<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 97.9%
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Assisted Living -- 5.6%
- ---------------------------------------------------------------------------
$ 6,035 Arizona Health Facilities Authority,
(Care Institute, Inc. - Mesa),
7.625%, 1/1/26 $ 5,490,577
17,070 Bell County, TX, Health Facilities
Authority, (Care Institute, Inc.-Texas),
9.00%, 11/1/24 18,595,546
3,060 Chester, PA, IDA, (Senior LifeChoice of
Kimberton), (AMT), 8.50%, 9/1/25 3,279,555
4,935 Chester, PA, IDA, (Senior LifeChoice of
Paoli, L.P.), (AMT), 8.05%, 1/1/24 5,184,316
4,960 Delaware, PA, IDA, (Glen Riddle), (AMT),
8.625%, 9/1/25 5,343,160
10,000 Glen Cove, NY, IDA, (Regency at Glen
Cove), 9.50%, 7/1/12 10,656,200
15,000 Illinois Development Finance Authority,
(Care Institute, Inc. - Illinois),
7.80%, 6/1/25 15,429,600
4,605 New Jersey EDA, (Chelsea at East
Brunswick), (AMT), 8.25%, 10/1/20 4,755,077
9,715 New Jersey EDA, (Forsgate), (AMT),
8.625%, 6/1/25 10,519,499
4,935 North Syracuse Village Housing
Authority, NY, (AJM Senior Housing,
Inc., Janus Park), 8.00%, 6/1/24 3,940,795
7,915 Roseville, MN, Elder Care Facility,
(Care Institute, Inc. - Roseville),
7.75%, 11/1/23 7,427,990
12,290 St. Paul, MN, Housing and Redevelopment,
(Care Institute, Inc. - Highland),
8.75%, 11/1/24 13,364,638
- ---------------------------------------------------------------------------
$ 103,986,953
- ---------------------------------------------------------------------------
Cogeneration -- 6.5%
- ---------------------------------------------------------------------------
$ 22,150 Maryland Energy Cogeneration, (AES
Warrior Run), (AMT), 7.40%, 9/1/19 $ 22,692,453
30,775 New Jersey EDA, (Vineland Cogeneration),
(AMT), 7.875%, 6/1/19 31,824,427
12,950 Palm Beach County, FL, (Osceola Power),
(AMT), 6.95%, 1/1/22(1) 6,895,875
6,100 Pennsylvania EDA, (Northampton
Generating), (AMT), 6.50%, 1/1/13 6,029,057
21,950 Pennsylvania EDA, (Northampton
Generating), (AMT), 6.60%, 1/1/19 21,462,929
7,000 Pennsylvania EDA, (Northampton
Generating), Junior Liens, (AMT),
6.875%, 1/1/11 7,009,520
5,000 Pennsylvania EDA, (Northampton
Generating), Junior Liens, (AMT),
6.95%, 1/1/21 5,019,200
3,917 Robbins, IL, Resource Recovery, (AMT),
0.00%, 10/15/09 1,841,177
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Cogeneration (continued)
- ---------------------------------------------------------------------------
$ 1,952 Robbins, IL, Resource Recovery, (AMT),
7.25%, 10/15/09 $ 1,873,725
8,439 Robbins, IL, Resource Recovery, (AMT),
7.25%, 10/15/24 7,932,498
12,578 Robbins, IL, Resource Recovery, (AMT),
8.375%, 10/15/16(1) 5,660,156
4,922 Robbins, IL, Resource Recovery, (AMT),
8.375%, 10/15/16(1) 2,214,844
- ---------------------------------------------------------------------------
$ 120,455,861
- ---------------------------------------------------------------------------
Education -- 0.4%
- ---------------------------------------------------------------------------
$ 4,130 California Educational Facilities
Authority, (Stanford University),
Variable Rate, 6/1/27(2) $ 3,569,600
5,000 Vermont HEFA, (Middlebury College),
5.00%, 11/1/38 4,287,850
- ---------------------------------------------------------------------------
$ 7,857,450
- ---------------------------------------------------------------------------
Electric Utilities -- 2.6%
- ---------------------------------------------------------------------------
$ 5,000 Connecticut Development Authority,
(Connecticut Light and Power),
Variable Rate, 9/1/28(3)(4) $ 4,007,200
6,500 Connecticut Development Authority,
(Western Mass Electric), Variable Rate,
9/1/28(3)(4) 5,209,360
11,000 Intermountain Power Agency, UT,
7.24%, 7/1/19(3)(4) 11,083,820
22,000 Long Island Power Authority, NY,
Electric System Revenue, 5.50%, 12/1/29 20,353,520
8,000 North Carolina Municipal Power Agency,
6.50%, 1/1/20 8,048,160
- ---------------------------------------------------------------------------
$ 48,702,060
- ---------------------------------------------------------------------------
Escrowed / Prerefunded -- 14.3%
- ---------------------------------------------------------------------------
$ 42,500 Bakersfield, CA, (Bakersfield Assisted
Living Center), Escrowed to Maturity,
0.00%, 4/15/21 $ 10,676,850
2,200 Bexar County, TX, Health Facilities,
(St. Luke's Lutheran), Escrowed to
Maturity, 7.00%, 5/1/21 2,552,660
184,070 Colorado Health Facilities Authority,
(Liberty Heights), Escrowed to Maturity,
0.00%, 7/15/24 37,531,873
244,325 Dawson Ridge, CO, Metropolitan District
