<PAGE>
Alabama Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Electric Utilities -- 0.7%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 BBB+ $ 500 Puerto Rico Electric Power
Authority, 6.38%, 7/1/24 $ 544,675
Baa1 BBB+ 180 Puerto Rico Electric Power
Authority, 7.00%, 7/1/07 192,544
- --------------------------------------------------------------------------------
$ 737,219
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 4.7%
- --------------------------------------------------------------------------------
NR BBB $ 350 Gadsen East, AL Medical
Clinic Board (Baptist
Hospital), 7.60%, 11/1/08 $ 397,712
NR BBB 2,000 Gadsen East, AL Medical
Clinic Board (Baptist
Hospital), 7.80%, 11/1/21 2,287,740
Baa1 BBB+ 320 Puerto Rico Electric Power
Authority, 7.00%, 7/1/07 341,325
A1 NR 1,600 University of Alabama
Birmingham Medical and
Educational Foundation
Housing, 7.00%, 12/1/19 1,727,152
- --------------------------------------------------------------------------------
$ 4,753,929
- --------------------------------------------------------------------------------
Hospitals -- 13.7%
- --------------------------------------------------------------------------------
Aa AA $1,250 Alabama Special Care
(Daughters of Charity),
5.00%, 11/1/25 $ 1,140,938
NR BBB 3,000 Alexander City, AL Special
Care (Russell Hospital),
6.00%, 12/1/22 3,046,740
Baa3 BBB- 1,000 Baldwin County, AL (Thomas
Hospital), 6.75%, 4/1/21 1,077,270
Baa3 NR 1,000 Cullman, AL Medical Clinic
Board (Cullman Regional
Medical Center), 6.50%,
2/15/23 1,031,810
A3 NR 3,550 Jasper, AL Medical Clinic
Board (Walker Regional
Medical Center), 6.38%,
7/1/18/(1)/ 3,646,630
A3 NR 1,000 Jasper, AL Medical Clinic
Board (Walker Regional
Medical Center), 6.40%,
7/1/11 1,034,290
Baa3 BBB 2,000 Marshall, AL
(Boaz-Albertville Medical
Center), 7.00%, 1/1/20 2,156,020
A A- 745 Montgomery, AL Medical
Clinic Board (Jackson
Hospital), 7.00%, 3/1/15 791,384
- --------------------------------------------------------------------------------
$ 13,925,082
- --------------------------------------------------------------------------------
Industrial Development Revenue/Pollution
Control Revenue -- 13.4%
- --------------------------------------------------------------------------------
A2 NR $1,000 Commonwealth of Puerto
Rico Industrial, Medical
and Environmental
Pollution Control Facility
Finance Authority
(American Home Products),
5.10%, 12/1/18 $ 961,040
Baa1 BBB 1,200 Courtland, AL (Champion
International Corporation),
7.20%, 12/1/13 1,330,440
Baa1 BBB 2,000 Courtland, AL (Champion
International Corporation),
(AMT), 6.50%, 9/1/25 2,127,000
Baa1 BBB 800 Courtland, AL (Champion
International Corporation),
(AMT), 7.00%, 6/1/22 866,432
Baa3 BBB- 2,000 Mobile, AL (Mobile Energy),
6.95%, 1/1/20 2,178,280
Baa3 BBB- 2,780 Puerto Rico Port Authority
(American Airlines),
6.25%, 6/1/26 2,954,278
A3 A- 1,000 Selma, AL Solid Waste
Disposal, (AMT), 6.00%,
12/1/17 1,015,030
A2 A+ 2,000 Tallahassee, AL (United
Tech), 6.10%, 8/1/14 2,116,280
- --------------------------------------------------------------------------------
$ 13,548,780
- --------------------------------------------------------------------------------
Insured-Education -- 7.5%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Alabama A&M University
(MBIA), 6.38%, 11/1/09 $ 1,092,730
Aaa AAA 4,000 University of Alabama
Student Housing (MBIA),
5.00%, 6/1/16 3,816,959
Aaa AAA 2,770 University of South
Alabama Tuition (AMBAC),
5.00%, 11/15/15 2,673,466
- --------------------------------------------------------------------------------
$ 7,583,155
- --------------------------------------------------------------------------------
Insured-Electric Utilities -- 2.4%
- --------------------------------------------------------------------------------
Aaa AAA $2,000 Columbia, AL (AL Power)
(AMBAC), 6.50%, 9/1/23 $ 2,119,620
</TABLE>
See notes to financial statements
47
<PAGE>
Alabama Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Electric Utilities (continued)
- ---------------------------------------------------------------------------
Aaa AAA $ 250 Commonwealth of Puerto
Rico Electric Power
Authority STRIPES (FSA),
Variable Rate, 7/1/03 /(2)/ $ 279,063
- ---------------------------------------------------------------------------
$ 2,398,683
- ---------------------------------------------------------------------------
Insured-General Obligations -- 12.3%
- ---------------------------------------------------------------------------
Aaa AAA $3,000 Daphne, AL (AMBAC),
5.13%, 4/1/17 $ 2,876,370
Aaa AAA 250 Fairfield City, AL
(AMBAC), 6.30%, 6/1/22 270,968
Aaa AAA 1,400 Greenville, AL (AMBAC),
5.25%, 12/1/21 1,358,784
Aaa AAA 1,000 Hamilton, AL (MBIA),
5.25%, 8/1/22 970,210
Aaa AAA 2,065 Hoover, AL (AMBAC),
5.00%, 3/1/20 1,942,773
Aaa AAA 3,250 Madison, AL School
Warrants (MBIA), 6.00%,
2/1/24 3,411,785
Aaa AAA 1,000 North Port, AL (AMBAC),
5.70%, 3/1/21 1,024,620
Aaa AAA 500 Troy City, AL (CAPG),
6.60%, 6/1/12 552,500
- ---------------------------------------------------------------------------
$ 12,408,010
- ---------------------------------------------------------------------------
Insured-Hospitals -- 9.9%
- ---------------------------------------------------------------------------
Aaa AAA $1,810 Bessemer, AL Medical
Clinic Board (MBIA),
6.00%, 5/15/19 $ 1,894,292
Aaa AAA 2,000 Birmingham, AL Special Tax
Care Facilities Authority
(Children's Hospital)
(MBIA), 5.38%, 6/1/17 1,979,420
Aaa AAA 2,000 Huntsville, AL Health Care
Facilities (MBIA), 6.50%,
6/1/13 2,228,440
Aaa AAA 2,500 Montgomery, AL Special Tax
Care Facilities Authority,
(Baptist Medical Center)
(FSA), 5.38%, 9/1/22 /(3)/ 2,451,150
Aaa AAA 1,500 University of Alabama
Hospital Revenue -
Birmingham (MBIA), 5.00%,
10/1/14 1,449,750
- ---------------------------------------------------------------------------
$ 10,003,052
- ---------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of
Participation -- 0.9%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 Puerto Rico Public
Buildings Authority
(AMBAC), 5.00%, 7/1/27 $ 946,620
- ---------------------------------------------------------------------------
$ 946,620
- ---------------------------------------------------------------------------
Insured-Miscellaneous -- 5.3%
- ---------------------------------------------------------------------------
Aaa AAA $4,500 Alabama State Docks
Department (MBIA), (AMT),
6.30%, 10/1/21 $ 4,780,259
Aaa AAA 1,825 Birmingham Jefferson, AL
Civic Center Authority
(MBIA), 0.00%, 9/1/18 574,364
- ---------------------------------------------------------------------------
$ 5,354,623
- ---------------------------------------------------------------------------
Insured-Solid Waste -- 4.6%
- ---------------------------------------------------------------------------
Aaa AAA $ 350 Huntsville, AL Solid Waste
Disposal (FGIC), (AMT),
7.00%, 10/1/08 $ 379,456
Aaa AAA 4,000 Huntsville, AL Solid Waste
Disposal (FGIC), (AMT),
7.00%, 10/1/14 4,318,599
- ---------------------------------------------------------------------------
$ 4,698,055
- ---------------------------------------------------------------------------
Insured-Transportation -- 1.0%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 Huntsville-Madison County
Airport, AL (AMT), (MBIA),
5.40%, 7/1/19 $ 974,900
- ---------------------------------------------------------------------------
$ 974,900
- ---------------------------------------------------------------------------
Insured-Water and Sewer -- 18.1%
- ---------------------------------------------------------------------------
Aaa AAA $1,500 Alabama Water Pollution
Control Authority (AMBAC),
5.00%, 8/15/15 $ 1,424,910
Aaa AAA 2,050 Bessemer, AL Water
(AMBAC), 5.75%, 7/1/26 2,099,672
Aaa AAA 1,000 Fort Payne, AL Waterworks
Board (MBIA), 5.25%, 7/1/26 962,580
Aaa AAA 2,000 Jefferson County, AL Sewer
Revenue (FGIC), 5.38%,
2/1/27 1,966,520
Aaa AAA 3,075 Prichard, AL Water and
Sewer (AMBAC), 6.13%,
11/15/14 3,266,911
Aaa AAA 6,000 Scottsboro, AL Water, Sewer
and Gas (AMBAC), 6.50%,
12/1/14 /(4)/ 6,654,419
</TABLE>
See notes to financial statements
48
<PAGE>
Alabama Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Water and Sewer (continued)
- --------------------------------------------------------------------------
Aaa AAA $ 750 West Morgan-East Lawrence,
AL Water Authority (FGIC),
6.00%, 5/1/22 $ 772,028
Aaa AAA 1,000 West Morgan-East Lawrence,
AL Water Authority (FSA),
6.85%, 8/15/25 1,147,600
- --------------------------------------------------------------------------
$ 18,294,640
- --------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 0.5%
- --------------------------------------------------------------------------
NR BBB $ 500 Puerto Rico (Guaynabo
Municipal Government
Center Lease),
5.63%, 7/1/22 $ 493,700
- --------------------------------------------------------------------------
$ 493,700
- --------------------------------------------------------------------------
Miscellaneous -- 0.1%
- --------------------------------------------------------------------------
A A $ 100 Tennessee Valley, AL
Exhibit Commission, 6.70%,
6/1/10 $ 110,480
- --------------------------------------------------------------------------
$ 110,480
- --------------------------------------------------------------------------
Nursing Homes -- 1.0%
- --------------------------------------------------------------------------
NR NR $ 325 Fairhope, AL Midtown
Medical Clinic Board
(Beverly Enterprises),
6.38%, 6/1/09 $ 325,764
NR NR 670 Mobile, AL Midtown Medical
Clinic Board (Beverly
Enterprises),
7.00%, 4/1/07 681,377
- --------------------------------------------------------------------------
$ 1,007,141
- --------------------------------------------------------------------------
Special Tax Revenue -- 0.3%
- --------------------------------------------------------------------------
NR NR $ 250 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 $ 278,275
- --------------------------------------------------------------------------
$ 278,275
- --------------------------------------------------------------------------
Transportation -- 2.1%
- --------------------------------------------------------------------------
NR BBB $2,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 2,138,500
- --------------------------------------------------------------------------
$ 2,138,500
- --------------------------------------------------------------------------
Water and Sewer -- 1.5%
- --------------------------------------------------------------------------
NR NR $1,500 Moulton City, AL Water,
6.30%, 1/1/18 $ 1,536,075
- --------------------------------------------------------------------------
$ 1,536,075
- --------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $94,504,048) $ 101,190,919
- --------------------------------------------------------------------------
</TABLE>
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 Alabama
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 August 31, 1997, 61.9% of securities in the
portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate
percentage by financial institution ranged from 0.6% to 26.4% of total
investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
/(3)/ When-issued security.
/(4)/ Security (or a portion thereof) has been segregated to cover when-issued
securities.
See notes to financial statements
49
<PAGE>
Arkansas Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Colleges and Universities -- 4.6%
- --------------------------------------------------------------------------
NR A+ $2,750 Conway, AR Public
Facilities Board Capital
Improvement (Hendrix
College), 6.00%, 10/1/26 $ 2,845,177
- --------------------------------------------------------------------------
$ 2,845,177
- --------------------------------------------------------------------------
Electric Utilities -- 6.4%
- --------------------------------------------------------------------------
A NR $1,000 Conway, AR Electric, 5.70%,
8/1/09 $ 1,032,740
NR NR 1,000 Guam Power Authority,
5.25%, 10/1/23 947,000
Baa2 BBB- 750 Jefferson, AR Pollution
Control (AR Power and
Light), 6.13%, 10/1/07 750,285
Baa2 BBB 550 Jefferson, AR Pollution
Control (AR Power and
Light), 6.30%, 6/1/18 581,565
Baa2 BBB 500 Pope County, AR Pollution
Control (AR Power and
Light), 6.30%, 12/1/16 528,695
Baa1 BBB+ 500 Puerto Rico Electric Power
0.00%, 7/1/17 167,800
- --------------------------------------------------------------------------
$ 4,008,085
- --------------------------------------------------------------------------
Escrowed/Prerefunded -- 1.0%
- --------------------------------------------------------------------------
Aaa AAA $ 500 Harrison, AR Residential
Housing Facility Board
Single Family Mortgage
(FGIC), 7.40%, 9/1/11 $ 612,690
- --------------------------------------------------------------------------
$ 612,690
- --------------------------------------------------------------------------
General Obligations -- 2.9%
- --------------------------------------------------------------------------
Aa3 AA $ 750 Arkansas State College
Savings, 0.00%, 6/1/13 $ 320,235
Aa3 AA 2,750 Arkansas State College
Savings, 0.00%, 6/1/14 1,103,410
Aa3 AA 1,000 Arkansas State College
Savings, 0.00%, 6/1/14 401,240
- --------------------------------------------------------------------------
$ 1,824,885
- --------------------------------------------------------------------------
Hospitals -- 16.1%
- --------------------------------------------------------------------------
Aa1 AA+ $1,750 Arkansas Development
Finance Authority Health
Care Facilities (Sisters of
Mercy), 5.00%, 6/1/19 $ 1,652,350
Baa2 NR 700 Baxter, AR Hospital
Improvement, 7.25%, 9/1/07 757,687
Baa2 NR 750 Baxter, AR Hospital
Improvement, 7.50%, 9/1/21 815,460
NR A 1,000 Little Rock, AR Health
Facilities Board (Baptist
Medical Center-Parkway
Village), 7.00%, 10/1/17 1,084,540
NR A+ 550 Little Rock, AR Health
Facilities Board Healthcare
(Baptist Medical Center),
5.50%, 9/1/15 547,509
NR A+ 1,125 Little Rock, AR Health
Facilities Board Hospital
(Baptist Medical Center),
6.80%, 11/1/05 1,270,575
NR BBB 1,500 Paragould, AR Hospital,
6.38%, 10/1/17 1,574,865
NR A- 2,250 Pulaski County, AR
Hospitals (Children's
Hospital), 6.20%, 3/1/22 2,336,288
- --------------------------------------------------------------------------
$10,039,274
- --------------------------------------------------------------------------
Housing -- 11.0%
- --------------------------------------------------------------------------
A NR $3,000 Arkansas Development
Finance Authority Compound
Accretion, 0.00%, 12/1/11 $ 1,050,780
NR AAA 1,260 Arkansas Development
Finance Authority Single
Family Mortgage (GNMA),
(AMT), 5.80%, 6/1/25 1,267,258
NR AAA 990 Arkansas Development
Finance Authority Single
Family Mortgage (GNMA),
(AMT), 7.45%, 1/1/27 1,084,515
NR AAA 3,270 Arkansas Development
Finance Authority Single
Family Mortgage
(GNMA/FNMA), (AMT),
6.70%, 7/1/27 3,470,352
- --------------------------------------------------------------------------
$ 6,872,905
- --------------------------------------------------------------------------
Industrial Development Revenue/Pollution
Control Revenue -- 17.0%
- --------------------------------------------------------------------------
NR A- $ 750 Arkansas State Development
Finance Authority Economic
Development, (AMT), 6.00%,
10/1/11 $ 772,178
Baa2 BBB+ 2,350 Baxter, AR (Aeroquip
Corporation), 5.80%, 10/1/13 2,439,300
</TABLE>
See notes to financial statements
50
<PAGE>
Arkansas Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Industrial Development Revenue / Pollution Control
Revenue (continued)
- ---------------------------------------------------------------------------
A1 AA- $2,500 Blytheville, AR Solid Waste
Recycling and Sewer
Treatment (Nucor
Corporation), (AMT),
6.90%, 12/1/21 $ 2,702,775
A3 A- 735 Gurdon, AR Pollution
Control (International
Paper), 5.75%, 2/1/08 735,228
A1 A+ 1,000 Jonesboro, AR (Anheuser-
Busch), 6.50%, 11/15/12 1,079,270
A3 A- 775 Pine Bluff, AR Solid Waste
Disposal (International
Paper), (AMT), 5.55%, 10/1/17 773,373
Baa3 BBB- 1,990 Puerto Rico Port Authority
(American Airlines), (AMT),
6.30%, 6/1/23 2,093,062
- ---------------------------------------------------------------------------
$10,595,186
- ---------------------------------------------------------------------------
Insured-Education -- 0.9%
- ---------------------------------------------------------------------------
Aaa AAA $ 500 University of Central
Arkansas (AMBAC), 6.13%,
4/1/26 $ 535,165
- ---------------------------------------------------------------------------
$ 535,165
- ---------------------------------------------------------------------------
Insured-Electric Utilities -- 9.3%
- ---------------------------------------------------------------------------
Aaa AAA $ 450 Commonwealth of Puerto Rico
Electric Power Authority
STRIPES (FSA), Variable
Rate, 7/1/03 /(1)/ $ 502,313
Aaa AAA 250 North Little Rock, AR
Electric System (MBIA),
6.50%, 7/1/10 286,220
Aaa AAA 3,390 North Little Rock, AR
Electric System (MBIA),
6.50%, 7/1/15 /(2)/ 3,887,278
Aaa AAA 1,000 West Memphis, AR Public
Utilities System (MBIA),
6.60%, 1/1/09 1,101,480
- ---------------------------------------------------------------------------
$ 5,777,291
- ---------------------------------------------------------------------------
Insured-Hospitals -- 5.9%
- ---------------------------------------------------------------------------
Aaa AAA $2,610 Jonesboro, AR Residential
Housing and Health Care
Facilities Board Hospital
(Saint Bernard Regional
Medical Center) (AMBAC),
5.90%, 7/1/16 $ 2,713,616
Aaa AAA 400 Saline County, AR
Retirement Housing and
Healthcare Facilities Board
(Evan Lutheran Good
Samaritan) (AMBAC), 5.80%,
5/1/11 419,708
Aaa AAA 500 Saline County, AR
Retirement Housing and
Healthcare Facilities Board
(Evan Lutheran Good
Samaritan) (AMBAC), 6.00%,
6/1/18 519,075
- ---------------------------------------------------------------------------
$ 3,652,399
- ---------------------------------------------------------------------------
Insured-Transportation -- 0.8%
- ---------------------------------------------------------------------------
Aaa AAA $ 500 Little Rock, AR Municipal
Airport (MBIA), 6.00%,
11/1/14 $ 517,210
- ---------------------------------------------------------------------------
$ 517,210
- ---------------------------------------------------------------------------
Insured-Water and Sewer -- 5.6%
- ---------------------------------------------------------------------------
Aaa AAA $1,500 Arkansas Development
Finance Authority
Wastewater System (MBIA),
5.00%, 6/1/15 $ 1,448,505
Aaa AAA 1,250 Arkansas Development
Finance Authority
Wastewater System (MBIA),
5.40%, 12/1/15 1,256,663
Aaa AAA 300 Beaver, AR Water District
(MBIA), 5.85%, 11/15/08 317,487
Aaa NR 500 Texarkana, AR Water and
Sewer, (FGIC), 5.40%, 9/1/15 500,535
- ---------------------------------------------------------------------------
$ 3,523,190
- ---------------------------------------------------------------------------
Lease Revenue /
Certificates of Participation -- 0.4%
- ---------------------------------------------------------------------------
NR BBB $ 250 Puerto Rico (Guaynabo
Municipal Government Center
Lease),
5.63%, 7/1/22 $ 246,850
- ---------------------------------------------------------------------------
$ 246,850
- ---------------------------------------------------------------------------
Pooled Loans -- 2.8%
- ---------------------------------------------------------------------------
A NR $1,000 Arkansas State Student Loan
Authority, (AMT), 6.25%,
6/1/10 $ 1,038,090
A NR 610 Arkansas State Student Loan
Authority, (AMT), 7.25%,
6/1/09 685,658
- ---------------------------------------------------------------------------
$ 1,723,748
- ---------------------------------------------------------------------------
</TABLE>
See notes to financial statements
51
<PAGE>
Arkansas Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Special Tax Revenue -- 6.0%
- --------------------------------------------------------------------------------
Baa1 A $ 500 Commonwealth of Puerto Rico
Highway and Transportation
Authority, 5.00%, 7/1/36 $ 463,795
A NR 2,000 Little Rock, AR Hotel and
Restaurant Gross Receipts
Tax, 7.38%, 8/1/15 2,436,800
NR NR 750 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 834,825
- --------------------------------------------------------------------------------
$ 3,735,420
- --------------------------------------------------------------------------------
Transportation -- 1.2%
- --------------------------------------------------------------------------------
NR NR $ 750 Northwest Arkansas Regional
Airport Authority, (AMT),
7.63%, 2/1/27 $ 753,908
- --------------------------------------------------------------------------------
$ 753,908
- --------------------------------------------------------------------------------
Water and Sewer -- 8.1%
- --------------------------------------------------------------------------------
NR NR $1,000 Cross, AR Rural Water,
5.75%, 4/1/18 $ 1,004,010
A1 NR 2,500 Little Rock, AR Sewer,
5.50%, 8/1/14 2,517,325
NR NR 1,500 South Sebastian County, AR
Water Users Association,
6.15%, 6/1/23 1,542,180
- --------------------------------------------------------------------------------
$ 5,063,515
- --------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $58,959,622) $62,326,898
- --------------------------------------------------------------------------------
</TABLE>
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 Arkansas
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 August 31, 1997, 22.7% 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 by financial
institution ranged from 0.8% to 14.1% of total investments.
/(1)/ Security has been issued as an inverse floater bond.
