147,000
NR NR 12,435 De Kalb County, GA, Private Hospital
Authority, (Atlanta, Inc.), 8.50%,
3/1/25(6) 6,217,500
Aaa AAA 2,100 Loudoun County, VA, IDA, (Falcons
Landing), 9.25%, 7/1/04 2,442,888
NR NR 15,000 Louisiana HFA, (HCC Assisted Living
Group 1), (AMT), 9.00%, 3/1/25 16,731,150
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
17
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Senior Living / Life Care (continued)
-----------------------------------------------------------------------------------------
NR NR $ 12,400 North Miami, FL, HFA, (Imperial Club),
6.75%, 1/1/33 $ 12,173,452
NR NR 800 North Miami, FL, HFA, (Imperial Club),
9.00%, 1/1/12 800,000
NR NR 5,600 Ridgeland, MS, Urban Renewal, (The
Orchard), 7.75%, 12/1/15 6,054,888
Baa2 BBB 2,565 South Dakota HEFA, (Prairie Lakes Health
Care), 7.25%, 4/1/22 2,847,766
NR NR 4,500 Vermont IDA, (Wake Robin Corp.), 8.75%,
3/1/23 5,017,905
NR NR 7,500 Vermont IDA, (Wake Robin Corp.), 8.75%,
4/1/23 8,363,175
-----------------------------------------------------------------------------------------
$ 96,358,446
-----------------------------------------------------------------------------------------
Solid Waste -- 0.8%
-----------------------------------------------------------------------------------------
NR NR $ 35,000 Robbins, Cook County, IL, (Robbins
Resource Recovery Partners, L.P.),
8.375%, 10/15/16 $ 18,900,000
-----------------------------------------------------------------------------------------
$ 18,900,000
-----------------------------------------------------------------------------------------
Special Tax Revenue -- 0.5%
-----------------------------------------------------------------------------------------
Aa3 AA- $ 7,500 Michigan State Trunk Line, 5.50%,
11/1/18 $ 8,027,775
NR AAA 4,500 Pennsylvania State Turnpike Commission,
Oil Franchise Tax, Variable Rate,
12/1/27(2)(3) 4,008,240
-----------------------------------------------------------------------------------------
$ 12,036,015
-----------------------------------------------------------------------------------------
Transportation -- 2.7%
-----------------------------------------------------------------------------------------
NR BBB- $ 5,750 Connector 2000 Association, Inc., South
Carolina Bridge & Toll Road Revenue,
(Southern Connector),
5.25%, 1/1/23 $ 5,313,115
Baa1 BBB+ 4,735 Denver, CO, City and County Airport
Revenue, (AMT), 7.50%, 11/15/23 5,414,188
Baa1 BBB+ 6,000 Metropolitan Transportation Authority,
NY, 5.50%, 7/1/17 6,210,840
A1 AA- 15,000 Port Authority of New York and New
Jersey, (AMT), Variable Rate, 1/15/27(2) 16,627,200
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
Transportation (continued)
-----------------------------------------------------------------------------------------
Aa3 A+ $ 9,050 Triborough Bridge and Tunnel Authority,
NY, 5.125%, 1/1/22 $ 9,013,167
Aa3 A+ 19,030 Triborough Bridge and Tunnel Authority,
NY, 5.25%, 1/1/28 19,209,263
-----------------------------------------------------------------------------------------
$ 61,787,773
-----------------------------------------------------------------------------------------
Utilities - Electrical and Gas -- 0.2%
-----------------------------------------------------------------------------------------
NR AAA $ 5,250 Philadelphia, PA, Natural Gas
Works, Variable Rate, 7/1/28(2) $ 4,997,003
-----------------------------------------------------------------------------------------
$ 4,997,003
-----------------------------------------------------------------------------------------
Water and Sewer -- 0.9%
-----------------------------------------------------------------------------------------
Aa2 AA $ 21,920 California State Department Water
Resources, (Central Valley Water
Systems), 5.25%, 12/1/24 $ 22,157,613
-----------------------------------------------------------------------------------------
$ 22,157,613
-----------------------------------------------------------------------------------------
Total Tax-Exempt Investments
(identified cost $2,120,011,312) $ 2,324,406,664
-----------------------------------------------------------------------------------------
TAXABLE - INVESTMENT -- 0.0%
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
Senior Living / Life Care -- 0.0%
-----------------------------------------------------------------------------------------
NR NR $ 395 Ridgeland, MS, Urban Renewal, (The
Orchard), 9.00%, 12/1/00 $ 395,356
-----------------------------------------------------------------------------------------
$ 395,356
-----------------------------------------------------------------------------------------
Total Taxable-Investment
(identified cost $395,000) $ 395,356
-----------------------------------------------------------------------------------------
Total Investments -- 100.0%
(identified cost $2,120,406,312) $ 2,324,802,020
-----------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
18
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
At March 31, 1999 the concentration of the Portfolio's investments in the
various states, determined as a percentage of total investments, is as follows:
California 10.0%
Others, representing less than 10% individually 90.0%
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
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, 1999, 23.7% 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 0.9% to 13.2% of total investments.