#1, Escrowed to Maturity,
0.00%, 10/1/22 55,642,575
11,175 Dawson Ridge, CO, Metropolitan District
#1, Escrowed to Maturity,
0.00%, 10/1/22 2,544,994
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
12
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Escrowed / Prerefunded (continued)
- ---------------------------------------------------------------------------
$ 7,000 Florida Mid-Bay Bridge Authority,
Escrowed to Maturity, 6.875%, 10/1/22 $ 8,032,640
101,555 Illinois Development Finance Authority,
(Regency Park), Escrowed to Maturity,
0.00%, 7/15/23 22,009,000
60,360 Illinois Development Finance Authority,
(Regency Park), Escrowed to Maturity,
0.00%, 7/15/25 11,471,418
4,650 Illinois HEFA, (Chicago Osteopathic
Health Systems), Escrowed to Maturity,
7.125%, 5/15/11 5,155,083
4,500 Illinois HEFA, (Chicago Osteopathic
Health Systems), Prerefunded to
11/15/19, 7.25%, 5/15/22 5,267,565
11,395 Louisiana Public Facilities Authority,
(Southern Baptist Hospitals, Inc.),
Escrowed to Maturity, 8.00%, 5/15/12 13,100,034
5,675 Maricopa County, AZ, IDA, (Place Five
and The Greenery), Escrowed to Maturity,
6.625%, 1/1/27 5,964,141
1,000 Maricopa County, AZ, IDA, Multifamily,
Escrowed to Maturity, 6.45%, 1/1/17 1,053,500
100,000 Mississippi Housing Finance Corp., SFMR,
Escrowed to Maturity, (AMT),
0.00%, 6/1/15 42,450,000
46,210 San Joaquin Hills Transportation
Corridor Agency, CA, Toll Road Bonds,
Escrowed to Maturity, 0.00%, 1/1/20 14,896,256
72,685 San Joaquin Hills Transportation
Corridor Agency, CA, Toll Road Bonds,
Escrowed to Maturity, 0.00%, 1/1/21 21,992,300
15,000 San Joaquin Hills Transportation
Corridor Agency, CA, Toll Road Bonds,
Escrowed to Maturity, 0.00%, 1/1/25 3,552,750
- ---------------------------------------------------------------------------
$ 263,893,639
- ---------------------------------------------------------------------------
Gas Utilities -- 0.2%
- ---------------------------------------------------------------------------
$ 5,250 Philadelphia, PA, Natural Gas Works,
Variable Rate, 7/1/28(3) $ 3,915,765
- ---------------------------------------------------------------------------
$ 3,915,765
- ---------------------------------------------------------------------------
General Obligations -- 1.4%
- ---------------------------------------------------------------------------
$ 10,190 Georgia, 4.25%, 8/1/18 $ 8,682,593
15,000 North East Independent School District,
TX, 4.50%, 10/1/28 12,006,000
4,800 Texas, Variable Rate, 8/1/24(3)(4) 4,284,624
- ---------------------------------------------------------------------------
$ 24,973,217
- ---------------------------------------------------------------------------
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Health Care-Miscellaneous -- 0.3%
- ---------------------------------------------------------------------------
$ 3,416 Tax Revenue Exempt Securities Trust,
Community Health Provider, (Pooled Loan
Program Various States Trust
Certificates), 5.50%, 12/1/36 $ 3,004,504
3,664 Tax Revenue Exempt Securities Trust,
Community Health Provider, (Pooled Loan
Program Various States Trust
Certificates), 5.875%, 12/1/36(4) 3,333,052
- ---------------------------------------------------------------------------
$ 6,337,556
- ---------------------------------------------------------------------------
Hospital -- 7.2%
- ---------------------------------------------------------------------------
$ 6,500 Arizona Health Facilities Authority,
(Phoenix Memorial Hospital),
8.20%, 6/1/21 $ 6,308,770
2,325 Berlin, MD, (Atlantic General Hospital),
8.375%, 6/1/22 2,411,443
12,600 California Health Facilities Financing
Authority, (Cedars-Sinai Medical
Center), Variable Rate, 12/1/34(3)(4) 12,723,858
22,000 Colorado Health Facilities Authority,
(Rocky Mountain Adventist),
6.625%, 2/1/22 18,541,160
300 Corinth and Alcorn County, (Magnolia
Health Center), 5.50%, 10/1/21 237,636
4,000 Corinth and Alcorn County, MS, (Magnolia
Registered Health Center),
5.50%, 10/1/21 3,168,480
4,000 Crossville, TN, HEFA, (Cumberland
Medical Center), 6.75%, 11/1/12 4,060,120
3,775 Hawaii Department of Budget and Finance,
(Wahiawa General Hospital),
7.50%, 7/1/12 3,476,888
1,000 Illinois Health Facilities Authority,
(Holy Cross Hospital), 6.70%, 3/1/14 1,005,730
2,650 Illinois Health Facilities Authority,
(Holy Cross Hospital), 6.75%, 3/1/24 2,571,904
4,500 Indiana Health Facility Financing
Authority, (Memorial Hospital and Health
Care Center), 7.40%, 3/1/22 4,579,560
10,585 Louisiana Public Facilities Authority,
(General Health Systems),
6.80%, 11/1/16 10,587,540
