<PAGE> 1
The Eaton Vance Municipals Trust for California, Florida, Massachusetts,
Mississippi, New York, Ohio, Rhode Island & West Virginia Municipals Funds
[LOGO]
Annual Shareholder Report
September 30, 1996
- --------------------------------------------------------------------------------
Investment Management
- --------------------------------------------------------------------------------
FUNDS
- -----
OFFICERS
- --------
THOMAS J. FETTER
President
JAMES B. HAWKES
Vice President, Trustee
ROBERT B. MACINTOSH
Vice President
JAMES L. O'CONNOR
Treasurer
THOMAS OTIS
Secretary
INDEPENDENT TRUSTEES
- --------------------
DONALD R. DWIGHT
President, Dwight Partners, Inc.
Chairman, Newspaper of New England, Inc.
SAMUEL L. HAYES, III
Jacob H. Schiff Professor of Investment
Banking, Harvard University Graduate
School of Business Administration
NORTON H. REAMER
President and Director,
United Asset Management Corporation
JOHN L. THORNDIKE
Director,
Fiduciary Company Incorporated
JACK L. TREYNOR
Investment Adviser
and Consultant
- --------------------------------------------------------------------------------
PORTFOLIOS
- ----------
OFFICERS
- --------
THOMAS J. FETTER
President and Portfolio Manager of Florida
and Ohio Municipals Portfolios
JAMES B. HAWKES
Vice President, Trustee
ROBERT B. MACINTOSH
Vice President and Portfolio Manager
of Massachusetts Municipals Portfolio
NICOLE ANDERES
Vice President and Portfolio Manager
of New York and Rhode Island
Municipals Portfolios
TIMOTHY T. BROWSE
Vice President and Portfolio Manager
of West Virginia Municipals Portfolio
CYNTHIA J. CLEMSON
Vice President and Portfolio Manager
of California and Mississippi
Municipals Portfolios
JAMES L. O'CONNOR
Treasurer
THOMAS OTIS
INDEPENDENT TRUSTEES
- --------------------
DONALD R. DWIGHT
President, Dwight Partners, Inc.
Chairman, Newspaper of New England, Inc.
SAMUEL L. HAYES, III
Jacob H. Schiff Professor of Investment
Banking, Harvard University Graduate
School of Business Administration
NORTON H. REAMER
President and Director,
United Asset Management Corporation
JOHN L. THORNDIKE
Director,
Fiduciary Company Incorporated
JACK L. TREYNOR
Investment Advisor
and Consultant
<PAGE> 2
California Municipals Portfolio
Portfolio of Investments - September 30, 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>
COGENERATION - 6.0%
NR BBB- $ 4,985 Central Valley Financing
Authority, Carson Ice,
6.20%, 7/1/20 $ 4,965,957
NR BBB- 10,900 Sacramento Cogeneration
Authority, Procter &
Gamble, 6.50%, 7/1/21 11,126,611
NR BBB- 6,000 Sacramento Power
Authority, Cogeneration
Project, 6.00%, 7/1/22 5,823,420
------------
$ 21,915,988
------------
ESCROWED - 17.1%
NR NR $ 1,575 Fontana Public Financing
Authority, 7.75%,
12/1/20 $ 1,829,347
NR NR 4,000 Huntington Beach Public
Financing Authority,
8.375%, 5/1/18 4,333,480
NR BBB 3,190 Orange Cove Irrigation
District COP, 6.625%,
2/1/17 3,493,018
Aaa AAA 6,400 Port of Oakland, (BIGI)
0%, 11/1/15 3,955,264
NR NR 3,000 Poway Redevelopment
Agency, 7.75%, 12/15/21 3,494,880
NR BBB 2,000 City of Rancho Mirage,
Joint Power Financing
Authority, 7.50%, 4/1/17 2,270,040
NR A- 2,360 Richmond Joint Power
Financing Authority,
7.00%, 5/15/07 2,599,092