(1) Non-income producing security.
(2) Security has been issued as an inverse floater bond.
(3) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
1999, the value of these securities amounted to $78,922,113 or 3.3% of the
Portfolio's net assets.
(4) Security (or a portion thereof) has been segregated to cover when-issued
securities.
(5) When-issued security.
(6) The Portfolio is accruing only partial interest on this security.
SEE NOTES TO FINANCIAL STATEMENTS
19
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF MARCH 31, 1999
<S> <C>
Assets
- ---------------------------------------------------------
Investments, at value
(identified cost, $2,120,406,312) $ 2,324,802,020
Cash 6,393,979
Receivable for investments sold 29,887,061
Interest receivable 38,809,962
- ---------------------------------------------------------
TOTAL ASSETS $ 2,399,893,022
- ---------------------------------------------------------
Liabilities
- ---------------------------------------------------------
Payable for investments purchased $ 22,600,000
Payable for when-issued securities 6,710,830
Other accrued expenses 12,253
- ---------------------------------------------------------
TOTAL LIABILITIES $ 29,323,083
- ---------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $ 2,370,569,939
- ---------------------------------------------------------
Sources of Net Assets
- ---------------------------------------------------------
Net proceeds from capital contributions
and withdrawals $ 2,166,174,231
Net unrealized appreciation (computed on
the basis of identified cost) 204,395,708
- ---------------------------------------------------------
TOTAL $ 2,370,569,939
- ---------------------------------------------------------
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED
MARCH 31, 1999
<S> <C>
Investment Income
- --------------------------------------------------------
Interest $ 74,742,610
- --------------------------------------------------------
TOTAL INVESTMENT INCOME $ 74,742,610
- --------------------------------------------------------
Expenses
- --------------------------------------------------------
Investment adviser fee $ 4,883,986
Trustees fees and expenses 21,082
Custodian fee 199,701
Legal and accounting services 85,548
Miscellaneous 58,761
- --------------------------------------------------------
TOTAL EXPENSES $ 5,249,078
- --------------------------------------------------------
Deduct --
Reduction of custodian fee $ 199,701
- --------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 199,701
- --------------------------------------------------------
NET EXPENSES $ 5,049,377
- --------------------------------------------------------
NET INVESTMENT INCOME $ 69,693,233
- --------------------------------------------------------
Realized and Unrealized Gain (Loss)
- --------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 35,907,706
Financial futures contracts 2,152,292
- --------------------------------------------------------
NET REALIZED GAIN $ 38,059,998
- --------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $ (103,466,676)
Financial futures contracts 3,608,750
- --------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) $ (99,857,926)
- --------------------------------------------------------
NET REALIZED AND UNREALIZED LOSS $ (61,797,928)
- --------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 7,895,305
- --------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
20
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
Increase (Decrease) MARCH 31, 1999 YEAR ENDED
in Net Assets (UNAUDITED) SEPTEMBER 30, 1998
<S> <C> <C>
- ---------------------------------------------------------------------------------
From operations --
Net investment income $ 69,693,233 $ 133,228,452
Net realized gain 38,059,998 62,170,470
Net change in unrealized appreciation
(depreciation) (99,857,926) 13,950,121
- ---------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 7,895,305 $ 209,349,043
- ---------------------------------------------------------------------------------
Capital transactions --
Contributions $ 227,834,909 $ 389,124,010
Withdrawals (205,285,053) (439,963,679)
- ---------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS FROM
CAPITAL TRANSACTIONS $ 22,549,856 $ (50,839,669)
- ---------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 30,445,161 $ 158,509,374
- ---------------------------------------------------------------------------------
Net Assets
- ---------------------------------------------------------------------------------
At beginning of period $ 2,340,124,778 $ 2,181,615,404
- ---------------------------------------------------------------------------------
AT END OF PERIOD $ 2,370,569,939 $ 2,340,124,778
- ---------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
21
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1999 -------------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ---------------------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.45%(2) 0.45% 0.52% 0.49% 0.50% 0.50%