10,000 Maricopa County, AZ, IDA, (Mayo
Foundation), Variable Rate,
11/15/37(3)(4) 7,648,200
2,000 Marshall County, AL, (Guntersville-Arab
Medical Center), 7.00%, 10/1/09 2,047,420
2,000 Marshall County, AL, (Guntersville-Arab
Medical Center), 7.00%, 10/1/13 2,051,660
13,815 Massachusetts HEFA, (Partners Healthcare
System), 5.25%, 7/1/29 11,628,914
14,000 Montgomery County, PA, HEFA (Abington
Memorial Hospital), 6.66%, 7/5/11 14,621,740
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Hospital (continued)
- ---------------------------------------------------------------------------
$ 3,500 New Jersey Health Care Facilities
Financing Authority, (Trinitas Hospital
Obligated Group), 7.50%, 7/1/30 $ 3,497,305
9,000 Philadelphia, PA, HEFA, (Graduate Health
System), 6.625%, 7/1/21(1) 3,240,000
2,250 Philadelphia, PA, HEFA, (Graduate Health
System), 7.25%, 7/1/18(1) 810,000
3,075 Prince George's County, MD, (Greater
Southeast Healthcare System),
6.375%, 1/1/23(1) 1,268,437
7,750 Rhode Island HEFA, (St. Joseph Health
Services), 5.50%, 10/1/29 5,915,110
12,500 Rochester, MN, Health Care Facilities,
(Mayo Clinic), Variable Rate,
11/15/27(3)(4) 11,508,250
- ---------------------------------------------------------------------------
$ 133,910,125
- ---------------------------------------------------------------------------
Hotel -- 0.1%
- ---------------------------------------------------------------------------
$ 4,205 Niagara County, NY IDA, (Wintergarden
Inn Associates), 9.75%, 6/1/11(1) $ 1,645,206
- ---------------------------------------------------------------------------
$ 1,645,206
- ---------------------------------------------------------------------------
Housing -- 8.8%
- ---------------------------------------------------------------------------
$ 3,000 ABAG Finance Authority, CA, (Civic
Center Drive Apartments), (AMT),
6.375%, 9/1/32 $ 3,043,230
7,955 Arkansas Development Finance Authority,
MFMR, (Park Apartments), (AMT),
5.95%, 12/1/28 7,024,504
6,200 Bexar County, TX, Housing Finance Corp.,
(Arboretum Apartments), (AMT),
6.10%, 8/1/36 5,702,574
10,900 Bexar County, TX, Housing Finance Corp.,
(North Knoll Apartments), 5.90%, 4/1/37 9,526,382
9,350 California Housing Finance Agency,
(AMT), Variable Rate, 8/1/23(3) 9,875,937
12,000 California Statewide Communities
Development Authority, (Chesapeake Bay
Apartments), 6.00%, 6/1/32 10,628,160
37,500 California Statewide Communities
Development Authority, (Corporate Fund
for Housing), 6.50%, 12/1/29 35,702,625
3,000 California Statewide Communities
Development Authority, (Corporate Fund
for Housing), 7.25%, 12/1/34 2,969,520
4,000 California Statewide Communities
Development Authority, (Corporate Fund
for Housing), 7.50%, 12/1/34 3,960,360
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Housing (continued)
- ---------------------------------------------------------------------------
$ 6,750 California Statewide Communities
Development Authority, (Nantucket Bay
Apartments), 6.00%, 6/1/32 $ 5,978,340
2,500 California Statewide Communities
Development Authority, (Oaks at Sunset
Apartments), 6.00%, 6/1/36 2,205,550
7,800 California Statewide Communities
Development Authority, (San Luis Bay
Village Apartments), (AMT),
6.25%, 9/1/36 7,213,986
12,000 Charter Mac Equity, TN, (AMT),
6.625%, 6/30/09 11,699,520
1,890 El Paso County, TX, Housing Finance
Corp., (San Jose Ltd.), (AMT),
6.00%, 8/1/31 1,820,183
3,750 El Paso County, TX, Housing Finance
Corp., (San Jose Ltd.), (AMT),
6.10%, 8/1/31 3,662,625
10,630 Lake Creek, CO, (Affordable Housing
Corp.), 6.25%, 12/1/23 9,828,392
1,435 Maricopa County, AZ, IDA, (National
Health Facilities II), 6.375%, 1/1/19 1,330,675
6,645 Minneapolis, MN, Community Development,
Multifamily Housing, (Lindsay Brothers),
6.60%, 12/1/18 6,450,235
15,675 New Hampshire Housing Finance Authority,
Multifamily Housing, 6.20%, 7/1/36 15,516,839
8,300 Speedway, IN, Economic Development
Authority, (Hermitage Apartments),
(AMT), 6.00%, 5/1/31 7,994,477
- ---------------------------------------------------------------------------
$ 162,134,114
- ---------------------------------------------------------------------------
Industrial Development Revenue -- 12.6%
- ---------------------------------------------------------------------------
$ 7,450 Austin, TX, (Cargoport Development LLC),
(AMT), 8.30%, 10/1/21 $ 7,702,629
2,000 California Pollution Control Financing
Authority, (Laidlaw Environmental),
(AMT), 6.70%, 7/1/07 600,860
2,000 Camden County, NJ, (Holt Hauling),
(AMT), 9.875%, 1/1/21 2,062,100
6,050 Carbon County, UT, (Laidlaw