Aaa AAA 8,000 County of Sacramento,
SFMR, (AMT), (GNMA)
8.125%, 7/1/16 (2) 10,058,640
Aaa AAA 14,285 County of Sacramento,
SFMR, (AMT), (GNMA)
8.50%, 11/1/16 18,721,492
Aaa AAA 6,000 County of Sacramento,
SFMR, (AMT), (GNMA)
8.25%, 1/1/21 7,758,600
Aaa AAA 3,000 City and County of San
Francisco Sewer System,
(AMBAC), Variable,
10/1/21 (1) 3,450,540
------------
$ 61,964,393
------------
GENERAL OBLIGATION - 1.3%
Aa AA $ 5,000 East Bay Municipal
Utilities District,
5.00%, 4/1/15 $ 4,592,350
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 2.3%
Ba NR $ 1,000 City of San Bernadino,
San Bernadino Community
Hospital, 7.875%,
12/1/08 $ 1,009,700
Ba NR 3,000 City of San Bernadino,
San Bernadino Community
Hospital, 7.875%,
12/1/19 3,029,100
NR BBB+ 2,700 City of Stockton,
Dameron Hospital
Association, 8.30%,
12/1/14 2,812,509
NR BBB- 1,500 City of Woodland,
Woodland Memorial
Hospital, 8.20%, 8/1/15 1,585,725
------------
$ 8,437,034
------------
HOUSING - 7.7%
NR NR $ 2,000 Los Angeles County,
Corporate Fund Housing
Authority, 10.50%,
12/1/29 $ 2,044,680
NR A+ 1,785 City of Oakland, Housing
Finance Agency (HFA),
7.10%, 1/1/10 1,829,286
Aa AA- 2,500 California HFA, 8.20%,
8/1/17 2,594,550
Aa AA- 1,270 California HFA, (AMT),
8.60%, 8/1/19 1,326,490
Aa AA- 3,575 California HFA, (AMT),
7.375%, 8/1/11 3,724,542
Aa AA- 6,345 California HFA, (AMT),
(FHA) 7.65%, 8/1/23 6,629,066
Aa AA- 4,730 California HFA, (AMT),
7.40%, 8/1/26 4,987,738
Aa AA- 3,845 California HFA, (AMT),
7.50%, 8/1/25 4,080,391
A1 NR 795 Los Angeles County,
SFMR, 7.875%, 8/1/16 808,077
------------
$ 28,024,820
------------
INSURED EDUCATION - 0.8%
Aaa AAA $ 3,330 University of
California, Multiple
Purpose Project, (MBIA)
4.75%, 9/1/21 $ 2,868,162
------------
INSURED LEASE/CERTIFICATE OF
PARTICIPATION - 5.0%
Aaa AAA $ 3,300 California Statewide
Communities Development
Authority, Motion
Picture and Television
Fund, (AMBAC), Variable,
1/1/24 (1) $ 2,991,153
</TABLE>
31
<PAGE> 3
CALIFORNIA 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 LEASE/CERTIFICATE OF
PARTICIPATION - (CONTINUED)
Aaa AAA 7,700 Moulton Niguel Water
District, (AMBAC) 4.80%,
9/1/17 6,765,143
Aaa AAA 4,350 City of Stockton,
Wastewater Treatment
Plant, (FGIC) 6.80%,
9/1/24 4,806,533
Aaa AAA 13,985 Visalia Unified School
District, (MBIA) 0%,
12/1/17 3,501,284
------------
$ 18,064,113
------------
INSURED SPECIAL TAX - 2.3%
Aaa AAA $ 4,850 City of San Jose
Redevelopment Agency,
(MBIA) 4.75%, 8/1/24 $ 4,174,298
Aaa AAA 2,000 Thousand Oaks
Redevelopment Agency,
(MBIA) 5.375%, 12/1/25 1,891,660
Aaa AAA 2,500 Los Angeles County Metro
Trans Authority, (AMBAC)
5.25%, 7/1/23 2,326,875
------------
$ 8,392,833
------------
INSURED TRANSPORTATION - 3.9%
Aaa AAA $ 8,000 City and County of San
Francisco Airport,
(MBIA) 6.75%, 5/1/13 $ 8,745,440
Aaa AAA 3,500 City and County of San
Francisco Airport,
(AMT), (MBIA) 5.625%,
5/1/21 3,415,615
Aaa AAA 10,000 Port of Oakland, (AMT),
(BIGI), 0%, 11/1/19 1,866,400
------------
$ 14,027,455
------------
INSURED UTILITIES - 5.7%
Aaa AAA $ 8,000 Northern California
Power Agency, (MBIA),
Variable, 8/1/25 (1) $ 8,969,360
Aaa AAA 3,500 Sacramento Municipal
Utilities District,
