<PAGE> 1
The Eaton Vance Municipals Trust
For the Total Return Portfolio
[LOGO]
Annual Shareholder Report
July 31, 1996
Portfolio Investment Adviser
Boston Management and Research
24 Federal Street
Boston, MA 02110
Fund Administrator
Eaton Vance Management
24 Federal Street
Boston, MA 02110
(617) 482-8260
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
89 South Street
P.O. Box 1537
Boston, MA 02110
Transfer Agent
First Data Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
<PAGE> 2
Arizona Municipals Portfolio
Portfolio of Investments -- July 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS UNAUDITED
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 1.3%
NR NR $1,800 Arizona Health Facilities
Authority, Mesa Project,
7.625%, 1/1/26 $ 1,631,394
-------------
EDUCATION - 6.2%
A1 AA $1,250 Arizona Board of Regents,
University of Arizona,
6.25%, 6/1/11 $ 1,299,163
NR NR 2,000 Arizona Educational Loan
Marketing Corporation,
(AMT) 6.30%, 12/1/08 1,972,860
NR NR 2,000 Arizona Educational Loan
Marketing Corporation,
(AMT) 6.25%, 6/1/06 2,020,220
NR AAA 1,000 City of Glendale,
Thunderbird Graduate
School, CLEE, 7.125%,
7/1/20 1,163,090
A NR 1,500 Student Loan Acquisition
Authority of Arizona,
(AMT) 7.625%, 5/1/10 (4) 1,628,010
-------------
$ 8,083,343
-------------
ESCROWED - 6.3%
Aaa AA $1,000 Arizona Transportation
Board Highway, 6.50%,
7/1/11 $ 1,104,320
Aaa AAA 7,500 Maricopa County, Single
Family Mortgage, 0%,
2/1/16 2,260,275
NR AA 2,500 City of Phoenix, Street &
Highway User, 6.25%,
7/1/11 2,649,600
Aaa AAA 5,000 City of Phoenix, IDA,
Single Family Housing, 0%,
12/1/14 1,648,050
NR NR 500 City of Scottsdale,
Westminster Village,
Multifamily Housing,
10.00%, 6/1/17 539,220
-------------
$ 8,201,465
-------------
GENERAL OBLIGATIONS - 11.4%
Aa AA $1,300 Maricopa County,
Scottsdale Unified School
District No. 48, 4.60%,
7/1/11 $ 1,162,421
Aa AA+ 1,500 City of Phoenix,
6.375%, 7/1/13 1,581,165
Aa AA+ 3,000 City of Phoenix,
5.10%, 7/1/13 2,846,670
NR A 2,000 City of Phoenix, Tatum
Ranch Community,
6.875%, 7/1/16 (4) 2,115,160
<CAPTION>
RATINGS UNAUDITED
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA+ 1,000 City of Tempe,
5.25%, 7/1/15 939,470
Baa1 A 1,850 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 1,710,270
Baa1 A 4,000 Commonwealth of Puerto
Rico, Aqueduct and Sewer
Authority, 5.0%, 7/1/19 3,496,200
NR NR 1,000 Virgin Islands 7.25%
10/1/18 1,057,130
-------------
$ 14,908,486
-------------
HOSPITALS - 3.6%
NR BBB $1,130 Arizona Health Facilities
Authority, Phoenix
Memorial Hospital, 8.125%,
6/1/12 (4) $ 1,223,812
NR BBB 1,250 Arizona Health Facilities
Authority, Phoenix
Memorial Hospital, 8.20%,
6/1/21 1,354,913
Baa BBB- 1,000 Maricopa County, Sun
Health Corporation,
8.125%, 4/1/12 1,092,660
NR NR 915 City of Winslow, Winslow
Memorial Hospital Project,
9.50%, 6/1/22 1,004,075
-------------
$ 4,675,460
-------------
HOUSING - 7.0%
NR A $2,000 Maricopa County, Laguna
Point Apartments,
Multifamily Housing,
6.75%, 7/1/09 (4) $ 2,047,660
NR A 2,250 Maricopa County,
Industrial Development
Authority, Multifamily
Housing, 6.625%, 7/1/26 2,254,386
NR AAA 2,775 City of Phoenix, Chris
Ridge Village Project, FHA
Insured Mortgage Loan,
6.80%, 11/1/25 2,860,942
NR AA 1,000 City of Phoenix, Woodstone
and Silver Springs
Apartments, Multifamily
Housing, (Asset Guaranty),
6.25%, 4/1/23 1,013,890
NR AAA 1,000 City of Tempe, Multifamily
Housing, Quadrangle
Village Apartments, FHA
Insured Mortgage Loan,
6.25%, 6/1/26 1,014,090
-------------
$ 9,190,968
-------------
</TABLE>
31
<PAGE> 3
ARIZONA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS UNAUDITED
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT
REVENUE/IDB - 5.0%
A1 NR $1,000 City of Casa Grande,
Pollution Control,
Frito-Lay Inc., 6.60%,
12/1/10 $ 1,073,250
A2 A 3,500 Greenlee County, Pollution
Control, Phelps Dodge
Corporation, 5.45%, 6/1/09 3,433,290
Baa3 BB+ 2,000 Commonwealth of Puerto
Rico, Port Authority,
American Airlines, 6.25%,
6/1/26 1,999,760
-------------
$ 6,506,300
-------------
INSURED GENERAL OBLIGATION
-8.6%
Aaa AAA $1,000 Maricopa County, Alhambra
Elementary School District
No. 68, (AMBAC) 5.125%,
7/1/13 $ 951,610
Aaa AAA 1,000 Maricopa County, Alhambra
Elementary School District
No. 68, (AMBAC) 5.625%
7/1/13 1,013,580
Aaa AAA 1,000 Maricopa County, Chandler
Unified School District
No. 80, (FGIC) 6.40%,
7/1/10 1,053,760
Aaa AAA 1,000 Maricopa County, Paradise
Valley Unified School
District No. 69, (MBIA),
5.3%, 7/1/11 967,920
Aaa AAA 1,000 Maricopa County, Peoria
Unified School District
No. 11 , (MBIA) 6.40%,
7/1/10 1,053,760
Aaa AAA 1,000 Maricopa County, Tolleson
High School District, No.
214, (FGIC) 5.00%, 7/1/13 938,030
Aaa AAA 1,750 Pima County, School
District No. 1, Tucson
Project, (FGIC) 5.875%,
7/1/14 1,771,490
Aaa AAA 1,000 Commonwealth of Puerto
Rico, Variable (FSA)
7/1/20 (1) 1,002,200
Aaa AAA 1,500 Commonwealth of Puerto
Rico, Variable (AMBAC)
7/1/15 (1) 1,517,400
Aaa AAA 1,000 Commonwealth of Puerto
Rico, Variable (FSA)
7/1/22 (1) 1,024,030
-------------
$ 11,293,780
-------------
<CAPTION>
RATINGS UNAUDITED
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITALS - 13.3%
Aaa AAA $2,000 Maricopa County, Hospital
District No. 1, (FGIC)
6.125%, 6/1/15 (2) $ 2,057,000
Aaa AAA 2,000 Maricopa County, Samaritan
Health, (MBIA) 7.0%,
12/1/16 2,318,300
Aaa AAA 2,000 Mohave County, Kingman
Regional Medical Center,
(FGIC) 6.50%, 6/1/15 2,100,640
Aaa AAA 1,500 Pima County, Tucson
Medical Center, (MBIA)
6.375%, 4/1/12 1,570,485
Aaa AAA 3,500 Pima County, Tucson
Medical Center, (MBIA)
5.0%, 4/1/15 3,220,525
Aaa AAA 1,000 Pima County, Carondelet
Health Care Corporation,
(MBIA) 5.25%, 7/1/11 960,000
Aaa AAA 1,000 Pima County, Carondelet
Health Care Corporation,
(MBIA) 5.25%, 7/1/12 962,390
Aaa AAA 1,500 City of Scottsdale,
Industrial Development
Authority Hospital,
(AMBAC) 6.125%,
9/1/17 (3) 1,445,835
Aaa AAA 2,000 University of Arizona
Medical Center
Corporation, (MBIA) 5.0%
7/1/13 1,853,340
Aaa AAA 1,000 University of Arizona
Medical Center
Corporation, (MBIA) 5.0%
7/1/21 891,600
-------------
$ 17,380,115
-------------
INSURED UTILITIES - 4.2%
Aaa AAA $1,500 Navajo County, Pollution
Control, Arizona Public
Service Co., (AMBAC)
5.50%, 8/15/28 $ 1,416,120
Aaa AAA 2,920 Pima County, Irvington
Power Project, (FSA)
7.25%, 7/15/10 (2) 3,167,120
Aaa AAA 1,000 Arizona State Power
Authority, Hoover Uprating
Project, (MBIA) 5.25%,
10/1/17 928,780
-------------
$ 5,512,020
-------------
INSURED SPECIAL TAX - 1.6%
Aaa AAA $1,750 City of Phoenix, Civic
Improvement Excise Tax,
(MBIA) 6.60%, 7/1/08 $ 1,908,900
-------------
</TABLE>
32
<PAGE> 4
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS UNAUDITED
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
INSURED WATER & SEWER - 1.6%
<S> <C> <C> <C> <C>
Aaa AAA $1,000 City of Chandler, Water
and Sewer, (FGIC) 6.25%,
7/1/13 $ 1,047,490
Aaa AAA 1,200 City of Phoenix, Civic
Improvement Wastewater
Systems, (MBIA) 5.0%,
7/1/18 1,081,716
-------------
$ 2,129,206
-------------
SPECIAL TAX - 0.7%
Baa1 A $1,000 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/20 $ 908,890
-------------
TRANSPORTATION - 3.8%
Aa AA $1,000 State of Arizona,
Transportation Board &
Highway, 5.00%, 7/1/10 $ 962,120
Aa AA 1,000 State of Arizona,
Transportation Board &
Highway, 5.10%, 7/1/11 950,820
NR BBB 3,000 Guam Airport Authority,
(AMT) 6.70%, 10/1/23 3,046,740
-------------
$ 4,959,680
-------------
UTILITIES - 16.7%
Ba2 BB $2,500 Maricopa County, Pollution
Control, Public Service
Company of New Mexico,
Palo Verde Project,
6.375%, 8/15/23 $ 2,366,350
Baa1 BBB 5,300 Navajo County, Pollution
Control, Arizona Public
Service Co., 5.875%,
8/15/28 5,082,647
A A+ 1,000 Puerto Rico Telephone
Authority, Variable 1/1/20
(1) 1,014,170
A1 AA- 1,000 Central Arizona Water
Conservation District,
Central Arizona Project,
5.50%, 11/1/09 1,008,330
NR BBB 1,200 Guam Power Authority,
6.30%, 10/1/12 1,197,456
NR BBB 1,250 Guam Power Authority,
6.30%, 10/1/22 1,230,975
Baa1 A- 550 Puerto Rico Electric Power
Authority, 7.00%, 7/1/07 587,747
Baa1 A- 370 Puerto Rico Electric Power
Authority, 7.125%, 7/1/14 396,529
Aa AA 5,500 Salt River Project
Agricultural Improvement
and Power District, 5.25%,
1/1/25 5,198,270
Aa AA 1,000 Salt River Project
Agricultural Improvement
and Power District, 6.25%,
1/1/27 1,030,950
<CAPTION>
RATINGS UNAUDITED
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA 3,000 Salt River Project
Agricultural Improvement
and Power District, 5.25%,
1/1/19 2,773,140
-------------
$ 21,886,564
-------------
WATER & SEWER - 8.8%
Aa AA+ $2,000 State of Arizona,
Wastewater Management
Authority, 6.80%, 7/1/11
(2) $ 2,175,400
A1 A 1,100 City of Phoenix, Water
System, 5.00%, 7/1/18 974,149
A1 A 5,000 City of Phoenix, Water
System, 4.75%, 7/1/23 4,193,650
Aa AA- 2,100 City of Phoenix,
Improvement Junior Lien
Water, 5.6%, 7/1/18 2,071,188
A1 A+ 1,000 City of Tucson, Water
System, 6.50%, 7/1/16 1,055,570
A1 A+ 1,000 City of Tucson, Water
System, 5.50%, 7/1/10 998,010
-------------
$ 11,467,967
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $125,151,785) $ 130,644,538
=============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
(3) When-issued security.
(4) The above designated security has been segregated to cover when-issued
securities.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio primarily invests in debt securities issued by Arizona
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 July 31, 1996, 34.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 4.0% to 13.6% of total investments.
See notes to financial statements
33
<PAGE> 5
Colorado Municipals Portfolio
Portfolio of Investments -- July 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 99.9%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ESCROWED - 4.3%
Aaa AAA $ 4,000 Colorado Health Facilities
Authority, Liberty Heights
Project, (FSA) 0%, 7/15/24 $ 561,640
Aaa NR 8,500 Dawson Ridge County,
Metropolitan District, 0%,
10/1/22 1,353,285
-------------
$ 1,914,925
-------------
GENERAL OBLIGATIONS - 4.6%
A1 AA $ 1,000 Boulder and Gilpin
Counties, Boulder Valley
School District, 6.30%,
12/1/13 $ 1,055,000
Baa1 A 1,000 Commonwealth of Puerto
Rico, Public Building
Authority, 5.75%, 7/1/15 972,990
-------------
$ 2,027,990
-------------
HOSPITALS - 16.8%
Baa BBB $ 2,050 Colorado Health Facilities
Authority, Rocky Mountain
Adventist Healthcare,
6.625%, 2/1/13 $ 2,066,481
NR NR 900 Colorado Health Facilities
Authority, Cleo Wallace
Center, 7.00%, 8/1/15 904,662
NR BBB- 650 Colorado Health Facilities
Authority, National Jewish
Center, 6.875%, 2/15/12 649,058
NR BBB 2,000 Colorado Health Facilities
Authority, Vail Valley
Medical Center, 6.60%,
1/15/20 2,005,860
Baa1 NR 2,000 Colorado Health Facilities
Authority, Parkview
Memorial Hospital, 6.125%,
9/1/25 1,843,940
-------------
$ 7,470,001
-------------
HOUSING - 15.4%
Aa AA $ 750 Colorado Housing and
Finance Authority, Multi-
Family Mortgage Revenue,
6.40%, 10/1/27 $ 751,748
NR AAA 1,000 Denver County,
Multi-family Housing,
Lofts Project, 6.15%,
12/1/16 1,002,310
NR NR 350 Lake Creek Affordable
Housing Corporation,
Multi-family Housing,
8.00%, 12/1/23 360,588
NR AAA 1,000 City of Lakewood, Multi-
Family Housing FHA Insured
Mortgage Loan, (AMT),
6.65%, 10/1/25 1,026,820
Aa NR 1,785 Colorado Housing and
Finance Authority, Single
Family Access Program,
7.90%, 12/1/24 2,004,536
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa NR 905 Colorado Housing and
Finance Authority, Single
Family Access Program,
8.00%, 12/1/24 1,022,062
Aa NR 595 Colorado Housing and
Finance Authority, Single
Family Housing, (AMT),
7.65%, 12/1/25 666,733
-------------
$ 6,834,797
-------------
INDUSTRIAL DEVELOPMENT
REVENUE - 6.4%
A2 NR $ 1,750 Puerto Rico Pollution
Control, American Home
Products Corporation,
5.10%, 12/1/18 $ 1,575,350
Baa3 BB+ 1,250 Puerto Rico Port
Authority, American
Airlines, 6.25%, 6/1/26 1,249,850
-------------
$ 2,825,200
-------------
INSURED EDUCATION - 3.8%
Aaa AAA $ 750 Auraria County, Higher
Education Center, (AMBAC),
5.30%, 5/1/21 $ 697,268
Aaa AAA 1,000 Board of Trustees of the
State Colleges in
Colorado, Adams State
College of Colorado
Project, (MBIA) 5.70%,
5/15/14 996,580
-------------
$ 1,693,848
-------------
INSURED GENERAL
OBLIGATIONS - 9.9%
Aaa AAA $ 1,100 Highlands Ranch
Metropolitan District No.