Environmental), (AMT), 7.50%, 2/1/10 5,592,499
6,000 Clark County, NV, (Nevada Power), (AMT),
Variable Rate, 10/1/30(3) 4,507,920
12,450 Courtland, AL, (Champion International),
(AMT), 7.00%, 6/1/22 12,654,429
25,250 Denver, CO, City and County, (United
Airlines), Variable Rate, 10/1/32(3)(4) 25,406,550
8,000 Effingham County, GA, Solid Waste
Disposal, (Fort James), (AMT),
5.625%, 7/1/18 7,162,960
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Industrial Development Revenue (continued)
- ---------------------------------------------------------------------------
$ 12,980 Gulf Coast, TX, Waste Disposal,
(Champion International), (AMT),
6.875%, 12/1/28 $ 13,044,640
6,435 Kimball, NE, EDA, (Clean Harbors),
10.75%, 9/1/26 6,645,618
1,600 Knox County, TN, Industrial Development
Board (Melrose Place, Ltd.),
6.875%, 12/1/14 1,546,848
7,000 Knox County, TN, Industrial Development
Board (Weisgarber Partners),
6.875%, 12/1/14 6,801,200
7,500 Little River County, AR,
(Georgia-Pacific), (AMT),
5.60%, 10/1/26 6,550,125
6,500 Los Angeles, CA, Regional Airports
Improvement Corp., (LAXFuel), (AMT),
6.50%, 1/1/32 6,533,215
5,000 McMinn County, TN, (Calhoun Newsprint -
Bowater, Inc.), (AMT), 7.40%, 12/1/22 5,129,600
10,000 Michigan Strategic Fund, (S.D. Warren),
7.375%, 1/15/22 10,360,900
15,000 Michigan Strategic Fund, (S.D. Warren),
(AMT), 7.375%, 1/15/22 15,541,350
3,500 Michigan Strategic Fund, (S.D. Warren),
(AMT), 7.375%, 1/15/22 3,626,315
3,625 Middleboro, MA, (Read Corp.),
9.50%, 10/1/10 3,753,832
10,885 New Jersey EDA, (Continental Airlines),
(AMT), Variable Rate, 9/15/29(3)(4) 9,085,818
17,000 New Jersey EDA, (Holt Hauling),
7.75%, 3/1/27 16,943,050
1,500 New Jersey EDA, (Holt Hauling), (AMT),
7.90%, 3/1/27 1,501,875
1,000 Ohio Solid Waste Revenue, (Republic
Engineered Steels), (AMT),
9.00%, 6/1/21 330,370
22,600 Peninsula Ports Authority, VA, (Zeigler
Coal), 6.90%, 5/2/22 18,589,178
10,000 Pennsylvania, IDA, (Sun Co.), (AMT),
7.60%, 12/1/24 10,633,600
2,585 Riverdale Village, IL, (ACME Metals),
(AMT), 7.90%, 4/1/24(5) 2,197,250
2,000 Riverdale Village, IL, (ACME Metals),
(AMT), 7.95%, 4/1/25 1,700,000
2,285 Savannah, GA, (Intercat-Savannah),
(AMT), 9.75%, 7/1/10 1,422,413
3,810 Savannah, GA, EDA, (Intercat-Savannah),
(AMT), 9.00%, 1/1/15 2,371,725
2,000 Skowhegan, ME, (S.D. Warren), (AMT),
6.65%, 10/15/15 1,935,540
3,500 Toole County, UT, (Laidlaw
Environmental), (AMT), 7.55%, 7/1/27 1,051,260
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Industrial Development Revenue (continued)
- ---------------------------------------------------------------------------
$ 18,500 Valdez, AK, (British Petroleum),
Variable Rate, 8/1/25(3)(4) $ 17,427,000
4,000 Yavapai County, AZ, IDA, (Citizens
Utilities), (AMT), 5.45%, 6/1/33 3,695,880
- ---------------------------------------------------------------------------
$ 234,108,549
- ---------------------------------------------------------------------------
Insured-Education -- 1.0%
- ---------------------------------------------------------------------------
$ 7,500 Massachusetts IFA, (Tufts University),
(MBIA), 4.75%, 2/15/28 $ 6,316,875
12,000 Virginia College Building Authority,
(Washington and Lee University), (MBIA),
5.25%, 1/1/31 11,146,080
- ---------------------------------------------------------------------------
$ 17,462,955
- ---------------------------------------------------------------------------
Insured-Electric Utilities -- 4.3%
- ---------------------------------------------------------------------------
$ 10,000 Brazos River Authority, TX, (Houston
Lighting and Power), (AMBAC), (AMT),
5.05%, 11/1/18 $ 8,938,800
10,000 Intermountain Power Agency, UT, (MBIA),
6.00%, 7/1/16 10,290,300
10,000 Los Angeles, CA, Department of Water and
Power, (MBIA), 5.00%, 10/15/33 8,816,500
12,500 Matagorda County, TX, Navigation
District, (Houston Lighting), (AMBAC),
(AMT), 5.125%, 11/1/28 11,117,125
16,000 Piedmont, SC, Municipal Power Agency,
(MBIA), 4.75%, 1/1/25 13,427,840
16,500 Sacramento, CA, Municipal Utility
District, (MBIA), Variable Rate,
11/15/15(3) 16,335,000
15,350 South Carolina Public Services, (FGIC),
Variable Rate, 1/1/25(3)(4) 11,339,813
- ---------------------------------------------------------------------------
$ 80,265,378
- ---------------------------------------------------------------------------
Insured-General Obligations -- 1.2%
- ---------------------------------------------------------------------------
$ 14,000 Chicago, IL, Board of Education, (FGIC),
0.00%, 12/1/29 $ 2,327,780
3,950 Umatilla County, OR, School District No.