(MBIA) 6.375%, 8/15/22 3,679,445
Aaa AAA 2,000 Southern California
Public Power Authority,
(FGIC), Variable, 7/1/12
(1) 1,844,580
Aaa AAA 6,915 Southern California
Public Power Authority,
(MBIA), 5.00%, 1/1/20 6,245,697
------------
$ 20,739,082
------------
INSURED WATER & SEWER - 3.4%
Aaa AAA $ 5,000 East Bay Municipal
Utility District,
(MBIA), Variable, 6/1/08
(1) $ 4,799,850
Aaa AAA 5,000 San Diego Public Finance
Authority, (FGIC) 5.00%,
5/15/25 4,502,100
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 3,000 San Diego County Water
Authority, (FGIC),
Variable, 4/22/09 (1) 3,119,850
------------
$ 12,421,800
------------
LEASE/CERTIFICATE OF
PARTICIPATION - 21.8%
A1 A- $ 8,000 California Public Works,
University of
California, 5.50%,
6/1/14 $ 7,736,240
A1 A- 6,500 California Public Works,
University of
California, 5.00%,
6/1/23 5,671,185
A1 A- 3,000 California Public Works,
University of
California, 5.50%,
6/1/10 2,977,560
A A- 3,500 California Public Works,
Susanville Prison,
5.375%, 6/1/18 3,236,415
A A- 2,800 California Public Works,
State Prison System,
5.375%, 6/1/12 2,634,464
A1 A- 5,000 California Public Works,
University of
California, 5.25%,
6/1/20 4,587,850
A1 A- 14,025 California Public Works,
University of
California, 5.50%,
6/1/19 13,144,651
Aaa AAA 6,850 California Statewide
Public Works, J. Paul
Getty Trust, 5.00%,
10/1/23 6,115,543
A BBB 2,750 City of Inglewood, Civic
Center Improvement,
7.00%, 8/1/19 2,862,860
Baa1 BBB 3,100 County of Los Angeles,
Disney Parking Project,
0%, 3/1/20 649,295
Baa1 BBB 5,115 County of Los Angeles,
Disney Parking Project,
0%, 3/1/16 1,412,558
Baa1 BBB 1,925 County of Los Angeles,
Disney Parking Project,
0%, 3/1/17 492,627
Baa1 BBB 5,000 County of Los Angeles,
Disney Parking Project,
0%, 9/1/17 1,237,550
Baa1 BBB 5,370 County of Los Angeles,
Disney Parking Project,
0%, 3/1/18 1,285,471
Baa1 BBB 6,925 County of Los Angeles,
Disney Parking Project,
0%, 9/1/20 1,402,867
</TABLE>
32
<PAGE> 4
- --------------------------------------------------------------------------------
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)
Baa1 BBB 1,000 County of Los Angeles,
Disney Parking Project,
6.50%, 3/1/23 1,010,230
NR NR 7,000 County of Los Angeles,
Marina Del Rey, 6.50%,
7/1/08 7,054,740
A1 A+ 5,000 Pasadena Parking
Facility Project, 6.25%,
1/1/18 5,228,400
Aa A+ 4,000 City of Sacramento
Financing Authority,
5.40%, 11/1/20 3,793,560
A A 3,000 San Bernadino Joint
Power Financing
Authority, 5.50%,
12/1/20 2,846,250
Aa AA 4,425 Orange County Water
District, 5.00%, 8/15/18 3,879,883
------------
$ 79,260,199
------------
NURSING HOME - 0.9%
NR NR $ 3,170 City of Banning, San
Gorgonio Pass
Convalescent, (AMT),
9.50%, 12/1/11 $ 3,269,538
------------
SOLID WASTE - 0.4%
Aaa AAA $ 1,500 Inland Empire Solid
Waste Finance Authority
(FSA) 6.25%, 8/1/11 $ 1,562,265
------------
SPECIAL TAX - 12.8%
NR NR $ 3,000 Lincoln Unified School
District, 7.625%, 9/1/21 $ 3,449,850
NR NR 3,000 Riverside County
Community Facilities
District, 7.55%, 9/1/17 3,046,080
NR NR 910 City of Fairfield, North
Cordelia District,
8.00%, 9/2/11 938,492
NR NR 2,060 City of Fairfield, North
Cordelia District,
7.375%, 9/2/18 2,106,123