2, Douglas County, (CGIC),
6.50%, 6/15/12 (2) $ 1,195,788
Aaa AAA 1,000 Douglas and Elbert
Counties, Douglas County
School District, (MBIA),
6.40%, 12/15/11 1,065,830
Aaa AAA 1,750 Eagle, Garfield & Routt
Counties, School District
No. RE 50J, (FGIC), 6.30%,
12/1/12 1,857,555
Aaa AAA 500 Summit County, School
District No. RE 1, (FGIC)
0%, 12/1/06 292,265
-------------
$ 4,411,438
-------------
INSURED HOSPITAL - 2.3%
Aaa AAA $ 1,000 Colorado Health Facilities
Authority, Boulder
Community Hospital,
(MBIA), 5.875% 10/1/23 $ 999,230
-------------
</TABLE>
34
<PAGE> 6
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOUSING - 2.4%
Aaa AAA $ 1,000 City of Thornton, SCA
Realty MFMR, (FSA) 7.10%,
1/1/30 $ 1,085,260
-------------
INSURED UTILITIES - 1.8%
Aaa AAA $ 300 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA),
Variable, 7/1/03 (1) $ 327,720
Aaa AAA 500 Commonwealth of Puerto
Rico, Telephone Authority,
(MBIA), Variable, 1/16/15
(1) 464,795
-------------
$ 792,515
-------------
INSURED SPECIAL TAX - 2.3%
Aaa AAA $ 1,000 City of Broomfield Sales
and Use Tax, (AMBAC)
6.30%, 12/1/14 $ 1,039,430
-------------
INSURED TRANSPORTATION - 3.3%
Aaa AAA $ 1,500 City and County of Denver,
Denver International
Airport, (AMT) (MBIA),
5.75%, 11/15/15 $ 1,467,375
-------------
INSURED WATER & SEWER - 2.0%
Aaa AAA $ 1,000 Municipal Subdistrict,
Northern Colorado Water
Conservancy District,
(AMBAC) 5.00%, 12/1/17 $ 900,480
-------------
SPECIAL TAX - 5.6%
Baa1 A $ 2,750 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/20 $ 2,499,448
-------------
TRANSPORTATION - 14.1%
Baa3 BB $ 2,000 City and County of Denver,
Colorado Special
Facilities Airport System,
United Airlines, (AMT)
6.875%, 10/1/32 $ 2,035,280
Baa BBB 750 City and County of Denver,
Colorado Airport System,
(AMT) 7.00%, 11/15/25 765,750
Baa BBB 1,500 City and County of Denver,
Colorado Airport System,
(AMT) 6.75%, 11/15/22 1,526,385
Baa BBB 500 City and County of Denver,
Colorado Airport System,
(AMT) 7.50%, 11/15/23 544,155
NR NR 500 Eagle County, Eagle County
Airport Terminal Project,
7.50%, 5/1/21 511,750
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR BBB 750 Guam Airport Authority,
(AMT) 6.60%, 10/1/10 759,150
NR BBB 100 Guam Airport Authority,
(AMT) 6.70%, 10/1/23 101,558
-------------
$ 6,244,028
-------------
UTILITIES - 4.9%
NR BBB $ 500 Guam Power Authority,
6.625%, 10/1/14 $ 511,245
Aa A+ 1,750 Platte River Power
Authority, 5.50%, 6/1/18 1,668,660
-------------
$ 2,179,905
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $42,712,754) $ 44,385,870
-------------
</TABLE>
- --------------------------------------------------------------------------------
PUT OPTIONS ON FINANCIAL FUTURES CONTRACTS - 0.1%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACTS SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
89 30 year-U.S. Treasury
Bond, American, expiration
9/19/96, strike price
$106.00, (identified cost,
$64,553) $ 29,203
-------------
TOTAL INVESTMENTS
(IDENTIFIED COST,
$42,777,307) $ 44,415,073
=============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) The above designated securities have been segregated to cover margin
requirements on open financial futures contracts.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio primarily invests in debt securities issued by Colorado
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 July 31, 1996, 25.0% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 2.7% to 11.2% of total investments.
See notes to financial statements
35
<PAGE> 7
Connecticut Municipals Portfolio
Portfolio of Investments - July 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
AIRPORTS - 1.1%
NR BBB $ 2,000 Guam Airport Authority
Revenue Bonds, (AMT),
6.70%, 10/1/23 $ 2,031,160
-------------
EDUCATION - 8.2%
Baa BBB $ 1,000 Connecticut Health and
Educational Facilities
Authority, (HEFA)
University of Hartford,
6.75%, 7/1/12 $ 1,009,650
Baa BBB 5,500 Connecticut HEFA,
University of Hartford,
6.80%, 7/1/22 5,526,125
NR BBB- 4,775 Connecticut HEFA,
Quinnipiac College, 6.00%,
7/1/23 4,450,157
NR BBB- 1,000 Connecticut HEFA, Sacred
Heart University, 5.80%,
7/1/23 888,400
Aaa AAA 3,400 Connecticut HEFA, Yale
University, Variable,
6/10/30 (1) 3,404,182
-------------
$ 15,278,514
-------------
ESCROWED/PREREFUNDED - 5.4%
NR AA- $ 650 State of Connecticut
General Obligations Bonds,
6.875%, 7/15/10 $ 714,122
NR AAA 800 Connecticut Special Tax
Obligation Bonds,
Transportation
Infrastructure Purposes,
6.75%, 6/1/11 890,752
Aaa AA 645 Connecticut Special Tax
Obligation Bonds,
Transportation
Infrastructure Purposes,
6.50%, 7/1/09 695,104
A1 NR 300 Amity RSD No. 5 Bonds,
6.80%, 6/15/08 320,307
NR A- 1,630 City of Stratford, 7.30%,
3/1/12 1,830,262
NR AAA 1,000 Puerto Rico Industrial
Medical & Environmental
Pollution Control
Facilities, Dr. Pila
Hospital, 7.85%, 8/1/28 1,091,780
Baa A 1,000 Connecticut HEFA, Sacred
Heart University, 6.80%,
7/1/12 1,115,200
A AA- 2,000 City of Bridgeport,
6.125%, 3/1/05 2,115,760
Aaa AAA 1,200 Connecticut HEFA, Yale --
New Haven Hospital (MBIA),
7.10%, 7/1/25 1,289,052
-------------
$ 10,062,339
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
GENERAL OBLIGATIONS - 3.2%
Aa AA- $ 1,750 State of Connecticut,
Capital Appreciation
Bonds, 0%, 11/1/09 $ 853,248
A1 AA- 1,475 Connecticut Development
Authority, Special
Obligation, 5.55%,
12/15/15 1,422,343
Aa AA- 500 State of Connecticut,
5.50%, 3/15/11 501,460
Aa AA 1,270 City of Danbury, 4.50%,
2/1/14 1,095,083
Aa1 NR 650 City of Farmington, 5.70%,
1/15/11 670,020
NR BBB 500 Government of Guam, 5.40%,
11/15/18 438,335
NR NR 1,000 Virgin Islands PFA Revenue
Bonds, 7.25%, 10/1/18 1,057,130
-------------
$ 6,037,619
-------------
HEALTH CARE (NON-HOSPITAL
PROGRAM) - 12.5%
A1 AA- $ 655 Connecticut HEFA, (St.
Camillus), 6.25%,
11/1/18 $ 667,314
A1 AA- 3,250 Connecticut HEFA, St.
Joseph's Manor, 6.25%,
11/1/16 3,323,580
A1 AA- 1,305 Connecticut HEFA, Sharon
Healthcare, 6.25%, 11/1/14 1,344,633
A1 AA- 720 Connecticut HEFA, Highland
View, 7.00%, 11/1/07 798,890
A1 AA- 335 Connecticut HEFA,
Wadsworth Glen, AMT 7.00%,
11/1/07 371,706
A1 AA- 2,000 Connecticut HEFA,
Wadsworth Glen, AMT 7.50%,
11/1/16 2,284,600
A1 AA- 3,000 Connecticut HEFA, Windsor,
7.125%, 11/1/14 3,342,660
A1 AA- 500 Connecticut HEFA, Windsor,
7.125%, 11/1/24 557,110
NR NR 1,240 Connecticut Dev. Auth.,
Baptist Homes, 9.00%,
9/1/22 1,351,464
A2 NR 9,000 Connecticut Development
Authority Health Care
Bonds, Duncaster, 6.75%,
9/1/15 9,373,770
-------------
$ 23,415,727
-------------
HOSPITALS - 5.9%
NR A- $ 3,770 Connecticut HEFA, William
W. Backus Hospital,
6.375%, 7/1/22 $ 3,787,078
Baa1 NR 5,900 Connecticut HEFA, Griffin
Hospital, 5.75%, 7/1/23 5,211,706
</TABLE>
36
<PAGE> 8
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - (CONTINUED)
NR BBB- 2,000 Connecticut HEFA, New
Britain Memorial Hospital,
7.75%, 7/1/22 2,109,520
-------------
$ 11,108,304
-------------
HOUSING MORTGAGE &
REVENUE BONDS - 12.4%
Aa NR $ 100 Connecticut HFA, 7.40%,
11/15/99 $ 102,960
Aa AA 200 Connecticut HFA, 7.00%,
11/15/09 210,066
Aa AA 6,200 Connecticut HFA, 6.70%,
11/15/12 6,545,278
Aa AA 210 Connecticut HFA, 6.55%,
11/15/13 218,952
Aa AA+ 140 Connecticut HFA, 7.625%,
11/15/17 144,529
Aa AA 1,700 Connecticut HFA, 6.35%,
5/15/7 1,752,207
Aa AA 2,490 Connecticut HFA, 6.60%,
11/15/23 2,586,039
Aa AA 2,000 Connecticut HFA, 6.75%,
11/15/23 2,096,480
Aa AA 3,000 Connecticut HFA, 6.20%,
5/15/14 3,040,140
Aa AA 95 Connecticut HFA, 6.70%,
11/5/22 97,164
Aa AA 250 Connecticut HFA, 7.10%,
11/15/00 260,490
Aa AA 1,340 Connecticut HFA, 6.90%,
5/15/20 1,394,471
Aa AA 4,750 Connecticut HFA, (AMT),
6.20%, 11/15/22 4,757,267
-------------
$ 23,206,043
-------------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL
REVENUES - 3.7%
Aaa AAA $ 1,000 Connecticut Development
Authority PCR, Pfizer
Inc., 6.55%, 2/15/13 $ 1,077,150
Aa AA- 2,000 Connecticut Development
Authority, Economic
Development Projects,
Revenue Bonds, 6.00%,
11/15/08 2,088,040
NR NR 3,065 Connecticut Development
Authority Airport
Facility, Signature
Flight, 6.625%, 12/1/14 3,018,320
Baa3 BB+ 700 Puerto Rico Port
Authority, American
Airlines, (AMT) 6.30%,
6/1/23 702,268
-------------
$ 6,885,778
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED AIRPORTS - 5.0%
Aaa AAA $ 8,200 Connecticut Airport
Revenue Bonds, Bradley
International Airport,
(FGIC), 7.65%, 10/1/12 $ 9,385,802
-------------
INSURED COLLEGES AND
UNIVERSITIES - 2.4%
Aaa AAA $ 725 Connecticut HEFA,
Fairfield University
(MBIA), 5.00%, 7/1/18 $ 656,038
Aaa AAA 1,200 Connecticut HEFA,
Connecticut College
(MBIA), 6.625%, 7/1/11 1,292,868
Aaa AAA 1,000 University of Connecticut
(FGIC), 5.00%, 2/1/16 911,670
Aaa AAA 1,555 Connecticut HEFA, Choate
Rosemary College (MBIA),
6.80%, 7/1/15 (2) 1,695,292
-------------
$ 4,555,868
-------------
INSURED MUNICIPAL ELECTRIC - 1.8%
Aaa AAA $ 3,660 Connecticut Municipal
Electric Energy
Cooperative Bonds (MBIA),
5.00%, 1/1/18 $ 3,303,406
-------------
INSURED GENERAL OBLIGATIONS - 2.3%
Aaa AAA $ 1,220 Town of Bethel, (MBIA),
6.50%, 2/15/09 $ 1,355,127
Aaa AAA 740 Town of Stratford, (MBIA),
6.60%, 3/1/11 831,945
Aaa AAA 1,000 City of New Britain,
(MBIA), 6.00%, 3/1/12 1,051,800
Aaa AAA 1,000 Town of Plainfield,
(MBIA), 6.375%, 8/1/11 1,061,740
-------------
$ 4,300,612
-------------
INSURED HEALTHCARE - 0.8%
Aaa AAA $ 1,735 Connecticut HEFA, NHP, St.
Joseph's Living Center,
(AMBAC) 5.10%, 11/1/19 $ 1,587,091
-------------
INSURED HOSPITALS - 9.8%
Aaa AAA $ 1,000 Connecticut HEFA,
Bridgeport Hospital
(MBIA), 6.625%, 7/1/18 $ 1,058,790
Aaa AAA 6,750 Connecticut HEFA, St.
Francis Hospital (FGIC),
5.00%, 7/1/23 5,960,115
Aaa AAA 1,500 Connecticut HEFA, Lawrence
and Memorial Hospital
(MBIA), 5.00%, 7/1/13 1,377,780
Aaa AAA 5,750 Connecticut HEFA, Lawrence
and Memorial Hospital
(MBIA), 5.00%, 7/1/22 5,080,872
</TABLE>
37
<PAGE> 9
CONNECTICUT MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<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 1,000 Connecticut HEFA, Hospital
of St. Raphael (AMBAC),
6.50%, 7/1/11 1,108,310
Aaa AAA 1,500 Connecticut HEFA, Hospital
of St. Raphael (AMBAC),
6.625%, 7/1/14 1,587,825
Aaa AAA 2,000 Connecticut HEFA, Yale --
New Haven Hospital (MBIA),
6.50%, 7/1/12 2,122,740
-------------
$ 18,296,432
-------------
INSURED HOUSING - 0.2%
NR AA $ 305 Puerto Rico Housing
Finance Corp (SEC, AMBAC),
7.50%, 10/1/11 $ 315,544
-------------
INSURED SOLID WASTE - 1.0%
Aaa AAA $ 2,000 Connecticut Resources
Recovery Authority Mid-
Connecticut System Bonds
(MBIA), 5.50%, 11/15/12 $ 1,961,880
-------------
SOLID WASTE - 8.4%
A NR $ 2,500 Bristol Resource Recovery
Facility Operating
Committee, (Ogden Martin
Systems), 6.50%, 7/1/14 $ 2,582,625
Baa1 A 1,000 Connecticut Resources
Recovery Authority,
American REF-FUEL Company,
(AMT), 8.10%, 11/15/15 1,086,510
Baa1 AA- 450 Connecticut Resources
Recovery Authority,
American REF-FUEL Company,
(AMT), 8.00%, 11/15/15 487,980
A2 A 4,250 Connecticut Resources
Recovery Authority,
American REF-FUEL Company,
(AMT), 6.45%, 11/15/22 4,322,888
NR A- 7,970 Eastern Connecticut
Resource Recovery
Authority, Wheelabrator
Lisbon, (AMT), 5.50%,
1/1/20 7,122,869
-------------
$ 15,602,872
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SPECIAL TAX - 6.0%
A1 AA- $ 1,000 State of Connecticut
Special Tax Obligation,
(STOB), 5.00%, 10/1/13 $ 916,760
A1 AA- 2,000 State of Connecticut,
(STOB), 6.50%, 10/1/12 2,191,780
A1 AA- 3,180 State of Connecticut,
(STOB), 6.125%, 9/1/12 3,358,684
Baa1 A 4,965 Puerto Rico Highway &
Transportation Authority,
5.50%, 7/1/15 4,800,510
-------------
$ 11,267,734
-------------
STUDENT LOANS - 2.5%
A1 NR $ 430 Connecticut Higher
Education Supplemental
Loan Authority Revenue
Bonds, (AMT), 7.375%,
11/15/05 $ 451,560
A1 NR 2,695 Connecticut Higher
Education Supplemental
Loan Authority Revenue
Bonds, (AMT), 7.50%,
11/15/10 2,834,277
A1 NR 1,310 Connecticut Higher
Education Supplemental
Loan Authority Revenue
Bonds, (AMT), 6.20%,
11/15/09 1,332,742
-------------
$ 4,618,579
-------------
UTILITIES - 5.6%
A1 A+ $ 2,000 Connecticut State
Development Authority, New
England Power, 7.25%,
10/15/15 $ 2,141,960
NR BBB 3,625 Guam Power Authority
Revenue Bonds, 6.30%,
10/1/22 3,569,828
NR BBB 1,100 Guam Power Authority
Revenue Bonds, 6.625%,
10/1/14 1,124,739
NR NR 3,500 Virgin Islands Water and
Power Authority, Electric
Revenue System Bonds,
7.40%, 7/1/11 3,696,560
-------------
$ 10,533,087
-------------
</TABLE>
38
<PAGE> 10
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
WATER & SEWER REVENUE - 1.8%
<S> <C> <C> <C> <C>
Aaa AA+ $ 1,250 State of Connecticut Clean
Water Fund Revenue Bonds,
6.00%, 10/1/12 $ 1,309,387
NR A+ 2,225 Connecticut Development
Authority Water
Facilities, Stamford Water
Company, 5.30%, 9/1/28 2,021,835
-------------
$ 3,331,222
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $185,036,490) $ 187,085,613
=============
</TABLE>
(1) This security has been issued as an inverse floater bond.
(2) The above designated securities have been segregated to cover margin
requirements on open financial futures contracts.
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 Connecticut
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 July 31, 1996, 23.4% 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 insured by
financial institution ranged from 2.5% to 12.9% of total investments.