/(2)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes to financial statements
52
<PAGE>
Georgia Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<C> <C> <C> <S> <C>
Electric Utilities -- 13.9%
- --------------------------------------------------------------------------------
A1 A $ 2,000 Burke County, Development
Authority Pollution Control
(Georgia Power), 6.38%,
8/1/24 $ 2,071,200
A3 A 1,000 Georgia Municipal Electric
Power Authority, 0.00%,
1/1/12 454,860
A3 A 2,000 Georgia Municipal Electric
Power Authority, 8.25%,
1/1/11 2,543,380
A1 A+ 1,000 Monroe County, Development
Authority Pollution Control
(Gulf Power Scherer),
6.30%, 9/1/24 1,038,350
A3 A 4,000 Monroe County, Development
Authority Pollution Control
(Ogelthorpe Power), 6.55%,
1/1/06 4,416,799
A3 A 1,000 Monroe County, Development
Authority Pollution Control
(Ogelthorpe Power), 6.70%,
1/1/09 1,140,570
A3 A 1,000 Monroe County, Development
Authority Pollution Control
(Ogelthorpe Power), 6.80%,
1/1/12 1,152,190
Baa1 BBB+ 665 Puerto Rico Electric Power
Authority, 0.00%, 7/1/17 223,174
- --------------------------------------------------------------------------------
$13,040,523
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 1.2%
- --------------------------------------------------------------------------------
Aaa AAA $ 305 Chatham County, Memorial
Medical Center (MBIA),
6.85%, 1/1/21 $ 334,271
Aaa AAA 675 Chatham County, Memorial
Medical Center (MBIA),
7.00%, 1/1/21 742,892
- --------------------------------------------------------------------------------
$ 1,077,163
- --------------------------------------------------------------------------------
General Obligations -- 6.2%
- --------------------------------------------------------------------------------
Aa AA- $ 300 City of Alpharetta,
6.50%, 5/1/10/(1)/ $ 342,447
Baa1 A 1,875 Commonwealth of Puerto Rico
Aqueduct and Sewer
Authority, 5.00%, 7/1/19 1,752,019
Baa1 A 1,000 Commonwealth of Puerto Rico
Aqueduct and Sewer
Authority, 6.25%, 6/1/12 1,112,520
Aa1 AA+ 1,480 Gwinnett County, Water and
Sewer, 6.50%, 8/1/06 1,483,138
A2 A 450 Paulding County School
District, 6.63%, 2/1/08 514,724
Aaa AAA 500 State of Georgia, 6.30%,
3/1/08/(1)/ 564,400
- --------------------------------------------------------------------------------
$ 5,769,248
- --------------------------------------------------------------------------------
Hospitals -- 10.9%
- --------------------------------------------------------------------------------
A2 NR $4,500 City of Savannah (Saint
Josephs Hospital Project),
6.20%, 7/1/23 $ 4,637,384
Baa1 NR 3,500 Fulco County, Georgia
Baptist Health, 6.38%,
9/1/22 3,621,624
NR BBB 1,785 Toombs County, GA (Dr. John
M. Meadows Memorial),
7.00%, 12/1/17 1,920,107
- --------------------------------------------------------------------------------
$10,179,115
- --------------------------------------------------------------------------------
Housing -- 14.4%
- --------------------------------------------------------------------------------
Aa2 NR $1,450 Georgia Housing and Finance
Authority, (AMT), 6.88%,
12/1/20 $ 1,520,267
Aa2 AA+ 3,985 Georgia Housing and Finance
Authority, Single Family
Mortgage, FHA, (AMT),
6.55%, 12/1/27 4,186,162
Aa2 AA+ 2,395 Georgia Housing and Finance
Authority, Single Family
Mortgage, FHA, (AMT),
6.70%, 12/1/25 2,529,072
Aa2 AA+ 1,500 Georgia Housing and Finance
Authority, Single Family
Mortgage, FHA, (AMT),
7.05%, 12/1/20 1,596,180
Aa2 AA+ 1,555 Georgia Housing and Finance
Authority, Single Family
Mortgage, FHA, (AMT),
7.12%, 12/1/26 1,644,848
Aa2 AA+ 2,000 Georgia State Housing &
Finance Authority Revenue,
(AMT), 5.85%, 12/1/28 2,015,020
- --------------------------------------------------------------------------------
$13,491,549
- --------------------------------------------------------------------------------
Industrial Development Revenue/Pollution
Control Revenue -- 10.1%
- --------------------------------------------------------------------------------
A1 A+ $1,000 Cartersville Development
Authority,
(Anheuser-Busch), (AMT),
6.13%, 5/1/27 $ 1,033,460
A1 A+ 1,000 Cartersville Development
Authority,
(Anheuser-Busch), (AMT),
7.38%, 5/1/09 1,200,410
</TABLE>
See notes to financial statements
53
<PAGE>
Georgia Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Industrial Development Revenue /
Pollution Control Revenue (continued)
- ---------------------------------------------------------------------------
Baa3 BBB- $2,250 Puerto Rico Port Authority
(American Airlines), 6.25%,
6/1/26 $ 2,391,053
NR A+ 500 Savannah Economic
Development Authority
(Hershey Foods),
6.60%, 6/1/12 543,230
NR NR 1,250 Savannah Economic
Development Authority
(Intercat Incorporated),
(AMT), 9.00%, 1/1/15 1,356,425
A1 A- 750 Savannah Economic
Development Authority
(Union Camp Corporation),
6.80%, 2/1/12 814,830
NR AA- 2,000 Vienna Water and Sewer
(Cargill Project), (AMT),
6.00%, 9/1/14 2,079,800
- ---------------------------------------------------------------------------
$ 9,419,208
- ---------------------------------------------------------------------------
Insured-Electric Utilities -- 5.9%
- ---------------------------------------------------------------------------
Aaa AAA $ 900 Commonwealth of Puerto Rico
Electric Power Authority
STRIPES (FSA), Variable
Rate, 7/1/03 /(2)/ $ 1,004,625
Aaa AAA 1,000 Georgia Municipal Electric
Power Authority (FGIC),
5.50%, 1/1/12 1,039,740
Aaa AAA 750 Georgia Municipal Electric
Power Authority (MBIA),
0.00%, 1/1/07 474,623
Aaa AAA 3,000 Georgia Municipal Electric
Power Authority (MBIA),
5.50%, 1/1/20 3,046,230
- ---------------------------------------------------------------------------
$ 5,565,218
- ---------------------------------------------------------------------------
Insured-General Obligations -- 0.6%
- ---------------------------------------------------------------------------
Aaa AAA $ 500 Commonwealth of Puerto Rico
"RIBS" (AMBAC), Variable
Rate, 7/1/15 /(2)/ $ 536,875
- ---------------------------------------------------------------------------
$ 536,875
- ---------------------------------------------------------------------------
Insured-Hospitals -- 18.4%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 Chatham County (MBIA),
5.50%, 1/1/21 $ 992,130
Aaa AAA 1,600 Clarke County, Hospital
Authority (MBIA), 5.00%,
1/1/27 1,486,224
Aaa AAA 1,300 Cobb County, Hospital
Authority, Kennestone
Hospital (MBIA),
5.00%, 4/1/24 1,209,676
Aaa AAA 2,225 Gainsville and Hall County,
(North East Healthcare)
(MBIA), 6.00%, 10/1/25 2,327,684
Aaa AAA 1,500 Gwinnett County, Gwinnett
Hospital (AMBAC), 5.00%,
9/1/13 1,461,315
Aaa AAA 2,000 Liberty County (MBIA),
5.25%, 8/1/21 1,931,240
Aaa AAA 2,500 Macon-Bibb County, Medical
Center
of Central Georgia (FGIC),
5.00%, 8/1/14 2,419,475
Aaa AAA 1,500 Medical Center Hospital
Authority Floats (MBIA),
Variable Rate, 8/1/10 /(2)/ 1,723,125
Aaa AAA 2,000 Medical Center, Columbus
Regional Healthcare (MBIA),
6.40%, 8/1/06 2,187,000
Aaa AAA 1,375 Walker, Dade and Catoosa
Counties Hospital (FGIC),
7.00%, 10/1/10 1,519,485
- ---------------------------------------------------------------------------
$17,257,354
- ---------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of
Participation -- 1.1%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 East Point Building
Authority (FGIC), 6.00%,
2/1/10 $ 1,065,880
- ---------------------------------------------------------------------------
$ 1,065,880
- ---------------------------------------------------------------------------
Insured-Special Tax Revenue -- 2.4%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 Metropolitan Atlanta Rapid
Transit Authority, (AMBAC),
6.25%, 7/1/11 $ 1,122,630
Aaa AAA 1,000 Metropolitan Atlanta Rapid
Transit Authority, (AMBAC),
6.25%, 7/1/20 1,123,450
- ---------------------------------------------------------------------------
$ 2,246,080
- ---------------------------------------------------------------------------
Insured-Water and Sewer -- 3.3%
- ---------------------------------------------------------------------------
Aaa AAA $1,975 Cherokee County, Water and
Sewer Authority (MBIA),
6.88%, 8/1/13 $ 2,169,775
Aaa AAA 1,000 City of Atlanta, Water and
Sewer (FGIC), 5.00%, 1/1/15 966,180
- ---------------------------------------------------------------------------
$ 3,135,955
- ---------------------------------------------------------------------------
</TABLE>
See notes to financial statements
54
<PAGE>
Georgia Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Lease Revenue / Certificates of Participation -- 1.3%
- -------------------------------------------------------------------------
Aa AA $2,300 Fulton County, Building
Authority, Judicial Center,
0.00%, 1/1/10 $ 1,212,008
- -------------------------------------------------------------------------
$ 1,212,008
- -------------------------------------------------------------------------
Life Care -- 1.4%
- -------------------------------------------------------------------------
NR NR $1,500 De Kalb County, Private
Hospital Authority (Atlanta
Incorporated), 8.50%, 3/1/25 $ 1,348,260
- -------------------------------------------------------------------------
$ 1,348,260
- -------------------------------------------------------------------------
Miscellaneous -- 1.1%
- -------------------------------------------------------------------------
NR NR $1,000 City of Atlanta, Downtown
Development Authority
Childcare Facilities
(Central Atlanta
Hospitality Childcare,
Incorporated), 8.00%, 1/1/26 $ 1,015,760
- -------------------------------------------------------------------------
$ 1,015,760
- -------------------------------------------------------------------------
Solid Waste -- 1.1%
- -------------------------------------------------------------------------
A1 A+ $1,000 Savannah Resource Recovery
(Savannah Energy Systems
Company), 6.30%, 12/1/06 $ 1,065,200
- -------------------------------------------------------------------------
$ 1,065,200
- -------------------------------------------------------------------------
Special Tax Revenue -- 6.7%
- -------------------------------------------------------------------------
Baa1 A $3,750 Commonwealth of Puerto Rico
Highway and Transportation
Authority, 5.00%, 7/1/36 $ 3,478,462
Baa1 A 1,250 Commonwealth of Puerto Rico
Highway and Transportation
Authority, 5.50%, 7/1/36 1,239,975
NR NR 1,400 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 1,558,340
- -------------------------------------------------------------------------
$ 6,276,777
- -------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $87,597,730) $93,702,173
- -------------------------------------------------------------------------
</TABLE>
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 Georgia
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 August 31, 1997, 33.0% of securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 1.1% to 19.9% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
See notes to financial statements
55
<PAGE>
Kentucky Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living -- 2.7%
- ---------------------------------------------------------------------------
Aa NR $3,000 Kenton County, KY
(Highland Terrace) FHA,
6.95%, 12/1/26 $ 3,315,359
- ---------------------------------------------------------------------------
$ 3,315,359
- ---------------------------------------------------------------------------
Education -- 1.1%
- ---------------------------------------------------------------------------
A1 AA- $ 500 University of Kentucky
Consolidated Educational
Buildings,
6.40%, 5/1/09 $ 534,160
A1 AA- 785 University of Kentucky
Consolidated Educational
Buildings,
6.40%, 5/1/11 838,631
- ---------------------------------------------------------------------------
$ 1,372,791
- ---------------------------------------------------------------------------
Electric Utilities -- 4.5%
- ---------------------------------------------------------------------------
NR BBB $ 400 Guam Power Authority,
5.25%, 10/1/23 $ 378,800
Aa2 AA- 1,000 Muhlenburg County, KY
Collateralized Pollution
Control, Utilities
Company, 6.25%, 2/1/18 1,046,940
Baa1 BBB+ 3,500 Puerto Rico Electric Power
Authority, 0.00%, 7/1/17 1,174,600
Baa1 BBB+ 500 Puerto Rico Electric Power
Authority, 5.50%, 7/1/25 494,340
Baa1 BBB+ 2,250 Puerto Rico Electric Power
Authority, 6.375%, 7/1/24 2,451,038
- ---------------------------------------------------------------------------
$ 5,545,718
- ---------------------------------------------------------------------------
Escrowed / Prerefunded -- 1.5%
- ---------------------------------------------------------------------------
NR NR $ 190 Kentucky Development
Finance Authority, Saint
Claire Medical Center,
7.13%, 9/1/21 $ 211,683
Aaa NR 510 Lexington-Fayette County,
KY Government Public
Facilities,
6.40%, 4/1/12 560,184
Aaa A 1,000 University of Puerto Rico
Revenue, 6.50%, 6/1/13 1,020,790
- ---------------------------------------------------------------------------
$ 1,792,657
- ---------------------------------------------------------------------------
General Obligations -- 4.0%
- ---------------------------------------------------------------------------
Baa1 A $ 500 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 $ 487,315
Baa1 A 3,000 Commonwealth of Puerto
Rico Aqueduct and Sewer
Authority, 5.00%,
7/1/19 /(1)/ 2,803,230
NR A+ 1,030 Kentucky League of Cities
Funding Trust Floating
Indebtedness Certificates
of Participation,
6.15%, 8/1/13 1,097,558
NR NR 500 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 556,550
- ---------------------------------------------------------------------------
$ 4,944,653
- ---------------------------------------------------------------------------
Hospitals -- 0.9%
- ---------------------------------------------------------------------------
Baa1 BBB $ 975 Russell County, KY
Franciscan Sisters of the
Poor Health System,
8.10%, 7/1/15 $ 1,145,976
- ---------------------------------------------------------------------------
$ 1,145,976
- ---------------------------------------------------------------------------
Housing -- 6.6%
- ---------------------------------------------------------------------------
NR AAA $1,455 Boone County, KY
Multifamily Housing
Mortgage, Walnut Creek
Apartments, FHA, 7.00%,
1/1/27 $ 1,526,717
NR NR 1,200 Florence, KY Housing
Facilities (Blue Grass
Housing), 7.625%, 5/1/27 1,206,708
Aaa AAA 2,000 Kentucky Housing Corp.,
SFMR, Series 97B, 6.25%,
7/1/28 2,077,440
Aaa AAA 2,500 Kentucky Housing
Corporation, Multifamily
Mortgage, 6.30%, 1/1/28 2,591,150
Aaa AAA 640 Kentucky Housing
Corporation, Single Family
Mortgage, FHA, (AMT),
7.45%, 1/1/23 679,040
- ---------------------------------------------------------------------------
$ 8,081,055
- ---------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 22.5%
- ---------------------------------------------------------------------------
Baa1 NR $2,425 Ashland, KY Solid Waste
Disposal (Ashland Oil),
(AMT), 7.125%, 2/1/22 $ 2,699,486
</TABLE>
See notes to financial statements
56
<PAGE>
Kentucky Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Industrial Development Revenue /
Pollution Control Revenue (continued)
- ---------------------------------------------------------------------------
Baa1 BBB $2,355 Ashland, KY Solid Waste
Disposal (Ashland Oil),
(AMT), 7.20%, 10/1/20 $ 2,568,175
NR NR 1,000 City of Elsmmere, KY
(Courtaulds Pkg Inc.),
6.75%, 4/1/10 1,054,840
A2 NR 2,665 Commonwealth of Puerto
Rico Industrial, Medical
and Environmental
Pollution Control Facility
Finance Authority
(American Home Products),
5.10%, 12/1/18 2,561,172
NR NR 3,075 Fulton County, KY
Industrial Building, (Chic
Jeans), (AMT),
7.50%, 2/1/10 3,182,687
NR A- 2,370 Hancock County, KY Solid
Waste Disposal
(Williamette Corporation),
(AMT), 6.60%, 5/1/26 2,568,156
NR NR 1,500 Hancock County, KY,
(Southwire Co.), (AMT),
7.75%, 7/1/26 1,584,600
Baa2 BBB- 3,000 Henderson County, KY Solid
Waste Disposal (MacMillan
Bloedel), (AMT), 7.00%,
3/1/25 3,289,290
Aa3 AA- 1,000 Jefferson County, KY
Pollution Control (E.I. du
Pont de Nemours), 6.30%,
7/1/12 1,093,580
NR BB- 985 Owensboro County, KY
(KMart Corporation),
6.80%, 12/1/07 1,036,900
NR NR 1,500 Perry County, Solid Waste
Disposal (TJI
International), 6.80%,
5/1/26 1,597,665
NR BB- 915 Powderly, KY (KMart
Corporation), 6.90%, 3/1/07 973,258
A1 A 2,820 Wickliffe, KY Solid Waste
Disposal (Westvaco
Corporation), (AMT),
6.375%, 4/1/26 2,996,786
Baa3 NR 500 Winchester County, KY
(Kroger Corporation),
6.90%, 7/1/01 519,475
- ---------------------------------------------------------------------------
$ 27,726,070
- ---------------------------------------------------------------------------
Insured-Education -- 0.6%
- ---------------------------------------------------------------------------
Aaa AAA $ 700 Northern, KY University
Educational Buildings
(AMBAC),
6.25%, 5/1/12 $ 753,193
- ---------------------------------------------------------------------------
$ 753,193
- ---------------------------------------------------------------------------
Insured-Electric Utilities -- 1.3%
- ---------------------------------------------------------------------------
Aaa AAA $1,600 Commonwealth of Puerto
Rico, Telephone Authority
(MBIA), Variable Rate,
1/16/15 /(2)/ $ 1,602,000
- ---------------------------------------------------------------------------
$ 1,602,000
- ---------------------------------------------------------------------------
Insured-General Obligations -- 1.3%
- ---------------------------------------------------------------------------
Aaa AAA $1,695 Jefferson County, KY
School District Finance
Corporation (FSA),
5.125%, 11/1/15 $ 1,660,337
- ---------------------------------------------------------------------------
$ 1,660,337
- ---------------------------------------------------------------------------
Insured-Hospitals -- 11.1%
- ---------------------------------------------------------------------------
Aaa AAA $2,500 Daviess County, KY ODCH
Incorporated (MBIA),
6.25%, 8/1/22 /(3)/ $ 2,652,325
Aaa AAA 2,500 Jefferson County, KY
Health Facilities (Jewish
Hosp.) (AMBAC), 6.50%, 5/1/15 2,726,850
Aaa AAA 1,750 Jefferson County, KY
Health Facilities (Jewish
Hosp.) (AMBAC), 6.55%, 5/1/22 1,912,418
Aaa AAA 2,000 Jefferson County, KY
Health Facilities
Authority (University
Medical Center) (MBIA),
5.25%, 7/1/22 1,937,820
Aaa AAA 4,000 Kentucky Development
Finance Authority (Saint
Luke's Hospital) (MBIA),
7.00%, 10/1/21 /(3)/ 4,467,239
- ---------------------------------------------------------------------------
$ 13,696,652
- ---------------------------------------------------------------------------
Insured-Transportation -- 5.4%
- ---------------------------------------------------------------------------
Aaa AAA $3,550 Kenton County, KY Airport,
6.30%, 3/1/15 $ 3,843,336
Aaa AAA 1,000 Kenton County, KY Airport
(FSA), (AMT), 6.30%, 3/1/15 1,055,320
Aaa AAA 1,195 Kenton County, KY Airport
Revenue Board (MBIA),
(AMT), 6.45%, 3/1/15 /(4)/ 1,285,366
Aaa AAA 1,000 Kentucky Economic
Development Authority,
State Turnpike
Revitalization (FGIC),
0.00%, 7/1/10 530,130
- ---------------------------------------------------------------------------
$ 6,714,152
- ---------------------------------------------------------------------------
</TABLE>
See notes to financial statements
57
<PAGE>
Kentucky Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Water and Sewer -- 9.4%
- ---------------------------------------------------------------------------
Aaa AAA $2,000 Kenton County, KY Water
District Waterworks
(FGIC),
6.00%, 2/1/17 $ 2,117,000
Aaa AAA 800 Kenton County, KY Water
District Waterworks
(FGIC),
6.375%, 2/1/17 872,448
Aaa AAA 500 Lexington-Fayette County,
KY Government Sewer System
(MBIA), 6.375%, 7/1/12 543,820
Aaa AAA 3,415 Louisville and Jefferson
County, KY Metropolitan
Sewer District (MBIA),
6.25%, 5/15/26 3,697,966
Aaa AAA 1,000 Louisville and Jefferson
County, KY Sewer District
(AMBAC),
6.75%, 5/15/19 1,146,660
Aaa AAA 2,000 Louisville and Jefferson
County, KY Sewer District
(AMBAC),
6.75%, 5/15/25 2,293,320
Aaa AAA 1,000 Louisville and Jefferson
County, KY Sewer District
(FGIC),
5.20%, 5/15/26 959,640
- ---------------------------------------------------------------------------
$ 11,630,854
- ---------------------------------------------------------------------------
Lease Revenue /
Certificates of Participation -- 15.7%
- ---------------------------------------------------------------------------
A1 A $1,300 Boone County, KY School
District, 6.75%, 9/1/11 $ 1,425,138
A1 A+ 1,200 Fayette County, KY School
District Finance
Corporation,
5.375%, 1/1/15 1,200,408
A1 A+ 2,315 Fayette County, KY School
District Finance
Corporation,
5.375%, 1/1/17 2,296,943
A1 A+ 4,990 Jefferson County, KY
Capital Projects
Corporation, 0.00%, 8/15/15 1,844,005
NR A+ 1,740 Kenton County, KY Building
Revenue, 5.375%, 3/1/17 1,720,321
A A- 1,000 Louisville, KY Public
Property Corporation,
6.80%, 12/1/22 1,103,980
Aa NR 2,000 Mount Sterling, KY Lease,
6.15%, 3/1/13 2,058,020
Aa NR 4,500 Mount Sterling, KY Lease,
6.20%, 3/1/18 4,624,784
A NR 2,000 Owensboro County, KY
Airport Lease, 5.875%,
6/1/15 2,034,700
A1 NR $1,045 Pike County, KY School
District Finance Corp.,
5.125%, 9/1/17 $ 1,011,226
- ---------------------------------------------------------------------------
$ 19,319,525
- ---------------------------------------------------------------------------
Nursing Homes -- 0.7%
- ---------------------------------------------------------------------------
NR NR $ 800 Jefferson County, KY
Health Facilities, Beverly
Enterprises, 9.75%, 8/1/07 $ 870,888
- ---------------------------------------------------------------------------
$ 870,888
- ---------------------------------------------------------------------------
Solid Waste -- 1.0%
- ---------------------------------------------------------------------------
NR NR $1,200 Morgantown, KY Solid Waste
Revenue, 7.45%, 5/1/22 $ 1,241,928
- ---------------------------------------------------------------------------
$ 1,241,928
- ---------------------------------------------------------------------------
Transportation -- 7.8%
- ---------------------------------------------------------------------------
NR BBB $3,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 3,207,750
Baa3 BB+ 500 Kenton County, KY Airport
(Delta Airlines), (AMT),
7.50%, 2/1/20 551,285
Baa3 BB+ 3,400 Kenton County, KY Airport
(Delta Airlines), (AMT),
6.125%, 2/1/22 3,452,291
Baa3 BB+ 1,500 Kenton County, KY Airport
(Delta Airlines), (AMT),
7.125%, 2/1/21 1,631,925
Baa3 BB+ 250 Kenton County, KY Airport
(Delta Airlines), (AMT),
7.50%, 2/1/12 275,643
Baa3 BBB- 500 Puerto Rico Port Authority
(American Airlines),
(AMT), 6.30%, 6/1/23 525,895
- ---------------------------------------------------------------------------
$ 9,644,789
- ---------------------------------------------------------------------------
Water and Sewer -- 1.9%
- ---------------------------------------------------------------------------
NR A $1,500 Campbell County, KY Water
District, 6.60%, 12/1/11 $ 1,639,440
A NR 650 Harden County, KY Water
District, 6.50%, 9/1/12 701,220
- ---------------------------------------------------------------------------
$ 2,340,660
- ---------------------------------------------------------------------------
</TABLE>
See notes to financial statements
58
<PAGE>
Kentucky Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Value
- --------------------------------------------------------------------------------
<S> <C>
Total Tax-Exempt Investments -- 100.0%
(identified cost $115,387,827) $123,399,257
- --------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Kentucky
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 August 31, 1997, 25.7% 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 by financial institution ranged from 2.2% to 12.7% of total
investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
/(3)/ Security has been segregated to cover when-issued securities.