NR NR 2,915 City of Commerce, Joint
Power Financing
Authority, 8.00%, 3/1/22 3,061,683
NR BBB 5,000 Contra Costa County,
Public Financing
Authority, 7.10%, 8/1/22 5,212,250
NR BBB 3,910 City of Fontana, Public
Financing Authority,
7.00%, 9/1/21 3,986,675
NR BBB 8,220 Fontana Redevelopment
Agency, Jurupa Hills,
7.00%, 10/1/14 8,431,912
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
NR BBB 2,500 City of Pittsburg
Redevelopment Agency,
7.40%, 8/15/20 2,624,650
NR BBB 600 City of Rancho Mirage,
Joint Power Financing
Authority, 7.50%, 4/1/17 634,704
NR BBB 2,500 Riverside County
Redevelopment Agency,
7.50%, 10/1/26 2,632,975
NR BBB 5,605 San Carlos Redevelopment
Agency, 7.10%, 9/1/17 5,828,247
NR NR 1,400 City of Simi Valley
Community Development,
Sycamore Plaza II,
8.20%, 9/1/12 1,405,670
Baa BBB+ 3,000 Westminster
Redevelopment Agency,
Community Redevelopment
Project, 7.30%, 8/1/21 3,237,570
------------
$ 46,596,881
------------
TRANSPORTATION - 6.8%
NR BBB $ 3,050 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 3,105,571
Aa AA- 2,000 City of Long Beach
Harbor Revenue Bonds,
(AMT), 7.25%, 5/15/19 2,109,980
A1 A- 1,400 County of Orange,
California Airport
Revenue Bonds, 8.125%,
7/1/16 1,448,244
NR NR 12,000 San Joaquin Hills
Transportation Corridor
Agency, Toll Road
Revenue Bonds, 0%,
1/1/14 3,916,200
NR NR 5,765 San Joaquin Hills
Transportation Corridor
Agency, Toll Road
Revenue Bonds, 0%,
1/1/26 853,393
NR NR 35,975 San Joaquin Hills
Transportation Corridor
Agency, Toll Road
Revenue Bonds, 0%,
1/1/27 4,988,653
NR NR 4,940 San Joaquin Hills
Transportation Corridor
Agency, Toll Road
Revenue Bonds, 7.00%,
1/1/30 5,168,722
Baa1 BBB 1,500 Stockton Port District,
7.95%, 1/1/05 1,567,755
Baa1 BBB 1,500 Stockton Port District,
8.10%, 1/1/14 1,579,334
------------
$ 24,737,852
------------
</TABLE>
33
<PAGE> 5
CALIFORNIA 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>
UTILITIES - 1.8%
A2 A $ 4,100 California PCR Finance
Authority, San Diego Gas
and Electric, 5.90%,
6/1/14 $ 4,222,467
Aa A+ 7,070 Southern California
Public Power Authority,
0%, 7/1/15 2,296,409
------------
$ 6,518,876
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $337,396,359) $ 363,393,641
============
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has 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 California
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1996, 31.2% of the securities in the portfolio of
investments are backed by bond insurance of financial institutions and financial
guaranty assurance agencies. The aggregate percentage insured by financial
institution ranged from 0.4% to 10.3% of total investments.
See notes to financial statements
34
<PAGE> 6
Florida Municipals Portfolio
Portfolio of Investments - September 30, 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 - 0.6%
NR NR $ 3,445 North Miami Florida
Health Care
Facilities-The Imperial
Club Project 9.25%,
1/1/13
$ 3,750,020
-------------
COGENERATION - 3.2%
Baa3 BBB- $ 7,275 Martin County, Indian
Town Project, (AMT),
7.875%, 12/15/25 $ 8,241,993
NR NR 3,100 Palm Beach County,
Okeelanta Power L.P.
Project (AMT), 6.85%,
2/15/21 2,749,948
NR NR 9,250 Palm Beach County,
Osceola Power L.P.