See notes to financial statements
39
<PAGE> 11
Michigan Municipals Portfolio
Portfolio of Investments - July 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 99.9%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ELECTRIC UTILITIES - 2.2%
NR BBB $ 1,000 Guam Power Authority,
6.625%, 10/1/14 $ 1,022,490
Baa1 BBB+ 500 Michigan South Central
Power Agency Supply
System, 6.75%, 11/1/10 517,545
Baa1 BBB 1,790 Monroe County, MI PCR
Detroit Edison Project,
7.75%, 12/1/19 1,936,583
Baa1 A- 365 Puerto Rico Electric Power
Authority, 7.125%, 7/1/14 391,171
-------------
$ 3,867,789
-------------
ESCROWED - 6.7%
NR AA $ 2,550 Clintondale, Michigan
Community Schools, 6.75%,
5/1/24 $ 2,856,255
Ba1 AAA 500 Detroit, Michigan General
Obligation, 8.0%, 4/1/11 576,735
NR AA 940 Detroit City School
District, Michigan School
Building and Site, 7.15%,
5/1/11 1,052,659
Aaa AAA 1,000 Lake Orion, Michigan
School District General
Obligation, 7.0%, 5/1/20 1,151,960
Aaa AAA 750 Michigan HFA, Oakwood
Hospital, 7.20%, 11/1/15 834,870
Aaa AAA 3,500 Monroe County, Michigan -
EDC Mercy Memorial
Hospital, 7.0%, 9/1/21 3,926,510
NR AA 955 Okemos Public Schools,
Michigan School Building
and Site, 6.90%, 5/1/11 1,059,420
-------------
$ 11,458,409
-------------
GENERAL OBLIGATIONS - 6.0%
Aa AA $ 500 Avondale School District,
Michigan School Building
and Site, 6.75%, 5/1/14 $ 530,645
Ba1 BBB 500 Detroit City, Michigan,
6.70%, 4/1/10 527,690
Ba1 BBB 5,630 Detroit City, Michigan,
6.35%, 4/1/14 5,434,992
A AA 500 East Lansing, Michigan
Building Authority, 7.0%,
10/1/16 530,880
Aa AA 1,350 Martin, Michigan Public
School Building and Site,
6.60%, 5/1/20 1,416,339
Aa AA 1,000 Mattawan, Michigan
Consolidated Schools,
6.40%, 5/1/09 1,052,780
Baa1 A 1,000 Puerto Rico Aqueduct &
Sewer Authority, 5.00%,
7/1/15 890,890
-------------
$ 10,384,216
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 14.8%
NR BBB $ 2,000 Michigan HFA Central
Michigan Community
Hospital, 6.25%, 10/1/27 $ 1,880,200
A A 450 Michigan HFA Detroit
Medical Center Obligated
Group, 7.50%, 8/15/11 485,393
A A 4,550 Michigan HFA Detroit
Medical Center Obligated
Group, 5.50%, 8/15/23 4,129,307
A A 5,500 Michigan HFA Detroit
Medical Center Obligated
Group, 6.25%, 8/15/13 5,545,100
Aa AA 250 Michigan HFA Henry Ford
Continuing Care
Corporation, 6.75%, 7/1/11 265,425
A1 NR 9,000 Michigan HFA McLaren
Obligated Group, 4.50%,
10/15/21 7,080,570
A A 4,130 Michigan HFA MidMichigan
Obligated Group, 6.625%,
6/1/10 4,212,310
Aa AA 1,750 Royal Oak, Michigan
William Beaumont Hospital,
6.75%, 1/1/20 1,819,755
-------------
$ 25,418,060
-------------
HOUSING - 1.3%
NR A+ $ 1,210 Michigan HDA Rental
Housing (AMT), 7.15%,
4/1/10 $ 1,282,491
NR A+ 895 Michigan HDA Single Family
Mortgage, 7.10%, 4/1/21 940,556
-------------
$ 2,223,047
-------------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION CONTROL
REVENUE - 11.6%
Baa1 BBB $ 6,970 Dickinson, Michigan -
Champion International,
5.85%, 10/1/18 $ 6,726,329
A3 A- 5,970 Michigan Strategic Fund -
General Motors, 6.20%,
9/1/20 6,045,938
NR B+ 110 Michigan Strategic Fund -
KMart Corporation, 6.80%,
6/15/07 104,568
NR NR 3,000 Michigan Strategic Fund -
SD Warren Company, 7.375%,
1/15/22 3,037,920
</TABLE>
40
<PAGE> 12
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<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 BB+ 3,500 Puerto Rico Port Authority
American Airlines (AMT),
6.25%, 6/1/26 3,499,580
NR BB 530 Richmond, Michigan EDC
KMart Corporation, 6.625%,
1/1/07 497,946
-------------
$ 19,912,281
-------------
INSURED EDUCATION - 4.9%
Aaa AAA $ 500 Eastern Michigan
University, (AMBAC),
6.375%, 6/1/14 $ 519,320
Aaa AAA 1,500 Ferris State University,
Michigan (MBIA), 5.25%,
10/1/15 1,415,130
Aaa AAA 3,360 Ferris State University,
Michigan (MBIA), 5.25%,
10/1/20 3,125,270
Aaa AAA 500 Michigan Higher Education
Student Loan (AMBAC),
6.875%, 10/1/07 528,000
Aaa AAA 2,600 Western Michigan
University (FGIC), 5.00%,
7/15/21 2,290,132
Aaa AAA 500 Western Michigan
University (AMBAC), 6.50%,
7/15/21 522,070
-------------
$ 8,399,922
-------------
INSURED ELECTRIC UTILITIES - 3.0%
Aaa AAA $ 300 Michigan Strategic Fund,
Detroit Edison Company
(FGIC), 6.95%, 5/1/11 $ 341,217
Aaa AAA 4,000 Michigan Strategic Fund,
Detroit Edison Company
(FGIC), 6.95%, 9/1/21 4,286,640
-------------
Aaa AAA 550 Monroe County, Michigan
PCR Detroit Edison Company
(FGIC) (AMT), 7.65%,
9/1/20 607,987
-------------
$ 5,235,844
-------------
INSURED GENERAL OBLIGATION - 16.8%
Aaa AAA $ 3,330 Big Rapids, Michigan
School District (FGIC),
5.625%, 5/1/20 $ 3,221,708
Aaa AAA 1,000 Big Rapids, Michigan
School District (FGIC),
5.625%, 5/1/25 958,050
Aaa AAA 7,645 Chippewa Valley, Michigan
School District (FGIC),
5.00%, 5/1/21 6,754,816
Aaa AAA 1,000 Dearborn, Michigan School
District (MBIA), 5.00%,
5/1/10 942,020
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 2,000 Grand Ledge, Michigan
School District (MBIA),
5.375%, 5/1/24 1,885,880
Aaa AAA 2,000 Holland, Michigan School
District (AMBAC), 0%,
5/1/17 581,020
Aaa AAA 3,000 Kalamazoo, Michigan Public
Library (MBIA), 5.40%,
5/1/14 2,913,090
Aaa AAA 1,500 Lincoln Park, Michigan
School District (FGIC),
5.90%, 5/1/26 1,504,875
Aaa AAA 4,500 Livonia, Michigan School
District (FGIC), 5.125%,
5/1/22 4,062,780
Aaa AAA 2,000 Lowell, Michigan Schools
(FGIC), 0%, 5/1/16 634,700
Aaa AAA 1,740 Napoleon, Michigan School
District (FGIC) 5.50%,
5/1/24 1,636,348
Aaa AAA 2,610 Okemos, Michigan Public
Schools (MBIA), 0%, 5/1/16 817,243
Aaa AAA 500 Pellston, Michigan Public
Schools (MBIA), 6.625%,
5/1/12 534,375
Aaa AAA 1,000 Riverview Community School
District, Michigan
(AMBAC), 5.25%, 5/1/21 923,190
Aaa AAA 250 Traverse, Michigan Public
Schools (MBIA), 5.70%,
5/1/16 248,803
Aaa AAA 1,460 Willow Run, Michigan
Community School District
(AMBAC), 5.00%, 5/1/18 1,296,802
-------------
$ 28,915,700
-------------
INSURED HOSPITAL - 10.0%
Aaa AAA $ 3,000 Dearborn, Michigan EDA
Oakwood Obligated Group
(MBIA), 5.25%, 8/15/14 $ 2,816,940
Aaa AAA 3,500 Jackson, Michigan HFA W.A.
Foote Memorial (FGIC),
4.75%, 6/1/15 3,053,050
Aaa AAA 3,235 Kalamazoo, Michigan HFA
Borgess Medical Center
(FGIC), 5.25%, 6/1/17 2,995,448
Aaa AAA 3,500 Kent, Michigan HFA
Butterworth Health System
(MBIA), 6.125%, 1/15/21 3,553,060
Aaa AAA 3,200 Michigan HFA Linked Bulls
& Bears (FSA), 6.10%,
8/15/22 3,267,008
Aaa AAA 1,750 Michigan HFA Mercy
Memorial Hospital (MBIA),
5.25%, 6/1/21 1,604,698
-------------
$ 17,290,204
-------------
</TABLE>
41
<PAGE> 13
MICHIGAN MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
INSURED HOUSING - 0.3%
<S> <C> <C> <C> <C>
Aaa AAA $ 500 Michigan HDA Parkway
Meadows Projects (FSA),
6.85%, 10/15/18 $ 527,470
-------------
INSURED SPECIAL TAX - 0.2%
Aaa AAA $ 400 Grand Rapids, Michigan
Downtown Development
Authority Tax Increment
(MBIA), 6.875%, 6/1/24 $ 433,120
-------------
INSURED TRANSPORTATION - 1.7%
Aaa AAA $ 3,150 Wayne County, Michigan
Airport (MBIA), 5.25%,
12/1/21 $ 2,886,125
-------------
INSURED WATER & SEWER - 8.1%
Aaa AAA $ 300 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/09 $ 272,912
Aaa AAA 400 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/10 360,264
Aaa AAA 400 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/11 356,240
Aaa AAA 400 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/12 355,964
Aaa AAA 4,425 Detroit City, Michigan
Water Supply System
(FGIC), 6.25%, 7/1/12 4,735,414
Aaa AAA 7,180 Detroit City, Michigan
Water Supply System
(FGIC), 4.75%, 7/1/19 6,181,765
Aaa AAA 2,000 Detroit City, Michigan
Water Supply System
(FGIC), 5.00%, 7/1/25 1,761,640
-------------
$ 14,024,199
-------------
LIFE CARE - 0.6%
NR NR $ 1,000 Michigan HFA Presbyterian
Village, 6.50%, 1/1/25 $ 983,380
-------------
MISCELLANEOUS - 3.7%
NR A $ 590 Michigan Municipal Bond
Authority Local Government
Loan, 6.90%, 5/1/21 $ 647,289
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA 2,550 Michigan Municipal Bond
Authority Local Government
Loan-Qualified School,
6.50%, 5/1/07 2,769,988
Aa AA 760 Michigan Municipal Bond
Authority Local Government
Loan, 6.50%, 5/1/08 823,445
NR A- 2,000 Michigan Strategic
Environmental Research
Institute, 6.375%, 8/15/12 2,066,440
-------------
$ 6,307,162
-------------
SPECIAL TAX REVENUE - 7.0%
NR BBB+ $ 250 Battle Creek, Michigan
Downtown Development
Authority Tax Increment,
7.60%, 5/1/16 $ 288,381
NR BBB+ 1,315 Battle Creek, Michigan
Downtown Development
Authority Tax Increment,
7.65%, 5/1/22 1,521,021
NR A 7,650 Detroit, Michigan
Convention Facility Cobo
Hall Expansion Project,
5.25%, 9/30/12, (1) 7,076,021
NR A- 3,050 Detroit, Michigan Downtown
Tax Increment, 0%, 7/1/16 855,373
NR A- 2,000 Detroit, Michigan Downtown
Tax Increment, 0%, 7/1/20 424,500
NR A 1,825 Michigan Muni Bond
Authority Local Government
Loan Project, 6.75%,
5/1/12 1,959,886
-------------
$ 12,125,182
-------------
WATER & SEWER - 1.0%
Aa AA $ 1,895 Lansing City, Michigan
Water and Electric Utility
System, 4.90%, 7/1/10 $ 1,755,812
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $165,902,868) $ 172,147,922
-------------
</TABLE>
42
<PAGE> 14
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PUT OPTIONS ON FINANCIAL FUTURES CONTRACTS - 0.1%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACTS SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
160 30 year-U.S. Treasury
Bond, American, expiration
9/19/96, strike price
$104.00 $ 15,000
170 30 year-U.S. Treasury
Bond, American, expiration
9/19/96, strike price
$106.00 58,406
-------------
TOTAL PUT OPTIONS ON
FINANCIAL FUTURE CONTRACTS
(IDENTIFIED COST,
$274,430) $ 73,406
-------------
TOTAL INVESTMENTS
(IDENTIFIED COST,
$166,177,298) $ 172,221,328
=============
</TABLE>
(1) Security has been segregated to cover margin requirements for open financial
futures contracts.
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 Michigan
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 July 31, 1996, 45.1% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 2.2% to 25.6% of total investments.
See notes to financial statements
43
<PAGE> 15
Minnesota Municipals Portfolio
Portfolio of Investments - July 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 99.9%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 1.4%
NR NR $1,000 St. Paul Housing &
Redevelopment Authority,
Highland Park, 8.75%,
11/1/24 $ 1,051,150
-----------
EDUCATION - 2.5%
A NR $ 100 Minnesota Higher Education
Facilities Authority, St.
Olaf College, 6.25%, 4/1/10 $ 100,070
Baa NR 500 Minnesota Higher Education
Facilities Authority, St.
Mary's College, 6.15%,
10/1/23 493,450
Aa AA 1,250 University of Minnesota,
Variable, 8/15/03 (1) 1,241,550
-----------
$ 1,835,070
-----------
ESCROWED - 3.8%
Aaa AAA $ 565 Duluth Economic Development
Authority, The Duluth
Clinic, 6.30%, 11/1/22 $ 618,839
Aa1 AAA 100 Minnesota Public Finance
Authority, Pollution
Control, 7.00%, 3/1/09 108,475
Aa1 AAA 150 Minnesota Public Finance
Authority, Pollution
Control, 6.70%, 3/1/13 165,089
Aa1 AA+ 1,700 State of Minnesota,
Variable, 8/1/11 (1) 1,958,178
-----------
$ 2,850,581
-----------
GENERAL OBLIGATIONS - 7.2%
Aaa AAA $ 700 City of Minneapolis, 6.25%,
4/1/12 $ 738,185
Aaa AAA 2,000 City of Minneapolis, Sports
Arena Project, 5.125%,
10/1/20 1,845,060
Aaa AAA 200 Cities of Minneapolis & St.
Paul, (AMT), 6.60%, 1/1/09 210,726
Aaa AAA 300 Cities of Minneapolis & St.