/(4)/ When-issued security.
See notes to financial statements
59
<PAGE>
Louisiana Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 0.8%
- --------------------------------------------------------------------------
Aaa NR $ 150 Louisiana Public Facilities
Authority, Guaranteed
Student Loan Revenue Bonds
(AMT), 6.75%, 9/1/06 $ 158,285
A2 NR 100 Louisiana Public Facilities
Authority, Student Loan
Revenue Bonds, (AMT),
7.00%, 9/1/06 106,382
- --------------------------------------------------------------------------
$ 264,667
- --------------------------------------------------------------------------
Electric Utilities -- 3.1%
- --------------------------------------------------------------------------
Ba1 BB+ $ 150 Pointe Coupe Parish, LA
(Gulf States Utilities
Company), 6.70%, 3/1/13 $ 158,328
Baa1 BBB+ 2,500 Puerto Rico Electric Power
Authority, 0.00%, 7/1/17 839,000
Baa1 BBB+ 175 Puerto Rico Electric Power
Authority, 0.00%, 7/1/17 58,730
- --------------------------------------------------------------------------
$ 1,056,058
- --------------------------------------------------------------------------
Hospitals -- 8.5%
- --------------------------------------------------------------------------
Baa1 NR $1,000 Lafourche Parish, LA
Hospital Service District,
6.00%, 10/1/23/(1)/ $ 1,014,320
NR BBB 750 Louisiana PFA, General
Health Systems Project,
6.80%, 11/1/16 808,080
NR A- 750 Saint Tammany Parish, LA
Hospital Service District,
6.50%, 7/1/17 788,280
NR A- 250 Saint Tammany Parish, LA
Hospital Service District,
6.50%, 7/1/22 260,598
- --------------------------------------------------------------------------
$ 2,871,278
- --------------------------------------------------------------------------
Housing -- 29.3%
- --------------------------------------------------------------------------
Aaa NR $ 680 East Baton Rouge Mortgage
Finance Authority, Single
Family (GNMA/FNMA), 7.00%,
4/1/32 $ 713,123
Aaa NR 90 East Baton Rouge Mortgage
Finance Authority, Single
Family, (GNMA), (AMT),
7.88%, 12/1/21 95,375
Aaa NR 230 East Baton Rouge Mortgage
Finance Authority, Single
Family, (GNMA/FNMA), (AMT),
7.10%, 10/1/24 242,818
Aaa NR 500 Louisiana Housing Finance
Agency HFA, 6.38%, 12/1/27 521,785
NR AAA 150 Louisiana Housing Finance
Authority, Multifamily
Housing (Westview Apartment
II), (AMT), (FHA),
7.95%, 1/1/32 159,629
NR AAA 620 Louisiana Housing Finance
Authority, Multifamily,
(FHA), 6.95%, 7/1/16 639,480
Aaa NR 600 Louisiana Housing Finance
Authority, Single Family,
(AMT), (GNMA), 6.30%,
12/1/27 621,744
Aaa NR 1,250 Louisiana Housing Finance
Authority, Single Family,
(AMT), (GNMA), 8.00%, 3/1/25 1,417,913
Aaa NR 650 Louisiana Housing Finance
Authority, Single Family,
(AMT), (GNMA/FNMA), 6.55%,
12/1/26 681,415
NR BBB 1,000 Louisiana Public Facilities
Authority, Multifamily
Housing -(Windsor Housing),
6.25%, 1/1/26 854,920
Aaa NR 1,890 New Orleans Home Mortgage
Authority, Single Family,
(AMT), (GNMA/FNMA), 6.30%,
6/1/28 1,956,603
NR AAA 1,850 Parish of Jefferson, Home
Mortgage Authority, (AMT),
(GNMA/FNMA), 7.35%, 12/1/16 2,029,671
- --------------------------------------------------------------------------
$ 9,934,476
- --------------------------------------------------------------------------
Industrial Development Revenue/Pollution Control Revenue -- 13.5%
- --------------------------------------------------------------------------
A3 A- $1,750 City of Bastrop, LA
(International Paper
Company), (AMT),
6.60%, 3/1/19 $ 1,897,122
A3 A- 750 De Soto Parish, LA
(International Paper
Company), (AMT),
7.70%, 11/1/18 876,435
Aa3 NR 150 De Soto Parish, LA
(Southwestern Electric
Power Company),
7.60%, 1/1/19 170,693
Baa3 BBB- 900 Puerto Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26 956,421
Aa3 NR 500 South Louisiana Port
Commission (Cargill, Inc.),
5.85%, 4/1/17 512,280
Baa1 BBB+ 150 South Louisiana Port
Commission (GATX Terminals
Corporation), 7.00%, 3/1/23 162,141
- --------------------------------------------------------------------------
$ 4,575,092
- --------------------------------------------------------------------------
</TABLE>
See notes to financial statements
60
<PAGE>
Louisiana Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Education -- 4.9%
- ---------------------------------------------------------------------------
Aaa AAA $ 500 Louisiana Public Facilities
Authority (Tulane
University), (AMBAC),
6.05%, 10/1/25 $ 529,390
Aaa AAA 1,100 Louisiana State University
(FGIC), 5.75%, 7/1/14 1,129,018
- ---------------------------------------------------------------------------
$ 1,658,408
- ---------------------------------------------------------------------------
Insured-General Obligations -- 7.7%
- ---------------------------------------------------------------------------
Aaa AAA $ 250 Commonwealth of Puerto Rico
"RIBS" (AMBAC), Variable
Rate, 7/1/15/(2)/ $ 268,438
Aaa AAA 3,000 New Orleans, LA (AMBAC),
0.00%, 9/1/15 1,125,450
Aaa AAA 2,000 New Orleans, LA (AMBAC),
0.00%, 9/1/16 709,220
Aaa AAA 1,500 New Orleans, LA (AMBAC),
0.00%, 9/1/17 498,795
- ---------------------------------------------------------------------------
$ 2,601,903
- ---------------------------------------------------------------------------
Insured-Hospitals -- 4.9%
- ---------------------------------------------------------------------------
Aaa AAA $ 100 Louisiana Public Facilities
Authority Hospital (MBIA),
7.65%, Variable Rate,
11/28/14/(2)/ $ 111,125
Aaa AAA 1,500 Ouachita Parish, Glenwood
Medical Center (FSA),
5.75%, 5/15/21 1,535,205
- ---------------------------------------------------------------------------
$ 1,646,330
- ---------------------------------------------------------------------------
Insured-Housing -- 0.2%
- ---------------------------------------------------------------------------
Aaa AAA $ 505 East Baton Rouge Mortgage
Finance Authority, Single
Family (MBIA) (GNMA/FNMA),
0.00%, 10/1/15 $ 76,962
- ---------------------------------------------------------------------------
$ 76,962
- ---------------------------------------------------------------------------
Insured-Special Tax Revenue -- 6.2%
- ---------------------------------------------------------------------------
Aaa AAA $2,000 Orleans Levee District
(FSA),
5.95%, 11/1/14 $ 2,107,219
- ---------------------------------------------------------------------------
$ 2,107,219
- ---------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 5.0%
- ---------------------------------------------------------------------------
Aa2 AA $1,650 Saint Bernard Parish (Mobil
Oil), 5.90%, 11/1/26 $ 1,686,828
- ---------------------------------------------------------------------------
$ 1,686,828
- ---------------------------------------------------------------------------
Life Care -- 14.3%
- ---------------------------------------------------------------------------
NR NR $ 500 Louisiana Housing Finance
Agency (HCC Assisted Living
Group 1) (AMT), 9.00%,
3/1/25 $ 543,570
NR AAA 500 Louisiana Housing Finance
Agency (Saint Dominic
Assisted Care Facility)
(GNMA), 6.85%, 9/1/25 546,930
NR AAA 1,995 Louisiana Housing Finance
Agency (Saint Joseph's
Manor Retirement Center)
(GNMA), 7.80%, 12/1/35 2,225,262
NR BBB 1,150 Louisiana Public Facilities
Authority (Glen Retirement
System),
6.70%, 12/1/25 1,190,802
NR NR 300 Saint Tammany, LA, Public
Finance, Christwood
Project,
9.00%, 11/15/25 327,348
- ---------------------------------------------------------------------------
$ 4,833,912
- ---------------------------------------------------------------------------
Transportation -- 1.6%
- ---------------------------------------------------------------------------
A A- $ 500 Mississippi River Bridge
Authority,
Bridge Revenue,
6.75%, 11/1/12/(1)/ $ 548,590
- ---------------------------------------------------------------------------
$ 548,590
- ---------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $32,155,616) $33,861,723
- ---------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered
a tax preference item for purposes of the Federal Alternative Minimum Tax.
See notes to financial statements
61
<PAGE>
Louisiana Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
The Portfolio invests primarily in debt securities issued by Louisiana
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 August 31, 1997, 23.9% 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 by financial
institution ranged from 0.6% to 10.8% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
See notes to financial statements
62
<PAGE>
Maryland Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 1.2%
- -------------------------------------------------------------------------
NR NR $1,250 Maryland Energy, AES
Warrior Run Project,
(AMT), 7.40%, 9/1/19 $ 1,347,538
- -------------------------------------------------------------------------
$ 1,347,538
- -------------------------------------------------------------------------
Education -- 1.0%
- -------------------------------------------------------------------------
Aa3 AA+ $1,000 University of Maryland
Auxiliary Facilities and
Tuition, 6.30%, 2/1/10 $ 1,078,600
- -------------------------------------------------------------------------
$ 1,078,600
- -------------------------------------------------------------------------
Electric Utilities -- 6.7%
- -------------------------------------------------------------------------
A2 A $1,500 Calvert, MD Pollution
Control Revenue (Baltimore
Gas and Electric Company),
5.55%, 7/15/14 $ 1,516,440
NR BBB 2,500 Guam Power Authority,
5.25%, 10/1/13 2,423,325
NR BBB 750 Guam Power Authority,
6.63%, 10/1/14 809,145
A1 A 2,225 Prince George's County, MD
Pollution Control Revenue
(Potomac Electric), 6.38%,
1/15/23 2,363,751
- -------------------------------------------------------------------------
$ 7,112,661
- -------------------------------------------------------------------------
Escrowed/Prerefunded -- 6.0%
- -------------------------------------------------------------------------
Aaa NR $1,125 Baltimore, MD Single
Family Mortgage (Inner
Harbor), 8.00%, 12/1/10 $ 1,438,944
NR AAA 1,000 Commonwealth of Puerto
Rico Public Improvement,
6.80%, 7/1/21 1,121,470
Aaa AAA 500 Maryland Health and Higher
Educational (University of
Maryland) (FGIC), 6.50%,
7/1/21 538,235
Aaa AAA 1,500 Puerto Rico Public
Buildings Authority,
6.88%, 7/1/21 1,687,080
NR AAA 1,000 University of Maryland
System Auxiliary Facility
and Tuition, 6.50%, 4/1/11 1,074,210
NR AAA 175 University of Maryland
System Auxiliary Facility
and Tuition, 6.50%, 4/1/12 194,262
Aa NR 310 Worcester, MD Sanitary
District, 6.55%, 8/15/17 343,892
- -------------------------------------------------------------------------
$ 6,398,093
- -------------------------------------------------------------------------
General Obligations -- 3.5%
- -------------------------------------------------------------------------
Baa1 A $2,000 Commonwealth of Puerto
Rico, 5.38%, 7/1/25 $ 1,945,000
Aa1 AA 1,000 Washington, MD Suburban
Sanitary District, 5.63%,
6/1/21 1,010,580
Aa1 AA 500 Washington, MD Suburban
Sanitary District, 6.20%,
6/1/11 541,390
Aa NR 190 Worcester, MD Sanitary
District, 6.55%, 8/15/17 207,524
- -------------------------------------------------------------------------
$ 3,704,494
- -------------------------------------------------------------------------
Hospitals -- 14.2%
- -------------------------------------------------------------------------
NR NR $ 480 Berlin, MD (Atlantic
General), 8.38%, 6/1/22 $ 513,912
A1 A 1,175 Maryland Health and Higher
Educational (Good Samaritan
Hospital), 5.75%, 7/1/19 1,201,661
Baa1 BBB 1,250 Maryland Health and Higher
Educational (Howard County
General Hospital), 5.50%,
7/1/25 1,213,850
Baa1 NR 2,500 Maryland Health and Higher
Educational (Union Hospital
of Cecil), 6.70%, 7/1/22 2,637,550
A NR 4,000 Prince George's County, MD
(Dimensions Health),
5.30%, 7/1/24 3,834,079
Baa3 NR 1,355 Prince George's County, MD
(Greater SouthEast Healthcare
System), 6.38%, 1/1/13 1,383,469
Baa NR 4,250 Prince George's County, MD
(Greater SouthEast Healthcare
System), 6.38%, 1/1/23 4,330,197
- -------------------------------------------------------------------------
$ 15,114,718
- -------------------------------------------------------------------------
Housing -- 10.6%
- -------------------------------------------------------------------------
Aa NR $1,000 Maryland Community
Development Administration
Multifamily, FHA, (AMT),
6.70%, 5/15/36 $ 1,050,840
</TABLE>
See notes to financial statements
63
<PAGE>
Maryland Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Housing (continued)
- -------------------------------------------------------------------------
Aa NR $ 245 Maryland Community
Development Administration
Single Family, 6.85%,
4/1/11 $ 258,098
Aa NR 3,000 Maryland Community
Development Administration
Single Family, (AMT),
6.75%, 4/1/26 3,188,370
Aa NR 935 Maryland Community
Development Administration
Single Family, (AMT),
6.80%, 4/1/22 991,091
Aa NR 745 Maryland Community
Development Administration
Single Family, (AMT)
6.80%, 4/1/24 789,693
Aa2 NR 2,525 Montgomery County, MD
Single Family Mortgage
Revenue,
6.05%, 7/1/27 2,583,732
NR A 300 Prince George's County, MD
(Antoinette Gardens
Apartments), FHA, 7.00%,
3/1/28 313,665
NR AAA 2,160 Prince George's County,
MD, Housing Authority
(Langely Gardens), 5.88%,
2/20/39 2,153,282
- -------------------------------------------------------------------------
$ 11,328,771
- -------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 11.8%
- -------------------------------------------------------------------------
A1 A $1,350 Allegany, MD Pollution
Control Revenue (Westvaco
Corporation), 6.20%, 1/1/08 $ 1,480,815
NR NR 1,350 Baltimore, MD Pollution
Control Revenue (Bethlehem
Steel Corporation), 7.50%,
6/1/15 1,479,438
Aa3 AA- 2,000 Baltimore, MD Port
Facilities (Consolidated
Coal Sales Company - E.I.
du Pont de Nemours),
6.50%, 12/1/10 2,179,960
Aa3 AA- 2,000 Baltimore, MD Port
Facilities (Consolidated
Coal Sales Company - E.I.
du Pont de Nemours),
6.50%, 10/1/11 2,176,300
NR AA- 1,425 Frederick, MD Economic
Development Authority
(Cargill, Incorporated),
6.30%, 11/1/09 /(1)/ 1,549,089
Baa3 BBB- 2,000 Puerto Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26 2,125,380
Baa3 BBB- 1,500 Puerto Rico Port Authority
(American Airlines),
(AMT), 6.30%, 6/1/23 1,577,685
- -------------------------------------------------------------------------
$ 12,568,667
- -------------------------------------------------------------------------
Insured-Colleges and Universities -- 5.1%
- -------------------------------------------------------------------------
Aaa AAA $5,500 Maryland Health and Higher
Educational (Loyola
College) (MBIA), 5.38%,
10/1/26 $ 5,455,724
- -------------------------------------------------------------------------
$ 5,455,724
- -------------------------------------------------------------------------
Insured-Education -- 3.1%
- -------------------------------------------------------------------------
Aaa AAA $1,200 Morgan State University,
Maryland Academic and
Facilities (MBIA), 6.10%,
7/1/20 $ 1,321,116
Aaa AAA 2,000 Saint Marys College, MD,
(MBIA), 5.25%, 9/1/27 1,944,100
- -------------------------------------------------------------------------
$ 3,265,216
- -------------------------------------------------------------------------
Insured-Electric Utilities -- 2.1%
- -------------------------------------------------------------------------
Aaa AAA $ 250 Commonwealth of Puerto Rico
Electric Power Authority
STRIPES (FSA), Variable
Rate, 7/1/03 /(2)/ $ 279,063
Aaa AAA 2,000 Montgomery County, MD
Pollution Control Revenue
(MBIA), 5.38%, 2/15/24 1,968,040
- -------------------------------------------------------------------------
$ 2,247,103
- -------------------------------------------------------------------------
Insured-Hospitals -- 4.6%
- -------------------------------------------------------------------------
Aaa AAA $1,365 Maryland Health and Higher
Educational (Washington
Community Hospital) (AMBAC),
6.38%, 7/1/22 $ 1,502,428
Aaa AAA 3,150 Puerto Rico Industrial
Medical and Environmental
Pollution Control
Facilities Financing
Authority (MBIA), 6.25%,
7/1/24 3,391,983
- -------------------------------------------------------------------------
$ 4,894,411
- -------------------------------------------------------------------------
</TABLE>
See notes to financial statements
64
<PAGE>
Maryland Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Housing -- 0.5%
- --------------------------------------------------------------------------
Aaa AAA $ 500 Prince George's County, MD
(Keystone Apartments),
FHA, (MBIA), 6.80%, 7/1/25 $ 531,245
- --------------------------------------------------------------------------
$ 531,245
- --------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of
Participation -- 6.4%
- --------------------------------------------------------------------------
Aaa AAA $2,000 Baltimore, MD COP (AMBAC),
5.00%, 10/1/17 $ 1,916,740
Aaa AAA 1,000 Maryland Stadium Authority
(AMBAC), 5.60%, 3/1/14 1,024,120
Aaa AAA 1,000 Maryland Stadium Authority
(AMBAC), 5.80%, 3/1/26 1,033,190
Aaa AAA 3,000 Puerto Rico Public
Buildings Authority
(AMBAC), 5.00%, 7/1/27 2,839,860
- --------------------------------------------------------------------------
$ 6,813,910
- --------------------------------------------------------------------------
Insured-Solid Waste -- 5.0%
- --------------------------------------------------------------------------
Aaa AAA $5,000 NE Maryland Solid Waste
Disposal (MBIA), (AMT),
6.30%, 7/1/16 $ 5,303,749
- --------------------------------------------------------------------------
$ 5,303,749
- --------------------------------------------------------------------------
Insured-Transportation -- 5.5%
- --------------------------------------------------------------------------
Aaa AAA $2,000 Baltimore, MD
International Airport
(AMT), (FGIC), 6.25%,
7/1/14 $ 2,132,540
Aaa AAA 3,750 Washington, D.C. Metro Area
Transportation (FGIC),
5.25%, 7/1/14 3,716,663
- --------------------------------------------------------------------------
$ 5,849,203
- --------------------------------------------------------------------------
Insured-Water and Sewer -- 7.1%
- --------------------------------------------------------------------------
Aaa AAA $1,500 Baltimore, MD Sewer
(FGIC), 5.50%, 7/1/26 $ 1,501,095
Aaa AAA 1,000 Baltimore, MD Wastewater
(FGIC), 5.00%, 7/1/22 956,100
Aaa AAA 2,000 Baltimore, MD Wastewater
(MBIA), 5.65%, 7/1/20 2,070,320
Aaa AAA 3,000 Baltimore, MD Water
(FGIC), 5.50%, 7/1/26 3,002,190
- --------------------------------------------------------------------------
$ 7,529,705
- --------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 2.1%
- --------------------------------------------------------------------------
A NR $1,000 Baltimore, MD Revenue
Authority, 5.38%, 7/1/18 $ 986,970
NR BBB 1,250 Puerto Rico (Guaynabo
Municipal Government
Center Lease),
5.63%, 7/1/22 1,234,250
- --------------------------------------------------------------------------
$ 2,221,220
- --------------------------------------------------------------------------
Special Tax Revenue -- 0.8%
- --------------------------------------------------------------------------
NR NR $ 750 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 $ 834,825
- --------------------------------------------------------------------------
$ 834,825
- --------------------------------------------------------------------------
Transportation -- 1.7%
- --------------------------------------------------------------------------
NR BBB $1,700 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 1,817,725
- --------------------------------------------------------------------------
$ 1,817,725
- --------------------------------------------------------------------------
Water and Sewer -- 1.0%
- --------------------------------------------------------------------------
Aa2 AA $1,000 Maryland Water Quality
Financing Administration
Revolving Loan Fund,
6.55%, 9/1/14 $ 1,090,520
- --------------------------------------------------------------------------
$ 1,090,520
- --------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $101,424,067) $ 106,508,098
- --------------------------------------------------------------------------
</TABLE>
AMT- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
See notes to financial statements
65
<PAGE>
Maryland Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
The Portfolio invests primarily in debt securities issued by Maryland
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 August 31, 1997, 32.4% 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 by financial
institution ranged from 0.3% to 15.2% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
See notes to financial statements
66
<PAGE>
Missouri Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Electric Utilities -- 3.4%
- --------------------------------------------------------------------------------
NR BBB $1,010 Guam Power Authority Revenue
Bonds, 6.30%, 10/1/22 $ 1,044,875
Baa1 BBB+ 1,500 Puerto Rico Electric Power
Authority, 6.38%, 7/1/24 1,634,025
- --------------------------------------------------------------------------------
$ 2,678,900
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 5.1%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 City of Sikeston, Electric System,
(MBIA), 6.25%, 6/1/22 /(1)/ $ 1,093,650
Aaa AAA 575 Missouri Health and Education
Authority (Saint Louis Children's)
(MBIA), 0.00%, 5/15/08 334,748
Aaa AAA 1,000 Saint Louis County, Mortgage
Revenue (GNMA) (AMT),
5.40%, 1/1/16 994,740
Aaa AAA 1,425 Saint Louis, MO, Regional
Convention and Sports Complex,
Prerefunded, 7.90%, 8/15/21 1,675,415
- --------------------------------------------------------------------------------
$ 4,098,553
- --------------------------------------------------------------------------------
Hospitals -- 12.5%
- --------------------------------------------------------------------------------
Aa2 AA $3,250 Missouri Health and Education
Authority (Barnes Jewish
Christian), 5.25%, 5/15/14 $ 3,242,558
Baa NR 2,000 Missouri Health and Education
Authority (Jefferson Memorial
Hospital), 6.00%, 8/15/23 2,024,520
Baa NR 1,900 Missouri Health and Education
Authority (Jefferson Memorial
Hospital), 6.80%, 5/15/25 2,025,533
NR BBB+ 1,500 Missouri Health and Education
Authority (Lake of the Ozarks),
6.50%, 2/15/21 1,571,250
Aa1 AA+ 1,000 Missouri Health and Education
Authority (Sisters of Mercy),
6.25%, 6/1/15 1,054,420
- --------------------------------------------------------------------------------
$ 9,918,281
- --------------------------------------------------------------------------------
Housing -- 3.2%