Project (AMT), 6.95%,
1/1/22 8,247,485
-------------
$ 19,239,426
-------------
EDUCATION - 1.0%
NR AAA $ 5,500 Volusia County
Educational Facilities,
Embry-Riddle
Aeronautical University
Project (CLEE), 6.625%,
4/15/22 $ 5,875,210
-------------
ESCROWED - 7.4%
Aaa AAA $ 9,225 Dade County, Baptist
Hospital of Miami
Project, 5.75%, 5/1/21 $ 9,285,055
Aaa AAA 5,000 Florida Municipal Power
Agency Stanton II
Project (AMBAC),
Variable, 10/1/20 (1) 6,048,900
NR NR 1,675 Mid-Bay Bridge
Authority, 6.875%,
10/1/22 1,902,901
A A 7,255 Hillsborough FL Capital
Improvement-Museum of
Science, 6.45%, 1/1/22 7,779,754
Aaa AAA 2,000 Orlando & Orange County
Expressway Authority
(FGIC), 8.25%, 7/1/14 2,623,300
Aaa AAA 5,600 St. Lucie FL Utility
System, 6.00%, 10/1/20 5,818,176
A NR 9,810 City of Venice Health
Facilities, 5.75%,
12/1/24 10,428,422
-------------
$ 43,886,508
-------------
GENERAL OBLIGATION - 10.0%
Aa AA $22,000 Florida Board of
Education, 4.75%, 6/1/22 $ 18,986,220
Aa AA 15,235 Florida Board of
Education, 5.00%, 6/1/20 13,894,471
Aa AA 8,000 Florida Board of General
Services, 6.60%, 7/1/17 8,679,200
NR BBB 5,700 Guam Government, 5.40%,
11/15/18 5,167,335
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 3,000 Puerto Rico, 6.50%,
7/1/23 3,202,650
Baa1 A 3,235 Puerto Rico Public
Building Authority,
5.50%, 7/1/21 3,059,340
Baa1 A 7,350 Puerto Rico Public
Building Authority,
5.70%, 7/1/09 7,369,037
-------------
$ 60,358,253
-------------
HOSPITAL REVENUE - 3.1%
NR BBB+ $ 3,600 Escambia County Health
Facilities Authority,
Baptist Hospital, Inc.
and The Baptist Manor,
Inc., 6.75%, 10/1/14 $ 3,702,456
NR BBB+ 9,995 Escambia County Health
Facilities Authority,
Baptist Hospital, Inc.,
6.00%, 10/1/14 9,550,722
NR AA+ 4,750 Jacksonville Health
Facilities Finance
Authority, St. Luke's
Hospital Association
Project, 6.75%, 11/15/13 5,085,445
-------------
$ 18,338,623
-------------
HOUSING - 13.6%
NR AAA $ 630 Broward County HFA SFMR
(GNMA), (AMT), 7.35%,
3/1/23 $ 652,327
NR AAA 1,300 Clay County HFA MFMR
(GNMA), 7.40%, 12/1/25 1,373,021
Aaa NR 2,750 Clay County HFA SFMR
(GNMA), (AMT), 6.55%,
3/1/28 2,770,405
Aaa NR 290 Dade County HFA SFMR
(GNMA), 7.10%, 3/1/17 301,678
Aaa NR 1,090 Dade County HFA SFMR
(AMT), 7.75%, 9/1/22 1,142,843
Aaa NR 1,160 Dade County HFA SFMR
(GNMA), (AMT), 7.25%,
9/1/23 1,213,569
Aaa NR 75 Dade County HFA SFMR
(GNMA), 7.00%, 3/1/24 77,888
NR AAA 5,100 Dade County HFA SFMR
(GNMA), (AMT) 6.55%,
10/1/27 5,185,017
NR AAA 5,850 Dade County HFA SFMR
(GNMA), (AMT) 6.70%,
4/1/28 6,041,237
Aaa NR 2,540 Escambia County HFA SFMR
(GNMA), (AMT), 7.40%,
10/1/23 2,636,418
Aaa AAA 7,500 Escambia County HFA SFMR
(GNMA), (AMT), 6.85%,
10/1/17 7,589,400
Aaa AAA 5,000 Escambia County HFA SFMR
(GNMA), (AMT), 6.90%,
10/1/21 5,059,450
</TABLE>
35
<PAGE> 7
FLORIDA 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>
HOUSING - (CONTINUED)
Aaa AAA 6,250 Escambia County HFA SFMR
(GNMA), (AMT), 6.95%,
10/1/27 6,324,125
Aaa AAA 9,245 Escambia County HFA SFMR
(GNMA), (AMT), 6.20%,
4/1/22 9,301,579
NR AAA 1,125 Florida HFA (FHA),
6.35%, 6/1/14 1,169,651
Aa AA 2,500 Florida HFA (AMT),