Expenses after custodian fee reduction 0.43%(2) 0.43% 0.52% 0.48% 0.49% --
Net investment income 5.91%(2) 5.93% 6.51% 6.65% 7.00% 6.55%
Portfolio Turnover 20% 28% 17% 19% 54% 40%
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S
OMITTED) $2,370,570 $2,340,125 $2,181,615 $2,212,478 $2,260,646 $2,210,936
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(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 ratio for the year ended September
30, 1994 has not been adjusted to reflect this change.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
22
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
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 Federal 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 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 for
both hedging against anticipated future changes in interest rates and
investment purposes. Should interest rates move unexpectedly, the Portfolio
may not achieve the anticipated benefits of the financial futures contracts
and may realize a loss.
E Options on Financial Futures Contracts -- Upon the purchase of a put option
on a financial futures contract by the Portfolio, the premium paid is
recorded as an investment, the value of which is marked-to-market daily. When
a purchased option expires, the Portfolio will realize a loss in the amount
of the cost of the option. When the Portfolio enters into a closing sale
transaction, the Portfolio will realize a gain or loss depending on whether
the sales proceeds from the closing sale transaction are greater or less than
the cost of the option. When the Portfolio exercises a put option, settlement
is made in cash. The risk associated with purchasing put options is limited
to the premium originally paid.
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 accruing 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
23
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
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. 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 fees are reflected as a reduction of
operating expense on the Statement of Operations.
K Interim Financial Statements -- The interim financial statements relating to
March 31, 1999 and for the six months then ended have not been audited by
independent certified public accountants, but in the opinion of the
Portfolio'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, 1999, the fee was equivalent
to 0.41% of the Portfolio's average daily net assets for such period and
amounted to $4,883,986. 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, 1999, 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 $534,585,854 and $462,708,855,
respectively, for the six months ended March 31, 1999.
4 Federal Income Tax Basis of Investments
- -------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned at March 31, 1999, as computed on a Federal income tax
basis, are as follows:
<TABLE>
<S> <C>
Aggregate cost $ 2,120,406,312
- ---------------------------------------------------------
Gross unrealized appreciation $ 249,286,860
Gross unrealized depreciation (44,891,152)
- ---------------------------------------------------------
NET UNREALIZED APPRECIATION $ 204,395,708
- ---------------------------------------------------------
</TABLE>
5 Line of Credit
- -------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR and
EVM and its affiliates in a $130 million unsecured line of credit agreement
with a group of banks. The portfolio may temporarily borrow from the line of
credit to satisfy redemption requests or settle investment transactions.
Interest is charged to each portfolio or fund based on its borrowings at an
amount above either the Eurodollar rate or federal funds rate. In addition, a
fee computed at an annual rate of 0.10% on the daily unused portion of the
line of credit is allocated among the participating portfolios and funds at
the end of each quarter. The Portfolio did not have any significant
borrowings or allocated fees during the six months ended March 31, 1999.
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.
At March 31, 1999, there were no outstanding obligations under these
financial instruments.
24
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO
Officers
Thomas J. Fetter
President
James B. Hawkes
Vice President and Trustee
Robert B. MacIntosh
Vice President
Thomas M. Metzold
Vice President and Portfolio
Manager
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
Independent Trustees
Jessica M. Bibliowicz
President and Chief Executive Officer,
National Financial Partners
Donald R. Dwight
President, Dwight Partners, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking
Emeritus, Harvard University Graduate School of
Business Administration
Norton H. Reamer
Chairman and Chief Executive Officer,
United Asset Management Corporation
Lynn A. Stout
Professor of Law,
Georgetown University Law Center
John L. Thorndike
Former Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