- --------------------------------------------------------------------------------
NR AAA $ 905 Missouri Housing Development
Authority, Single Family Mortgage
Revenue (AMT), (GNMA),
7.25%, 9/1/26 $ 1,003,699
NR AAA 940 Missouri Housing Development
Authority, Single Family Mortgage
Revenue (GNMA), 6.45%, 9/1/27 982,187
NR AAA 535 Missouri Housing Development
Authority, Single Family Mortgage
Revenue, (AMT), (GNMA),
6.75%, 6/1/24 559,669
- --------------------------------------------------------------------------------
$ 2,545,555
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution Control Revenue -- 13.0%
- --------------------------------------------------------------------------------
NR BB- $1,035 Jefferson County (Kmart
Corporation), 6.40%, 8/1/08 /(2)/ $ 1,064,673
NR NR 1,300 Kansas City, Industrial
Development Authority (Airline
Cargo Facilities), 8.50%, 1/1/17 1,449,110
A3 NR 1,200 Missouri Environmental
Improvement and Energy Resources
Authority (American Cyanamid
Company), 5.80%, 9/1/09 1,295,100
Baa3 BBB- 2,500 Puerto Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26 2,656,725
A1 A+ 3,750 Saint Louis Industrial
Development Authority
(Anheuser-Busch), (AMT),
5.88%, 11/1/26 3,850,162
- --------------------------------------------------------------------------------
$10,315,770
- --------------------------------------------------------------------------------
Insured-Education -- 3.0%
- --------------------------------------------------------------------------------
Aaa AAA $2,500 Missouri Health and Education
(Saint Louis University), (AMBAC),
5.20%, 10/1/26 $ 2,398,650
- --------------------------------------------------------------------------------
$ 2,398,650
- --------------------------------------------------------------------------------
Insured-Electric Utilities -- 8.3%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 City of Sikeston, Electric System
(MBIA), 5.00%, 6/1/22 $ 939,160
Aaa AAA 700 Commonwealth of Puerto Rico
Electric Power Authority STRIPES
(FSA), Variable Rate, 7/1/03 /(3)/ 781,375
</TABLE>
See notes to financial statements
67
<PAGE>
Missouri Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Electric Utilities (continued)
- --------------------------------------------------------------------------------
Aaa AAA $5,000 Missouri Environmental Improvement
and Energy Resources Authority
(Union Electric), (AMT), (AMBAC),
5.45%, 10/1/28 $ 4,861,149
- --------------------------------------------------------------------------------
$ 6,581,684
- --------------------------------------------------------------------------------
Insured-General Obligations -- 1.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 Commonwealth of Puerto Rico "RIBS"
(AMBAC), Variable Rate, 7/1/15/(3)/ $ 536,875
AAA AAA 500 Commonwealth of Puerto Rico (FSA),
Variable Rate, 7/1/22/(3)/ 542,500
- --------------------------------------------------------------------------------
$ 1,079,375
- --------------------------------------------------------------------------------
Insured-Hospitals -- 15.3%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Jackson County, Saint Joseph's
Health System (MBIA), 6.50%,
7/1/12 $ 1,092,990
Aaa AAA 800 Jackson County, Saint Joseph's
Health System (MBIA), 6.50%,
7/1/19 874,392
Aaa AAA 1,500 Missouri Health and Education
Authority (AMBAC), 6.35%, 11/15/17 1,633,725
Aaa AAA 9,500 Missouri Health and Education
Authority (Lester Cox Medical
Center), (MBIA), 0.00%, 9/1/20 2,648,410
Aaa AAA 2,900 Missouri Health and Education
Authority (Lester Cox Medical
Center), (MBIA), 5.35%, 6/1/10 3,004,052
Aaa AAA 2,000 Missouri Health and Education
Authority (Saint Luke's Health
System) (MBIA), 5.13%, 11/15/19 1,899,420
Aaa AAA 1,000 Missouri Health and Education
Authority (Sisters of Saint Mary),
(MBIA), 6.25%, 6/1/16 1,059,660
- --------------------------------------------------------------------------------
$12,212,649
- --------------------------------------------------------------------------------
Insured-Housing -- 2.0%
- --------------------------------------------------------------------------------
Aaa AAA $1,500 SCA MFMR Receipts, Springfield,
MO (FSA), 7.10%, 1/1/30 $ 1,635,285
- --------------------------------------------------------------------------------
$ 1,635,285
- --------------------------------------------------------------------------------
Insured-Lease Revenue/Certificates of Participation -- 4.2%
- --------------------------------------------------------------------------------
Aaa AAA $1,750 Kansas City Municipal Assistance
Corporation, Bartle Hall
Convention (AMBAC), 5.00%, 4/15/20 $ 1,648,185
Aaa AAA 500 Kansas City School District
(FGIC), 5.00%, 2/1/14 484,730
Aaa AAA 600 Kansas City School District,
Building Corporation (FGIC),
6.50%, 2/1/08 646,554
Aaa AAA 500 Saint Charles County, Public
Facilities Authority (FGIC),
6.38%, 3/15/07 543,925
- --------------------------------------------------------------------------------
$ 3,323,394
- --------------------------------------------------------------------------------
Insured-Transportation -- 1.2%
- --------------------------------------------------------------------------------
Aaa AAA $ 910 Saint Louis, MO, Airport Revenue
(Lambert International Airport)
(FGIC), 6.00%, 7/1/14/(4)/ $ 977,668
- --------------------------------------------------------------------------------
$ 977,668
- --------------------------------------------------------------------------------
Insured-Water and Sewer -- 1.0%
- --------------------------------------------------------------------------------
Aaa AAA $ 750 City of Saint Louis (FGIC),
6.00%, 7/1/14 $ 788,228
- --------------------------------------------------------------------------------
$ 788,228
- --------------------------------------------------------------------------------
Lease Revenue/Certificates of Participation -- 7.6%
- --------------------------------------------------------------------------------
A BBB+ $3,000 Saint Louis County, Regional
Convention and Sports Complex
Authority, 5.50%, 8/15/13 $ 2,977,890
A BBB+ 1,000 Saint Louis County, Regional
Convention and Sports Complex
Authority, 5.75%, 8/15/21 1,003,140
NR NR 75 Saint Louis, MO, Regional
Convention and Sports Complex,
7.90%, 8/15/21 83,598
A1 A+ 2,000 State of Missouri, Regional
Convention and Sports Complex
Authority, 5.50%, 8/15/21 1,989,400
- --------------------------------------------------------------------------------
$ 6,054,028
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
68
<PAGE>
Missouri Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Life Care -- 4.3%
- --------------------------------------------------------------------------------
Baa1 NR $ 300 Cass County, Fox Springs Living
Center, 7.38%, 10/1/22 $ 326,205
NR NR 950 Kansas City, MO Industrial
Development Authority (Kingswood
United Methodist Manor), 9.00%,
11/15/13/(2)/ 1,047,480
NR NR 2,000 Missouri Health and Education
Authority (Lutheran Hospital),
6.38%, 2/1/27 2,076,380
- --------------------------------------------------------------------------------
$ 3,450,065
- --------------------------------------------------------------------------------
Nursing Homes -- 3.4%
- --------------------------------------------------------------------------------
NR NR $1,000 Kansas City, Industrial
Development Authority (Beverly
Enterprises), 8.00%, 12/1/02 $ 1,060,170
NR NR 500 Missouri Health and Education
Authority (Bethesda Health Group
of Saint Louis Inc.), 6.63%,
8/15/05 526,150
NR NR 1,000 Missouri Health and Education
Authority (Bethesda Health Group
of Saint Louis, Inc.), 7.50%,
8/15/12 1,115,730
- --------------------------------------------------------------------------------
$ 2,702,050
- --------------------------------------------------------------------------------
Pooled Loans -- 3.4%
- --------------------------------------------------------------------------------
A NR $2,750 Missouri Higher Education Loan
Authority, Student Loan, (AMT),
5.45%, 2/15/09 $ 2,733,748
- --------------------------------------------------------------------------------
$ 2,733,748
- --------------------------------------------------------------------------------
Special Tax Revenue -- 2.3%
- --------------------------------------------------------------------------------
Baa1 A $1,000 Puerto Rico, Highway and
Transportation Authority,
6.63%, 7/1/12 $ 1,092,530
NR NR 650 Virgin Islands Public Finance
Authority, 7.25%, 10/1/18 723,515
- --------------------------------------------------------------------------------
$ 1,816,045
- --------------------------------------------------------------------------------
Transportation -- 1.3%
- --------------------------------------------------------------------------------
NR NR $1,000 Lake of The Ozarks Community
Bridge Corporation, 6.40%,
12/1/25/(2)/ $ 1,007,050
- --------------------------------------------------------------------------------
$ 1,007,050
- --------------------------------------------------------------------------------
Water and Sewer -- 4.1%
- --------------------------------------------------------------------------------
Aa1 NR $1,000 Missouri Environmental
Improvement and Energy Resources
Authority, 0.00%, 1/1/14 $ 414,060
Aa1 NR 500 Missouri Environmental
Improvement and Energy Resources
Authority, 6.55%, 7/1/14 542,580
Aa1 NR 800 Missouri Environmental
Improvement and Energy Resources
Authority, 6.88%, 6/1/14 875,560
Aa1 NR 1,250 Missouri Environmental
Improvement and Energy Resources
Authority, 7.20%, 7/1/16/(2)/ 1,430,063
- --------------------------------------------------------------------------------
$ 3,262,263
- --------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $73,588,023) $79,579,241
- --------------------------------------------------------------------------------
</TABLE>
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 Missouri
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 August 31, 1997, 38.2% 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 by financial
institution ranged from 3.7% to 16.3% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(2)/ Security has been segregated to cover when-issued securities.
/(3)/ Security has been issued as an inverse floater bond.
/(4)/ When-issued security.
See notes to financial statements
69
<PAGE>
North Carolina Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 3.8%
- ---------------------------------------------------------------------------
Aa1 AA+ $1,000 North Carolina Educational
Facilities Finance Agency
(Duke University), 6.75%,
10/1/21 $ 1,093,120
Aa3 AA 1,935 University of North
Carolina at Chapel Hill,
5.00%, 2/15/29 1,793,668
Aa3 AA 3,530 University of North
Carolina at Chapel Hill,
5.25%, 2/15/26 3,413,545
- ---------------------------------------------------------------------------
$ 6,300,333
- ---------------------------------------------------------------------------
Electric Utilities -- 7.8%
- ---------------------------------------------------------------------------
A2 A $1,015 Chatham County Industrial
Facilities and Pollution
(Carolina Power and
Light), 6.30%, 6/15/14 $ 1,082,609
A3 A- 550 North Carolina Municipal
Power Authority (Catawba
Electric), 7.00%, 1/1/16 565,142
Baa1 BBB 5,000 North Carolina Municipal
Power Authority (Eastern
Power), 6.13%, 1/1/09 5,295,249
Baa1 BBB+ 2,000 Puerto Rico Electric Power
Authority, 0.00%, 7/1/17 671,200
Baa1 BBB+ 2,000 Puerto Rico Electric Power
Authority, 0.00%, 7/1/17 671,200
Baa1 BBB+ 4,250 Puerto Rico Electric Power
Authority, 5.25%, 7/1/21 4,076,813
Baa1 BBB+ 365 Puerto Rico Electric Power
Authority, 7.13%, 7/1/14 389,959
NR NR 240 Virgin Islands Water and
Sewer Authority, 7.40%,
7/1/11 258,854
- ---------------------------------------------------------------------------
$ 13,011,026
- ---------------------------------------------------------------------------
Escrowed / Prerefunded -- 0.5%
- ---------------------------------------------------------------------------
Baa1 AAA $ 635 Puerto Rico Electric Power
Authority, Prerefunded to
7/1/99, 7.13%, 7/1/14 $ 679,888
NR AAA 150 Puerto Rico General
Obligations, Prerefunded
to 7/1/00, 7.30%, 7/1/20 165,509
- ---------------------------------------------------------------------------
$ 845,397
- ---------------------------------------------------------------------------
General Obligations -- 2.2%
- ---------------------------------------------------------------------------
A A- $ 175 Eden, Water and Sewer
Bonds, (AMT), 6.75%, 6/1/08 $ 190,570
Aaa AAA 3,550 North Carolina Capital
Improvements, 4.75%, 2/1/12 3,427,596
- ---------------------------------------------------------------------------
$ 3,618,166
- ---------------------------------------------------------------------------
Hospitals -- 16.2%
- ---------------------------------------------------------------------------
Aa3 AA $2,090 Charlotte-Mecklenberg
Hospital, 0.00%, 1/1/06 $ 1,406,089
Aa3 AA 2,000 Charlotte-Mecklenberg
Hospital, 5.88%, 1/15/26 2,066,560
Aa3 AA 2,000 North Carolina Medical
Care Commission, 5.25%,
6/1/21 1,952,100
Aa3 AA 1,000 North Carolina Medical
Care Commission (Carolina
Medicorp), 6.00%, 5/1/21 1,017,990
Aa3 AA 3,500 North Carolina Medical
Care Commission (Duke
Univ. Hosp.), 0.00%, 6/1/09 1,902,810
NR NR 5,500 North Carolina Medical
Care Commission (Mercy
Hospital), 6.50%, 8/1/08 /(1)/ 6,022,554
Aa3 AA 2,000 North Carolina Medical
Care Commission (North
Carolina Baptist
Hospital), 6.00%, 6/1/22 2,046,540
Aa3 AA 1,700 North Carolina Medical
Care Commission
(Presbyterian Health
Services), 6.00%, 10/1/24 1,771,502
A1 A+ 2,000 North Carolina Medical
Care Commission (Rex
Hospital),
6.13%, 6/1/10 2,119,260
NR BBB+ 2,500 North Carolina Medical
Care Commission
(Roanoke-Chowan Hospital),
7.75%, 10/1/19 2,648,850
Aa3 AA- 4,165 Pitt County Memorial
Hospital, 5.25%, 12/1/21 4,020,683
- ---------------------------------------------------------------------------
$ 26,974,938
- ---------------------------------------------------------------------------
Housing -- 12.9%
- ---------------------------------------------------------------------------
NR AAA $1,900 Charlotte Housing
Authority, Double Oaks,
FHA, (FNMA), 7.35%, 5/15/26 $ 2,084,357
Aa2 AA 2,250 North Carolina Housing
Finance Agency, 6.70%,
1/1/26 2,412,383
</TABLE>
See notes to financial statements
70
<PAGE>
North Carolina Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Housing (continued)
- --------------------------------------------------------------------------------
Aa2 AA $1,500 North Carolina Housing
Finance Agency, Single
Family Mortgage Revenue,
(AMT), 6.30%, 3/1/26 $ 1,557,180
Aa2 AA 4,395 North Carolina Housing
Finance Agency,
Multifamily Mortgage
Revenue, 6.85%, 7/1/13 4,678,434
Aa2 AA 1,970 North Carolina Housing
Finance Agency,
Multifamily Mortgage
Revenue, (AMT), 6.45%,
9/1/27 2,063,358
Aa AA 1,250 North Carolina Housing
Finance Agency, Single
Family Mortgage Revenue,
(AMT), 6.20%, 9/1/27 1,289,825
Aa AA 2,080 North Carolina Housing
Finance Agency, Single
Family Mortgage Revenue,
(AMT), 6.60%, 9/1/26 2,189,491
Aa2 AA 3,880 North Carolina Housing
Finance Agency, Single
Family Mortgage Revenue,
(AMT), 6.70%, 9/1/26 4,101,160
Aa AA 850 North Carolina Housing
Finance Agency, Single
Family Mortgage Revenue,
(AMT), 7.05%, 9/1/20 900,227
Aaa AAA 125 Puerto Rico Housing
Finance Corp., Single
Family Mortgage Revenue,
(GNMA), 6.85%, 10/15/23 131,665
- --------------------------------------------------------------------------------
$ 21,408,080
- --------------------------------------------------------------------------------
Industrial Development Revenue/Pollution
Control Revenue -- 11.8%
- --------------------------------------------------------------------------------
Baa1 NR $1,350 Haywood County Industrial
Development Authority
(Champion International
Corporation),
6.25%, 9/1/25 $ 1,412,316
Baa1 BBB 2,750 Haywood County Industrial
Development Authority
(Champion International
Corporation), (AMT),
5.50%, 10/1/18/(2)/ 2,712,710
Baa1 BBB 1,500 Haywood County Industrial
Development Authority
(Champion International
Corporation), (AMT),
5.75%, 12/1/25 1,507,005
A2 A 4,250 Martin County Industrial
Development Authority
(Weyerhaeuser Company),
(AMT), 6.80%, 5/1/24 4,677,040
Baa2 BBB 2,500 New Hanover County
(Occidental Petroleum
Corporation), 6.70%, 7/1/19 2,657,900
Baa3 BBB- 5,355 Puerto Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26/(1)/ 5,690,704
NR A1+ 850 Robeson County, Industrial
Facilities and Pollution
Control Financing
Authority (Campbell Soup
Company), 6.40%, 12/1/06 949,790
- --------------------------------------------------------------------------------
$ 19,607,465
- --------------------------------------------------------------------------------
Insured-Electric Utilities -- 7.4%
- --------------------------------------------------------------------------------
Aaa AAA $2,400 Fayetteville, NC, Public
Works Commission Revenue
(FGIC), 4.75%, 3/1/14 $ 2,235,960
Aaa AAA 1,000 Guam Power Authority
Revenue, Series A (AMBAC),
5.25%, 10/1/13 1,007,160
Aaa AAA 1,500 North Carolina Eastern
Municipal Power Authority
(FSA), Variable Rate,
1/1/19 1,516,875
Aaa AAA 2,000 North Carolina Municipal
Power Agency, (Catawba
Electric Revenue, Series A)
(MBIA), 5.13%, 1/1/17/(3)/ 1,918,140
Aaa AAA 4,000 North Carolina Municipal
Power Authority (Catawba
Electric) (MBIA), Variable
Rate, 1/1/12/(2)/ 4,035,000
Aaa AAA 1,400 Puerto Rico Electric Power
Authority, (FSA) Variable
Rate, 7/1/02 1,531,250
- --------------------------------------------------------------------------------
$ 12,244,385
- --------------------------------------------------------------------------------
Insured-General Obligations -- 2.9%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Commonwealth of Puerto
Rico "RIBS" (AMBAC),
Variable Rate, 7/1/15 /(4)/ $ 1,073,750
aa AAA 3,500 Puerto Rico (FSA),
Variable Rate, 7/1/22 /(4)/ 3,797,500
- --------------------------------------------------------------------------------
$ 4,871,250
- --------------------------------------------------------------------------------
Insured-Hospitals -- 11.5%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 Cumberland County
Hospital, (MBIA), 0.00%,
10/1/09 $ 268,495
</TABLE>
See notes to financial statements
71
<PAGE>
North Carolina Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Hospitals (continued)
- --------------------------------------------------------------------------------
Aaa AAA $ 935 North Carolina Medical
Care Commission (Memorial
Mission Hospital) (FSA),
0.00%, 10/1/06 $ 598,989
Aaa AAA 3,750 North Carolina Medical
Care Commission (Moore
Regional Hospital) (FGIC),
5.00%, 10/1/18 3,526,388
Aaa AAA 5,000 North Carolina Medical
Care Commission (Saint
Joseph's Medical Center)
(AMBAC), 5.10%, 10/1/14 4,904,750
Aaa AAA 1,500 North Carolina Medical
Care Commission (Wilson
Memorial Hospital)
(AMBAC), 0.00%, 11/1/15 557,640
Aaa AAA 9,500 North Carolina Medical
Care Commission Hospital
Revenue, (Wake County
Hospital) (MBIA), 5.38%,
10/1/26 9,274,279
- --------------------------------------------------------------------------------
$ 19,130,541
- --------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of
Participation -- 4.6%
- --------------------------------------------------------------------------------
Aaa AAA $3,900 Charlotte, Convention
Facility (AMBAC), 5.25%,
12/1/13 $ 3,899,688
Aaa AAA 1,575 Franklin, (FGIC), 6.63%,
6/1/14 1,742,612
Aaa AAA 1,000 Mooresville School
District (AMBAC), 6.35%,
10/1/14 1,087,750
Aaa AAA 1,000 Puerto Rico Public
Buildings Authority
(AMBAC), 5.00%, 7/1/27 946,620
- --------------------------------------------------------------------------------
$ 7,676,670
- --------------------------------------------------------------------------------
Lease Revenue /
Certificates of Participation -- 7.8%
- --------------------------------------------------------------------------------
A1 A $2,065 Buncombe County,
6.63%, 12/1/10 $ 2,206,473
A3 A- 6,000 Columbus County, NC,
Industrial Facility and
Pollution Control
Financing (International
Paper Co., Project-Series
A), (AMT),
6.15%, 4/1/21 6,243,419
NR AA 825 Durham County, 6.10%,
7/15/07 885,308
Aa3 NR 985 Durham County, 6.75%,
12/1/11 1,095,714
A1 AA 2,400 Greensboro, Greensboro
Coliseum Arena, 6.75%,
12/1/09 2,592,096
- --------------------------------------------------------------------------------
$ 13,023,010
- --------------------------------------------------------------------------------
Special Tax Revenue -- 8.3%
- --------------------------------------------------------------------------------
Baa1 A $3,900 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.00%, 7/1/36 $ 3,617,601
Baa1 A 4,000 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.25%, 7/1/20 3,825,480
Baa1 A 1,825 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.50%, 7/1/36 1,810,364
Baa1 BBB+ 200 Puerto Rico Finance
Authority, 7.90%, 7/1/07 210,568
Baa1 A 1,490 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 1,503,395
NR NR 2,550 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 2,838,405
- --------------------------------------------------------------------------------
$ 13,805,813
- --------------------------------------------------------------------------------
Transportation -- 1.1%
- --------------------------------------------------------------------------------
NR BBB $1,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 1,069,250
Baa3 BBB- 750 Puerto Rico Port Authority
(American Airlines),
(AMT), 6.30%, 6/1/23 788,843
- --------------------------------------------------------------------------------
$ 1,858,093
- --------------------------------------------------------------------------------
Water and Sewer -- 1.2%
- --------------------------------------------------------------------------------
Aa AA $2,000 Orange County, Water and
Sewer, 5.20%, 7/1/16 $ 1,978,540
- --------------------------------------------------------------------------------
$ 1,978,540
- --------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $153,838,803) $ 166,353,707
- --------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
See notes to financial statements
72
<PAGE>
North Carolina Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
The Portfolio invests primarily in debt securities issued by North Carolina
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 August 31, 1997, 26.4% 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 by financial
institution ranged from 4.5% to 9.3% of total investments.
/(1)/ Security has been segregated to cover when-issued securities.
/(2)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(3)/ When-issued security.
/(4)/ Security has been issued as an inverse floater bond.