Paul, (AMT), 6.60%, 1/1/10 316,089
A AA- 200 City of Saint Cloud,
Variable, 8/1/13 (1) 207,508
Aaa AA+ 1,000 State of Minnesota, 5.40%,
8/1/23 989,040
Aaa AA+ 1,000 State of Minnesota, Duluth
Airport, (AMT), 6.25%,
8/1/14 1,031,160
-----------
$ 5,337,768
-----------
HOSPITALS - 13.6%
NR A $ 750 City of Bemidji, North
County Health Care
Facilities, 5.625%, 9/1/21 $ 700,860
A A- 1,250 St. Paul Minnesota Housing
and Redevelopment
Authority, Group Health
Plan, Inc., 6.75%, 12/1/13 1,336,738
A A- 250 St. Paul Minnesota Housing
and Redevelopment
Authority, Group Health
Plan, Inc., 6.90%, 10/15/22 269,355
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR BBB+ 2,120 City of Red Wing, Minnesota
Health Care Facilities
Revenue, River Region
Obligated Group, 6.50%,
9/1/22 2,085,868
NR AA+ 2,200 City of Rochester,
Minnesota Health Care
Facilities, Mayo
Foundation/Medical Center,
Variable, 11/15/15 (1) 2,247,652
Baa BBB- 1,000 St. Paul Housing and
Redevelopment Authority,
Healtheast Project, 6.625%,
11/1/17 1,001,360
Baa BBB- 2,500 St. Paul Housing and
Redevelopment Authority,
Healtheast Project, 6.625%,
11/1/17 2,503,400
-----------
$ 10,145,233
-----------
HOUSING - 20.4%
NR AAA $ 300 City of Coon Rapids,
Minnesota Multi-Family
Housing, Browns Meadow
Manor, (FHA), (AMT), 6.85%,
7/1/33 $ 305,610
NR AAA 1,395 County of Dakota, Minnesota
Housing and Redevelopment
Authority, (GNMA), 7.375%,
12/1/29 (2) 1,499,681
Aa NR 1,200 City of Maplewood,
Minnesota Multi-Family
Housing, Beaver Creek
Apartments, (FHA), 6.50%,
9/1/24 1,242,960
Aa NR 1,250 St. Louis Park, Minnesota
Multi-Family Mortgage,
6.25%, 12/1/28 1,266,050
Aaa NR 1,685 St. Paul, Minnesota, Multi-
Family Mortgage, Sun Cliffe
Project, 6.00%, 1/1/31 1,632,512
NR AAA 90 Minneapolis and St. Paul
Housing Finance Board,
(GNMA), (AMT), 7.30%,
8/1/31 93,992
Aa AA+ 370 Minnesota Housing Finance
Agency, Single Family
Mortgage, 7.70%, 7/1/14 392,407
Aa AA+ 380 Minnesota Housing Finance
Agency, Single Family
Mortgage, (AMT), 7.05%,
7/1/22 396,830
Aa AA+ 430 Minnesota Housing Finance
Agency, Single Family
Mortgage, 6.95%, 7/1/16 455,417
</TABLE>
44
<PAGE> 16
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
Aa AA+ 1,000 Minnesota Housing Finance
Agency, Single Family
Mortgage, 6.75%, 7/1/12 1,049,790
Aa AA+ 1,235 Minnesota Housing Finance
Agency, Single Family
Mortgage, (AMT), 6.85%,
1/1/24 1,288,389
Aa AA+ 4,200 Minnesota Housing Finance
Agency, Single Family
Mortgage, (AMT), 6.50%,
1/1/26 4,295,046
Aa AA+ 680 Minnesota Housing Finance
Agency, Single Family
Mortgage, (AMT), 6.75%,
1/1/26 706,411
NR AAA 220 St. Paul, Minnesota Housing
and Redevelopment
Authority, (FNMA), 6.95%,
12/1/31 229,698
NR AAA 350 St. Paul, Minnesota Housing
and Redevelopment
Authority, (FNMA), 6.90%,
12/1/21 365,456
-----------
$ 15,220,249
-----------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL - 9.8%
NR AA- $ 300 City of Minneapolis,
Minnesota Community
Development Agency, 6.40%,
12/1/04 $ 313,413
NR BBB+ 100 City of Minneapolis,
Minnesota Community
Development Agency, 7.35%,
12/1/09 104,557
NR BBB+ 1,250 City of Minneapolis,
Minnesota Community
Development Agency, 7.40%,
12/1/21 1,308,413
NR BBB+ 1,605 City of Minneapolis,
Minnesota Community
Development Agency, (AMT),
6.80%, 12/1/24 1,664,047
NR BBB+ 750 City of Minneapolis,
Minnesota Community
Development Agency, 6.00%,
6/1/11 724,943
Aa3 NR 3,000 Seaway Port Authority of
Duluth, Minnesota, Cargill,
Inc., 6.80%, 5/1/12 3,205,740
-----------
$ 7,321,113
-----------
INSURED GENERAL OBLIGATION - 1.9%
Aaa AAA $1,330 St. Francis, Minnesota
Independent School District
No. 15, (FGIC), 6.35%,
2/1/12 $ 1,424,882
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITALS - 15.8%
Aaa AAA $1,435 Duluth Economic Development
Authority, The Duluth
Clinic, (AMBAC), 6.30%,
11/1/22 $ 1,484,149
Aaa AAA 100 Minneapolis and St. Paul
Health Care Systems, Health
One Obligated Group,
(MBIA), 7.40%, 8/15/11 110,526
Aaa AAA 3,455 Minneapolis and St. Paul
Health Care Systems,
Healthspan, (AMBAC), 4.75%,
11/15/18 2,965,633
Aaa AAA 250 City of Minneapolis,
Fairview Hospital and
Healthcare, (MBIA), 6.50%,
1/1/11 267,083
Aaa AAA 450 Plymouth, Minnesota Health
Facilities, Westhealth
Project, (CGIC), 6.25%,
6/1/16 463,257
Aaa AAA 1,000 City of St. Cloud,
Minnesota Hospital
Facilities, The Saint Cloud
Hospital, (AMBAC), 6.75%,
7/1/15 1,110,330
Aaa AAA 4,000 City of St. Louis Park,
Minnesota, Health Care
Facilities Health System
Minnesota Obligated Group,
(AMBAC), 5.20%, 7/1/23 3,619,480
Aaa AAA 1,800 St. Paul Housing and
Redevelopment Authority,
St. Paul-Ramsey Medical
Center Project, (AMBAC),
5.55%, 5/15/23 1,708,578
-----------
$ 11,729,036
-----------
INSURED HOUSING - 2.2%
Aaa AAA $1,500 SCA Tax Exempt Trust,
Burnsville, Minnesota
Multi-Family Housing,
(FSA), 7.10%, 1/1/30 $ 1,627,890
-----------
INSURED SPECIAL TAX - 3.9%
Aaa AAA $3,000 St. Paul Housing and
Redevelopment Authority,
Civic Center Project,
(MBIA), 5.45%, 11/1/13 $ 2,902,080
-----------
INSURED UTILITIES - 5.7%
Aaa AAA $ 300 Northern Municipal Power
Agency, (AMBAC), 6.00%,
1/1/19 $ 301,242
Aaa AAA 450 Southern Minnesota
Municipal Power Agency,
(MBIA), 5.00%, 1/1/12 420,588
Aaa AAA 300 Southern Minnesota
Municipal Power Agency,
(MBIA), Variable, 1/1/18
(1) 288,159
</TABLE>
45
<PAGE> 17
MINNESOTA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES - (CONTINUED)
Aaa AAA 6,950 Southern Minnesota
Municipal Power Agency,
(MBIA), 0%, 1/1/21 1,649,791
Aaa AAA 6,000 Southern Minnesota
Municipal Power Agency,
(MBIA), 0%, 1/1/25 1,109,820
Aaa AAA 510 Western Minnesota Municipal
Power Agency, (MBIA),
5.50%, 1/1/15 500,713
-----------
$ 4,270,313
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 3.0%
Baa1 NR $ 350 City of Cambridge,
Minnesota Economic
Development Authority,
6.25%, 2/1/14 $ 352,898
Aa AA 1,770 Hennepin County, Minnesota
Lease Revenue Certificates
of Participation, 6.80%,
5/15/17 1,859,102
-----------
$ 2,212,000
-----------
SOLID WASTE - 0.7%
Aa3 AA- $ 450 Anoka County, Minnesota
Solid Waste Disposal,
National Rural Utility,
(AMT), 6.95%, 12/1/08 $ 482,387
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - 5.4%
Baa1 BBB+ $1,000 Bass Brook, Minnesota
Pollution Control Revenue,
Minnesota Power & Light
Company, 6.00%, 7/1/22 $ 986,990
A A 1,500 Northern Municipal Power
Agency, Minnesota Electric,
7.25%, 1/1/16 1,582,515
A A+ 1,100 Southern Minnesota
Municipal Power Agency,
5.00%, 1/1/12 1,000,648
A1 A 450 Western Minnesota Municipal
Power Agency, 7.00%, 1/1/13 462,726
-----------
$ 4,032,879
-----------
WATER & SEWER - 2.6%
Aa1 AAA $1,835 Minnesota Public Facilities
Authority, Water Pollution
Control, 6.50%, 3/1/14 $ 1,960,018
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$70,994,621) $ 74,402,649
-----------
</TABLE>
46
<PAGE> 18
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PUT OPTIONS ON FINANCIAL FUTURES CONTRACTS - 0.1%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACTS SECURITY VALUE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
125 30 year-U.S. Treasury Bond,
American, expiration
9/19/96, Strike Price
$106.00 (identified cost,
$90,665) $ 41,016
------------
TOTAL INVESTMENTS
(IDENTIFIED COST,
$71,085,286) $ 74,443,665
============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) The above designated securities have been segregated to cover margin
requirements on open financial futures contracts.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio primarily invests in debt securities issued by Minnesota
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 July 31, 1996, 29.5% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 2.2% to 15.0% of total investments.
See notes to financial statements
47
<PAGE> 19
New Jersey Municipals Portfolio
Portfolio of Investments -- July 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 0.9%
NR NR $ 3,630 New Jersey Economic
Development Authority,
Forsgate, 8.625%, 6/1/25 $ 3,630,545
--------------
COGENERATION - 5.3%
NR BB+ $12,750 New Jersey Economic
Development Authority,
Vineland Cogeneration
Limited Partnership,
(AMT), 7.875%, 6/1/19 $ 13,666,215
NR BBB- 1,725 New Jersey Economic
Development Authority,
Trigen Trenton Project,
6.20%, 12/1/07 1,700,039
NR NR 5,000 Port Authority of New
York and New Jersey,
KIAC, 6.75%, 10/1/19 5,007,600
--------------
$ 20,373,854
--------------
EDUCATION - 2.5%
Baa1 BBB $ 2,480 New Jersey Educational
Facilities Authority,
Seton Hall University,
7.00%, 7/1/21 $ 2,570,173
Aa1 AA+ 1,000 New Jersey Educational
Facilities Authority,
Princeton Theological
Seminary, 6.375%, 7/1/22 1,034,700
NR NR 8,800 New Jersey Higher
Educational Student Loan
Bonds, (AMT), 7/1/10 3,348,752
A1 AA 2,500 Rutgers, The State
University of New Jersey,
6.85%, 5/1/21 2,699,250
--------------
$ 9,652,875
--------------
ESCROWED/PREREFUNDED - 4.0%
Aaa AAA $ 870 The City of Newark,
(AMBAC), Prerefunded to
10/1/99, 7.375%, 10/1/07 $ 961,115
NR NR 2,000 County of Passaic,
Prerefunded to 9/1/99,
6.70%, 9/1/13 2,169,960
Baa1 A 5,645 Puerto Rico Aqueduct and
Sewer Authority,
Prerefunded to 7/1/98,
7.875%, 7/1/17 6,159,993
Aa AAA 1,205 New Jersey Health Care
Facilities Financing
Authority, Barnett
Hospital, (FHA),
Prerefunded to 8/1/01,
6.80%, 8/1/19 1,329,501
Aa AA 1,040 New Jersey Wastewater
Treatment Trust,
Prerefunded to 5/15/98,
7.25%, 5/15/08 1,116,180
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 2,100 Puerto Rico Highway and
Transportation Authority,
Prerefunded to 7/1/02,
6.625%, 7/1/18 2,326,737
A AA 1,000 University of Medicine
and Dentistry,
Prerefunded to 12/1/99,
7.20%, 12/1/19 1,100,270
--------------
$ 15,163,756
--------------
GENERAL OBLIGATIONS - 13.9%
NR BBB $ 9,745 Government of Guam,
5.40%, 11/15/18 $ 8,543,148
NR A+ 5,000 The Hudson County
Improvement Authority,
6.625%, 8/1/25 5,212,050
Aa1 NR 3,000 Mercer County Improvement
Authority Solid Waste,
0%, 4/1/10 1,392,540
Baa1 A 200 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 184,894
Baa1 A 1,990 Commonwealth of Puerto
Rico, 6.45%, 7/1/17 2,083,232
Baa1 A 5,000 Commonwealth of Puerto
Rico, 6.50%, 7/1/23 5,245,200
Baa1 A 10,200 Puerto Rico Aqueduct and
Sewer Authority, 5.00%,
7/1/19 8,915,310
Baa1 A 3,750 Puerto Rico Public
Buildings Authority,
Public Education and
Health Facilities, 5.75%,
7/1/15 3,648,713
Baa1 A 2,000 Puerto Rico Public
Buildings Authority,
Public Education and
Health Facilities, 5.50%,
7/1/21 1,861,680
Baa1 A 2,075 Puerto Rico Public
Buildings Authority,
Public Education and
Health Facilities, 5.75%,
7/1/16 2,010,364
NR NR 13,350 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 14,112,684
--------------
$ 53,209,815
--------------
HOSPITALS - 7.5%
Aa AAA $ 9,585 New Jersey Health Care
Facilities Financing
Authority, Barnett
Hospital, (FHA), 6.80%,
8/1/19 $ 10,123,581
A A- 2,300 New Jersey Health Care
Facilities Financing
Authority, Atlantic City
Medical Center, 6.80%,
7/1/11 2,430,594
Baa1 NR 5,875 New Jersey Health Care
Facilities Financing
Authority, Deborah Heart
and Lung Center, 6.30%,
7/1/23 5,836,871
</TABLE>
48
<PAGE> 20
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - (CONTINUED)
Baa NR 2,000 New Jersey Health Care
Facilities Financing
Authority, Southern Ocean
County Hospital, 6.25%,
7/1/23 1,907,440
A A 9,425 New Jersey Health Care
Facilities Financing
Authority, Chilton
Memorial Hospital, 5.00%,
7/1/13 8,376,752
--------------
$ 28,675,238
--------------
HOUSING - 3.9%
NR AAA $ 3,700 New Jersey Housing and
Mortgage Finance Agency,
Presidential Plaza,
(FHA), 7.00%, 5/1/30 $ 3,872,235
NR AAA 2,000 New Jersey Housing and
Mortgage Finance Agency,
Presidential Plaza,
(FHA), 6.95%, 5/1/13 2,111,180
NR AA+ 1,000 New Jersey Housing and
Mortgage Finance Agency,
Section 8, 7.10%, 11/1/12 1,054,100
NR AA+ 1,975 New Jersey Housing and
Mortgage Finance Agency,
Section 8, 7.10%, 11/1/11 2,081,847
NR AA+ 1,250 New Jersey Housing and
Mortgage Finance Agency,
Rental Housing, (AMT),
7.25%, 11/1/22 1,303,088
NR A+ 1,000 New Jersey Housing and
Mortgage Finance Agency,
Rental Housing, (AMT),
7.10%, 5/1/22 1,044,540
NR A+ 3,000 New Jersey Housing and
Mortgage Finance Agency,
Section 8, 6.60%, 11/1/14 3,089,760
Aaa AAA 195 Puerto Rico Housing
Finance Corporation
Mortgage Revenue (GNMA),
6.85%, 10/15/23 204,313
--------------
$ 14,761,063
--------------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL - 9.6%
NR NR $ 2,000 Middlesex County
Pollution Control
Financing Authority,
Amerada Hess Corporation,
7.875%, 6/1/22 $ 2,208,700
NR NR 4,000 Middlesex County
Pollution Control
Financing Authority,
Amerada Hess Corporation,
6.875%, 12/1/22 4,131,040
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa1 NR 3,000 New Jersey Economic
Development Authority,
Garden State Paper
Company, (AMT), 7.125%,
4/1/22 3,041,010
NR NR 2,000 New Jersey Economic
Development Authority,
The Seeing Eye, Inc.,
7.30%, 4/1/11 2,100,480
NR NR 5,640 New Jersey Economic
Development Authority,
Holt Hauling, (AMT),
8.95%, 12/15/18 5,887,427
NR NR 1,160 New Jersey Economic
Development Authority,
National Association of
Accountants, Inc. 7.65%,
7/1/09 1,227,883
NR AA- 3,300 New Jersey Economic
Development Authority,
Oak Grove Associates,
6.125%, 12/1/06 3,435,960
Baa1 BBB+ 2,135 New Jersey Economic
Development Authority,
GATX Terminals
Corporation, 7.30%,
9/1/19 2,364,897
Aa3 AA- 1,700 Puerto Rico Industrial,
Medical and Environmental
Pollution Control
Authority, Motorola,
Inc., 6.75%, 1/1/14 1,812,149
Baa3 BB+ 7,750 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.30%,
6/1/23 7,775,110
Baa3 BB+ 3,000 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.25%,
6/1/26 2,999,640
--------------
$ 36,984,296
--------------
INSURED EDUCATION - 0.6%
Aaa AAA $ 2,000 New Jersey State
Educational Facilities
Authority, Seton Hall
University, (BIGI),
6.85%, 7/1/19 $ 2,145,820
--------------
INSURED HOSPITAL - 1.0%
Aaa AAA $ 2,000 New Jersey Health Care
Facilities Financing
Authority, Hackensack
Medical Center, (FGIC),
6.25%, 7/1/21 $ 2,042,080
Aaa AAA 1,570 New Jersey Health Care
Facilities Financing
Authority, Cathedral
Health Services, (MBIA),
7.25%, 2/15/21 1,724,551
--------------
$ 3,766,631
--------------
</TABLE>
49
<PAGE> 21
NEW JERSEY MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOUSING - 1.2%
Aaa AAA $ 1,410 New Jersey Housing and
Mortgage Finance Agency,
(MBIA), 7.375%, 10/1/17 $ 1,464,384
Aaa AAA 1,435 New Jersey Housing and
Mortgage Finance Agency,
(AMT), (MBIA), 7.70%,
10/1/29 1,500,938
Aaa AAA 1,685 Pennsauken Township
Housing Finance
Corporation, (MBIA),
8.00%, 4/1/11 1,765,829
--------------
$ 4,731,151
--------------
INSURED LEASE REVENUE - 5.1%
Aaa AAA $ 3,900 County of Atlantic, New
Jersey, Public Facilities
Lease Agreement, (FGIC),
6.00%, 3/1/13 $ 4,140,707
Aaa AAA 1,750 County of Hudson, New
Jersey Correctional
Facility, (MBIA), 6.50%,
12/1/11 1,877,768
Aaa AAA 6,240 County of Hudson, New
Jersey Correctional
Facility, (MBIA), 6.60%,
12/1/21 6,604,042
Aaa AAA 2,500 County of Hudson, New
Jersey Improvement
Authority, Secondary
Yield Curve Notes,
(FGIC), Variable, 12/1/25
(1) 2,546,700
Aaa AAA 1,800 County of Middlesex, New
Jersey Certificates of
Participation, (MBIA),
6.125%, 2/15/19 1,864,962
Aaa AAA 2,225 University of Medicine
and Dentistry
Certificates of
Participation, (MBIA),
6.75%, 12/1/09 2,394,590
--------------
$ 19,428,769
--------------
INSURED SOLID WASTE - 0.4%
Aaa AAA $ 1,500 The Mercer County
Improvement Authority,
Solid Waste Revenue,
(AMT), (FGIC), 6.70%,
4/1/13 $ 1,544,070
--------------
INSURED TRANSPORTATION - 5.0%
Aaa AAA $ 2,750 Delaware River Port
Authority, (FGIC), 5.50%,
1/1/26 $ 2,645,308
Aaa AAA 3,500 Delaware River and Bay
Authority, (MBIA), 4.75%,
1/1/24 2,994,145
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 5,000 New Jersey Turnpike
Authority "RITES",
(MBIA), Variable, 1/1/16
(1) 5,921,100
Aaa AAA 6,950 New Jersey Turnpike
Authority, (MBIA), 6.50%,
1/1/16 7,623,107
--------------
$ 19,183,660
--------------
INSURED UTILITIES - 3.0%
Aaa AAA $ 2,750 New Jersey Economic
Development Authority,
New Jersey American Water
Co., (AMT), (FGIC),
6.875%, 11/1/34 $ 2,981,110
Aaa AAA 8,930 Salem County, New Jersey,
Public Service Electric
and Gas, (MBIA), 5.55%,
11/1/33 8,371,071
--------------
$ 11,352,181
--------------
INSURED WATER & SEWER - 1.2%
Aaa AAA $ 2,500 Middlesex County
Utilities Authority,
Sewer Revenue (MBIA),
Variable, 8/15/10 (1) $ 2,704,400
Aaa AAA 1,850 West New York, New Jersey
Utility Authority,
(FGIC), 5.125%, 12/15/17 1,715,117
--------------
$ 4,419,517
--------------
LEASE/CERTIFICATE OF
PARTICIPATION - 3.9%
Baa1 A- $ 720 County of Atlantic, New
Jersey Public Facilities
Lease Agreement, 8.875%,
1/15/14 $ 945,684
Baa1 A- 785 County of Atlantic, New
Jersey Public Facilities
Lease Agreement, 8.875%,
1/15/15 1,028,350
A1 NR 1,000 Township of Bedminster,
New Jersey Board of
Education, 7.125%, 9/1/10 1,101,800
Aa AA- 2,000 Mercer County Improvement
Authority, Richard J.