008R, (MBIA), Variable Rate,
6/15/14(3)(4) 3,574,118
10,000 University of Vermont and State
Agricultural College, (MBIA),
4.75%, 10/1/38 8,187,800
10,000 West Virginia, (FGIC), 4.50%, 6/1/23 8,194,300
- ---------------------------------------------------------------------------
$ 22,283,998
- ---------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Insured-Health Care Miscellaneous -- 0.2%
- ---------------------------------------------------------------------------
$ 3,500 Massachusetts HEFA, (Harvard Pilgrim
Health), (FSA), 5.00%, 7/1/28 $ 2,909,830
- ---------------------------------------------------------------------------
$ 2,909,830
- ---------------------------------------------------------------------------
Insured-Hospital -- 1.2%
- ---------------------------------------------------------------------------
$ 15,210 Maryland HEFA, (Medlantic/Helix Issue),
(AMBAC), 5.25%, 8/15/38 $ 13,981,793
8,925 Tyler, TX, Health Facility Development
Corp., (East Texas Medical Center),
(FSA), 5.375%, 11/1/27 8,211,714
- ---------------------------------------------------------------------------
$ 22,193,507
- ---------------------------------------------------------------------------
Insured-Housing -- 0.4%
- ---------------------------------------------------------------------------
$ 7,525 SCA Multifamily Mortgage, Industrial
Development Board, Hamilton County, TN,
(FSA), (AMT), 7.35%, 1/1/30 $ 8,027,670
- ---------------------------------------------------------------------------
$ 8,027,670
- ---------------------------------------------------------------------------
Insured-Industrial Development Revenue -- 0.6%
- ---------------------------------------------------------------------------
$ 11,950 Chicago, IL, (The Peoples Gas Light and
Coke), (AMBAC), (AMT), Variable Rate,
12/1/23(3)(4) $ 11,285,819
- ---------------------------------------------------------------------------
$ 11,285,819
- ---------------------------------------------------------------------------
Insured-Special Tax Revenue -- 2.1%
- ---------------------------------------------------------------------------
$ 4,500 Pennsylvania Turnpike Commission Oil
Franchise, (AMBAC), Variable Rate,
12/1/27(3)(4) $ 3,063,960
3,415 Regional Transportation Authority, LA,
(FGIC), 0.00%, 12/1/12 1,721,809
10,935 Regional Transportation Authority, LA,
(FGIC), 0.00%, 12/1/15 4,547,210
10,000 Regional Transportation Authority, LA,
(FGIC), 0.00%, 12/1/21 2,807,300
20,000 South Orange County, CA, Public
Financing Authority, (FGIC),
Variable Rate, 8/15/15(3) 19,375,000
7,000 Utah Municipal Finance Corp., Local
Government Revenue, (FSA),
0.00%, 3/1/10 4,122,860
6,000 Utah Municipal Finance Corp., Local
Government Revenue, (FSA),
0.00%, 3/1/11 3,332,400
- ---------------------------------------------------------------------------
$ 38,970,539
- ---------------------------------------------------------------------------
Insured-Transportation -- 4.3%
- ---------------------------------------------------------------------------
$ 20,930 Central Puget Sound, WA, Transportation
Authority, (FGIC), 4.75%, 2/1/28 $ 17,532,642
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Insured-Transportation (continued)
- ---------------------------------------------------------------------------
$ 12,000 Florida Turnpike Authority, (FSA),
4.50%, 7/1/28 $ 9,770,160
8,750 Manchester Airport, NH, (MBIA),
4.50%, 1/1/28 7,020,913
20,000 Metropolitan Atlanta Rapid
Transportation Authority, GA, (MBIA),
Variable Rate, 7/1/20(3)(4) 16,631,800
14,400 Metropolitan Washington, DC Airport
Authority, (MBIA), Variable Rate,
4/1/21(3)(4) 13,980,816
10,000 Ohio Turnpike Commission, (FGIC),
4.50%, 2/15/24 8,224,200
8,000 Ohio Turnpike Commission, (FGIC),
4.75%, 2/15/28 6,757,200
- ---------------------------------------------------------------------------
$ 79,917,731
- ---------------------------------------------------------------------------
Insured-Water and Sewer -- 3.8%
- ---------------------------------------------------------------------------
$ 1,360 California Water Resources, (Central
Valley), (FGIC), Variable Rate, 12/1/22 $ 1,360,000
20,980 Chicago, IL, Wastewater Transmission,
(MBIA), 0.00%, 1/1/26 4,442,935
14,000 Fulton County, GA, Water and Sewer,
(FGIC), 4.75%, 1/1/28 11,830,280
7,150 Harrisburg, PA, Water Revenue Bonds,