See notes to financial statements
73
<PAGE>
Oregon Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 1.9%
- ----------------------------------------------------------------------------
NR NR $2,000 Western Generation Agency
(Wauna Cogeneration), (AMT),
7.40%, 1/1/16 $ 2,142,380
- ----------------------------------------------------------------------------
$ 2,142,380
- ----------------------------------------------------------------------------
Education -- 0.9%
- ----------------------------------------------------------------------------
A2 NR $1,000 City of Salem, Educational
Facilities (Willamette
University), 6.10%, 4/1/14 $ 1,047,620
- ----------------------------------------------------------------------------
$ 1,047,620
- ----------------------------------------------------------------------------
Electric Utilities -- 5.2%
- ----------------------------------------------------------------------------
Aa1 AA- $4,000 City of Eugene, Trojan Nuclear
Power, 5.90%, 9/1/09/(1)/ $ 4,004,200
A A+ 500 Commonwealth of Puerto Rico,
Telephone Authority, Variable
Rate, 1/1/20/(2)/ 543,125
Aa1 AA- 1,500 Northern Wasco County, McNary
Dam Fishway Hydroelectric,
Bonneville Power Administration,
5.20%, 12/1/24 1,451,085
- ----------------------------------------------------------------------------
$ 5,998,410
- ----------------------------------------------------------------------------
Escrowed/Prerefunded -- 3.2%
- ----------------------------------------------------------------------------
A1 AAA $2,000 City of Medford, Rogue Valley
Memorial Hospital,
6.25%, 12/1/07 $ 2,240,280
NR A+ 1,250 State of Oregon Health,
Housing, Educational and
Cultural Facilities Authority
(Reed College), 6.75%, 7/1/21 1,374,950
- ----------------------------------------------------------------------------
$ 3,615,230
- ----------------------------------------------------------------------------
General Obligations -- 13.6%
- ----------------------------------------------------------------------------
Aa NR $2,000 Lane County, City of
Eugene, School District,
5.38%, 7/1/13 $ 2,011,280
Aa2 AA 2,000 Oregon State Veterans
Welfare, Series 76A,
5.90%, 10/1/17 2,071,240
Aa2 AA 1,000 State of Oregon, Board of
Higher Education, 6.00%,
10/15/18 1,052,520
Aa2 AA 1,250 State of Oregon, Elderly
and Disabled Housing,
6.38%, 8/1/24 1,348,275
Aa2 AA 5,110 State of Oregon, Elderly
and Disabled Housing,
(AMT), 5.65%, 8/1/26 5,174,795
Aa2 AA 1,225 State of Oregon, Veterans'
Welfare Bonds, 5.85%,
10/1/15 1,266,417
Aa2 AA 1,500 State of Oregon, Veterans'
Welfare Bonds, 5.88%,
10/1/18 1,551,240
Aa AA+ 1,000 Tri-County Metropolitan
Transportation District,
Light Rail Extension,
6.00%, 7/1/12 1,048,470
- ----------------------------------------------------------------------------
$ 15,524,237
- ----------------------------------------------------------------------------
Hospitals -- 1.8%
- ----------------------------------------------------------------------------
NR A $1,000 Benton County, Good
Samaritan Hospital
Corvallis, 6.25%, 10/1/09 $ 1,043,590
Aa3 AA 1,000 Clackamas County, Kaiser
Permanente, 6.25%, 4/1/21 1,046,850
- ----------------------------------------------------------------------------
$ 2,090,440
- ----------------------------------------------------------------------------
Housing -- 29.9%
- ----------------------------------------------------------------------------
Aaa NR $2,875 City of Portland Housing
Authority, Multifamily
Mortgage Revenue, Cherry
Blossom Apartments, (AMT),
6.20%, 12/20/36 $ 2,972,319
NR A 1,750 City of Portland Housing
Authority, Multifamily
Mortgage Revenue,
Riverwood, 6.00%, 1/1/19 1,771,560
NR NR 2,105 Hood River County, OR,
Health Facility Authority
Elderly Housing Revenue
(Down Manor Project),
6.50%, 1/1/17 2,153,773
Aa2 NR 1,500 Oregon Housing and
Commerce Service
Manufacturer,
6.20%, 7/1/28 1,542,780
Aa2 NR 4,700 Oregon State Housing and
Community Services
Department, Mortgage
Revenue, Series A, (AMT),
6.20%, 7/1/27 4,887,577
NR A 1,000 Portland, OR Housing
Authority, 6.00%, 1/1/27 1,011,300
</TABLE>
See notes to financial statements
74
<PAGE>
Oregon Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Housing (continued)
- ---------------------------------------------------------------------------
Aa3 NR $5,810 Portland, OR, Housing
Authority, Multifamily
Revenue Housing (Berry
Ridge Project), (AMT),
6.30%, 5/1/29 $ 6,026,538
Aa2 NR 2,000 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.20%, 7/1/27 2,074,920
Aa2 NR 3,500 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.38%, 7/1/27 3,680,075
Aa2 NR 2,000 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.40%, 7/1/26 2,099,520
Aa2 NR 2,500 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.45%, 7/1/26 2,633,700
Aa3 NR 2,000 Washington County, OR,
Housing Authority,
Multifamily Revenue
(Bethany Meadows Project),
(AMT), 5.85%, 9/1/27 2,009,000
Aa3 NR 1,390 Washington County, OR,
Housing Authority,
Multifamily Revenue,
(Bethany Meadows Project),
(AMT), 5.75%, 9/1/17 1,396,297
- ---------------------------------------------------------------------------
$ 34,259,359
- ---------------------------------------------------------------------------
Industrial Development Revenue/Pollution Control Revenue -- 9.3%
- ---------------------------------------------------------------------------
Baa2 BBB- $3,500 Oregon Economic
Developments Authority,
Georgia Pacific, (AMT),
6.35%, 8/1/25 $ 3,654,595
NR BBB- 5,000 Port of Astoria, Pollution
Control Revenue, James
River, 6.55%, 2/1/15 5,213,500
NR NR 750 Port of Portland, Ash
Grove Cement Company,
7.25%, 10/1/09 807,728
NR NR 1,000 Port of Portland, North
Portland Crown Zellerbach
Corporation, 6.13%, 5/15/08 1,001,210
- ---------------------------------------------------------------------------
$ 10,677,033
- ---------------------------------------------------------------------------
Insured-Education -- 2.3%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority (Lewis and Clark
College) (MBIA), 6.00%,
10/1/13 $ 1,060,280
Aaa AAA 1,500 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority (Lewis and Clark
College) (MBIA), 6.13%,
10/1/24 1,597,170
- ---------------------------------------------------------------------------
$ 2,657,450
- ---------------------------------------------------------------------------
Insured-Electric Utilities -- 3.7%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 City of Eugene, Electric
Utility Revenue (MBIA),
5.80%, 8/1/22 $ 1,031,550
Aaa AAA 500 Commonwealth of Puerto Rico
Electric Power Authority
STRIPES (FSA), Variable
Rate, 7/1/03/(2)/ 558,125
Aaa AAA 1,600 Commonwealth of Puerto
Rico, Telephone Authority
(MBIA), Variable Rate,
1/16/15/(2)/ 1,602,000
Aaa AAA 1,000 Emerald People's Utility
District, Electric System
(AMBAC), 5.75%, 11/1/16 1,026,480
- ---------------------------------------------------------------------------
$ 4,218,155
- ---------------------------------------------------------------------------
Insured-General Obligations -- 2.8%
- ---------------------------------------------------------------------------
Aaa AAA $2,000 Commonwealth of Puerto
Rico "RIBS" (AMBAC),
Variable Rate, 7/1/15/(2)/ $ 2,147,500
Aaa AAA 1,000 Yamhill, Clackamas and
Washington Counties,
Newberg School District
(FSA), 5.50%, 6/1/10 1,025,980
- ---------------------------------------------------------------------------
$ 3,173,480
- ---------------------------------------------------------------------------
Insured-Hospitals -- 1.8%
- ---------------------------------------------------------------------------
Aaa AAA $3,630 Oregon Health Science
University, Capital
Appreciation (MBIA),
0.00%, 7/1/21 $ 976,579
Aaa AAA 1,000 Western Lane Hospital
District Authority,
Sisters of Saint Joseph of
Peace (MBIA), 5.75%, 8/1/19 1,030,900
- ---------------------------------------------------------------------------
$ 2,007,479
- ---------------------------------------------------------------------------
</TABLE>
See notes to financial statements
75
<PAGE>
Oregon Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Lease Revenue/Certificates of
Participation -- 2.5%
- ---------------------------------------------------------------------------
Aaa AAA $1,250 State of Oregon,
Department of General
Services, Real Property
Financing Program (AMBAC),
6.25%, 9/1/15 $ 1,325,925
Aaa AAA 1,500 State of Oregon,
Department of General
Services, Real Property
Financing Program (MBIA),
6.25%, 11/1/19 1,586,895
- ---------------------------------------------------------------------------
$ 2,912,820
- ---------------------------------------------------------------------------
Insured-Special Tax Revenue -- 0.3%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 City of Portland, Arena
Natural Gas Tax Revenue
(AMBAC),0.00%, 6/1/17 $ 317,880
- ---------------------------------------------------------------------------
$ 317,880
- ---------------------------------------------------------------------------
Insured-Transportation -- 4.8%
- ---------------------------------------------------------------------------
Aaa AAA $1,500 Oregon Department of
Transportation, Westside
Light Rail (MBIA), 6.25%,
6/1/09 $ 1,643,130
Aaa AAA 1,000 Port of Portland, Portland
International Airport
(AMBAC), (AMT), 6.25%,
7/1/18 1,049,130
Aaa AAA 2,750 Port of Portland, Portland
International Airport,
(AMT), (FGIC), 6.00%,
7/1/23 2,817,650
- ---------------------------------------------------------------------------
$ 5,509,910
- ---------------------------------------------------------------------------
Insured-Water and Sewer -- 6.0%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 City of Beaverton,
Washington County, Water
Revenue (FSA), 6.13%,
6/1/14 $ 1,059,100
Aaa AAA 1,500 City of Portland, Sewer
System (FGIC), 6.00%,
10/1/12 1,630,545
Aaa AAA 1,000 South Fork Water Board,
First Lien Water Revenue
(FSA), 6.00%, 2/1/14 1,049,790
Aaa AAA 1,500 Washington County, Unified
Sewerage Agency (AMBAC),
6.13%, 10/1/12 1,637,445
Aaa AAA 1,375 Washington County, Unified
Sewerage Agency, Senior
Lien (AMBAC), 6.13%,
10/1/12 1,500,991
- ---------------------------------------------------------------------------
$ 6,877,871
- ---------------------------------------------------------------------------
Lease Revenue/Certificates of Participation -- 1.4%
- ---------------------------------------------------------------------------
Aa A $1,500 Multnomah County, Juvenile
Justice Complex, 6.00%,
8/1/12 $ 1,556,550
- ---------------------------------------------------------------------------
$ 1,556,550
- ---------------------------------------------------------------------------
Special Tax Revenue -- 4.1%
- ---------------------------------------------------------------------------
A NR $1,000 City of Portland, Urban
Renewal and Redevelopment
Bonds, Downtown
Waterfront, 6.40%, 6/1/08 $ 1,063,720
Baa1 A 500 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
6.38%, 7/1/08 535,760
A1 AA+ 3,000 Tri-County Metropolitan
Transportation District,
Limited Tax Pledge, 5.70%,
8/1/13 3,098,610
- ---------------------------------------------------------------------------
$ 4,698,090
- ---------------------------------------------------------------------------
Transportation -- 1.3%
- ---------------------------------------------------------------------------
Baa3 BB+ $1,500 Port of Portland, Special
Obligation Revenue Bonds
(Delta Airlines
Incorporated), (AMT),
6.20%, 9/1/22 $ 1,540,635
- ---------------------------------------------------------------------------
$ 1,540,635
- ---------------------------------------------------------------------------
Water and Sewer -- 3.2%
- ---------------------------------------------------------------------------
A A+ $1,500 City of Gresham, Water
Revenue, 5.20%, 11/1/10 $ 1,502,070
NR A+ 2,000 Clackamus County, Water
Revenue, 6.38%, 10/1/14 2,160,860
- ---------------------------------------------------------------------------
$ 3,662,930
- ---------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $108,099,159) $ 114,487,959
- ---------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
See notes to financial statements
76
<PAGE>
Oregon Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
The Portfolio invests primarily in debt securities issued by Oregon
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 August 31, 1997, 24.2% 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 by financial
institution ranged from 3.2% to 9.2% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
See notes to financial statements
77
<PAGE>
South Carolina Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 2.9%
- ---------------------------------------------------------------------------
NR A $1,500 South Carolina Education
Authority, Student Loan,
(AMT),
6.30%, 9/1/08 $ 1,570,935
- ---------------------------------------------------------------------------
$ 1,570,935
- ---------------------------------------------------------------------------
Electric Utilities -- 7.0%
- ---------------------------------------------------------------------------
A1 A- $1,650 Berkeley County, SC
Electric and Gas Company,
6.50%, 10/1/14 $ 1,798,253
Baa1 BBB+ 1,400 Puerto Rico Electric Power
Authority, 6.25%, 7/1/17 1,480,906
Baa1 BBB+ 500 Puerto Rico Electric Power
Authority, 6.38%, 7/1/24 544,675
- ---------------------------------------------------------------------------
$ 3,823,834
- ---------------------------------------------------------------------------
Hospitals -- 5.6%
- ---------------------------------------------------------------------------
Aa3 AA- $1,500 Greenville, SC Hospital
System (Board of Trustees),
5.25%, 5/1/17 $ 1,471,035
Baa1 NR 1,500 Horry County, SC (Conway
Hospital), 6.75%, 7/1/12 1,582,380
- ---------------------------------------------------------------------------
$ 3,053,415
- ---------------------------------------------------------------------------
Housing -- 12.9%
- ---------------------------------------------------------------------------
NR BBB+ $1,000 South Carolina Housing
Finance Authority,
Multifamily Mortgage
Revenue (Hunting Ridge)
(AMT), 6.75%, 6/1/25 $ 1,043,490
NR AA- 1,780 South Carolina Housing
Finance Authority,
Multifamily Mortgage
Revenue (Runaway Bay
Apartment), 6.20%, 12/1/20 1,806,771
NR AA 975 South Carolina Housing
Finance Authority,
Multifamily Mortgage
Revenue (Westbury Place),
6.05%, 7/1/27 986,408
Aa AA 1,500 South Carolina Housing
Finance Authority, Single
Family Mortgage Revenue,
6.38%, 7/1/16 1,572,585
Aa2 NR 1,500 South Carolina Housing
Finance Authority, Single
Family Mortgage Revenue,
6.45%, 7/1/17 1,580,310
- ---------------------------------------------------------------------------
$ 6,989,564
- ---------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 32.5%
- ---------------------------------------------------------------------------
Baa2 BBB $1,890 Aiken County, SC Industrial
Development Board (Beloit
Corporation), 6.00%, 12/1/11 $ 2,003,117
NR BBB+ 1,500 Chester County, SC, 7.35%,
2/1/14 1,623,930
A2 A 2,500 Darlington County, SC,
6.00%, 4/1/26 2,589,025
A1 AA- 1,500 Darlington County, SC
(Nucor Corporation), (AMT),
5.75%, 8/1/23 1,509,390
A2 A 500 Darlington County, SC
(Sonoco Products), (AMT),
6.13%, 6/1/25 523,875
A2 A 1,500 Darlington County, SC Power
and Light Company, 6.60%,
11/1/10 1,643,715
Aa3 AA- 500 Florence County, SC (E.I.
du Pont de Nemours), 6.35%,
7/1/22 538,785
NR NR 565 Florence County, SC (Stone
Container Company), 7.38%,
2/1/07 598,538
A1 A- 2,665 Richland County, SC (Union
Camp Corporation), (AMT),
6.75%, 5/1/22 2,878,146
NR NR 1,500 Spartanburg County, SC
Solid Waste (Bavarian Motor
Works Corporation), (AMT),
7.55%, 11/1/24 1,684,680
A2 A+ 2,000 York County, SC (Hoechst
Celanese Corporation),
(AMT),
5.70%, 1/1/24 2,025,360
- ---------------------------------------------------------------------------
$17,618,561
- ---------------------------------------------------------------------------
Insured-Electric Utilities -- 8.6%
- ---------------------------------------------------------------------------
Aaa AAA $ 300 Piedmont Municipal Power
Agency (MBIA), 6.25%, 1/1/09 $ 334,473
Aaa AAA 1,000 Piedmont Municipal Power
Agency (MBIA), 6.30%, 1/1/14 1,077,490
Aaa AAA 1,250 South Carolina Public
Service Authority (AMBAC),
6.38%, 7/1/21 1,357,850
Aa AA- 1,000 South Carolina Public
Service Authority (MBIA),
5.13%, 1/1/32 933,590
Aaa AAA 1,000 South Carolina Public
Service Authority (Santee
Cooper) (AMBAC),
5.00%, 1/1/14 966,340
- ---------------------------------------------------------------------------
$ 4,669,743
- ---------------------------------------------------------------------------
</TABLE>
See notes to financial statements
78
<PAGE>
South Carolina Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-General Obligations -- 2.0%
- --------------------------------------------------------------------------
Aaa AAA $1,000 Berkeley County, SC School
District (AMBAC), 6.30%,
2/1/16 $ 1,072,040
- --------------------------------------------------------------------------
$ 1,072,040
- --------------------------------------------------------------------------
Insured-Hospitals -- 14.3%
- --------------------------------------------------------------------------
Aaa AAA $1,500 Greenwood County, Self
Memorial Hospital (FGIC),
5.88%, 10/1/17 $ 1,541,175
Aaa AAA 300 Lexington County Health
Services District (FSA),
6.75%, 10/1/18 328,758
Aaa AAA 3,000 South Carolina Jobs
Economic Development
Authority (Anderson Area
Medical Center) (MBIA),
5.25%, 2/1/26 2,876,040
Aaa AAA 1,000 South Carolina Jobs
Economic Development
Authority (Baptist
Hospital) (AMBAC), 5.45%,
8/1/15 986,450
Aaa AAA 1,000 South Carolina Jobs
Economic Development
Authority (Baptist
Hospital) (AMBAC), Variable
Rate, 8/1/15 /(1)/ 972,500
NR AAA 1,000 South Carolina Jobs
Economic Development
Authority, Oconee Memorial
Hospital (CLI),
6.15%, 3/1/25 1,047,620
- --------------------------------------------------------------------------
$ 7,752,543
- --------------------------------------------------------------------------
Insured-Housing -- 1.9%
- --------------------------------------------------------------------------
Aaa AAA $1,000 South Carolina Housing
Finance and Development
Authority, Single Family
Mortgage Revenue (AMBAC),
(AMT), 5.95%, 7/1/29 $ 1,015,040
- --------------------------------------------------------------------------
$ 1,015,040
- --------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of
Participation -- 6.8%
- --------------------------------------------------------------------------
Aaa AAA $ 500 Charleston County, SC
(MBIA), 6.10%, 6/1/11 $ 534,110
Aaa AAA 955 Charleston County, SC
(MBIA), 7.00%, 6/1/19 1,101,058
Aaa AAA 45 Charleston County, SC
(MBIA), 7.00%, 6/1/19 50,746
Aaa AAA 1,000 Florence County, SC Law
Center (AMBAC), 6.00%,
3/1/14 1,045,400
Aaa AAA 900 North Charleston, SC
(Coliseum Capital
Improvements) (FGIC),
6.00%, 1/1/11 948,996
- --------------------------------------------------------------------------
$ 3,680,310
- --------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 4.9%
- --------------------------------------------------------------------------
Baa NR $ 750 Lexington School District,
6.90%, 7/1/08 $ 823,515
Baa1 BBB+ 1,750 Myrtle Beach Convention
Center, 6.88%, 7/1/17 1,846,705
- --------------------------------------------------------------------------
$ 2,670,220
- --------------------------------------------------------------------------
Pooled Loans -- 0.6%
- --------------------------------------------------------------------------
NR A+ $ 300 South Carolina Resource
Authority, Local Government
Program, 7.00%, 4/1/13 $ 309,684
- --------------------------------------------------------------------------
$ 309,684
- --------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $50,167,834) $54,225,889
- --------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax
preference item for the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by South Carolina
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 August 31, 1997, 33.6% 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 by financial
institution ranged from 0.6% to 13.7% of total investments.
/(1)/ Security has been issued as an inverse floater bond.