Hughes Justice Complex,
6.05%, 1/1/15 2,002,340
Aa AA- 1,500 Mercer County Improvement
Authority, Richard J.
Hughes Justice Complex,
6.05%, 1/1/16 1,501,455
Aa AA- 1,500 Mercer County Improvement
Authority, Richard J.
Hughes Justice Complex,
6.05%, 1/1/17 1,501,455
Aa AA- 1,250 New Jersey Building
Authority, 7.20%, 6/15/13 1,331,688
</TABLE>
50
<PAGE> 22
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
LEASE/CERTIFICATE OF
PARTICIPATION - (CONTINUED)
Aa AA- 2,591 New Jersey Building
Authority, Garden State
Savings Bonds, 6/15/10 1,196,912
NR A+ 1,000 New Jersey Economic
Development Authority,
Performing Arts Center
Site Acquisition, 6.75%,
6/15/12 1,057,100
A1 A+ 1,650 New Jersey Economic
Development Authority,
Economic Recovery Fund,
0% 9/15/09 789,690
A1 A+ 5,500 New Jersey Economic
Development Authority,
Economic Recovery Fund,
0% 3/15/13 2,124,155
NR BBB 400 Puerto Rico Industrial,
Tourist, Educational,
Medical and Environmental
Control Authority,
Guaynabo Lease, 5.625%,
7/1/22 361,472
--------------
$ 14,942,101
--------------
LIFE CARE - 1.9%
NR NR $ 615 New Jersey Economic
Development Authority,
Cadbury Corporation,
7.50%, 7/1/21 $ 610,135
NR NR 300 New Jersey Economic
Development Authority,
Cadbury Corporation,
8.70%, 7/1/07 322,272
NR NR 2,000 New Jersey Economic
Development Authority,
Cadbury Corporation,
8.0%, 7/1/15 2,058,660
NR NR 4,000 New Jersey Economic
Development Authority,
Keswick Pines, 8.75%,
1/1/24 4,165,680
--------------
$ 7,156,747
--------------
MISCELLANEOUS - 2.1%
NR NR $ 7,600 New Jersey Sports and
Exposition Authority,
Monmouth Park, 8.00%,
1/1/25 $ 8,226,848
--------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
NURSING HOMES - 1.0%
NR NR $ 1,400 New Jersey Economic
Development Authority,
Claremont Health System,
9.17%, 9/1/22 $ 1,471,274
NR NR 2,500 New Jersey Economic
Development Authority,
Victoria Health, 7.65%,
1/1/14 2,345,125
--------------
$ 3,816,399
--------------
SOLID WASTE - 4.3%
Ba NR $ 650 Mercer County Improvement
Authority, Solid Waste
System Revenue, 6.80%,
4/1/05 $ 630,942
Ba NR 5,975 Mercer County Improvement
Authority, Solid Waste
System Revenue, (AMT),
0%, 4/1/14 1,536,949
Ba NR 6,000 Mercer County Improvement
Authority, Solid Waste
System Revenue, (AMT),
0%, 4/1/15 1,429,140
Ba NR 3,000 Mercer County Improvement
Authority, Solid Waste
System Revenue, (AMT),
0%, 4/1/16 661,680
NR A- 11,930 Union County, New Jersey
Utilities Authority,
Solid Waste Revenue,
(AMT), 7.20%, 6/15/14 12,049,300
--------------
$ 16,308,011
--------------
SPECIAL TAX - 2.9%
Baa1 A $ 7,725 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/36 $ 7,174,439
Baa1 A 4,000 Puerto Rico Highway and
Transportation Authority,
5.00%, 7/1/36 3,411,960
Baa1 BBB+ 550 Puerto Rico
Infrastructure Financing
Authority, 7.90%, 7/1/07 590,288
--------------
$ 11,176,687
--------------
TRANSPORTATION - 12.4%
NR BBB $ 1,700 Guam Airport Authority,
(AMT), 6.60%, 10/1/10 $ 1,720,740
NR BBB 1,400 Guam Airport Authority,
6.50%, 10/1/23 1,412,320
NR BBB 2,000 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 2,031,160
A1 AA- 9,500 The Port Authority of New
York and New Jersey,
7.35%, 10/1/27 (2) 10,831,615
</TABLE>
51
<PAGE> 23
NEW JERSEY MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
TRANSPORTATION - (CONTINUED)
A1 AA- 2,645 The Port Authority of New
York and New Jersey,
6.75%, 8/1/26 2,801,769
A1 AA- 5,000 The Port Authority of New
York and New Jersey,
(AMT), 6.25%, 1/15/27 5,056,000
A1 AA- 9,000 The Port Authority of New
York and New Jersey,
6.125%, 6/1/2094 9,174,870
A1 AA- 5,450 The Port Authority of New
York and New Jersey,
5.375%, 3/1/28 5,064,086
Baa2 BB+ 5,100 The Port Authority of New
York and New Jersey, Delta
Air Lines Inc., 6.95%,
6/1/08 5,401,614
Baa3 BB+ 3,900 New Jersey Economic
Development Authority,
American Airlines, (AMT),
7.10%, 11/1/31 4,044,222
-------------
$ 47,538,396
-------------
UTILITIES - 4.0%
NR BBB $ 100 Guam Power Authority,
5.25%, 10/1/13 $ 88,882
NR BBB 750 Guam Power Authority,
5.25%, 10/1/23 637,823
NR BBB 5,000 Guam Power Authority,
6.75%, 10/1/24 5,139,900
Baa2 BBB 625 New Jersey Economic
Development Authority,
Elizabethtown Gas Co.,
(AMT), 6.75%, 10/1/21 632,644
A2 A 1,455 New Jersey Economic
Development Authority,
Natural Gas Facilities,
7.05%, 3/1/16 1,525,277
Baa1 A- 2,000 Puerto Rico Electric Power
Authority, 5.50%, 7/1/16 1,911,400
NR NR 5,105 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 5,391,696
-------------
$ 15,327,622
-------------
WATER & SEWER - 2.4%
A1 AA- $ 2,000 Gloucester County
Utilities Authority,
6.50%, 1/1/21 $ 2,076,240
A3 A 4,500 New Jersey Economic
Development Authority,
Elizabethtown Water
Revenue, (AMT), 6.70%,
8/1/21 4,732,560
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA 360 New Jersey Wastewater
Treatment Trust, 7.25%,
5/15/08 382,201
Aa AA 1,000 New Jersey Wastewater
Treatment Trust, 6.875%,
6/15/09 1,093,740
Aa AA 250 New Jersey Wastewater
Treatment Trust, 7.00%,
6/15/10 273,595
A1 AA 500 The Somerset Raritan
Valley Sewerage Authority
6.75%, 7/1/10 535,040
-------------
$ 9,093,376
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $364,577,774) $ 382,609,428
-------------
</TABLE>
- -----------------------------------------------------------------------
PUT OPTIONS ON FINANCIAL FUTURES CONTRACTS - 0%
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACTS SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
600 30 year-U.S. Treasury
Bond, American, expiration
9/19/96, Strike Price
$106.00 (identified cost
$425,817) $ 196,875
-------------
TOTAL INVESTMENTS
(IDENTIFIED COST,
$365,003,591) $ 382,806,303
=============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) The above designated securities have been segregated to cover margin
requirements on open financial futures contracts.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio primarily invests in debt securities issued by New Jersey
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 July 31, 1996, 22.2% 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 insured by
financial institution ranged from 0.3% to 12.2% of total investments.
See notes to financial statements.
52
<PAGE> 24
Pennsylvania Municipals Portfolio
Portfolio of Investments - July 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 99.9%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING -- 2.9%
NR NR $ 2,680 Chester, Pennsylvania IDA
Senior Lifechoice of
Paoli, 8.05%, 1/1/24 $ 2,667,913
NR NR 5,000 Chester, Pennsylvania IDA
Senior Lifechoice of
Kimberton (AMT), 8.50%,
9/1/25 5,093,850
NR NR 5,000 Delaware, Pennsylvania IDA
Senior Quarters Project,
8.625%, 9/1/25 5,001,250
-------------
$ 12,763,013
-------------
COGENERATION -- 5.8%
NR NR $12,000 Pennsylvania EDA,
Northampton Generation
Project (AMT), 6.50%,
1/1/13 $ 11,396,640
NR BBB- 9,000 Pennsylvania EDA, Colver
Project, (AMT), 7.125%,
12/1/15 9,219,870
NR BBB- 5,000 Pennsylvania EDA, Colver
Project, (AMT), 7.15%,
12/1/18 5,112,700
-------------
$ 25,729,210
-------------
EDUCATION -- 3.0%
NR BBB $ 4,865 Erie Higher Education
Building Authority,
Mercyhurst College, 5.75%,
3/15/20 $ 4,320,315
Baa1 NR 1,500 Latrobe, Pennsylvania
Saint Vincent College,
6.75%, 5/1/24 1,514,700
NR AAA 2,000 Lehigh, Pennsylvania
Allentown College of
St. Francis, 6.75%,
12/15/12 2,137,040
NR BBB- 1,100 Lehigh, Pennsylvania Cedar
Crest College, 6.70%,
4/1/26 1,083,159
NR A- 4,225 Scranton-Lackawanna,
Pennsylvania, University
of Scranton, 6.40%, 3/1/07 4,386,184
-------------
$ 13,441,398
-------------
ESCROWED -- 6.8%
Aaa AAA $ 5,600 Berks, Pennsylvania
General Obligation,
(FGIC), Variable,
11/15/20, (1) $ 6,284,600
Aaa A- 1,750 Chester, Pennsylvania
HEFA, Bryn Mawr Hospitals,
6.75%, 7/1/14 1,951,932
Aaa AAA 2,000 Doylestown, Pennsylvania
Hospital Authority,
(AMBAC), 6.90%, 7/1/19 2,174,120
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,405 Lycoming, Pennsylvania
General Obligation,
(FGIC), 6.40%, 8/15/11 1,512,117
Aaa AAA 945 Lycoming, Pennsylvania
General Obligation,
(FGIC), 6.40%, 8/15/11 1,017,047
NR A- 1,000 PA HEFA, Elizabeth
College, 7.25%, 6/15/11 1,124,150
NR A- 6,900 PA IDA, Economic
Development, 7.00%, 1/1/11 7,687,911
NR A- 5,155 PA Hospital & Higher
Education, Presbyterian
Medical Center, 6.50%,
12/1/11 5,683,594
Baa1 AAA 1,000 Puerto Rico Aqueduct &
Sewer, 7.90%, 7/1/07 1,091,680
Aaa AAA 5,000 Westmoreland, Pennsylvania
Muni Authority (FGIC), 0%,
8/15/20 1,208,000
Aaa AAA 500 York, Pennsylvania
Hospital Authority,
(AMBAC), 7.00%, 7/1/21 553,825
-------------
$ 30,288,976
-------------
GENERAL OBLIGATIONS -- 3.0%
NR A $ 3,000 Chester Upland,
Pennsylvania School
District, 6.375%, 9/1/21 $ 3,050,280
NR A 3,000 Dauphin, Pennsylvania,
6.90%, 6/2/26 3,212,760
A1 A+ 2,050 Lower Providence Township,
Pennsylvania Sewer
Authority, 6.75%, 5/1/22 2,239,666
NR A 1,950 McKeesport Area,
Pennsylvania School
District, 5.00%, 4/1/13 1,794,429
A1 AA- 465 Pennsylvania, 6.75%,
1/1/07 507,608
A1 AA- 500 Pennsylvania, 6.75%,
1/1/08 545,815
A1 AA- 2,000 Pennsylvania, 6.375%,
9/15/12 2,093,640
-------------
$ 13,444,198
-------------
HOSPITALS -- 19.0%
NR AAA $ 2,420 Allegheny, Pennsylvania
IDA, Presbyterian Medical
Center, 6.75%, 2/1/26 $ 2,508,983
Baa BBB 2,000 Dauphin, Pennsylvania
Community General
Osteopathic Hospital,
7.375%, 6/1/16 2,093,240
NR A- 10,250 Delaware, Pennsylvania
Riddle Memorial Hospital,
6.50%, 1/1/22 9,964,025
NR NR 4,620 Hazelton Luzerne,
Pennsylvania Saint Joseph
Medical Center, 8.375%,
7/1/12 4,780,961
</TABLE>
53
<PAGE> 25
PENNSYLVANIA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - (CONTINUED)
A NR 2,670 Indiana, Pennsylvania
Indiana Hospital, 7.125%,
7/1/23 2,793,461
NR BBB+ 3,500 Lebanon, Pennsylvania Good
Samaritan Hospital, 6.00%,
11/15/18 3,199,280
A A 3,250 Lehigh, Pennsylvania
Muhlenberg Hospital,
6.60%, 7/15/22 3,265,730
NR BBB- 1,905 McKean, Pennsylvania
Bradford Hospital, 6.10%,
10/1/20 1,737,189
NR BBB- 3,500 McKean, Pennsylvania
Bradford Hospital, 6.00%,
10/1/13 3,218,600
Baa1 BBB+ 2,550 Monroeville, Pennsylvania
Forbes Health System,
6.25%, 10/1/15 2,475,005
NR BBB+ 2,615 Montgomery, Pennsylvania
Pottstown Medical Center,
6.875%, 11/15/20 2,624,231
Baa NR 1,375 Montgomery, Pennsylvania
Hospital, 6.60%, 7/1/10 1,381,628
A1 A+ 500 PA Hospital and Higher
Education, Allegheny
General Hospital, 7.25%,
9/1/17 535,495
A BBB+ 8,500 PA Hospital and Higher
Education, Albert Einstein
Medical Center, 7.625%,
4/1/11 9,015,270
Baa1 BBB+ 5,650 PA Hospital and Higher
Education. Graduate Health
System, 6.625%, 7/1/21 5,459,369
Baa1 BBB+ 7,115 PA Hospital and Higher
Education. Graduate Health
System, 7.25%, 7/1/18 7,246,770
Baa1 A- 10,015 PA Hospital and Higher
Education, Temple
University Hospital,
6.625%, 11/15/23 10,120,656
Aa AA 1,000 PA Hospital and Higher
Education, Children's
Hospital, 5.00%, 2/15/21 874,720
Baa NR 4,115 Somerset, Pennsylvania
Community Hospital
Project, 6.75%, 3/1/11 3,924,311
A NR 7,000 Washington, Pennsylvania
Monongahela Valley
Hospital 6.75%, 12/1/08 7,343,840
-------------
$ 84,562,764
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING -- 7.7%