(FGIC), Variable Rate, 8/11/16(3) 6,399,250
11,645 King County, WA, Sewer, (FGIC),
5.25%, 1/1/35 10,538,958
23,015 New York City, NY, Municipal Water
Finance Authority, (Water and Sewer
System), (FGIC), 4.75%, 6/15/31 19,172,646
9,000 Tampa Bay, FL, Water Utilitiy System,
(FGIC), 4.75%, 10/1/27 7,677,180
10,500 Upper Occoquan Sewer Authority, VA,
(MBIA), 4.75%, 7/1/29 8,819,685
- ---------------------------------------------------------------------------
$ 70,240,934
- ---------------------------------------------------------------------------
Lease Revenue/Certificates of Participation -- 0.4%
- ---------------------------------------------------------------------------
$ 6,645 Hardeman County, TN, (Correctional
Facilities Corp.), 7.75%, 8/1/17 $ 6,839,300
- ---------------------------------------------------------------------------
$ 6,839,300
- ---------------------------------------------------------------------------
Miscellaneous -- 0.6%
- ---------------------------------------------------------------------------
$ 5,520 American Samoa Economic Development
Authority, (Executive Office Building),
10.125%, 9/1/08 $ 5,658,883
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
16
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Miscellaneous (continued)
- ---------------------------------------------------------------------------
$ 10,200 Orange County, NC, (Community Activity
Corp.), 8.00%, 3/1/24(1) $ 4,590,000
1,600 Pittsfield Township, MI, EDC, (Arbor
Hospice), 7.875%, 8/15/27 1,541,696
- ---------------------------------------------------------------------------
$ 11,790,579
- ---------------------------------------------------------------------------
Nursing Home -- 7.4%
- ---------------------------------------------------------------------------
$ 12,970 Bell County, TX, (Riverside Healthcare,
Inc. - Normandy Terrace), 9.00%, 4/1/23 $ 14,523,287
3,260 Collier County, FL, IDA, (Beverly
Enterprises), 10.75%, 3/1/03,
10.75%, 3/1/03 3,454,394
4,885 Delaware County, PA, (Mainline -
Haverford Nursing and Rehabilitation
Centers), 9.00%, 8/1/22 5,333,199
2,150 Hillsborough County, FL, IDA, (Tampa Bay
Retirement Center), 0.00%, 6/1/25 1,071,904
10,085 Hillsborough County, FL, IDA, (Tampa Bay
Retirement Center), 7.00%, 6/1/25 9,237,356
10,000 Indianapolis, IN, (National Benevolent
Association - Robin Run Village),
7.625%, 10/1/22 10,395,500
3,475 Lackawanna County, PA, IDA, (Edella
Street Associates), 8.875%, 9/1/14 3,670,504
2,660 Luzerne County, PA, IDA, (River Street
Associates), 8.75%, 6/15/07 2,797,735
13,250 Massachusetts IFA, (Age Institute of
Massachusetts), 8.05%, 11/1/25 13,837,638
11,755 Mississippi Business Finance Corp.,
(Magnolia Healthcare), 7.99%, 7/1/25 11,800,257
6,750 Missouri HEFA, (Bethesda Health Group of
Saint Louis, Inc.), 6.625%, 8/15/05 6,843,758
14,000 Missouri HEFA, (Bethesda Health Group of
Saint Louis, Inc.), 7.50%, 8/15/12 14,806,820
12,370 Montgomery, PA, IDA, (Advancement of
Geriatric Health Care Institute),
8.375%, 7/1/23 12,943,721
4,885 New Jersey EDA, (Claremont Health
System, Inc.), 9.10%, 9/1/22 5,221,235
5,915 New Jersey EDA, (Victoria Health Corp.),
7.75%, 1/1/24 6,101,441
3,500 Orange County, FL, Health Facilities
Authority, (Westminster Community Care),
6.75%, 4/1/34 3,131,835
4,805 Sussex County, DE, (Delaware Health
Corp.), 7.50%, 1/1/14 4,826,334
4,900 Sussex County, DE, (Delaware Health
Corp.), 7.60%, 1/1/24 4,937,583
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Nursing Home (continued)
- ---------------------------------------------------------------------------
$ 2,440 Westmoreland, PA, (Highland Health
Systems, Inc.), 9.25%, 6/1/22 $ 2,610,727
- ---------------------------------------------------------------------------
$ 137,545,228
- ---------------------------------------------------------------------------
Senior Living / Life Care -- 3.6%
- ---------------------------------------------------------------------------
$ 14,700 Albuquerque, NM, Retirement Facilities,
(La Vida Liena Retirement Center),
5.75%, 12/15/28 $ 11,805,570
10,000 Albuquerque, NM, Retirement Facilities,
(La Vida Liena Retirement Center),
6.60%, 12/15/28 8,712,600
12,435 De Kalb County, GA, Private Hospital
Authority, (Atlanta, Inc.),
8.50%, 3/1/25(5) 6,217,500
15,000 Louisiana HFA, (HCC Assisted Living