See notes to financial statements
79
<PAGE>
Tennessee Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 2.0%
- --------------------------------------------------------------------------------
Baa3 NR $1,000 Nashville and Davidson
County (Belmont
University),
6.40%, 12/1/19 $ 1,052,640
- --------------------------------------------------------------------------------
$ 1,052,640
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 2.9%
- --------------------------------------------------------------------------------
Aaa AAA $1,500 Shelby County (Lebonheur
Children's Hospital),
(MBIA), 5.50%, 8/15/12 $ 1,541,475
- --------------------------------------------------------------------------------
$ 1,541,475
- --------------------------------------------------------------------------------
General Obligations -- 3.8%
- --------------------------------------------------------------------------------
Aa AA $1,000 Metropolitan Government
Nashville and Davidson
County, 5.88%, 5/15/21 $ 1,034,050
Aa2 AA+ 1,000 Shelby County, 5.13%, 3/1/16 975,950
- --------------------------------------------------------------------------------
$ 2,010,000
- --------------------------------------------------------------------------------
Hospitals -- 4.6%
- --------------------------------------------------------------------------------
Baa1 NR $ 500 City of Clarksville,
Clarksville Memorial,
6.25%, 7/1/08 $ 524,160
Baa1 NR 500 City of Clarksville,
Clarksville Memorial,
6.38%, 7/1/18 518,970
Baa1 BBB+ 250 Knox County (East Tennessee
Children's), 6.50%, 10/1/12 261,293
NR A- 1,000 Sumner County, Sumner
Regional Health Systems,
7.50%, 11/1/14 1,121,160
- --------------------------------------------------------------------------------
$ 2,425,583
- --------------------------------------------------------------------------------
Housing -- 15.8%
- --------------------------------------------------------------------------------
NR A $ 750 Knoxville Community
Development Corporation
(Clinton Towers),
6.65%, 10/15/10 $ 785,828
NR AAA 500 Knoxville Community
Development Corporation
(Morningside Gardens)
(GNMA), 6.10%, 7/20/20 512,535
NR A 1,500 Nashville and Davidson
County (The Park at
Hermitage), 5.90%, 2/1/19 1,498,110
Aa2 AA 445 Tennessee Housing
Development Agency,
Homeownership Program,
6.80%, 7/1/17 467,481
Aa AA 1,000 Tennessee Housing
Development Agency,
Homeownership Program,
(AMT), 5.75%, 7/1/24 998,550
A1 A+ 2,000 Tennessee Housing
Development Agency,
Mortgage Finance Program,
5.85%, 7/1/13 2,038,819
A1 A+ 2,000 Tennessee Housing
Development Agency,
Mortgage Finance Program,
5.95%, 7/1/28 2,032,340
- --------------------------------------------------------------------------------
$ 8,333,663
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 27.5%
- --------------------------------------------------------------------------------
Aa3 A-1+ $1,000 City of Chattanooga (E.I.
du Pont de Nemours and
Co.), 6.35%, 7/1/22 $ 1,083,920
Aa3 AA- 1,000 Humphreys County (E.I. du
Pont de Nemours and Co.),
(AMT), 6.70%, 5/1/24 1,094,970
Aa2 AA 2,000 Loudon County
(Kimberly-Clark Corp.),
(AMT), 6.20%, 2/1/23/(1)/ 2,099,159
A3 A- 2,750 Maury County (Saturn
Corp.), 6.50%, 9/1/24 2,999,424
Baa1 BBB 1,500 McMinn County,TN (Calhoun
Newsprint Co. Project -
Bowater Inc.), (AMT),
7.40%, 12/1/22 1,666,935
Baa2 BBB 1,500 Memphis-Shelby County
Airport Authority (Federal
Express Corp.), 6.75%,
9/1/12 1,637,220
Baa2 BBB 1,000 Memphis-Shelby County
Airport Authority (Federal
Express Corp.), (AMT),
6.20%, 7/1/14 1,030,840
NR BBB+ 500 Nashville and Davidson
County (Osco Treatment
Systems), (AMT), 6.00%,
5/1/03 518,220
Baa3 BBB- 1,250 Puerto Rico Port Authority
(American Airlines), 6.25%,
6/1/26 1,328,363
A3 NR 1,000 South Fulton County, (Tyson
Foods Co.), (AMT), 6.40%,
10/1/20 1,054,100
- --------------------------------------------------------------------------------
$14,513,151
- --------------------------------------------------------------------------------
Insured-Education -- 6.4%
- --------------------------------------------------------------------------------
Aaa AAA $1,100 Jackson, TN Health,
Education and Housing
(Lambuth University),
(FSA), 5.90%, 9/1/20 $ 1,122,484
</TABLE>
See notes to financial statements
80
<PAGE>
Tennessee Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Education (continued)
- ---------------------------------------------------------------------------
Aaa AAA $1,000 Metropolitan Nashville
Health and Education
(Meharry Medical College),
(AMBAC), 5.00%, 12/1/24 $ 931,060
Aaa AAA 1,230 Metropolitan Nashville
Health and Education
(Meharry Medical College),
(AMBAC), 6.00%, 12/1/19 1,334,858
- ---------------------------------------------------------------------------
$ 3,388,402
- ---------------------------------------------------------------------------
Insured-Electric Utilities -- 8.2%
- ---------------------------------------------------------------------------
Aaa AAA $ 750 City of Dickson, Electric
System Revenues (MBIA),
5.50%, 9/1/16 $ 758,340
Aaa AAA 1,000 City of Lawrenceburg
Electric Revenues (MBIA),
5.50%, 7/1/26 1,000,780
Aaa AAA 1,000 City of Lawrenceburg
Electric Revenues (MBIA),
6.63%, 7/1/18 1,171,460
Aaa AAA 400 Commonwealth of Puerto Rico
Electric Power Authority
STRIPES (FSA), Variable
Rate, 7/1/03/(2)/ 446,500
Aaa AAA 1,000 Madison County Suburban
Utility District, (MBIA),
5.00%, 2/1/19 943,480
- ---------------------------------------------------------------------------
$ 4,320,560
- ---------------------------------------------------------------------------
Insured-General Obligations -- 0.6%
- ---------------------------------------------------------------------------
Aaa AAA $ 300 Commonwealth of Puerto Rico
"RIBS" (AMBAC), Variable
Rate, 7/1/15/(2)/ $ 322,125
- ---------------------------------------------------------------------------
$ 322,125
- ---------------------------------------------------------------------------
Insured-Hospitals -- 6.7%
- ---------------------------------------------------------------------------
Aaa AAA $ 500 City of Bristol, Bristol
Memorial (FGIC), 6.75%,
9/1/10 $ 585,555
Aaa AAA 250 City of Chattanooga,
Memorial Hospital (MBIA),
6.63%, 9/1/09 289,530
Aaa AAA 1,500 City of Johnson, Johnson
City Medical Center (MBIA),
5.00%, 7/1/13 1,463,055
Aaa AAA 1,250 Knox County, Fort Sanders
Alliance Obligated Group
(MBIA), 5.25%, 1/1/23 1,197,575
- ---------------------------------------------------------------------------
$ 3,535,715
- ---------------------------------------------------------------------------
Insured-Housing -- 2.1%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 Knox County, SCA Realty
Multifamily Mortgage
Receipts (FSA),
7.13%, 1/1/30 $ 1,091,690
- ---------------------------------------------------------------------------
$ 1,091,690
- ---------------------------------------------------------------------------
Insured-Special Tax Revenue -- 2.2%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 City of Johnson, School
District Sales Tax (AMBAC),
6.70%, 5/1/21 $ 1,140,640
- ---------------------------------------------------------------------------
$ 1,140,640
- ---------------------------------------------------------------------------
Insured-Transportation -- 2.1%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 Memphis-Shelby County
Airport Authority (MBIA),
(AMT), 6.50%, 2/15/09 $ 1,121,270
- ---------------------------------------------------------------------------
$ 1,121,270
- ---------------------------------------------------------------------------
Insured-Water and Sewer -- 2.6%
- ---------------------------------------------------------------------------
Aaa AAA $ 350 Nashville and Davidson
County, Water System
(AMBAC), Variable Rate,
1/1/22/(2)/ $ 381,063
Aaa AAA 1,000 Nashville and Davidson
County, Water System
(FGIC), 5.20%, 1/1/13 1,008,890
- ---------------------------------------------------------------------------
$ 1,389,953
- ---------------------------------------------------------------------------
Miscellaneous -- 1.0%
- ---------------------------------------------------------------------------
NR NR $ 500 Hardeman County, TN
(Correctional Facilities
Corp.), 7.75%, 8/1/17 $ 543,675
- ---------------------------------------------------------------------------
$ 543,675
- ---------------------------------------------------------------------------
Nursing Homes -- 2.0%
- ---------------------------------------------------------------------------
NR A+ $1,000 Tennessee State Veterans'
Homes Board, Humboldt,
6.65%, 2/1/14 $ 1,081,180
- ---------------------------------------------------------------------------
$ 1,081,180
- ---------------------------------------------------------------------------
Pooled Loans -- 3.7%
- ---------------------------------------------------------------------------
NR A- $1,200 Tennessee Local Development
Authority, Community
Provider, 6.55%, 10/1/23 $ 1,272,372
</TABLE>
See notes to financial statements
81
<PAGE>
Tennessee Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Pooled Loans (continued)
- --------------------------------------------------------------------------------
A AA- $ 700 Tennessee Local Development
Authority, State Loan
Program, 5.00%, 3/1/15 $ 678,559
- --------------------------------------------------------------------------------
$ 1,950,931
- --------------------------------------------------------------------------------
Special Tax Revenue -- 2.8%
- --------------------------------------------------------------------------------
Baa1 A $1,575 Commonwealth of Puerto Rico
Highway and Transportation
Authority, 5.00%, 7/1/36 $ 1,460,954
- --------------------------------------------------------------------------------
$ 1,460,954
- --------------------------------------------------------------------------------
Transportation -- 2.0%
- --------------------------------------------------------------------------------
NR BBB $1,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 1,069,250
- --------------------------------------------------------------------------------
$ 1,069,250
- --------------------------------------------------------------------------------
Water and Sewer -- 1.0%
- --------------------------------------------------------------------------------
NR A $ 250 Hamilton County, Eastside
Utility District, 6.50%,
11/1/05 $ 266,548
NR A 250 Hamilton County, Eastside
Utility District, 6.75%,
11/1/11 266,438
- --------------------------------------------------------------------------------
$ 532,986
- --------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $49,525,469) $52,825,843
- --------------------------------------------------------------------------------
</TABLE>
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 Tennessee
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 August 31, 1997, 33.8% 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 by financial
institution ranged from 3.0% to 18.0% of total investments.
(1) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
(2) Security has been issued as an inverse floater bond.
See notes to financial statements
82
<PAGE>
Virginia Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Education -- 4.6%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR A- $2,000 City of Lynchburgh
(Randolph-Macon Woman's
College), 5.88%, 9/1/23 $ 2,036,380
Baa3 NR 2,220 Rockingham County,
Industrial Development
Authority (Bridgewater
College), 5.95%, 10/1/13 2,258,317
NR A- 1,570 Virginia College Building
Authority (Hampden-Sydney
College), 6.60%, 9/1/16 1,677,058
NR A+ 1,000 Virginia College Building
Authority (Hampton
University), 5.75%, 4/1/14 1,024,000
NR A+ 400 Virginia College Building
Authority (Hampton
University), 6.50%, 4/1/08 432,228
- --------------------------------------------------------------------------------
$ 7,427,983
- --------------------------------------------------------------------------------
Electric Utilities -- 0.6%
- --------------------------------------------------------------------------------
Ba NR $ 965 Virgin Islands Water and
Sewer Authority, 7.40%,
7/1/11 $ 1,040,810
- --------------------------------------------------------------------------------
$ 1,040,810
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 3.1%
- --------------------------------------------------------------------------------
Aaa AAA $1,665 Arlington County,
Industrial Development
Authority (AMBAC), 5.00%,
9/1/21 $ 1,556,875
Aaa NR 1,000 Arlington County,
Industrial Development
Authority, (Arlington
Hospital), 7.13%, 9/1/21 1,119,210
A NR 500 Augusta County, Industrial
Development Authority
(Augusta Hospital), 7.00%,
9/1/21 555,765
NR A+ 1,700 City of Virginia Beach,
Water and Sewer System,
6.63%, 2/1/17 1,875,219
- --------------------------------------------------------------------------------
$ 5,107,069
- --------------------------------------------------------------------------------
General Obligations -- 1.4%
- --------------------------------------------------------------------------------
Baa1 A $ 350 Commonwealth of Puerto
Rico, 0.00%, 7/1/04 $ 252,028
Aaa AAA 1,000 Fairfax County, 5.63%,
6/1/14 1,026,150
Aa2 AA 1,000 Roanoke County, VA,
5.00%, 6/1/21 942,910
- --------------------------------------------------------------------------------
$ 2,221,088
- --------------------------------------------------------------------------------
Hospitals -- 16.9%
- --------------------------------------------------------------------------------
A2 NR $3,800 Albermarle County,
Industrial Development
Authority (Martha
Jefferson Hospital),
5.50%, 10/1/20 $ 3,755,730
A2 NR 245 Chesapeake Hospital
Authority (Chesapeake
General Hospital), 7.60%,
7/1/00 261,996
A2 NR 1,250 City of Martinsville
(Memorial Hospital of
Martinsville and Henry
County), 7.00%, 1/1/06 1,352,013
Aa2 AA 2,910 Fairfax County, Industrial
Development Authority
(Inova Health System
Hospitals), 5.00%, 8/15/14 2,811,467
Aa2 AA 2,000 Fairfax County, Industrial
Development Authority
(Inova Health System
Hospitals),
5.00%, 8/15/15 1,920,920
Aa2 AA 2,500 Fairfax County, Industrial
Development Authority
(Inova Health System
Hospitals),
5.00%, 8/15/23 2,344,625
Aa2 AA 1,000 Fairfax County, Industrial
Development Authority
(Inova Health System
Hospitals),
6.00%, 8/15/26 1,034,070
NR A- 2,000 Medical College of Hampton
Roads, 6.88%, 11/15/11 2,156,460
Aa2 AA- 3,500 Peninsula Ports Authority
of Virginia, (Riverside
Health System),
6.63%, 7/1/10 3,791,865
A2 NR 2,400 Prince William County,
Industrial Development
Authority (Potomac
Hospital), 6.85%, 10/1/25 2,607,192
Aa2 AA 3,000 Virginia Beach Development
Authority (Sentara Bayside
Hospital), 6.60%, 11/1/09 3,249,780
A3 NR 1,000 Washington County,
Industrial Development
Authority (Johnston
Memorial Hospital),
6.00%, 7/1/14 1,024,530
</TABLE>
See notes to financial statements
83
<PAGE>
Virginia Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospitals (continued)
- --------------------------------------------------------------------------------
A3 NR $1,060 Washington County, Industrial
Development Authority
(Johnston Memorial Hospital),
7.00%, 7/1/22 $ 1,144,832
- --------------------------------------------------------------------------------
$ 27,455,480
- --------------------------------------------------------------------------------
Housing -- 11.6%
- --------------------------------------------------------------------------------
NR AAA $1,250 Fairfax County Redevelopment
and Housing Authority
Multifamily Mortgage Revenue,
FHA, 7.00%, 5/1/26 $ 1,333,325
NR AAA 1,000 Hampton Redevelopment and
Housing Authority, Senior
Living (GNMA), 6.00%, 1/20/26 1,024,810
NR AAA 1,000 Newport News, Redevelopment
and Housing Authority, MFMR,
5.85%, 12/20/30/(1)/ 1,019,160
NR AAA 1,800 Suffolk Redevelopment and
Housing Authority (Prince
Williams Commons) (FNMA),
6.45%, 6/1/19 1,895,526
Aa1 AA+ 3,500 Virginia Housing Development
Authority, Multifamily Mortgage
Revenue, 7.05%, 5/1/18 3,734,465
Aa AA+ 5,000 Virginia Housing Development
Authority, Multifamily Mortgage
Revenue, (AMT), 6.75%, 7/1/21 5,237,650
Aa1 AA+ 2,500 Virginia Housing Development
Authority, Single Family
Mortgage Revenue, 6.85%, 1/1/15 2,643,125
Aa NR 1,900 Virginia Housing Development
Authority, Single Family
Mortgage Revenue, Variable
Rate, 7/1/04/(2)/ 1,949,875
- --------------------------------------------------------------------------------
$ 18,837,936
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution Control Revenue -- 13.1%
- --------------------------------------------------------------------------------
Aa3 AA- $2,190 City of Chesapeake (Cargill
Inc.), 5.88%, 3/1/13 $ 2,271,293
A2 A+ 2,000 City of Giles (Hoechst Celanese
Corp.), 6.45%, 5/1/26 2,156,020
A2 A+ 1,500 City of Giles (Hoechst Celanese
Corp.), (AMT), 5.95%, 12/1/25 1,543,335
A2 A+ 1,000 City of Giles (Hoechst Celanese
Corp.), (AMT), 6.63%, 12/1/22 1,070,080
A3 A 2,000 Henrico County (Browning Ferris
Inc.), (AMT), 5.45%, 1/1/14/(3)/ 2,000,260
A1 A- 4,000 Isle of Wright County,
Industrial Development
Authority (Union Camp Corp.),
(AMT), 6.55%, 4/1/24/(4)/ 4,314,040
Baa3 BBB- 1,000 Puerto Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26 1,062,690
Baa3 BBB 980 West Point (Chesapeake Corp.),
6.25%, 3/1/19 1,030,891
Baa3 BBB 5,520 West Point (Chesapeake Corp.),
(AMT), 6.38%, 3/1/19 5,804,831
- --------------------------------------------------------------------------------
$ 21,253,440
- --------------------------------------------------------------------------------
Insured-Electric Utilities -- 0.6%
- --------------------------------------------------------------------------------
Aaa AAA $ 900 Commonwealth of Puerto Rico,
Telephone Authority (MBIA),
Variable Rate, 1/16/15/(2)/ $ 901,125
- --------------------------------------------------------------------------------
$ 901,125
- --------------------------------------------------------------------------------
Insured-General Obligations -- 3.3%
- --------------------------------------------------------------------------------
Aaa AAA $5,650 City of Richmond (FGIC),
5.00%, 1/15/21/(4)/ $ 5,315,858
- --------------------------------------------------------------------------------
$ 5,315,858
- --------------------------------------------------------------------------------
Insured-Hospitals -- 12.1%
- --------------------------------------------------------------------------------
Aaa AAA $5,000 Augusta County, Industrial
Development Authority (Augusta
Hospital Corp.) (AMBAC),
5.13%, 9/1/21 $ 4,745,350
Aaa AAA 3,835 City of Fredericksburg,
Industrial Development
Authority (AMBAC), 5.25%,
6/15/23 3,698,244
Aaa AAA 665 City of Roanoke (Franklin
Memorial Hospital and Saint
Albans Psychiatric Hospital)
(MBIA), 5.25%, 7/1/25 637,742
Aaa AAA 5,000 City of Virginia Beach
(Virginia Beach Memorial
Hospital) (AMBAC), 5.13%,
2/15/18 4,812,850
</TABLE>
See notes to financial statements
84
<PAGE>
Virginia Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Insured-Hospitals (continued)
- --------------------------------------------------------------------------------
<C> <C> <C> <S> <C>
Aaa AAA $2,000 City of Winchester,
Industrial Development
Authority (Winchester
Medical Center) (AMBAC),
Variable Rate, 1/21/14/(2)/ $ 2,345,000
Aaa AAA 1,500 Henrico County (Bon Secour
Health Systems) (MBIA),
6.25%, 8/15/20 1,679,355
Aaa AAA 1,800 Roanoke County, VA
Industrial Development
Authority (MBIA), 5.00%,
7/1/24 1,676,754
- --------------------------------------------------------------------------------
$ 19,595,295
- --------------------------------------------------------------------------------
Insured-Transportation -- 4.1%
- --------------------------------------------------------------------------------
Aaa AAA $4,800 Chesapeake Bay Bridge and
Tunnel Dist. (MBIA),
5.00%, 7/1/22 $ 4,507,536
Aaa AAA 1,000 Metropolitan Washington
Airports Authority (MBIA),
(AMT), 5.75%, 10/1/20 1,008,390
Aaa AAA 1,000 Richmond Metropolitan
Authority Expressway
(FGIC), 6.38%, 7/15/16 1,087,220
- --------------------------------------------------------------------------------
$ 6,603,146
- --------------------------------------------------------------------------------
Insured-Water and Sewer -- 7.2%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Loudoun County Sanitation
Authority (FGIC), 5.13%,
1/1/30 $ 953,690
Aaa AAA 2,000 Loudoun County Sanitation
Authority (MBIA), 5.25%,
1/1/30 1,921,740
Aaa AAA 1,000 Roanoke County, VA Water
and Sewer Authority
(FGIC), 5.00%, 7/1/21 939,000
Aaa AAA 1,000 Upper Occoquan Sewage
Authority (FGIC), 5.00%,
7/1/15 956,690
Aaa AAA 2,000 Upper Occoquan Sewage
Authority (MBIA), 4.75%,
7/1/29 1,767,440
Aaa AAA 4,500 Upper Occoquan Sewage
Authority (MBIA), 5.00%,
7/1/25 4,211,280
Aaa AAA 1,000 Upper Occoquan Sewage
Authority (MBIA), 5.15%,
7/1/20 971,170
- --------------------------------------------------------------------------------
$ 11,721,010
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 5.7%
- --------------------------------------------------------------------------------
<C> <C> <C> <S> <C>
Aa AA $2,000 Henrico County, Industrial
Development Authority,
Lease, 7.00%, 8/1/13 $ 2,278,900
Aa AA 2,250 Henrico County, Industrial
Development Authority,
Lease, 7.12%, 8/1/21 2,583,518
NR NR 1,250 King George County, Lease,
7.00%, 12/15/12 1,314,463
A NR 3,000 Rockingham and
Harrisonburg Counties,
Harrisonburg Redevelopment
and Housing Authority,
6.50%, 9/1/14 3,120,720
- --------------------------------------------------------------------------------
$ 9,297,601
- --------------------------------------------------------------------------------
Life Care -- 1.4%
- --------------------------------------------------------------------------------
NR NR $2,000 Loudoun County, VA,
Industrial Development
Authority (Falcons
Landing), 8.75%, 11/1/24 $ 2,253,480
- --------------------------------------------------------------------------------
$ 2,253,480
- --------------------------------------------------------------------------------
Nursing Homes -- 0.2%
- --------------------------------------------------------------------------------
NR NR $ 270 Covington-Allegheny
County, VA, IDA (Beverly
Enterprises), 9.38%, 9/1/01 $ 295,601
- --------------------------------------------------------------------------------
$ 295,601
- --------------------------------------------------------------------------------
Solid Waste -- 3.3%
- --------------------------------------------------------------------------------
A1 A+ $ 915 Fairfax County Economic
Development Authority
(Ogden Martin Systems of
Fairfax Inc.), (AMT),
7.75%, 2/1/11 $ 980,322
A1 A+ 2,000 James City County, IDA,
(Anheuser Busch), (AMT),
6.00%, 4/1/32 2,059,920
Baa1 A- 2,250 Southeastern Public
Service Authority, Solid
Waste Systems, (AMT),
6.00%, 7/1/13 2,293,403
- --------------------------------------------------------------------------------
$ 5,333,645
- --------------------------------------------------------------------------------
Special Tax Revenue -- 5.5%
- --------------------------------------------------------------------------------
Baa1 A $ 500 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.00%, 7/1/22 $ 461,235
</TABLE>
See notes to financial statements
85
<PAGE>
Virginia Municipals Portfolio as of August 31, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Special Tax Revenue (continued)
- -------------------------------------------------------------------------------
Baa1 A $1,500 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.00%, 7/1/36 $ 1,391,385
Baa1 A 1,500 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.50%, 7/1/36 1,487,970
NR NR 4,000 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 4,452,400
Aa AA 1,000 Virginia State
Transportation Board
Revenue, Route 28,
Variable Rate, 4/1/18/(2)/ 1,170,000
- -------------------------------------------------------------------------------
$ 8,962,990
- -------------------------------------------------------------------------------
Transportation -- 1.0%
- -------------------------------------------------------------------------------
NR BBB $ 400 Charlottesville-Albermarle
VA Airport Authority,
(AMT), 6.13%, 12/1/13 $ 409,540
Aa A+ 1,250 Virginia Port Authority,
(AMT), 5.90%, 7/1/16 1,284,138
- -------------------------------------------------------------------------------
$ 1,693,678
- -------------------------------------------------------------------------------
Water and Sewer -- 4.3%
- -------------------------------------------------------------------------------
Aa2 AA $3,595 Fairfax County, VA Water
Authority, 5.00%, 4/1/16 $ 3,447,785
Aa2 AA- 1,000 Fairfax County, VA Water
Authority, Variable Rate,
4/1/29/(2)/ 1,031,250
Aa2 AA 1,500 Fairfax County, Water
Authority, 5.00%, 4/1/21 1,428,105
NR AA 1,000 Virginia Resource
Authority (Hopewell Waste
Water), (AMT), 6.00%,
10/1/25 1,028,120
- -------------------------------------------------------------------------------
$ 6,935,260
- -------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $150,623,953) $162,252,495
- -------------------------------------------------------------------------------
</TABLE>
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 Virginia
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 August 31, 1997, 28.2% 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 by financial
institution ranged from 5.7% to 11.9% of total investments.
/(1)/ When-issued security.
/(2)/ Security has been issued as an inverse floater bond.
/(3)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(4)/ Security has been segregated to cover when-issued securities.