6.35%, 7/1/28 2,546,575
Aaa NR 910 Hillsborough County HFA
SFMR (GNMA), (AMT),
7.875%, 5/1/23 965,301
NR AAA 1,695 Orange County HFA SFMR
(GNMA), (AMT), 7.375%,
9/1/24 1,780,987
Aaa NR 12,000 Orange County HFA SFMR
(GNMA), (AMT), 6.85%,
10/1/27 12,483,840
NR AAA 8,000 Orange County HFA SFMR
(GNMA), (AMT), 6.60%,
4/1/28 8,200,720
Aaa NR 845 Palm Beach County HFA
SFMR (GNMA), 7.60%,
3/1/23 887,394
Aaa NR 1,455 Polk County HFA SFMR
(GNMA), 7.15%, 9/1/23 1,524,753
Baa BBB 1,400 Puerto Rico Urban
Renewal & Housing Corp,
7.875%, 10/1/04 1,538,908
Aaa AAA 770 Puerto Rico Housing
Finance Corp SFMR
(GNMA), 7.65%, 10/15/22 810,372
-------------
$ 81,577,458
-------------
INDUSTRIAL
DEVELOPMENT/POLLUTION
CONTROL REVENUE - 1.9%
Baa1 NR $ 2,000 Escambia County Champion
International (AMT),
6.40%, 9/1/30 $ 2,011,440
NR NR 6,000 NJ EDA-Holt Hauling
Project (AMT), 9.75%,
12/15/16 6,174,720
Baa1 BBB+ 3,000 Puerto Rico Port
Authority Revenue,
6.25%, 6/1/26 3,034,350
-------------
$ 11,220,510
-------------
INSURED HEALTHCARE -
0.1%
Aaa AAA $ 500 Alachua County Health
Facility, Mental Health
Services Project (CGIC),
7.75%, 7/1/10 $ 557,225
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITAL - 6.8%
Aaa AAA $ 8,000 Charlotte County Health
Care, Bon-Secours Health
System Project (FSA),
Variable, 8/30/27 (1) $ 8,138,080
Aaa AAA 23,355 Jacksonville, Health
Authority, Daughters of
Charity (MBIA), 5.00%,
11/15/15 21,464,647
Aaa AAA 2,000 Lee County, Memorial
Hospital (MBIA),
Variable, 4/1/20 (1) 2,228,860
Aaa AAA 5,265 Orange County Health
Facilities Finance
Authority, Pooled
Hospital Loan
Program-Orlando Regional
Medical Center & Indian
River Memorial Hospital
(FGIC), 7.875%, 12/1/25 5,496,449
Aaa AAA 3,000 Orange County Health
Facilities Authority
(MBIA), Variable,
10/1/21 (1) 3,320,370
-------------
$ 40,648,406
-------------
INSURED HOUSING - 2.7%
Aaa AAA $ 1,205 Brevard County HFA SFMR
(FSA), 7.00%, 3/1/13 $ 1,266,708
Aaa AAA 1,720 Duval County HFA SFMR
(FGIC), 7.35%, 7/1/24 1,843,771
Aaa AAA 6,530 Florida HEFA, Maitland
Club Apartment Project
(AMBAC) (AMT), 6.875%,
8/1/26 6,806,088
Aaa AAA 3,000 Florida HFA, Brittany of
Rosemont Project (AMBAC)
(AMT), 6.875%, 8/1/26 3,115,290
Aaa AAA 2,675 Lee County SCA MFMR
(FSA) (AMT), 7.05%,
1/1/30 2,797,676
-------------
$ 15,829,533
-------------
INSURED IDR/PCR - 1.5%
Aaa AAA $ 8,200 Citrus County PCR
(MBIA), 6.35%, 2/1/22 $ 8,616,396
-------------
INSURED MISCELLANEOUS - 0.5%
Aaa AAA $ 2,000 Escambia County (MBIA),
7.20%, 1/1/15 $ 2,134,080
Aaa AAA 799 Osceola County IDA
Community Provider
Pooled Loan Program,
(CGIC), 7.75%, 7/1/10 846,093
-------------
$ 2,980,173
-------------
</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>
INSURED SOLID WASTE - 0.3%
Aaa AAA $ 1,500 St. John's County Solid
Waste Disposal (FGIC),
7.25%, 11/1/10 $ 1,664,595
-------------
INSURED SPECIAL TAX
REVENUE - 2.8%
Aaa AAA $ 3,835 Dade, Professional
Sports Franchise (MBIA),
0%, 10/1/23 $ 804,430
Aaa AAA 2,250 Dade, Convention Center
(AMBAC), 5.00%, 10/1/35 2,004,548
Aaa AAA 1,000 City of Jacksonville
(FGIC) (AMT), 0%,
10/1/10 448,650
Aaa AAA 1,000 City of Jacksonville