Aaa NR $ 2,175 Allegheny, Pennsylvania
SFMR, (GNMA), 7.15%,
6/1/17 $ 2,200,361
NR AAA 2,900 Allegheny, Pennsylvania
SFMR, Ladies Grand Army
Project, (FHA), 6.35%,
10/1/36 2,941,847
NR AAA 1,000 Bucks, Pennsylvania
Mortgage Revenue Bonds,
Warminster Heights
Project, (FHA), Section
8-A, 6.80%, 8/1/12 1,039,290
Aa AA+ 3,730 Pennsylvania HFA SFMR,
6.90%, 4/1/17 3,891,434
Aa AA+ 4,000 Pennsylvania HFA SFMR,
6.85%, 4/1/16 4,161,040
Aa AA 1,000 Pennsylvania HFA SFMR,
(AMT), Variable, 10/1/23,
(1) 1,072,820
Aa AA+ 8,350 Pennsylvania HFA SFMR,
(AMT), 7.50%, 10/1/25 9,019,837
Aaa NR 3,000 Philadelphia, Pennsylvania
Redevelopment Authority
MF, 6.95%, 5/15/24 3,144,090
A1 A 4,235 Urban Redevelopment
Authority of Pittsburgh
Mortgage, (AMT), 7.10%,
4/1/24 4,344,390
A1 A 265 Urban Redevelopment
Authority of Pittsburgh
Mortgage, 7.45%, 4/1/10 278,247
A1 A 1,000 Urban Redevelopment
Authority of Pittsburgh
Mortgage, 7.125%, 4/1/15 1,052,480
A1 A 1,055 Urban Redevelopment
Authority of Pittsburgh
Mortgage, (AMT), 7.40%,
4/1/24 1,096,282
-------------
$ 34,242,118
-------------
INDUSTRIAL DEVELOPMENT REVENUE/POLLUTION
CONTROL REVENUE -- 10.5%
A3 A $ 6,950 Butler, Pennsylvania IDA,
Witco Corporation Project,
5.85%, 12/1/23 $ 6,746,574
NR B+ 1,005 Clearfield, Pennsylvania
IDA, KMart Corporation,
6.80%, 5/15/07 955,594
NR A 4,000 Franklin, Pennsylvania
IDA, Corning Incorporated,
6.25%, 8/1/05 4,260,080
A2 A 12,000 New Morgan, Pennsylvania
IDA, New Morgan Landfill,
(AMT), 6.50%, 4/1/19 12,283,560
</TABLE>
54
<PAGE> 26
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT REVENUE/POLLUTION
CONTROL REVENUE -- (CONTINUED)
Baa2 BBB- 5,000 Pennsylvania IDA,
Macmilliam Project, (AMT),
7.60%, 12/1/20 5,497,250
Baa1 BBB+ 4,450 Pennsylvania IDA, Sun
Company Project, (AMT),
7.60%, 12/1/24 4,921,656
NR NR 6,500 Philadelphia IDA
Refrigerated Enterprises
Project, (AMT), 9.05%,
12/1/19 6,875,570
Baa3 BB+ 4,000 Puerto Rico Port Authority
American Airlines (AMT),
6.25%, 6/1/26 3,999,520
NR B- 1,105 Shamokin, Pennsylvania
IDA, KMart Corporation,
6.70%, 7/1/07 1,042,180
-------------
$ 46,581,984
-------------
INSURED EDUCATION -- 3.0%
Aaa AAA $ 2,000 Allegheny, Pennsylvania
Duquesne University
Project, (AMBAC), 5.00%,
3/1/21 $ 1,779,760
Aaa AAA 5,000 Cumberland, Pennsylvania
Messiah College Project,
5.125%, 10/1/15 4,628,650
Aaa AAA 1,000 PA Higher Education
Facilities, (AMBAC),
5.625%, 6/15/19 965,640
Aaa AAA 2,500 PA Higher Education
Student Loan, (AMBAC),
(AMT), 7.15%, 9/1/21 2,672,350
Aaa AAA 1,500 PA Higher Education
Student Loan, (AMBAC),
(AMT), Variable, 3/1/22,
(1) 1,472,475
Aaa AAA 700 PA Higher Education
Student Loan, (AMBAC),
(AMT), Variable, 9/1/26,
(1) 740,586
Aaa AAA 1,000 Union, Pennsylvania
Bucknell University,
(MBIA), 5.50%, 4/1/16 966,140
-------------
$ 13,225,601
-------------
INSURED GENERAL OBLIGATION -- 9.3%
Aaa AAA $ 2,500 Berks, Pennsylvania, 0%,
(FGIC), 5/15/18 $ 685,550
Aaa AAA 5,400 Conrad Weiser Area,
Pennsylvania School
District, (MBIA), 5.25%,
12/15/14 5,089,986
Aaa AAA 2,170 Elizabeth Forward,
Pennsylvania School
District, (MBIA), 0%,
9/1/20 539,028
Aaa AAA 2,170 Elizabeth Forward,
Pennsylvania School
District, (MBIA), 0%,
9/1/21 502,572
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 2,170 Elizabeth Forward,
Pennsylvania School
District, (MBIA), 0%,
9/1/22 474,080
Aaa AAA 2,170 Elizabeth Forward,
Pennsylvania School
District, (MBIA), 0%,
9/1/23 447,215
Aaa AAA 4,345 Elizabeth Forward,
Pennsylvania School
District, (MBIA), 0%,
9/1/24 844,711
Aaa AAA 10,000 Erie, Pennsylvania School
District, (MBIA), 5.75%,
5/1/26 9,956,600
Aaa AAA 2,500 Erie, Pennsylvania School
District, (MBIA), 0%,
5/1/19 663,425
Aaa AAA 2,625 Erie, Pennsylvania School
District, (MBIA), 0%,
5/1/20 657,116
Aaa AAA 2,625 Erie, Pennsylvania School
District, (MBIA), 0%,
5/1/21 612,491
Aaa AAA 3,625 Erie, Pennsylvania School
District, (MBIA), 0%,
5/1/22 797,500
Aaa AAA 7,500 Keystone Oaks,
Pennsylvania School
District, (AMBAC),
Variable, 9/01/16, (1) 7,438,650
Aaa AAA 1,430 Mars Area, Pennsylvania
School District, (MBIA),
0%, 3/1/14 512,112
Aaa AAA 1,900 Philadelphia,
Pennsylvania, (MBIA),
5.00%, 5/15/15 1,737,474
Aaa AAA 3,200 Philadelphia,
Pennsylvania, (MBIA),
5.00%, 5/15/20 2,871,680
Aaa AAA 4,435 Philadelphia, Pennsylvania
School District, (AMBAC),
5.50%, 9/1/25 4,248,907
Aaa AAA 655 Rochester Area,
Pennsylvania School
District, (AMBAC), 0%,
5/1/10 302,618
Aaa AAA 2,795 Venango, Pennsylvania,
(AMBAC), 6.30%, 12/1/19 2,866,300
-------------
$ 41,248,015
-------------
INSURED HOSPITAL -- 5.2%
Aaa AAA $ 1,170 Allegheny, Pennsylvania
Children's Hospital of
Pittsburgh, (MBIA), 6.75%,
7/1/08, (2) $ 1,236,655
Aaa AAA 3,750 Allegheny, Pennsylvania
Magee-Womens Hospital,
(FGIC), 0%, 10/1/15 1,203,938
Aaa AAA 1,400 Armstrong, Pennsylvania
Saint Francis Health Care,
(AMBAC), 6.25%, 6/1/13 1,447,908
Aaa AAA 2,500 Armstrong, Pennsylvania
Saint Francis Health Care,
(AMBAC), 6.00%, 8/15/08 2,573,450
</TABLE>
55
<PAGE> 27
PENNSYLVANIA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITAL - (CONTINUED)
Aaa AAA 775 Carbon, Pennsylvania
Gnaden Memorial Hospital,
(AMBAC), 7.00%, 11/15/14 826,382
Aaa AAA 750 Erie, Pennsylvania Harlot
Medical Center, (AMBAC),
7.10%, 2/15/10 813,322
Aaa AAA 230 Lehigh, Pennsylvania
Health East, Incorporated,
(MBIA), 7.00%, 7/1/15 244,847
Aaa AAA 5,000 Lehigh, Pennsylvania St.
Luke's Hospital, (AMBAC),
6.25%, 7/1/22 5,112,100
Aaa AAA 1,000 Montgomery, Pennsylvania
Abington Memorial,
(AMBAC), Variable, 6/1/11
(1) 1,106,350
Aaa AAA 5,000 Philadelphia Hospital &
Higher Education, PA
Hospital, (FGIC),
Variable, 2/15/12 (1) 4,530,950
Aaa AAA 1,500 Scranton-Lackawanna,
Pennsylvania Mercy Health,
(MBIA), 6.90%, 1/1/23 1,580,145
Aaa AAA 2,550 Washington, Pennsylvania
Shadyside Hospital,
(AMBAC), 5.75%, 12/15/14 2,526,973
-------------
$ 23,203,020
-------------
INSURED IDR/IDB -- 0.2%
Aaa AAA $ 1,000 Delaware, Pennsylvania IDR
Philadelphia Water,
(FGIC), 6.35%, 8/15/25 $ 1,030,350
-------------
INSURED LEASE -- 3.4%
Aaa AAA $ 4,595 Harrisburg-Dauphin,
Pennsylvania Lease
Revenue, (CGIC), 6.25%,
6/1/10 $ 4,894,548
Aaa AAA 3,000 Northumberland,
Pennsylvania Lease
Revenue, (MBIA), 0%,
10/15/12 1,194,120
Aaa AAA 10,000 Commonwealth of
Pennsylvania, Lease
Revenue, (AMBAC), 5.00%,
7/1/15 (2) 9,013,700
-------------
$ 15,102,368
-------------
INSURED SPECIAL TAX -- 0.9%
Aaa AAA $ 4,295 PA Intergovernmental
Special Tax, (MBIA),
5.00%, 6/15/22 $ 3,790,295
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES -- 5.6%
Aaa AAA $ 4,000 Beaver, Pennsylvania IDA,
Ohio Edison Company,
(FGIC), 7.00%, 6/1/21 $ 4,282,360
Aaa AAA 10,000 Beaver, Pennsylvania IDA,
Ohio Edison Company,
(FGIC), 7.05%, 10/1/20 10,818,500
Aaa AAA 3,800 Puerto Rico Electric Power
Authority, (FSA),
Variable, 7/1/02, (1) 4,109,890
Aaa AAA 5,550 Lehigh, Pennsylvania IDA,
PA Power & Light Company,
(MBIA), 6.15%, 8/1/29 5,643,018
-------------
$ 24,853,768
-------------
INSURED WATER & SEWER -- 2.5%
Aaa AAA $ 2,235 Bethlehem, Pennsylvania
Water Authority, (MBIA),
5.20%, 11/15/21 $ 2,041,516
Aaa AAA 2,500 Philadelphia, Pennsylvania
Water & Wastewater,
(FGIC), Variable, 6/15/12
(1) 2,416,950
Aaa AAA 3,500 Philadelphia, Pennsylvania
Water & Wastewater,
(MBIA), 5.00%, 6/15/17 3,116,855
Aaa AAA 3,960 Philadelphia, Pennsylvania
Water & Wastewater,
(CGIC), 5.00%, 6/15/16 3,558,773
-------------
$ 11,134,094
-------------
LIFE CARE -- 0.9%
NR NR $ 4,050 Delaware, Pennsylvania
White Horse Village,
7.50%, 7/1/18 $ 4,062,191
-------------
NURSING HOMES -- 2.2%
NR NR $ 3,500 Montgomery, Pennsylvania
IDA Geriatric Health
8.375%, 7/1/23 $ 3,629,325
NR NR 1,190 Philadelphia, Pennsylvania
Hospital - Protestant
Homes, 8.625%, 7/1/21 1,229,354
NR NR 1,460 Westmoreland, Pennsylvania
Highland Health, 9.25%,
6/1/22 1,536,854
NR NR 2,750 Wilkins Area, Pennsylvania
IDA Fairview Extended
Care, 10.25%, 1/1/21 3,118,555
-------------
$ 9,514,088
-------------
</TABLE>
56
<PAGE> 28
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
POOLED LOAN -- 4.2%
NR AA+ $ 870 Pennsylvania
Infrastructure Investment
Authority, Pennvest,
6.80%, 9/1/10 $ 956,774
NR A 16,950 Pennsylvania Finance
Authority, Beaver County,
6.60%, 11/1/09 17,870,046
-------------
$ 18,826,820
-------------
SPECIAL TAX REVENUE -- 0.1%
Baa1 BBB+ $ 500 Puerto Rico Special Tax
Revenue, 7.50%, 7/1/09 $ 533,025
-------------
UTILITIES -- 3.7%
Baa3 BB+ $ 500 Beaver, Pennsylvania IDA,
Ohio Edison Company,
7.75%, 9/1/24 $ 528,480
Baa1 BBB+ 3,250 Delaware, Pennsylvania
IDA, Philadelphia Electric
Company, 7.375%, 4/1/21 3,467,230
Baa1 BBB+ 4,070 Montgomery, Pennsylvania
IDA, Philadelphia Electric
Co, (AMT), 7.60%, 4/1/21 4,342,812
Baa1 A- 3,370 Puerto Rico Electric Power
Authority Power Revenue,
0%, 7/1/17 967,392
NR NR 1,500 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,584,240
A2 A 5,500 Washington, Pennsylvania
IDA West Penn Power
Company, 6.05%, 4/1/14 5,555,385
-------------
$ 16,445,539
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $428,564,003) $ 444,022,835
-------------
</TABLE>
PUT OPTIONS ON FINANCIAL FUTURES CONTRACTS - 0.1%
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACTS SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
408 30 year-U.S. Treasury
Bond, American expiration
9/19/96, Strike Price
$104.00 $ 38,063
451 30 year-U.S. Treasury
Bond, American expiration
9/19/96, Strike Price
$106.00 147,984
-------------
TOTAL PUT OPTIONS ON
FINANCIAL FUTURES
CONTRACTS (IDENTIFIED
COST, $695,941) $ 186,047
-------------
TOTAL INVESTMENTS
(IDENTIFIED COST,
$429,259,944) $ 444,208,882
=============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements for open financial
futures contracts.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio primarily invests in debt securities issued by Pennsylvania
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, July 31, 1996, 37.8% 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 insured by
financial institution ranged from 10.9% to 14.4% of total investments.
See notes to financial statements
57
<PAGE> 29
Texas Municipals Portfolio
Portfolio of Investments -- July 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 3.7%
Aa1 AA+ $ 170 University of Texas,
6.75%, 8/15/13 $ 184,858
A NR 700 Brazos Texas Higher
Education Authority,
(AMT), 6.50%, 6/1/04 735,322
----------
$ 920,180
----------
ELECTRIC UTILITIES - 1.7%
NR BBB $ 500 Guam Power Authority,
5.25%, 10/1/23 $ 425,215
----------
ESCROWED - 4.4%
NR NR $ 200 Bexar County, Texas, St.
Luke's Lutheran Hospital,
7.00%, 5/1/21 $ 229,848
Aaa NR 1,000 Central Texas Housing
Corporation Single Family,
0%, 9/1/16 293,580
Aaa AAA 85 Harris County Texas Toll
Road Unlimited Tax and
Subordinate Lien, (AMBAC) 89,049
6.625%, 8/15/17
Aaa AAA 200 Montgomery County, Texas
Hospital District (FSA),
6.625%, 4/1/17 221,142
Aaa AAA 150 Texas National Research
Lab Super Collider, 6.95%,
12/1/12 170,423
AAA AAA 80 University of Texas
Revenue Bonds, 6.75%,
8/15/13 88,419
----------
$ 1,092,461
----------
GENERAL OBLIGATIONS - 12.6%
Aaa AAA $ 1,000 Bastrop, Texas Independent
School District U.T.G.O.