See notes to financial statements
86
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS
Statements of Assets and Liabilities
As of August 31, 1997
<TABLE>
<CAPTION>
Alabama Arkansas Georgia Kentucky
Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investments --
Identified cost $ 94,504,048 $ 58,959,622 $ 87,597,730 $115,387,827
Unrealized appreciation 6,686,871 3,367,276 6,104,443 8,011,430
- -----------------------------------------------------------------------------------------------------------------------------------
Investments at value (Note 1A) $101,190,919 $ 62,326,898 $ 93,702,173 $123,399,257
- -----------------------------------------------------------------------------------------------------------------------------------
Cash $ 634 $ 223 $ 136,373 $ 590
Receivable for investments sold 3,014,581 -- -- 1,002,203
Interest receivable 1,599,550 942,041 1,291,935 2,096,970
Receivable for daily variation margin on open
financial futures contracts (Note 1E) 27,625 28,688 38,250 35,594
Deferred organization expenses (Note 1D) 615 2,165 1,118 511
- -----------------------------------------------------------------------------------------------------------------------------------
Total assets $105,833,924 $ 63,300,015 $ 95,169,849 $126,535,125
- -----------------------------------------------------------------------------------------------------------------------------------
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ -- $ -- $ -- $ 1,012,509
Payable for when-issued securities (Note 1G) 2,436,346 -- -- 1,225,595
Demand note payable (Note 5) 1,030,000 602,000 -- 1,171,000
Payable to affiliate for Trustees' fees (Note 2) 3,673 8,500 2,842 3,673
Accrued expenses 7,908 3,697 4,940 12,144
- -----------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 3,477,927 $ 614,197 $ 7,782 $ 3,424,921
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in
Portfolio $102,355,997 $ 62,685,818 $ 95,162,067 $123,110,204
- -----------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $ 95,697,044 $ 59,305,346 $ 89,096,279 $115,134,745
Net unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 6,658,953 3,380,472 6,065,788 7,975,459
- -----------------------------------------------------------------------------------------------------------------------------------
Total $102,355,997 $ 62,685,818 $ 95,162,067 $123,110,204
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
87
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Assets and Liabilities
As of August 31, 1997
<TABLE>
<CAPTION>
Louisiana Maryland Missouri North Carolina
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investments --
Identified cost $ 32,155,616 $101,424,067 $ 73,588,023 $153,838,803
Unrealized appreciation 1,706,107 5,084,031 5,991,218 12,514,904
- ------------------------------------------------------------------------------------------------------------------------------------
Investments at value (Note 1A) $ 33,861,723 $106,508,098 $ 79,579,241 $166,353,707
- ------------------------------------------------------------------------------------------------------------------------------------
Cash $ 534 $ 1,269,716 $ 222,850 $ 542
Receivable for investments sold 198,217 -- 15,000 1,450,314
Interest receivable 611,804 1,502,681 1,017,826 2,616,153
Receivable for daily variation margin on open
financial futures contracts (Note 1E) 20,188 44,625 31,875 111,563
Deferred organization expenses (Note 1D) 2,048 824 549 1,583
- ------------------------------------------------------------------------------------------------------------------------------------
Total assets $ 34,694,514 $109,325,944 $ 80,867,341 $170,533,862
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ -- $ 1,921,107 $ -- $ --
Payable for when-issued securities (Note 1G) -- -- 980,840 1,917,768
Demand note payable (Note 5) 260,000 -- -- 1,030,000
Payable to affiliate for Trustees' fees (Note 2) 277 1,225 1,137 4,782
Accrued expenses 2,108 2,525 3,648 10,348
- ------------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 262,385 $ 1,924,857 $ 985,625 $ 2,962,898
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in Portfolio $ 34,432,129 $107,401,087 $ 79,881,716 $167,570,964
- ------------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $ 32,746,423 $102,296,529 $ 73,922,711 $155,168,804
Net unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 1,685,706 5,104,558 5,959,005 12,402,160
- ------------------------------------------------------------------------------------------------------------------------------------
Total $ 34,432,129 $107,401,087 $ 79,881,716 $167,570,964
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
88
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Assets and Liabilities
As of August 31, 1997
<TABLE>
<CAPTION>
Oregon South Carolina Tennessee Virginia
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investments --
Identified cost $108,099,159 $ 50,167,834 $ 49,525,469 $150,623,953
Unrealized appreciation 6,388,800 4,058,055 3,300,374 11,628,542
- ------------------------------------------------------------------------------------------------------------------------------------
Investments at value (Note 1A) $114,487,959 $ 54,225,889 $ 52,825,843 $162,252,495
- ------------------------------------------------------------------------------------------------------------------------------------
Cash $ 982,121 $ 1,714 $ 525,900 $ 591
Receivable for investments sold -- -- -- 55,000
Interest receivable 1,569,621 778,518 790,748 2,530,816
Receivable for daily variation margin on open
financial futures contracts (Note 1E) 53,125 -- 22,313 70,125
Deferred organization expenses (Note 1D) 848 2,091 1,084 1,258
- ------------------------------------------------------------------------------------------------------------------------------------
Total assets $117,093,674 $ 55,008,212 $ 54,165,888 $164,910,285
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ 3,391,641 $ -- $ -- $ --
Payable for when-issued securities (Note 1G) -- -- -- 1,002,275
Demand note payable (Note 5) -- 1,024,000 -- 2,243,000
Payable to affiliate for Trustees' fees (Note 2) 1,469 8,500 1,137 --
Accrued expenses 7,798 5,787 3,071 7,478
- ------------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 3,400,908 $ 1,038,287 $ 4,208 $ 3,252,753
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in $113,692,766 $ 53,969,925 $ 54,161,680 $161,657,532
Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and $107,253,029 $ 49,911,870 $ 50,883,855 $149,996,733
withdrawals
Net unrealized appreciation of investments and
financial futures contracts (computed on the 6,439,737 4,058,055 3,277,825 11,660,799
basis of identified cost)
- ------------------------------------------------------------------------------------------------------------------------------------
Total $113,692,766 $ 53,969,925 $ 54,161,680 $161,657,532
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
89
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Operations
For the Year Ended August 31, 1997
<TABLE>
<CAPTION>
Alabama Arkansas Georgia Kentucky
Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B)
- ------------------------------------------------------------------------------------------------------------------------------------
Interest income $ 6,316,866 $ 4,035,314 $ 6,140,376 $ 7,729,597
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment income $ 6,316,866 $ 4,035,314 $ 6,140,376 $ 7,729,597
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 412,072 $ 231,998 $ 393,961 $ 519,193
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 10,909 14,093 9,408 11,049
Custodian fee (Note 1I) 61,653 38,788 50,907 73,486
Legal and accounting services 21,733 19,705 21,650 21,736
Interest expense -- 16,640 -- --
Bond pricing 7,039 6,552 8,245 7,824
Registration fees -- -- 300 --
Amortization of organization expenses (Note 1D) 1,570 1,504 2,194 1,321
Miscellaneous 17,100 6,174 12,534 18,152
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 532,076 $ 335,454 $ 499,199 $ 652,761
- ------------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee (Note 1I) $ 16,577 $ 7,660 $ 18,234 $ 37,997
- ------------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 16,577 $ 7,660 $ 18,234 $ 37,997
- ------------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 515,499 $ 327,794 $ 480,965 $ 614,764
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 5,801,367 $ 3,707,520 $ 5,659,411 $ 7,114,833
- ------------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 1,183,334 $ 625,853 $ 1,286,804 $ 1,701,774
Financial futures contracts (1,146,882) (822,716) (667,216) (910,896)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investment transactions $ 36,452 $ (196,863) $ 619,588 $ 790,878
- ------------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 3,988,781 $ 2,399,033 $ 3,062,722 $ 4,678,860
Financial futures contracts (129,617) (54,602) (192,887) (2,894)
- ------------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) of
investments $ 3,859,164 $ 2,344,431 $ 2,869,835 $ 4,675,966
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments $ 3,895,616 $ 2,147,568 $ 3,489,423 $ 5,466,844
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 9,696,983 $ 5,855,088 $ 9,148,834 $ 12,581,677
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
90
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Operations
For the Year Ended August 31, 1997
<TABLE>
<CAPTION>
Louisiana Maryland Missouri North Carolina
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B)
- -----------------------------------------------------------------------------------------------------------------------------------
Interest income $ 2,176,759 $ 6,364,764 $ 4,905,400 $ 10,789,698
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment income $ 2,176,759 $ 6,364,764 $ 4,905,400 $ 10,789,698
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 80,898 $ 423,543 $ 297,922 $ 764,004
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 1,652 8,463 7,141 14,264
Custodian fee (Note 1I) 21,538 54,410 47,507 96,082
Legal and accounting services 19,723 21,734 19,730 24,858
Bond pricing 7,686 7,489 8,486 9,830
Amortization of organization expenses (Note 1D) 1,292 1,518 1,405 3,365
Registration fees 1,250 -- -- --
Miscellaneous 4,084 9,165 3,947 20,056
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 138,123 $ 526,322 $ 386,138 $ 932,459
- -----------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee (Note 1I) $ 6,051 $ 29,767 $ 11,610 $ 33,398
- -----------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 6,051 $ 29,767 $ 11,610 $ 33,398
- -----------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 132,072 $ 496,555 $ 374,528 $ 899,061
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 2,044,687 $ 5,868,209 $ 4,530,872 $ 9,890,637
- -----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 256,231 $ 1,829,006 $ 608,146 $ 3,315,145
Financial futures contracts (239,126) (1,245,365) (560,548) (1,114,908)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain on investments $ 17,105 $ 583,641 $ 47,598 $ 2,200,237
- -----------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 1,202,330 $ 3,846,608 $ 3,870,313 $ 4,613,100
Financial futures contracts (52,439) (81,171) (160,739) (234,793)
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) of investments $ 1,149,891 $ 3,765,437 $ 3,709,574 $ 4,378,307
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments $ 1,166,996 $ 4,349,078 $ 3,757,172 $ 6,578,544
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 3,211,683 $ 10,217,287 $ 8,288,044 $ 16,469,181
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
91
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Operations
For the Year Ended August 31, 1997
<TABLE>
<CAPTION>
Oregon South Carolina Tennessee Virginia
Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B)
- -----------------------------------------------------------------------------------------------------------------------------------
Interest income $ 7,307,579 $ 3,455,342 $ 3,259,146 $ 10,304,982
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment income $ 7,307,579 $ 3,455,342 $ 3,259,146 $ 10,304,982
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 488,080 $ 177,252 $ 167,958 $ 726,536
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 8,718 14,092 6,737 14,217
Custodian fee (Note 1I) 66,046 33,776 30,926 89,429
Legal and accounting services 21,736 19,726 19,726 24,912
Amortization of organization expenses (Note 1D) 2,092 1,441 2,358 2,763
Registration fees -- 61 -- --
Interest expense 77,209 31,399 -- --
Miscellaneous 17,001 10,555 12,422 33,136
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 680,882 $ 288,302 $ 240,127 $ 890,993
- -----------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee (Note 1I) $ 17,203 $ 4,989 $ 10,100 $ 47,135
- -----------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 17,203 $ 4,989 $ 10,100 $ 47,135
- -----------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 663,679 $ 283,313 $ 230,027 $ 843,858
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 6,643,900 $ 3,172,029 $ 3,029,119 $ 9,461,124
- -----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 1,315,302 $ 483,668 $ 190,273 $ 3,654,332
Financial futures contracts (1,695,039) (670,946) (337,567) (1,810,200)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investment transactions $ (379,737) $ (187,278) $ (147,294) $ 1,844,132
- -----------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 3,252,208 $ 2,182,137 $ 2,522,070 $ 4,040,488
Financial futures contracts 84,934 -- (99,664) 77,279
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) of investments $ 3,337,142 $ 2,182,137 $ 2,422,406 $ 4,117,767
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments $ 2,957,405 $ 1,994,859 $ 2,275,112 $ 5,961,899
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 9,601,305 $ 5,166,888 $ 5,304,231 $ 15,423,023
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
92
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended August 31, 1997
<TABLE>
<CAPTION>
Increase (Decrease) in Net Assets Alabama Portfolio Arkansas Portfolio Georgia Portfolio Kentucky Portfolio
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 5,801,367 $ 3,707,520 $ 5,659,411 $ 7,114,833
Net realized gain (loss) on investments 36,452 (196,863) 619,588 790,878
Net change in unrealized appreciation
(depreciation) of investments 3,859,164 2,344,431 2,869,835 4,675,966
- -------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 9,696,983 $ 5,855,088 $ 9,148,834 $ 12,581,677
- -------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 4,814,194 $ 1,860,201 $ 5,129,603 $ 4,738,142
Withdrawals (20,698,730) (19,132,688) (28,090,665) (27,227,068)
- -------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $(15,884,536) $(17,272,487) $ (22,961,062) $ (22,488,926)
- -------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (6,187,553) $(11,417,399) $ (13,812,228) $ (9,907,249)
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets
- -------------------------------------------------------------------------------------------------------------------------------
At beginning of year $108,543,550 $ 74,103,217 $ 108,974,295 $ 133,017,453
- -------------------------------------------------------------------------------------------------------------------------------
At end of year $102,355,997 $ 62,685,818 $ 95,162,067 $ 123,110,204
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
93
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended August 31, 1997
<TABLE>
<CAPTION>
Louisiana Maryland Missouri North Carolina
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 2,044,687 $ 5,868,209 $ 4,530,872 $ 9,890,637
Net realized gain on investments 17,105 583,641 47,598 2,200,237
Net change in unrealized appreciation
(depreciation) of investments 1,149,891 3,765,437 3,709,574 4,378,307
- ------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 3,211,683 $ 10,217,287 $ 8,288,044 $ 16,469,181
- ------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 2,993,205 $ 6,463,344 $ 2,387,301 $ 5,496,793
Withdrawals (6,821,430) (19,867,889) (15,955,992) (41,439,395)
- ------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $(3,828,225) $(13,404,545) $(13,568,691) $ (35,942,602)
- ------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (616,542) $ (3,187,258) $ (5,280,647) $ (19,473,421)
- ------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------
At beginning of year $35,048,671 $110,588,345 $ 85,162,363 $ 187,044,385
- ------------------------------------------------------------------------------------------------------------------------
At end of year $34,432,129 $107,401,087 $ 79,881,716 $ 167,570,964
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
94
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended August 31, 1997
<TABLE>
<CAPTION> Oregon South Carolina Tennessee Virginia
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 6,643,900 $ 3,172,029 $ 3,029,119 $ 9,461,124
Net realized gain (loss) on investments (379,737) (187,278) (147,294) 1,844,132
Net change in unrealized appreciation
(depreciation) of investments 3,337,142 2,182,137 2,422,406 4,117,767
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 9,601,305 $ 5,166,888 $ 5,304,231 $ 15,423,023
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 5,759,540 $ 2,536,482 $ 3,539,000 $ 7,439,212
Withdrawals (31,426,734) (12,051,592) (10,746,904) (38,849,024)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $ (25,667,194) $ (9,515,110) $ (7,207,904) $ (31,409,812)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (16,065,889) $ (4,348,222) $ (1,903,673) $ (15,986,789)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 129,758,655 $ 58,318,147 $ 56,065,353 $ 177,644,321
- ------------------------------------------------------------------------------------------------------------------------------------
At end of year $ 113,692,766 $ 53,969,925 $ 54,161,680 $ 161,657,532
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
95
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended August 31, 1996
<TABLE>
<CAPTION>
Alabama Arkansas Georgia Kentucky
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 6,332,868 $ 4,255,703 $ 6,613,729 $ 7,720,705
Net realized gain (loss) on investments 1,487,745 286,243 760,070 (1,218,558)
Net change in unrealized appreciation
(depreciation) of investments (1,006,618) (463,593) (233,422) 1,370,567
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 6,813,995 $ 4,078,353 $ 7,140,377 $ 7,872,714
- ----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 5,435,768 $ 3,573,437 $ 4,580,164 $ 6,532,846
Withdrawals (22,192,266) (15,083,575) (25,694,913) (26,656,733)
- ----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $(16,756,498) $ (11,510,138) $(21,114,749) $ (20,123,887)
- ----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (9,942,503) $ (7,431,785) $(13,974,372) $ (12,251,173)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
At beginning of year $118,486,053 $ 81,535,002 $122,948,667 $145,268,626
- ----------------------------------------------------------------------------------------------------------------------------------
At end of year $108,543,550 $ 74,103,217 $108,974,295 $133,017,453
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
96
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended August 31, 1996
<TABLE>
<CAPTION>
Louisiana Maryland Missouri North Carolina
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 2,080,783 $ 6,315,616 $ 5,007,538 $ 10,663,105
Net realized gain (loss) on investments (353,485) 1,533,760 1,101,913 (138,749)
Net change in unrealized appreciation
(depreciation) of investments 290,155 (570,744) (1,026,029) 742,696
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 2,017,453 $ 7,278,632 $ 5,083,422 $ 11,267,052
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 4,634,958 $ 9,198,950 $ 4,159,884 $ 19,433,725
Withdrawals (5,912,419) (20,893,413) (17,243,046) (38,835,116)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital transactions $ (1,277,461) $ (11,694,463) $(13,083,162) $ (19,401,391)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets $ 739,992 $ (4,415,831) $ (7,999,740) $ (8,134,339)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 34,308,679 $ 115,004,176 $ 93,162,103 $ 195,178,724
- ------------------------------------------------------------------------------------------------------------------------------------
At end of year $ 35,048,671 $ 110,588,345 $ 85,162,363 $ 187,044,385
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
97
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended August 31, 1996
<TABLE>
<CAPTION>
Oregon South Carolina Tennessee Virginia
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 7,559,303 $ 3,474,069 $ 3,197,243 $ 10,483,462
Net realized gain (loss) on investments (969,132) 659,386 41,366 178,747
Net change in unrealized appreciation
(depreciation) of investments 492,083 (468,193) 360,970 148,870
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 7,082,254 $ 3,665,262 $ 3,599,579 $ 10,811,079
- ------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 5,697,262 $ 5,386,887 $ 4,078,787 $ 9,068,306
Withdrawals (29,411,782) (12,145,670) (10,286,316) (33,982,986)
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $(23,714,520) $ (6,758,783) $ (6,207,529) $ (24,914,680)
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $(16,632,266) $ (3,093,521) $ (2,607,950) $ (14,103,601)
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------
At beginning of year $146,390,921 $ 61,411,668 $ 58,673,303 $ 191,747,922
- ------------------------------------------------------------------------------------------------------------------------------
At end of year $129,758,655 $ 58,318,147 $ 56,065,353 $ 177,644,321
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
98
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Alabama Portfolio
--------------------------------------------------------
Year Ended
--------------------------------------------------------
August 31, Sept. 30,
- --------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994 * 1993 **
- --------------------------------------------------------------------------------------------------------------
Ratios (as a percentage of
average daily net assets)+++:
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses /(1)/ 0.50% 0.49% 0.47% 0.44%+ 0.25%+
Net expenses, after
custodian fee reduction 0.49% 0.45% -- -- --
Net investment income 5.47% 5.50% 5.77% 5.37%+ 5.52%+
Portfolio Turnover 23% 52% 51% 26% 10%
- --------------------------------------------------------------------------------------------------------------
Net assets, end of year (000s omitted) $102,356 $108,544 $ 118,486 $ 117,163 $ 83,628
- --------------------------------------------------------------------------------------------------------------
+++ The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee and/or an
allocation of expenses to the Investment Adviser. Had such actions not been taken, the ratios and net
investment income per share would have been as follows:
Expenses 0.35%+
Net investment income 5.42%+
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
Arkansas Portfolio
----------------------------------------------------
Year Ended
----------------------------------------------------
August 31,
- --------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994 ***
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Ratios (as a percentage of average daily net assets)+++:
- --------------------------------------------------------------------------------------------------------------
Expenses /(1)/ 0.49% 0.48% 0.46% 0.24%+
Net expenses, after
custodian fee reduction 0.48% 0.46% -- --
Net investment income 5.40% 5.40% 5.69% 5.60%+
Portfolio Turnover 17% 11% 23% 16%
- --------------------------------------------------------------------------------------------------------------
Net assets, end of year (000s omitted) $62,686 $74,103 $81,535 $82,917
- --------------------------------------------------------------------------------------------------------------
+++ The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee and/or an
allocation of expenses to the Investment Adviser. Had such actions not been taken, the ratios and net
investment income per share would have been as follows:
Expenses 0.43%+
Net investment income 5.41%+
- --------------------------------------------------------------------------------------------------------------
</TABLE>
+++ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993 to September
30, 1993.
*** For the period from the start of business, February 1, 1994 to August 31,
1994.
/(1)/The expense ratios for the reporting periods ended August 31, 1996 and
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset arrangements
with its service providers. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
99
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Georgia Portfolio
-----------------------------------------------------------
Year Ended
-----------------------------------------------------------
August 31, Sept. 30,
---------------------------------------------- ----------
1997 1996 1995 1994 * 1993 **
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios (as a percentage of
average daily net assets):
- ----------------------------------------------------------------------------------------------
Expenses/(1)/ 0.49% 0.50% 0.46% 0.44%+ 0.40%+
Net expenses, after
custodian fee reduction 0.47% 0.45% -- -- --
Net investment income 5.55% 5.59% 5.73% 5.37%+ 5.37%+
Portfolio Turnover 13% 21% 48% 45% 35%
- ----------------------------------------------------------------------------------------------
Net assets, end of year (000s
omitted) $ 95,162 $ 108,974 $122,949 $137,724 $119,311
- ----------------------------------------------------------------------------------------------
<CAPTION>
Kentucky Portfolio
-----------------------------------------------------------
Year Ended
-----------------------------------------------------------
August 31, Sept. 30,
---------------------------------------------- ----------
1997 1996 1995 1994 * 1993 **
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios (as a percentage of
average daily net assets):
- ----------------------------------------------------------------------------------------------
Expenses/(1)/ 0.51% 0.53% 0.49% 0.46%+ 0.40%+
Net expenses, after
custodian fee reduction 0.48% 0.50% -- -- --
Net investment income 5.56% 5.49% 5.75% 5.39%+ 5.40%+
Portfolio Turnover 28% 28% 30% 21% 11%
- ----------------------------------------------------------------------------------------------
Net assets, end of year (000s
omitted) $ 123,110 $ 133,017 $145,269 $145,210 $117,936
- ----------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993 to September
30, 1993.
/(1)/The expense ratios for the reporting periods ended August 31, 1996 and
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset arrangements
with its service providers. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
100
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Louisiana Portfolio
--------------------------------------------------
Year Ended
--------------------------------------------------
August 31,
- ----------------------------------------------------------------------------------------------------
1997 1996 1995 1994***
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Ratios (as a percentage of
average daily net assets)+++:
- ----------------------------------------------------------------------------------------------------
Expenses /(1)/ 0.40% 0.30% 0.22% 0.14%+
Net expenses, after
custodian fee reduction 0.38% 0.23% -- --
Net investment income 5.85% 5.90% 6.06% 5.86%+
Portfolio Turnover 27% 99% 46% 21%
- ----------------------------------------------------------------------------------------------------
Net assets, end of year (000s omitted) $34,432 $35,049 $34,309 $31,423
- ----------------------------------------------------------------------------------------------------
</TABLE>
+++ The operating expenses of the Portfolios may reflect a reduction of the
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios and net investment
income per share would have been as follows:
<TABLE>
<S> <C> <C> <C> <C>
Expenses /(1)/ -- 0.41% 0.33% 0.33%+
Expenses after custodian fee reduction -- 0.35% -- --
Net investment income -- 5.79% 5.95% 5.67%+
- ----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Maryland Portfolio
--------------------------------------------------
Year Ended
--------------------------------------------------
August 31, Sept. 30,
- ---------------------------------------------------------------------------------------------------- ------------
1997 1996 1995 1994* 1993**
- ---------------------------------------------------------------------------------------------------------------------
Ratios (as a percentage of
average daily net assets)+++:
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses /(1)/ 0.48% 0.51% 0.47% 0.44%+ 0.36%+
Net expenses, after
custodian fee reduction 0.45% 0.48% -- -- --
Net investment income 5.38% 5.50% 5.79% 5.44%+ 5.41%+
Portfolio Turnover 30% 33% 30% 41% 34%
- ---------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000s omitted) $107,401 $110,588 $115,004 $117,856 $94,213
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
+++ The operating expenses of the Portfolios may reflect a reduction of the
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios and net investment
income per share would have been as follows:
<TABLE>
<S> <C> <C> <C> <C> <C>
Expenses /(1)/ -- -- -- -- 0.38%+
Expenses after custodian fee reduction -- -- -- -- --
Net investment income -- -- -- -- 5.39%+
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993 to September
30, 1993.