Group 1), (AMT), 9.00%, 3/1/25 15,856,500
12,375 North Miami, FL, Health Facilities
Authority, (Imperial Club),
6.75%, 1/1/33 10,714,028
800 North Miami, FL, Health Facilities
Authority, (Imperial Club),
9.00%, 1/1/12 803,400
5,405 Ridgeland, MS, Urban Renewal, (The
Orchard), 7.75%, 12/1/15 5,533,639
2,565 South Dakota HEFA, (Prairie Lakes Health
Care), 7.25%, 4/1/22 2,608,041
4,000 Wisconsin HEFA, (Wisconsin Illinois
Senior Housing), 7.00%, 8/1/29 3,750,080
640 Wisconsin HEFA, (Wisconsin Illinois
Senior Housing), 8.00%, 8/1/02,
8.00%, 8/1/02 633,517
- ---------------------------------------------------------------------------
$ 66,634,875
- ---------------------------------------------------------------------------
Special Tax Revenue -- 1.2%
- ---------------------------------------------------------------------------
$ 7,450 Lincoln, CA, Public Financing Authority,
Improvement Bond Act 1915, (Twelve
Bridges), 6.20%, 9/2/25 $ 7,108,418
10,000 New York LGAC, 5.00%, 4/1/21 9,143,500
5,125 University Square Community Development
District, FL, 6.75%, 5/1/20 5,029,163
- ---------------------------------------------------------------------------
$ 21,281,081
- ---------------------------------------------------------------------------
Transportation -- 2.0%
- ---------------------------------------------------------------------------
$ 5,750 Connector 2000 Association, Inc., South
Carolina Toll Road, (Southern
Connector), 5.25%, 1/1/23 $ 4,385,698
4,735 Denver, CO, City and County Airport
Revenue, (AMT), 7.50%, 11/15/23 5,134,587
20,505 Massachusetts Turnpike Authority,
6.39%, 1/1/23(3)(4) 17,344,154
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
17
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------
Transportation (continued)
- ---------------------------------------------------------------------------
$ 9,500 Massachusetts Turnpike Authority,
6.869%, 1/1/20(3)(4) $ 8,071,770
3,000 Tri-County, OR, Metropolitan
Transportation District, Variable Rate,
8/1/19(3)(4) 2,501,400
- ---------------------------------------------------------------------------
$ 37,437,609
- ---------------------------------------------------------------------------
Water and Sewer -- 3.6%
- ---------------------------------------------------------------------------
$ 15,563 Atlanta, GA Water and Waste,
5.62%, 11/1/38(3)(4) $ 11,150,064
10,960 California Water Resources, (Central
Valley), Variable Rate, 12/1/24(3)(4) 9,550,215
10,135 California Water Resources, (Central
Valley), Variable Rate, 12/1/28(3)(4) 8,215,532
10,000 De Kalb County, GA, (Water and Sewer),
5.00%, 10/1/28 8,822,900
10,000 Houston, TX, Water and Sewer System,
4.75%, 12/1/24 8,474,400
7,150 Jacksonville, FL, (Water and Sewer),
5.375%, 10/1/29 6,727,864
1,805 Metropolitan Southern California
Waterworks, 3.05%, 7/1/21 1,805,000
9,400 Metropolitan Southern California
Waterworks, Variable Rate, 7/1/21(2)(4) 6,514,388
7,000 Metropolitan Water District, (Southern
California Waterworks), Variable Rate,
7/1/27(2)(4) 4,851,490
- ---------------------------------------------------------------------------
$ 66,111,853
- ---------------------------------------------------------------------------
Total Tax-Exempt Investments -- 97.9%
(identified cost $1,821,957,054) $1,813,119,381
- ---------------------------------------------------------------------------
Other Assets, Less Liabilities -- 2.1% $ 39,460,366
- ---------------------------------------------------------------------------
Net Assets -- 100.0% $1,852,579,747
- ---------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
At March 31, 2000, the concentration of the Portfolio's investments in
the various states, determined as a percentage of net assets, is
as follows:
<TABLE>
<S> <C>
California 12.8%
Others, representing less than 10% individually 85.1%
</TABLE>
The Portfolio invests primarily in debt securities issued by municipali-
ties. 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, 2000, 18.6% 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 2.0% to 7.7% of total investments.
(1) Non-income producing security.
(2) Security has been issued as a leveraged inverse floater bond.
(3) Security has been issued as an inverse floater bond.
(4) 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.
(5) The Portfolio is accruing only partial interest on this security.