(PSF), 0%, 2/15/13 $ 382,490
Aaa AAA 1,000 Cypress-Fairbanks, Texas
Independent School
District U.T.G.O. (PSF),
5.25%, 2/15/19 925,390
Aaa AAA 550 Grand Prairie, Texas
Independent School
District U.T.G.O. (PSF),
0%, 2/15/12 224,653
NR NR 500 Leander, Texas L.T.G.O
6.75%, 8/15/16 505,795
Aa AA 690 Texas Veterans' Housing
Assistance U.T.G.O. (AMT),
6.70%, 12/1/24 706,353
Aa AA 375 Texas Veterans' Housing
Assistance U.T.G.O. (AMT),
6.80%, 12/1/23 386,156
----------
$ 3,130,837
----------
HEALTH CARE - 6.2%
NR NR $ 500 Bell County, Texas HFC
Elder Care Facilities,
9.00%, 11/1/24 $ 533,065
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa NR 975 Port Arthur Texas, Health
Facilities, (FHA), 6.50%,
8/1/24 992,862
----------
$ 1,525,927
----------
HOSPITALS - 10.1%
NR BBB $ 500 Denison, Texas, Texoma
Medical Center, 7.10%,
8/15/24 $ 510,395
A A- 100 Ector County, Texas
Hospital District, 7.30%,
4/15/12 108,517
A A- 100 Harris County, Texas
Hospital District,
Memorial Hospital, 7.125%,
6/1/15 106,662
NR BBB- 600 Lufkin Texas, Memorial
Health Systems of East
Texas, 6.875%, 2/15/26 599,604
Aa AA 250 McAllen Health Facilities,
Texas, Sisters of Mercy,
5.00%, 6/1/15 220,975
A NR 1,000 Tarrant County, Texas,
Methodist Health System,
6.00%, 9/1/24 969,620
----------
$ 2,515,773
----------
HOUSING - 9.4%
NR A $ 750 Travis County, Texas HFC
Multifamily Travis Station
Apartments, 6.75%, 4/1/19 $ 777,345
NR AAA 500 Dallas Texas HFC (GNMA)
7.95%, 12/1/23 (1) 532,250
NR AAA 150 North Central Texas HFC
(GNMA), 7.875%, 10/1/22 159,460
Aaa AAA 55 Puerto Rico HFC, Single
Family Mortgage Revenue
Bonds, (GNMA), 57,627
6.85%, 10/15/23
NR AAA 750 Travis County, Texas HFC,
(GNMA/FNMA), 7.05%,
12/1/25 796,875
----------
$ 2,323,557
----------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION CONTROL
REVENUE - 13.2%
Baa2 BBB $ 500 Alliance Airport Authority
Texas, (Federal Express),
(AMT), 6.375%, 4/1/21 $ 490,510
Baa1 BBB 450 Gulf Coast, Texas Waste
Disposal Authority,
(Champion International)
(AMT), 7.25%, 4/1/17 476,136
A2 A+ 1,000 Port Corpus Christi,
Texas, (Hoechst Celanese
Corp.), (AMT), 6.875%,
4/1/17 (3) 1,052,350
</TABLE>
58
<PAGE> 30
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<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 BB+ 250 Puerto Rico Port
Authority, (American Air
Lines), (AMT), 6.30%,
6/1/23 250,810
NR A 1,000 Trinity River Authority
Texas, (PCR), (AMT),
6.20%, 3/1/20 1,001,570
----------
$ 3,271,376
----------
INSURED ELECTRIC UTILITIES - 17.9%
Aaa AAA $ 1,000 Austin, Texas Utility
System (FGIC), 6.25%,
5/15/16 $ 1,035,140
Aaa AAA 1,050 Corpus Christi, Texas
Utility System (MBIA),
5.20%, 7/15/13 990,129
Aaa AAA 500 Lower Colorado River
Authority Junior Lien,
Texas (FGIC), 0%, 1/1/12 203,835
Aaa AAA 1,000 Austin Texas Combined
Utility, (AMBAC), 6.70%,
11/15/12 (2) 1,054,690
Aaa AAA 1,395 Texas Municipal Power
Agency (MBIA), 0%, 9/1/13 511,839
Aaa AAA 1,000 Texas Municipal Power
Agency (MBIA), 0%, 9/1/17 281,320
Aaa AAA 250 Brazos River Authority,
Houston Light & Power
(FGIC), 7.20%, 12/01/18 269,822
Aaa AAA 75 Brazos River Authority,
Houston Light & Power
(AMBAC), 6.70%, 3/01/17 81,088
----------
$ 4,427,863
----------
INSURED HOSPITAL - 6.3%
Aaa AAA $ 500 Harris County, Texas HFC
Hermann Hospital (MBIA),
6.375%, 10/1/24 (3) $ 519,450
Aaa AAA 1,000 Tyler County, Texas HFC
Mother Frances Hospital
(FGIC), 6.50%, 7/1/22 1,038,040
----------
$ 1,557,490
----------
INSURED TRANSPORTATION - 5.7%
Aaa AAA $ 1,500 Harris County, Texas Toll
Road Subordinate Lien
(FGIC), 5.375%, 8/15/20 $ 1,412,325
----------
LEASE/COP - 1.0%
NR BBB- $ 250 Rio Grande, Texas
Independent School
District Lease, 6.75%,
7/15/10 $ 254,523
----------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
MISCELLANEOUS - 0.2%
NR NR $ 242 Retama Development, Texas,
Retama Racetrack, 8.75%,
12/15/18 (4) $ 47,157
----------
TRANSPORTATION - 7.6%
Baa2 BB+ $ 505 Alliance Airport
Authority, American
Airlines, (AMT) 7.50%,
12/1/29 $ 535,275
Baa3 BB 300 Dallas-Fort Worth Texas
Airport, Delta Airlines
(AMT), 7.125%, 11/1/26 310,047
Baa2 BB+ 225 Dallas-Fort Worth Texas
Airport, American Airlines
(AMT), 7.50%, 11/1/25 239,112
NR BBB 755 Guam Airport Authority
(AMT), 6.70%, 10/1/23 766,763
Aa AA 25 Harris County, Texas Toll
Road, Subordinate Lien,
6.75%, 8/1/14 27,059
----------
$ 1,878,256
----------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $24,136,847) $ 24,782,940
==========
</TABLE>
(1) Security has been segregated to cover margin requirements for open financial
futures contracts.
(2) When-issued security.
(3) The above designated securities have been segregated to cover when-issued
securities.
(4) Defaulted Security.
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 Texas
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 July 31, 1996, 35.1% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 0.7% to 16.0% of total investments.
See notes to financial statements
59
<PAGE> 31
Municipals Portfolios
Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
July 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $125,151,785 $42,777,307 $185,036,490 $166,177,298
Unrealized appreciation 5,492,753 1,637,766 2,049,123 6,044,030
------------ ----------- ------------ ------------
Total investments, at value (Note 1A) $130,644,538 $44,415,073 $187,085,613 $172,221,328
Cash 442 116,328 110,267 364
Receivable for investments sold -- 1,073,556 -- --
Interest receivable 1,301,075 603,593 2,495,183 2,800,095
Deferred organization expenses (Note 1D) 2,679 846 4,195 4,001
------------ ----------- ------------ ------------
Total assets $131,948,734 $46,209,396 $189,695,258 $175,025,788
------------ ----------- ------------ ------------
LIABILITIES:
Payable for investments purchased $ -- $ 750,000 $ 1,906,920 $ --
Payable for when-issued securities (Note 1G) 1,456,071 -- -- --
Payable for daily variation margin on open
financial futures contracts (Note 1E) 123,750 41,250 156,750 165,000
Demand note payable (Note 5) 496,000 -- -- 1,381,000
Payable to affiliate --
Trustees' fees (Note 2) 730 137 942 950
Accrued expenses 10,636 2,435 13,761 14,230
------------ ----------- ------------ ------------
Total liabilities $ 2,087,187 $ 793,822 $ 2,078,373 $ 1,561,180
------------ ----------- ------------ ------------
NET ASSETS applicable to investors' interest in
Portfolio $129,861,547 $45,415,574 $187,616,885 $173,464,608
============ =========== ============ ============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $124,726,935 $43,823,918 $185,675,627 $167,897,449
Unrealized appreciation of investments and financial
futures contracts (computed on the basis of
identified cost) 5,134,612 1,591,656 1,941,258 5,567,159
------------ ----------- ------------ ------------
Total $129,861,547 $45,415,574 $187,616,885 $173,464,608
============ =========== ============ ============
</TABLE>
See notes to financial statements
60
<PAGE> 32
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
July 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $71,085,286 $365,003,591 $429,259,944 $24,136,847
Unrealized appreciation 3,358,379 17,802,712 14,948,938 646,093
----------- ------------ ------------ -----------
Total investments, at value (Note 1A) $74,443,665 $382,806,303 $444,208,882 $24,782,940
Cash 691,301 955,112 309 239,412
Receivable for investments sold 40,239 2,809,723 548,341 --
Interest receivable 992,257 4,978,076 6,376,451 426,391
Deferred organization expenses (Note 1D) 1,328 6,794 8,266 811
----------- ------------ ------------ -----------
Total assets $76,168,790 $391,556,008 $451,142,249 $25,449,554
----------- ------------ ------------ -----------
LIABILITIES:
Payable for investments purchased $ -- $ 5,038,716 $ 1,365,540 $ --
Payable for when issued securities (Note 1G) -- -- -- 1,046,570
Payable for daily variation margin on open
financial futures contracts (Note 1E) 72,188 252,188 419,375 31,625
Demand note payable (Note 5) -- -- 1,169,000 --
Payable to affiliate --
Trustees' fees (Note 2) 560 1,435 1,610 138
Accrued expenses 5,969 19,328 4,863 4,385
----------- ------------ ------------ -----------
Total liabilities $ 78,717 $ 5,311,667 $ 2,960,388 $ 1,082,718
----------- ------------ ------------ -----------
NET ASSETS applicable to investors' interest in
Portfolio $76,090,073 $386,244,341 $448,181,861 $24,366,836
=========== ============ ============ ===========
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $72,808,503 $368,629,668 $434,444,969 $23,732,927
Unrealized appreciation of investments and financial
futures contracts (computed on the basis of
identified cost) 3,281,570 17,614,673 13,736,892 633,909
----------- ------------ ------------ -----------
Total $76,090,073 $386,244,341 $448,181,861 $24,366,836
=========== ============ ============ ===========
</TABLE>
See notes to financial statements
61
<PAGE> 33
FINANCIAL STATEMENTS (continued)
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Year Ended July 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income $8,409,663 $2,867,274 $11,705,682 $11,159,400
---------- ---------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 574,999 $ 130,068 $ 841,092 $ 795,032
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 8,346 1,634 11,414 10,957
Custodian fees (Note 1I) 77,373 29,415 103,536 109,471
Legal and accounting services 27,328 24,418 31,899 34,696
Amortization of organization expenses (Note 1D) 1,797 618 2,628 2,500
Miscellaneous 26,220 11,843 24,076 55,985
---------- ---------- ----------- -----------
Total expenses $ 716,063 $ 197,996 $1,014,645 $ 1,008,641
---------- ---------- ----------- -----------
Deduct --
Reduction of investment adviser fee (Note 2) $ -- $ 7,886 $ -- $ --
Reduction of custodian fee (Note 1I) 17,032 20,508 30,601 37,024
---------- ---------- ----------- -----------
Total $ 17,032 $ 28,394 $ 30,601 $ 37,024
---------- ---------- ----------- -----------
Net expenses $ 699,031 $ 169,602 $ 984,044 $ 971,617
---------- ---------- ----------- -----------
Net investment income $7,710,632 $2,697,672 $10,721,638 $10,187,783
---------- ---------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 750,483 $ 454,314 $ 317,050 $ 2,444,619
Financial futures contracts 151,281 (154,883) (317,864 ) 366,370
---------- ---------- ----------- -----------
Net realized gain (loss) on investments $ 901,764 $ 299,431 $ (814 ) $ 2,810,989
---------- ---------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments $1,664,131 $ 478,339 $3,603,459 $ 1,583,815
Financial futures contracts (406,568) (76,087) (219,324 ) (612,570)
---------- ---------- ----------- -----------
Net unrealized appreciation (depreciation) of
investments $1,257,563 $ 402,252 $3,384,135 $ 971,245
---------- ---------- ----------- -----------
Net realized and unrealized gain on investments $2,159,327 $ 701,683 $3,383,321 $ 3,782,234
---------- ---------- ----------- -----------
Net increase in net assets from operations $9,869,959 $3,399,355 $14,104,959 $13,970,017
========== ========== =========== ===========
</TABLE>
See notes to financial statements
62
<PAGE> 34
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Year Ended July 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ----------- ------------ ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income $4,973,180 $25,580,109 $30,695,125 $1,648,060
---------- ----------- ----------- ----------
Expenses --
Investment adviser fee (Note 2) $ 295,178 $1,878,801 $ 2,262,320 $ 55,086
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 6,347 19,671 19,137 1,633
Custodian fees (Note 1I) 46,741 174,839 202,018 20,008
Legal and accounting services 22,396 40,228 43,328 21,528
Amortization of organization expenses (Note 1D) 1,180 4,476 5,292 604
Miscellaneous 18,325 41,571 48,193 14,394
---------- ----------- ----------- ----------
Total expenses $ 390,167 $2,159,586 $ 2,580,288 $ 113,253
---------- ----------- ----------- ----------
Deduct --
Reduction of investment adviser fee (Note 2) $ -- $ -- $ -- $ 27,295
Reduction of custodian fee (Note 1I) 18,630 67,792 202,018 13,141
---------- ----------- ----------- ----------
Total $ 18,630 $ 67,792 $ 202,018 $ 40,436
---------- ----------- ----------- ----------
Net expenses $ 371,537 $2,091,794 $ 2,378,270 $ 72,817
---------- ----------- ----------- ----------
Net investment income $4,601,643 $23,488,315 $28,316,855 $1,575,243
---------- ----------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 719,074 $ (586,976 ) $ 4,460,770 $ 279,941
Financial futures contracts (308,277 ) 270,248 1,531,445 62,357
---------- ----------- ----------- ----------
Net realized gain (loss) on investments $ 410,797 $ (316,728 ) $ 5,992,215 $ 342,298
---------- ----------- ----------- ----------
Change in unrealized appreciation (depreciation) --
Investments $ 788,314 $4,160,055 $ 967,735 $ 224,595
Financial futures contracts (91,306 ) (233,343 ) (1,212,046 ) (45,957)
---------- ----------- ----------- ----------
Net unrealized appreciation (depreciation) of
investments $ 697,008 $3,926,712 $ (244,311 ) $ 178,638
---------- ----------- ----------- ----------
Net realized and unrealized gain on investments $1,107,805 $3,609,984 $ 5,747,904 $ 520,936
---------- ----------- ----------- ----------
Net increase in net assets from operations $5,709,448 $27,098,299 $34,064,759 $2,096,179
========== =========== =========== ==========
</TABLE>
See notes to financial statements
63
<PAGE> 35
FINANCIAL STATEMENTS (continued)
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended July 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 7,710,632 $ 2,697,672 $10,721,638 $ 10,187,783
Net realized gain (loss) on investment
transactions 901,764 299,431 (814 ) 2,810,989
Change in unrealized appreciation of investments 1,257,563 402,252 3,384,135 971,245
------------ ------------ ------------- ------------
Net increase in net assets from operations $ 9,869,959 $ 3,399,355 $14,104,959 $ 13,970,017
------------ ------------ ------------- ------------
Capital transactions --
Contributions $ 9,272,110 $ 5,588,344 $11,976,667 $ 7,755,466
Withdrawals (33,801,537) (9,649,291) (33,740,530 ) (39,523,856)
------------ ------------ ------------- ------------
Decrease in net assets resulting from capital
transactions $(24,529,427) $ (4,060,947) $(21,763,863) $(31,768,390)
------------ ------------ ------------- ------------
Total decrease in net assets $(14,659,468) $ (661,592) $(7,658,904 ) $(17,798,373)
NET ASSETS:
At beginning of year 144,521,015 46,077,166 195,275,789 191,262,981
------------ ------------ ------------- ------------
At end of year $129,861,547 $ 45,415,574 $187,616,885 $173,464,608
============ ============ ============= ============
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 4,601,643 $ 23,488,315 $28,316,855 $ 1,575,243
Net realized gain (loss) on investment
transactions 410,797 (316,728) 5,992,215 342,298
Change in unrealized appreciation (depreciation)
of investments 697,008 3,926,712 (244,311 ) 178,638
------------ ------------ ------------- ------------
Net increase in net assets from operations $ 5,709,448 $ 27,098,299 $34,064,759 $ 2,096,179
------------ ------------ ------------- ------------
Capital transactions --
Contributions $ 5,070,544 $ 25,074,635 $20,910,102 $ 1,285,449
Withdrawals (17,657,615) (76,967,015) (109,043,304) (7,241,813)
------------ ------------ ------------- ------------
Decrease in net assets resulting from capital
transactions $(12,587,071) $(51,892,380) $(88,133,202) $ (5,956,364)
------------ ------------ ------------- ------------
Total decrease in net assets $ (6,877,623) $(24,794,081) $(54,068,443) $ (3,860,185)
NET ASSETS:
At beginning of year 82,967,696 411,038,422 502,250,304 28,227,021
------------ ------------ ------------- ------------
At end of year $ 76,090,073 $386,244,341 $448,181,861 $ 24,366,836
============ ============ ============= ============
</TABLE>
See notes to financial statements
64
<PAGE> 36
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended July 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 8,611,581 $ 2,800,174 $ 11,005,611 $ 11,377,793
Net realized loss on investment transactions (5,872,496) (2,521,981) (5,335,034) (6,232,336)
Change in unrealized appreciation of investments 7,857,458 2,823,551 4,533,624 6,947,077
------------ ------------ ------------ ------------
Net increase in net assets from operations $ 10,596,543 $ 3,101,744 $ 10,204,201 $ 12,092,534
------------ ------------ ------------ ------------
Capital transactions --
Contributions $ 21,272,707 $ 10,355,365 $ 25,911,862 $ 14,779,804
Withdrawals (41,416,595) (11,778,902) (32,878,239) (39,641,020)
------------ ------------ ------------ ------------
Decrease in net assets resulting from capital
transactions $(20,143,888) $ (1,423,537) $ (6,966,377) $(24,861,216)
------------ ------------ ------------ ------------
Total increase (decrease) in net assets $ (9,547,345) $ 1,678,207 $ 3,237,824 $(12,768,682)
NET ASSETS:
At beginning of year 154,068,360 44,398,959 192,037,965 204,031,663
------------ ------------ ------------ ------------
At end of year $144,521,015 $ 46,077,166 $ 195,275,789 $191,262,981
============ ============ ============ ============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 4,867,333 $ 24,622,808 $ 30,623,550 $ 1,690,403
Net realized loss on investment transactions (5,215,244) (17,774,510) (20,294,984) (1,003,751)
Change in unrealized appreciation of investments 4,768,674 16,631,954 19,002,225 1,220,058
------------ ------------ ------------ -----------
Net increase in net assets from operations $ 4,420,763 $ 23,480,252 $ 29,330,791 $ 1,906,710
------------ ------------ ------------ -----------
Capital transactions --
Contributions $ 11,350,380 $ 43,487,001 $ 38,709,755 $ 4,736,724
Withdrawals (16,808,817) (79,782,847) (102,576,381) (6,005,420)
------------ ------------ ------------ -----------
Decrease in net assets resulting from capital
transactions $ (5,458,437) $(36,295,846) $ (63,866,626) $ (1,268,696)
------------ ------------ ------------ -----------
Total increase (decrease) in net assets $ (1,037,674) $(12,815,594) $ (34,535,835) $ 638,014
NET ASSETS:
At beginning of year 84,005,370 423,854,016 536,786,139 27,589,007
------------ ------------ ------------ -----------
At end of year $ 82,967,696 $411,038,422 $ 502,250,304 $ 28,227,021
============ ============ ============ ===========
</TABLE>
See notes to financial statements
65
<PAGE> 37
FINANCIAL STATEMENTS (continued)
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA PORTFOLIO COLORADO PORTFOLIO
--------------------------------------------------- -------------------------------------------------------
YEAR ENDED JULY 31, YEAR ENDED JULY 31,
------------------------------ YEAR ENDED ---------------------------------- YEAR ENDED
1996 1995 1994* SEPT. 30, 1993** 1996 1995 1994* SEPT. 30, 1993**
-------- -------- -------- ---------------- -------- -------- -------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average
daily net
assets)++:
Net expenses
(1) 0.51% 0.52% 0.46%+ 0.42%+ 0.40% 0.25% 0.02%+ 0.06%+
Net expenses
after
custodian fee
reduction 0.50% -- -- -- 0.36% -- -- --
Net investment
income 5.53% 5.81% 5.43%+ 5.46%+ 5.75% 6.05% 5.73%+ 5.60%+
PORTFOLIO
TURNOVER 18% 22% 23% 107% 53% 52% 23% 10%
NET ASSETS, end
of year
(000 omitted) $129,862 $144,521 $154,068 $133,539 $ 45,416 $ 46,077 $ 44,399 $ 24,346
</TABLE>
++The operating expenses of the Colorado Portfolio may reflect a reduction of
the investment adviser fee and/or allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
<TABLE>
<S> <C> <C> <C> <C>
RATIOS (As a percentage of average daily net
assets):
Expenses (1) 0.42% 0.40% 0.35%+ 0.35%+
Expenses after custodian fee reduction 0.38% -- -- --
Net investment
income 5.73% 5.90% 5.40%+ 5.31%+
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONNECTICUT PORTFOLIO MICHIGAN PORTFOLIO
--------------------------------------------------- -------------------------------------------------------
YEAR ENDED JULY 31, YEAR ENDED JULY 31,
------------------------------ YEAR ENDED ---------------------------------- YEAR ENDED
1996 1995 1994* SEPT. 30, 1993** 1996 1995 1994* SEPT. 30, 1993**
-------- -------- -------- ---------------- -------- -------- -------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average
daily net
assets):
Net expenses
(1) 0.52% 0.53% 0.47%+ 0.46%+ 0.54% 0.48% 0.47%+ 0.44%+
Net expenses
after
custodian fee
reduction 0.50% -- -- -- 0.52% -- -- --
Net investment
income 5.49% 5.77% 5.40%+ 5.45%+ 5.50% 5.85% 5.48%+ 5.46%+
PORTFOLIO
TURNOVER 23% 29% 10% 10% 49% 54% 45% 20%
NET ASSETS, end
of year
(000 omitted) $187,617 $195,276 $192,038 $159,848 $173,465 $191,263 $204,032 $187,665
<FN>
+ Annualized.