*** For the period from the start of business, February 1, 1994 to August
31, 1994.
/(1)/ The expense ratios for the reporting periods ended August 31, 1996 and
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the prior periods have not been adjusted to reflect this change.
See notes to financial statements
101
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Missouri Portfolio
-----------------------------------------------------
Year Ended
-----------------------------------------------------
August 31, Sept. 30,
------------------------------------------- --------
1997 1996 1995 1994* 1993**
- ------------------------------------------------------------------------------------------------------------
Ratios (as a percentage of average daily net assets):
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses/(1)/ 0.47% 0.49% 0.48% 0.45%+ 0.40%+
Net expenses, after custodian fee reduction 0.46% 0.47% -- -- --
Net investment income 5.52% 5.52% 5.76% 5.36%+ 5.36%+
Portfolio Turnover 5% 36% 24% 28% 6%
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (000s omitted) $79,882 $85,162 $93,162 $95,167 $75,273
- ------------------------------------------------------------------------------------------------------------
<CAPTION>
North Carolina Portfolio
-----------------------------------------------------
Year Ended
-----------------------------------------------------
August 31, Sept. 30,
------------------------------------------- --------
1997 1996 1995 1994* 1993**
- ------------------------------------------------------------------------------------------------------------
Ratios (as a percentage of average daily net assets):
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses/(1)/ 0.52% 0.52% 0.48% 0.46%+ 0.43%+
Net expenses, after custodian fee reduction 0.50% 0.48% -- -- --
Net investment income 5.53% 5.51% 5.78% 5.40%+ 5.43%+
Portfolio Turnover 42% 54% 33% 37% 21%
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (000s omitted) $167,571 $187,044 $195,179 $199,772 $172,534
- ------------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993 to September
30, 1993.
/(1)/The expense ratios for the reporting periods ended August 31, 1996 and
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset arrangements
with its service providers. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
102
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Oregon Portfolio
---------------------------------------------------------------
Year Ended
---------------------------------------------------------------
August 31, Sept. 30,
-------------------------------------------- -------------
1997 1996 1995 1994* 1993**
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios (as a percentage of
average daily net assets):
- -------------------------------------------------------------------------------------------------------------------
Expenses/(1)/ 0.56% 0.50% 0.50% 0.46%+ 0.43%+
Net expenses, after custodian fee reduction 0.55% 0.47% -- -- --
Net investment income 5.46% 5.37% 5.60% 5.26%+ 5.30%+
Portfolio Turnover 22% 28% 22% 15% 32%
- -------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000s omitted) $ 113,693 $ 129,759 $ 146,391 $ 153,119 $ 127,497
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
South Carolina Portfolio
-----------------------------------------------
Year Ended
-----------------------------------------------
August 31,
-----------------------------------------------
1997 1996 1995 1994***
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Ratios (as a percentage of
average daily net assets):
- --------------------------------------------------------------------------------------------------------
Expenses/(1)/ 0.51% 0.53% 0.44% 0.37%+
Net expenses, after custodian fee reduction 0.50% 0.51% -- --
Net investment income 5.59% 5.65% 5.81% 5.47%+
Portfolio Turnover 8% 36% 75% 23%
- --------------------------------------------------------------------------------------------------------
Net assets, end of year (000s omitted) $53,970 $58,318 $61,412 $62,265
- --------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993 to September
30, 1993.
*** For the period from the start of business, February 1, 1994 to August
31, 1994.
/(1)/The expense ratios for the reporting periods ended August 31, 1996 and
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset arrangements
with its service providers. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
103
<PAGE>
EV Municipals Portfolios as of August 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Tennessee Portfolio
----------------------------------------------------
Year Ended
----------------------------------------------------
August 31, Sept. 30,
----------------------------------------- ---------
1997 1996 1995 1994* 1993**
- --------------------------------------------------------------------------------------------------------------
Ratios (as a percentage of average daily net assets)+++:
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses/(1)/ 0.43% 0.45% 0.41% 0.36%+ 0.08%+
Net expenses, after custodian fee reduction 0.42% 0.43% -- -- --
Net investment income 5.48% 5.52% 5.81% 5.49%+ 5.60%+
Portfolio Turnover 3% 39% 20% 10% 69%
- --------------------------------------------------------------------------------------------------------------
Net assets, end of year (000s omitted) $54,162 $56,065 $58,673 $56,496 $39,266
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
Virginia Portfolio
----------------------------------------------------
Year Ended
----------------------------------------------------
August 31, Sept. 30,
----------------------------------------- ---------
1997 1996 1995 1994* 1993**
- --------------------------------------------------------------------------------------------------------------
Ratios (as a percentage of average daily net assets)+++:
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses/(1)/ 0.52% 0.51% 0.48% 0.46%+ 0.43%+
Net expenses, after custodian fee reduction 0.49% 0.48% -- -- --
Net investment income 5.53% 5.55% 5.81% 5.49%+ 5.49%+
Portfolio Turnover 25% 30% 38% 48% 29%
- --------------------------------------------------------------------------------------------------------------
Net assets, end of year (000s omitted) $161,658 $177,644 $191,748 $194,519 $174,260
- --------------------------------------------------------------------------------------------------------------
</TABLE>
+++ The operating expenses of the Portfolios may reflect a reduction of the
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios and net investment
income per share would have been as follows:
<TABLE>
<CAPTION>
<S> <C>
Expenses 0.31%+
Net investment income 5.37%+
- --------------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993 to September
30, 1993.
/(1)/The expense ratios for the reporting periods ended August 31, 1996 and
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset arrangements
with its service providers. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
104
<PAGE>
EV Municipals Portfolios as of February 28, 1997
NOTES TO FINANCIAL STATEMENTS
1 Significant Accounting Policies
---------------------------------------------------------------------------
Alabama Municipals Portfolio (Alabama Portfolio), Arkansas Municipals
Portfolio (Arkansas Portfolio), Georgia Municipals Portfolio ( Georgia
Portfolio), Kentucky Municipals Portfolio (Kentucky Portfolio), Louisiana
Municipals Portfolio (Louisiana Portfolio), Maryland Municipals Portfolio
(Maryland Portfolio), Missouri Municipals Portfolio (Missouri Portfolio),
North Carolina Municipals Portfolio (North Carolina Portfolio), Oregon
Municipals Portfolio (Oregon Portfolio), South Carolina Municipals
Portfolio (South Carolina Portfolio), Tennessee Municipals Portfolio
(Tennessee Portfolio) and Virginia Municipals Portfolio (Virginia
Portfolio), collectively the Portfolios, are registered under the
Investment Company Act of 1940, as amended, as non-diversified open-end
management investment companies which were organized as trusts under the
laws of the State of New York on May 1, 1992. The Declarations of Trust
permit the Trustees to issue interests in the Portfolios. The following is
a summary of significant accounting policies of the Portfolios. The
policies are in conformity with generally accepted accounting principles.
A Investment Valuations -- Municipal bonds are normally valued on the basis
of valuations furnished by a pricing service. Taxable obligations, if any,
for which price quotations are readily available are normally valued at the
mean between the latest bid and asked prices. Futures contracts and options
on financial futures contracts listed on commodity exchanges are valued at
closing settlement prices. Over-the-counter options on financial futures
contracts are normally valued at the mean between the latest bid and asked
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 Portfolios are treated as partnerships for Federal
tax purposes. No provision is made by the Portfolios for federal or state
taxes on any taxable income of the Portfolios because each investor in
the Portfolios is ultimately responsible for the payment of any taxes.
Since some of the Portfolios' investors are regulated investment companies
that invest all or substantially all of their assets in the Portfolios, the
Portfolios normally must satisfy the applicable source of income and
diversification requirements (under the Internal Revenue Code) in order for
their respective investors to satisfy them. The Portfolios will allocate at
least annually among their respective investors each investor's
distributive share of the Portfolios' 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
Portfolios 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 each Portfolio's
investors. The portion of such interest, if any, earned on private activity
bonds issued after August 7, 1986, may be considered a tax preference item
for investors.
D Deferred Organization Expenses -- Costs incurred by a Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
E Financial Futures Contracts -- Upon the entering of a financial futures
contract, a 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 a 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 a Portfolio. A
Portfolio's investment in financial futures contracts is designed only to
hedge against anticipated future changes in interest rates. Should interest
rates move unexpectedly, a Portfolio may not achieve the anticipated
benefits of the financial futures contracts and may realize a loss.
F Options on Financial Futures Contracts -- Upon purchase of a put option
on a financial futures contract by a Portfolio, the premium paid is
recorded as an investment, the value of which is marked-to-market daily.
When a purchased option expires, a Portfolio will realize a loss in the
amount of the cost of the option. When a Portfolio enters into a closing
sale transaction, the Portfolio will realize a gain or loss depending on
whether the sales
105
<PAGE>
EV Municipals Portfolios as of August 31, 1997
NOTES TO FINANCIAL STATEMENTS CONT'D
proceeds from the closing sale transaction are greater or less than the
cost of the option. When a Portfolio exercises a put option, settlement is
made in cash. The risk associated with purchasing options is limited to the
premium originally paid.
G When-issued and Delayed Delivery Transactions -- The Portfolios may
engage in when-issued and delayed delivery transactions. The Portfolios
record when-issued securities on trade date and maintain 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 Other -- Investment transactions are accounted for on a trade date basis.
I Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolios. Pursuant to the custodian agreements, IBT
receives a fee reduced by credits which are determined based on the average
daily cash balances each Portfolio maintains with IBT. All significant
credit balances used to reduce each Portfolio's custodian fees are reported
as a reduction of expenses in the Statements of Operations.
J Use of Estimates -- The preparation of the financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements
and the reported amounts of revenue and expense during the reporting
period. Actual results could differ from those estimates.
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
each Portfolio. The fee is based upon a percentage of average daily net
assets plus a percentage of gross income (i.e., income other than gains
from the sale of securities). For the year ended August 31, 1997, the
Portfolios paid advisory fees as follows:
<TABLE>
<CAPTION>
Portfolio Amount Effective Rate*
----------------------------------------------------------------------
<S> <C> <C>
Alabama $ 412,072 0.39%
Arkansas 231,998 0.34%
Georgia 393,961 0.39%
Kentucky 519,193 0.41%
Louisiana 80,898 0.23%
Maryland 423,543 0.39%
Missouri 297,922 0.36%
North Carolina 764,004 0.43%
Oregon 488,080 0.40%
South Carolina 177,252 0.31%
Tennessee 167,958 0.30%
Virginia 726,536 0.42%
</TABLE>
* Advisory fees paid as a percentage of average daily net assets.
Except as to Trustees of the Portfolios who are not members of EVM's or
BMR's organization, officers and Trustees receive remuneration for their
services to the Portfolios out of such investment adviser fee.
Trustees of the Portfolios that are not affiliated with the Investment
Adviser may elect to defer receipt of all or a percentage of their annual
fees in accordance with the terms of the Trustees Deferred Compensation
Plan. For the year ended August 31, 1997, no significant amounts have been
deferred.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations.
106
<PAGE>
EV Municipals Portfolios as of August 31, 1997
NOTES TO FINANCIAL STATEMENTS CONT'D
3 Investments
- --------------------------------------------------------------------------------
Purchases and sales of investments, other than U.S. Government securities,
purchased options and short-term obligations, for the year ended August 31,
1997 were as follows:
<TABLE>
Alabama Portfolio
------------------------------------------------------------------------------
<S> <C>
Purchases $24,416,024
Sales 34,728,558
Arkansas Portfolio
------------------------------------------------------------------------------
Purchases $11,407,515
Sales 25,986,335
Georgia Portfolio
------------------------------------------------------------------------------
Purchases $12,989,633
Sales 31,884,027
Kentucky Portfolio
------------------------------------------------------------------------------
Purchases $35,696,541
Sales 48,314,565
Louisiana Portfolio
------------------------------------------------------------------------------
Purchases $ 9,230,358
Sales 11,708,892
Maryland Portfolio
------------------------------------------------------------------------------
Purchases $32,294,082
Sales 40,042,925
Missouri Portfolio
------------------------------------------------------------------------------
Purchases $ 4,207,485
Sales 15,049,440
North Carolina Portfolio
------------------------------------------------------------------------------
Purchases $72,817,726
Sales 96,686,112
Oregon Portfolio
------------------------------------------------------------------------------
Purchases $26,856,486
Sales 42,714,718
South Carolina Portfolio
------------------------------------------------------------------------------
Purchases $ 4,291,750
Sales 9,719,680
Tennessee Portfolio
------------------------------------------------------------------------------
Purchases $ 1,519,740
Sales 7,670,367
Virginia Portfolio
------------------------------------------------------------------------------
Purchases $41,264,863
Sales 61,093,447
</TABLE>
4 Federal Income Tax Basis of Investments
------------------------------------------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at August 31, 1997, as computed on a
federal income tax basis, are as follows:
<TABLE>
Alabama Portfolio
------------------------------------------------------------------------------
<S> <C>
Aggregate Cost $ 94,504,048
------------------------------------------------------------------------------
Gross unrealized appreciation $ 6,711,930
Gross unrealized depreciation (25,059)
------------------------------------------------------------------------------
Net unrealized appreciation $ 6,686,871
------------------------------------------------------------------------------
Arkansas Portfolio
------------------------------------------------------------------------------
Aggregate Cost $ 58,959,622
------------------------------------------------------------------------------
Gross unrealized appreciation $ 3,436,545
Gross unrealized depreciation (69,269)
------------------------------------------------------------------------------
Net unrealized appreciation $ 3,367,276
------------------------------------------------------------------------------
Georgia Portfolio
------------------------------------------------------------------------------
Aggregate Cost $ 87,597,730
------------------------------------------------------------------------------
Gross unrealized appreciation $ 6,180,106
Gross unrealized depreciation (75,663)
------------------------------------------------------------------------------
Net unrealized appreciation $ 6,104,443
------------------------------------------------------------------------------
Kentucky Portfolio
------------------------------------------------------------------------------
Aggregate Cost $115,387,827
------------------------------------------------------------------------------
Gross unrealized appreciation $ 8,013,161
Gross unrealized depreciation (1,731)
------------------------------------------------------------------------------
Net unrealized appreciation $ 8,011,430
------------------------------------------------------------------------------
</TABLE>
107
<PAGE>
EV Municipals Portfolios as of August 31, 1997
NOTES TO FINANCIAL STATEMENTS CONT'D
<TABLE>
Louisiana Portfolio
-----------------------------------------------------------------------------
<S> <C>
Aggregate Cost $ 32,155,616
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 1,864,050
Gross unrealized depreciation (157,943)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 1,706,107
-----------------------------------------------------------------------------
Maryland Portfolio
-----------------------------------------------------------------------------
Aggregate Cost $ 101,424,067
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 5,135,233
Gross unrealized depreciation (51,202)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 5,084,031
-----------------------------------------------------------------------------
Missouri Portfolio
-----------------------------------------------------------------------------
Aggregate Cost $ 73,588,023
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 6,006,453
Gross unrealized depreciation (15,235)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 5,991,218
-----------------------------------------------------------------------------
North Carolina Portfolio
-----------------------------------------------------------------------------
Aggregate Cost $ 153,838,803
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 12,587,277
Gross unrealized depreciation (72,373)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 12,514,904
-----------------------------------------------------------------------------
Oregon Portfolio
-----------------------------------------------------------------------------
Aggregate Cost $ 108,099,159
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 6,388,800
Gross unrealized depreciation --
-----------------------------------------------------------------------------
Net unrealized appreciation $ 6,388,800
-----------------------------------------------------------------------------
South Carolina Portfolio
-----------------------------------------------------------------------------
Aggregate Cost $ 50,167,834
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 4,058,055
Gross unrealized depreciation --
-----------------------------------------------------------------------------
Net unrealized appreciation $ 4,058,055
-----------------------------------------------------------------------------
Tennessee Portfolio
-----------------------------------------------------------------------------
Aggregate Cost $ 49,525,469
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 3,303,714
Gross unrealized depreciation (3,340)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 3,300,374
-----------------------------------------------------------------------------
Virginia Portfolio
-----------------------------------------------------------------------------
Aggregate Cost $150,623,953
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 11,658,610
Gross unrealized depreciation (30,068)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 11,628,542
-----------------------------------------------------------------------------
</TABLE>
5 Line of Credit
------------------------------------------------------------------------------
The Portfolios participate with other portfolios and funds managed by BMR and
EVM and its affiliates in a $120 million unsecured line of credit agreement
with a group of banks. Borrowings will be made by the portfolios or funds
solely to facilitate the handling of unusual and/or unanticipated short-term
cash requirements. Interest is charged to each portfolio or fund based on its
borrowings at the bank's base rate or at an amount above either the bank's
adjusted certificate of deposit rate, Eurodollar rate or federal funds
effective rate. In addition, a fee computed at an annual rate of 0.15% on the
daily unused portion of the facility is allocated among the participating
portfolios and funds at the end of each quarter. At August 31, 1997, the
Alabama Portfolio, Arkansas Portfolio, Kentucky Portfolio, Louisiana
Portfolio, North Carolina Portfolio, South
108
<PAGE>
EV Municipals Portfolios as of August 31, 1997
NOTES TO FINANCIAL STATEMENTS CONT'D
Carolina Portfolio and Virginia Portfolio had balances outstanding pursuant
to this line of credit of $1,030,000, $602,000, $1,171,000, $260,000,
$1,030,000, $1,024,000, and $2,243,000, respectively. The Portfolios did
not have any significant borrowings or allocated fees during the year ended
August 31, 1997.
6 Financial Instruments
---------------------------------------------------------------------------
The Portfolios regularly trade in financial instruments with off-balance
sheet risk in the normal course of their 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.
A summary of obligations under these financial instruments at August 31,
1997, is as follows:
<TABLE>
<CAPTION>
Futures Net
Contracts Unrealized
Expiration Appreciation
Portfolio Date Contracts Position (Depreciation)
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Alabama 12/97 52 U.S. Treasury Bonds Short $ (27,918)
--------------------------------------------------------------------------------
Arkansas 12/97 54 U.S. Treasury Bonds Short $ 13,196
--------------------------------------------------------------------------------
Georgia 12/97 72 U.S. Treasury Bonds Short $ (38,655)
--------------------------------------------------------------------------------
Kentucky 12/97 67 U.S. Treasury Bonds Short $ (35,971)
--------------------------------------------------------------------------------
Louisiana 12/97 38 U.S. Treasury Bonds Short $ (20,401)
--------------------------------------------------------------------------------
Maryland 12/97 84 U.S. Treasury Bonds Short $ 20,527
--------------------------------------------------------------------------------
Missouri 12/97 60 U.S. Treasury Bonds Short $ (32,313)
--------------------------------------------------------------------------------
North
Carolina 12/97 210 U.S. Treasury Bonds Short $(112,744)
--------------------------------------------------------------------------------
Oregon 12/97 100 U.S. Treasury Bonds Short $ 50,937
--------------------------------------------------------------------------------
Tennessee 12/97 42 U.S. Treasury Bonds Short $ (22,549)
--------------------------------------------------------------------------------
Virginia 12/97 132 U.S. Treasury Bonds Short $ 32,257
--------------------------------------------------------------------------------
</TABLE>
109
<PAGE>
EV Municipals Portfolio as of August 31, 1997
INDEPENDENT AUDITORS' REPORT
To the Trustees and Investors of:
Alabama Municipals Portfolio
Arkansas Municipals Portfolio
Georgia Municipals Portfolio
Kentucky Municipals Portfolio
Louisiana Municipals Portfolio
Maryland Municipals Portfolio
Missouri Municipals Portfolio
North Carolina Municipals Portfolio
Oregon Municipals Portfolio
South Carolina Municipals Portfolio
Tennessee Municipals Portfolio
Virginia Municipals Portfolio
- --------------------------------------------------------------------------------
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of Alabama Municipals Portfolio, Arkansas
Municipals Portfolio, Georgia Municipals Portfolio, Kentucky Municipals
Portfolio, Louisiana Municipals Portfolio, Maryland Municipals Portfolio,
Missouri Municipals Portfolio, North Carolina Municipals Portfolio, Oregon
Municipals Portfolio, South Carolina Municipals Portfolio, Tennessee Municipals
Portfolio and Virginia Municipals Portfolio as of August 31, 1997, the related
statements of operations for the year then ended, the statements of changes in
net assets for the years ended August 31, 1997 and 1996 and supplementary data
for each of the years in the four-year period ended August 31, 1997, and for the
period from the start of business to September 30, 1993 for the Alabama
Municipals Portfolio, Georgia Municipals Portfolio, Kentucky Municipals
Portfolio, Maryland Municipals Portfolio, Missouri Municipals Portfolio, North
Carolina Municipals Portfolio, Oregon Municipals Portfolio, Tennessee Municipals
Portfolio and Virginia Municipals Portfolio. These financial statements and
supplementary data are the responsibility of the Trust's management. Our
responsibility is to express an opinion on the financial statements and
supplementary data based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and supplementary
data are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at August
31, 1997, by correspondence with the custodian and brokers; where replies were
not received from brokers, we performed other audit procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and supplementary data present fairly,
in all material respects, the financial position of Alabama Municipals
Portfolio, Arkansas Municipals Portfolio, Georgia Municipals Portfolio, Kentucky
Municipals Portfolio, Louisiana Municipals Portfolio, Maryland Municipals
Portfolio, Missouri Municipals Portfolio, North Carolina Municipals Portfolio,
Oregon Municipals Portfolio, South Carolina Municipals Portfolio, Tennessee
Municipals Portfolio and Virginia Municipals Portfolio at August 31, 1997, the
results of their operations, the changes in their net assets and their
supplementary data for the respective stated periods in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
October 10, 1997
110
<PAGE>
Municipals Portfolio as of August 31, 1997
INVESTMENT MANAGEMENT
Municipals Portfolios
Officers
Thomas J. Fetter
President and Portfolio Manager of South Carolina Municipals Portfolio
James B. Hawkes
Vice President and Trustee
Robert B. MacIntosh
Vice President and Portfolio Manager of Louisiana and North Carolina Municipals
Portfolios
Timothy T. Browse
Vice President and Portfolio Manager of Alabama, Arkansas, Maryland and
Virginia Municipals Portfolios
Cynthia J. Clemson
Vice President and Portfolio Manager of Georgia, Missouri, and Tennessee
Municipals Portfolios
Nicole Anderes
Vice President and Portfolio Manager of Kentucky Municipals Portfolio
Thomas M. Metzold
Vice President and Portfolio Manager of Oregon Municipals Portfolio
Independent Trustees
Donald R. Dwight
President, Dwight Partners, Inc.
Chairman, Newspapers of New England, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking, Harvard University Graduate
School of Business Administration
Norton H. Reamer
President and Director, United Asset Management Corporation
John L. Thorndike
Formerly Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
111