SEE NOTES TO FINANCIAL STATEMENTS
18
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF MARCH 31, 2000
<S> <C>
Assets
- --------------------------------------------------------------------------------------
Investments, at value (identified cost, $1,821,957,054) $1,813,119,381
Cash 5,803,329
Receivable for investments sold 6,759,028
Interest receivable 33,629,106
- --------------------------------------------------------------------------------------
TOTAL ASSETS $1,859,310,844
- --------------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------------
Payable for investments purchased $ 6,710,830
Accrued expenses 20,267
- --------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 6,731,097
- --------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO $1,852,579,747
- --------------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $1,861,417,420
Net unrealized depreciation (computed on the basis of
identified cost) (8,837,673)
- --------------------------------------------------------------------------------------
TOTAL $1,852,579,747
- --------------------------------------------------------------------------------------
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED
MARCH 31, 2000
<S> <C>
Investment Income
- ------------------------------------------------------------------------------------
Interest $ 68,343,100
- ------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 68,343,100
- ------------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------------
Investment adviser fee $ 4,362,077
Trustees fees and expenses 16,493
Legal and accounting services 62,077
Miscellaneous 135,283
- ------------------------------------------------------------------------------------
TOTAL EXPENSES $ 4,575,930
- ------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 63,767,170
- ------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- ------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $(20,808,631)
- ------------------------------------------------------------------------------------
NET REALIZED LOSS $(20,808,631)
- ------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $(32,483,222)
- ------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $(32,483,222)
- ------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED LOSS $(53,291,853)
- ------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 10,475,317
- ------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
19
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
INCREASE (DECREASE) MARCH 31, 2000 YEAR ENDED
IN NET ASSETS (UNAUDITED) SEPTEMBER 30, 1999
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 63,767,170 $ 136,988,870
Net realized gain (loss) (20,808,631) 31,760,688
Net change in unrealized appreciation (depreciation) (32,483,222) (280,608,085)
- ------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 10,475,317 $ (111,858,527)
- ------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 112,769,634 $ 375,986,994
Withdrawals (396,210,017) (478,708,432)
- ------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM CAPITAL TRANSACTIONS $ (283,440,383) $ (102,721,438)
- ------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $ (272,965,066) $ (214,579,965)
- ------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------
At beginning of period $ 2,125,544,813 $ 2,340,124,778
- ------------------------------------------------------------------------------------------------------------
AT END OF PERIOD $ 1,852,579,747 $ 2,125,544,813
- ------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
20
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 2000 ----------------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------------
Ratios (As a percentage of
average daily net assets):
Expenses 0.47%(1) 0.45% 0.45% 0.52% 0.49% 0.50%
Expenses after custodian
fee reduction 0.47%(1) 0.43% 0.43% 0.52% 0.48% 0.49%
Net investment income 6.52%(1) 5.92% 5.93% 6.51% 6.65% 7.00%
Portfolio Turnover 24% 60% 28% 17% 19% 54%
- ------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $1,852,580 $2,125,545 $2,340,125 $2,181,615 $2,212,478 $2,260,646
- ------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
21
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
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 accretion of 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 and delayed delivery transactions. The Portfolio records
when-issued securities on trade date and maintains security positions such
that sufficient liquid assets will be available to make payments for the
securities purchased. Securities purchased on a when-issued or delayed
delivery basis are marked-to-market daily and begin earning interest on
settlement date.
H Use of Estimates -- The preparation of the financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts
of income and expense during the reporting period. Actual results could
differ from those estimates.
22
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
I Other -- Investment transactions are accounted for on a trade date basis.
Realized gains and losses are computed based on the specific identification
of the securities sold.
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 reported as a reduction of
total expenses in the Statement of Operations.
K Interim Financial Statements -- The interim financial statements relating to
March 31, 2000 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, 2000, the fee was equivalent
to 0.42% of the Portfolio's average daily net assets for such period and
amounted to $4,362,077. 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, 2000, no significant
amounts have been deferred.
Certain officers and Trustees of the Portfolio are officers of the above
organizations.
3 Investments
- -------------------------------------------
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, aggregated $462,381,904 and $726,994,623,
respectively, for the six months ended March 31, 2000.
4 Federal Income Tax Basis of Investments
- -------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned at March 31, 2000 as computed on a federal income tax
basis, were as follows:
<TABLE>
<S> <C>
AGGREGATE COST $ 1,821,957,054
---------------------------------------------------------
Gross unrealized appreciation $ 85,574,546
Gross unrealized depreciation (94,412,219)
---------------------------------------------------------
NET UNREALIZED DEPRECIATION $ (8,837,673)
---------------------------------------------------------
</TABLE>
5 Line of Credit
- -------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR and
EVM and its affiliates in a $150 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, 2000.
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 a Portfolio has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
At March 31, 2000, there were no outstanding obligations under these
financial instruments.
23
<PAGE>
EATON VANCE NATIONAL MUNICIPALS FUND AS OF MARCH 31, 2000
INVESTMENT MANAGEMENT
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
Trustees
Jessica M. Bibliowicz
President and Chief Executive Officer,
National Financial Partner
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
Jack L. Treynor
Investment Adviser and Consultant
24