* For the ten months ended July 31, 1994.
** For the period from the start of business, February 1, 1993, to September 30, 1993.
(1) The expense ratios for the year ended July 31, 1996 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 periods ended on or before July 31, 1995 have not been
adjusted to reflect this change.
</TABLE>
See notes to financial statements
66
<PAGE> 38
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA PORTFOLIO NEW JERSEY PORTFOLIO
--------------------------------------------------- -------------------------------------------------------
YEAR ENDED JULY 31, YEAR ENDED JULY 31,
------------------------------ YEAR ENDED ---------------------------------- YEAR ENDED
1996 1995 1994* SEPT. 30, 1993** 1996 1995 1994* SEPT. 30, 1993**
-------- -------- -------- ---------------- -------- -------- -------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average
daily net
assets):
Net expenses
(1) 0.48% 0.47% 0.45%+ 0.40%+ 0.53% 0.52% 0.50%+ 0.50%+
Net expenses
after
custodian fee
reduction 0.46% -- -- -- 0.52% -- -- --
Net investment
income 5.69% 5.83% 5.50%+ 5.58%+ 5.82% 5.96% 5.62%+ 5.67%+
PORTFOLIO
TURNOVER 45% 76% 20% 10% 39% 54% 25% 12%
NET ASSETS, end
of year
(000 omitted) $ 76,090 $ 82,968 $ 84,005 $ 67,019 $386,244 $411,038 $423,854 $393,677
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PENNSYLVANIA PORTFOLIO TEXAS PORTFOLIO
--------------------------------------------------- -------------------------------------------------------
YEAR ENDED JULY 31, YEAR ENDED JULY 31,
------------------------------ YEAR ENDED ---------------------------------- YEAR ENDED
1996 1995 1994* SEPT. 30, 1993** 1996 1995 1994* SEPT. 30, 1993**
-------- -------- -------- ---------------- -------- -------- -------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (as a
percentage of
average
daily net
assets)++:
Net expenses
(1) 0.54% 0.49% 0.48%+ 0.50%+ 0.32% 0.08% 0.00%+ 0.03%+
Net expenses
after
custodian fee
reduction 0.50% -- -- -- 0.27% -- -- --
Net investment
income 5.90% 6.02% 5.66%+ 5.71%+ 5.81% 6.20% 5.69%+ 5.82%+
PORTFOLIO
TURNOVER 30% 44% 21% 17% 39% 49% 27% 8%
NET ASSETS, end
of year
(000 omitted) $448,182 $502,250 $536,786 $497,001 $ 24,367 $ 28,227 $ 27,589 $ 16,029
</TABLE>
++The operating expenses of the Texas Portfolio may reflect a reduction of the
investment adviser fee and/or allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
<TABLE>
<S> <C> <C> <C> <C>
RATIOS (As a percentage of average daily net
assets):
Expenses (1) 0.42% 0.35% 0.37%+ 0.42%+
Expenses after custodian fee reduction 0.37% -- -- --
Net investment
income 5.71% 5.93% 5.32%+ 5.43%+
</TABLE>
+ Annualized.
* For the ten months ended July 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
(1) The expense ratios for the year ended July 31, 1996 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 periods ended on or before July 31, 1995 have not been
adjusted to reflect this change.
See notes to financial statements
67
<PAGE> 39
Notes to Financial Statements
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
Arizona Municipals Portfolio (Arizona Portfolio), Colorado Municipals Portfolio
(Colorado Portfolio), Connecticut Municipals Portfolio (Connecticut Portfolio),
Michigan Municipals Portfolio (Michigan Portfolio), Minnesota Municipals
Portfolio (Minnesota Portfolio), New Jersey Municipals Portfolio (New Jersey
Portfolio), Pennsylvania Municipals Portfolio (Pennsylvania Portfolio) and Texas
Municipals Portfolio (Texas Portfolio), collectively the Portfolios, are
registered under the Investment Company Act of 1940 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
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. INCOME 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, deductions 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 the 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 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 or delayed delivery transactions. The Portfolio records when-issued
securities on trade date and maintains security positions such that sufficient
liquid assets will be available to make payments for the securities purchased.
Securities purchased on a when-issued or delayed delivery basis are
marked-to-market daily and begin accruing interest on settlement date.
H. 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. Prior to November 10, 1995, IBT was an affiliate of EVM.
Pursuant
68
<PAGE> 40
- --------------------------------------------------------------------------------
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 Statement of
Operations.
J. USE OF ESTIMATES--The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities at
the date of the financial statements and the reported amounts of revenue and
expense during the reporting period. Actual results could differ from those
estimates.
(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 July 31, 1996, each Portfolio paid advisory fees as follows:
<TABLE>
<CAPTION>
AMOUNT EFFECTIVE RATE*
---------- ----------------
<S> <C> <C>
Arizona $ 574,999 0.41%
Colorado 130,068 0.28%
Connecticut 841,092 0.43%
Michigan 795,032 0.43%
Minnesota 295,178 0.36%
New Jersey 1,878,801 0.47%
Pennsylvania 2,262,320 0.47%
Texas 55,086 0.20%
</TABLE>
* Advisory fees as a percentage of average daily net assets.
To enhance the net income of the Colorado Portfolio and Texas Portfolio, BMR
made a reduction in its fee in the amount of $7,886 and $27,295, respectively.
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 July 31, 1996, no significant amounts have been deferred.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations.
- --------------------------------------------------------------------------------
(3) INVESTMENTS
Purchases and sales of investments, other than U.S. Government securities,
purchased option transactions and short-term obligations, for the year ended
July 31, 1996 were as follows:
<TABLE>
<CAPTION>
ARIZONA PORTFOLIO COLORADO PORTFOLIO CONNECTICUT PORTFOLIO MICHIGAN PORTFOLIO
------------------- -------------------- ---------------------- ------------------
<S> <C> <C> <C> <C>
Purchases $24,965,770 $ 24,734,586 $ 45,400,072 $ 89,851,170
Sales 40,953,369 26,791,943 53,177,005 108,634,755
</TABLE>
<TABLE>
<CAPTION>
MINNESOTA PORTFOLIO NEW JERSEY PORTFOLIO PENNSYLVANIA PORTFOLIO TEXAS PORTFOLIO
------------------- -------------------- ---------------------- ------------------
<S> <C> <C> <C> <C>
Purchases $35,764,584 $155,358,451 $140,759,536 $10,330,871
Sales 44,316,406 181,497,593 194,013,159 13,335,858
</TABLE>
69
<PAGE> 41
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation/depreciation in value of the investments
owned by each Portfolio at July 31, 1996, as computed on a federal income tax
basis, are as follows:
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Aggregate Cost $125,151,785 $ 42,777,307 $185,036,490 $166,177,298
------------ ------------ ------------ ------------
Gross unrealized appreciation $ 6,439,665 $ 1,927,576 $ 4,199,150 $ 7,532,072
Gross unrealized depreciation 946,912 289,810 2,150,027 1,488,042
------------ ------------ ------------ ------------
Net unrealized appreciation $ 5,492,753 $ 1,637,766 $ 2,049,123 $ 6,044,030
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Aggregate Cost $ 71,085,286 $365,003,591 $429,259,944 $ 24,136,847
------------ ------------ ------------ ------------
Gross unrealized appreciation $ 3,578,078 $ 18,724,771 $17,321,842 $ 900,832
Gross unrealized depreciation 219,699 922,059 2,372,904 254,739
------------ ------------ ------------ ------------
Net unrealized appreciation $ 3,358,379 $ 17,802,712 $14,948,938 $ 646,093
============ ============ =========== ============
</TABLE>
- --------------------------------------------------------------------------------
(5) LINE OF CREDIT
The Portfolios participate with other portfolios and funds managed by BMR and
EVM in a $120 million unsecured line of credit agreement with a bank. The line
of credit consists of a $20 million committed facility and a $100 million
discretionary facility. Each Portfolio may temporarily borrow up to 5% of its
total assets to satisfy redemption requests or settle investment transactions.
Interest is charged to each portfolio or fund based on its borrowings at an
amount above either the bank's adjusted certificate of deposit rate, a variable
adjusted certificate of deposit rate, or a federal funds effective rate. In
addition, a fee computed at an annual rate of 1/4 of 1% on the $20 million
committed facility and on the daily unused portion of the $100 million
discretionary facility is allocated among the participating funds and portfolios
at the end of each quarter. At July 31, 1996, the Arizona Portfolio, Michigan
Portfolio and Pennsylvania Portfolio had balances outstanding pursuant to this
line of credit of $496,000, $1,381,000 and $1,169,000 respectively. The
Portfolios did not have any significant borrowings or allocated fees during the
year ended July 31, 1996.
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<PAGE> 42
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(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 written
options and futures contracts and may involve, to a varying degree, elements of
risk in excess of the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment 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 July 31, 1996, is
as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS NET UNREALIZED
PORTFOLIO EXPIRATION DATE CONTRACTS POSITION DEPRECIATION
- ------------- ------------------ ------------------------ -------- --------------
<S> <C> <C> <C> <C>
Arizona 9/96 180 U.S. Treasury Bonds Short $ (358,141)
Colorado 9/96 60 U.S. Treasury Bonds Short (46,110)
Connecticut 9/96 228 U.S. Treasury Bonds Short (107,865)
Michigan 9/96 240 U.S. Treasury Bonds Short (476,871)
Minnesota 9/96 105 U.S. Treasury Bonds Short (76,809)
New Jersey 9/96 365 U.S. Treasury Bonds Short (188,039)
Pennsylvania 9/96 610 U.S. Treasury Bonds Short (1,212,046)
Texas 9/96 46 U.S. Treasury Bonds Short (12,184)
</TABLE>
At July 31, 1996 the Portfolios had sufficient cash and/or securities to cover
margin requirements on open financial futures contracts.
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<PAGE> 43
Independent Auditors' Report
- --------------------------------------------------------------------------------
TO THE TRUSTEES AND INVESTORS OF:
ARIZONA MUNICIPALS PORTFOLIO
COLORADO MUNICIPALS PORTFOLIO
CONNECTICUT MUNICIPALS PORTFOLIO
MICHIGAN MUNICIPALS PORTFOLIO
MINNESOTA MUNICIPALS PORTFOLIO
NEW JERSEY MUNICIPALS PORTFOLIO
PENNSYLVANIA MUNICIPALS PORTFOLIO
TEXAS MUNICIPALS PORTFOLIO
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of Arizona Municipals Portfolio, Colorado
Municipals Portfolio, Connecticut Municipals Portfolio, Michigan Municipals
Portfolio, Minnesota Municipals Portfolio, New Jersey Municipals Portfolio,
Pennsylvania Municipals Portfolio and Texas Municipals Portfolio as of July 31,
1996, the related statements of operations for the year then ended, the
statements of changes in net assets for the years ended July 31, 1996 and 1995
and supplementary data for the years ended July 31, 1996 and 1995, the ten
months ended July 31, 1994 and for the period from the start of business,
February 1, 1993 to September 30, 1993. These financial statements and
supplementary data are the responsibility of the Trusts' 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 July 31,
1996, 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 Arizona Municipals
Portfolio, Colorado Municipals Portfolio, Connecticut Municipals Portfolio,
Michigan Municipals Portfolio, Minnesota Municipals Portfolio, New Jersey
Municipals Portfolio, Pennsylvania Municipals Portfolio and Texas Municipals
Portfolio at July 31, 1996, 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
AUGUST 23, 1996
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<PAGE> 44
INVESTMENT MANAGEMENT FOR PORTFOLIOS
OFFICERS INDEPENDENT TRUSTEES
THOMAS J. FETTER DONALD R. DWIGHT
President President, Dwight Partners, Inc.
Chairman, Newspapers of New England,
JAMES B. HAWKES Inc.
Vice President, Trustee
SAMUEL L. HAYES, III
ROBERT B. MACINTOSH Jacob H. Schiff Professor of
Vice President Investment Banking,
Harvard University Graduate School
JAMES L. O'CONNOR of Business Administration
Treasurer
NORTON H. REAMER
THOMAS OTIS President and Director,
Secretary United Asset Management Corporation
JOHN L. THORNDIKE
Vice President and Director
Fiduciary Company Incorporated
JACK L. TREYNOR
Investment Adviser and Consultant
- --------------------------------------------------------------------------------
<TABLE>
PORTFOLIOS OFFICERS
<S> <C>
THOMAS J. FETTER JAMES L. O'CONNOR
President Treasurer
JAMES B. HAWKES THOMAS OTIS
Vice President, Trustee Secretary
ROBERT B. MACINTOSH INDEPENDENT TRUSTEES
Vice President of Arizona, Colorado DONALD R. DWIGHT
Connecticut, Michigan, Minnesota, President, Dwight Partners, Inc.
New Jersey, Pennsylvania and Texas Chairman, Newspaper of New England, Inc.
Municipals Portfolios and
Portfolio Manager of New Jersey SAMUEL L. HAYES, III
Municipals Portfolios Jacob H. Schiff Professor of Investment
Banking, Harvard University Graduate
Cynthia J. Clemson School of Business Administration
Vice President and Portfolio Manager of
Arizona Municipals Portfolio NORTON H. REAMER
President and Director,
David C. Reilly United Asset Management Corporation
Vice President and Portfolio Manager of
Colorado and Minnesota Municipals JOHN L. THORNDIKE
Portfolio Director, Fiduciary Company Incorporated
</TABLE>
<PAGE> 45
<TABLE>
Portfolios officers continued
<S> <C>
NICOLE ANDERES JACK L. TREYNOR
Vice President and Portfolio Manager of Investment Adviser and Consultant
Connecticut and Texas Municipals
Portfolio
TIMOTHY T. BROWSE
Vice President and Portfolio Manager of
Michigan and Pennsylvania Municipals
Portfolios
</TABLE>