(FGIC) (AMT), 0%,
10/1/11 420,610
Aaa AAA 2,000 City of Jacksonville
(FGIC) (AMT), 0%,
10/1/12 787,860
Aaa AAA 1,185 City of Opa-Locka
(FGIC), 7.0%, 1/1/14 1,338,588
Aaa AAA 5,000 St. Petersburg Excise
Tax (FGIC), 5.00%,
10/1/16 4,579,950
Aaa AAA 2,000 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/10 915,800
Aaa AAA 1,760 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/12 709,667
Aaa AAA 2,840 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/14 1,022,201
Aaa AAA 4,000 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/15 1,347,720
Aaa AAA 4,140 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/16 1,317,264
Aaa AAA 2,525 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/17 758,687
-------------
$ 16,455,975
-------------
INSURED TRANSPORTATION - 6.7%
Aaa AAA $ 4,000 Dade County Aviation
Facilities (MBIA) (AMT),
6.55%, 10/1/13 $ 4,288,880
Aaa AAA 2,150 Dade County Aviation
Facilities (MBIA) (AMT),
6.60%, 10/1/23 2,298,157
Aaa AAA 5,775 Dade County Aviation
Facilities (MBIA) (AMT),
6.00%, 10/1/24 5,853,829
Aaa AAA 8,455 Florida State Turnpike
Authority (FGIC), 6.35%,
7/1/22 8,835,136
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 8,600 Greater Orlando Aviation
Authority, Orlando
Airport Facilities
(FGIC), (AMT), 6.375%,
10/1/21 (2) 8,979,690
Aaa AAA 10,170 Orlando & Orange County
Expressway Authority
(FGIC), 5.125%, 7/1/20 9,413,250
-------------
$ 39,668,942
-------------
INSURED UTILITIES - 3.8%
Aaa AAA $ 8,000 Florida Municipal Power
Agency Stanton II
Project (AMBAC), 4.50%,
10/1/27 $ 6,453,200
Aaa AAA 7,770 Florida Municipal Power
Agency Stanton II
Project (AMBAC), 4.50%,
10/1/16 6,649,333
Aaa AAA 4,000 Lakeland Electric &
Water (FGIC), 6.00%,
10/1/13 4,264,720
Aaa AAA 1,540 Manatee County Public
Utility (FGIC), 0%,
10/1/12 617,109
Aaa AAA 2,150 Puerto Rico Electric
Power Authority (FSA),
Variable, 7/1/02 (1) 2,308,605
Aaa AAA 2,200 Puerto Rico Electric
Power Authority (FSA),
Variable, 7/1/03 (1) 2,385,790
-------------
$ 22,678,757
-------------
INSURED WATER & SEWER - 4.2%
Aaa AAA $11,450 Broward County Water &
Sewer (AMBAC), 5.125%,
10/1/15 $ 10,729,910
Aaa AAA 9,500 Dade County Water and
Sewer System (FGIC),
5.00%, 10/1/13 8,909,955
Aaa AAA 2,000 City of Fort Myers
Utility (FGIC), 5.00%,
10/1/16 1,845,420
Aaa AAA 4,000 Sanford Water and Sewer
(AMBAC), 4.50%, 10/1/21 3,350,520
-------------
$ 24,835,805
-------------
LIFE CARE - 1.2%
NR NR $ 6,895 Atlantic Beach, Fleet
Landing Project, 8.00%,
10/1/24 $ 7,144,737
-------------
NURSING HOMES - 4.3%
NR NR $ 300 Broward County
Industrial Development
Authority, Beverly
Enterprises-Florida,
Inc. Project, 9.80%,
11/1/10 $ 332,166
NR NR 450 Charlotte County
Industrial Development
Authority, Beverly
Enterprises, 10.00%,
6/1/11 507,812
</TABLE>
37
<PAGE> 9
FLORIDA 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>
NURSING HOMES - (CONTINUED)
NR NR 6,520 Citrus County Industrial
Development Authority,
Beverly Enterprises,
7.25%, 4/1/03 6,597,784
NR AAA 4,285 Dade, IDA-Club Care
Center Project (GNMA)
6.60%, 1/20/18 4,399,410
NR AAA 5,075 Dade, IDA-Gramercy Park
Nursing Care Project
(FHA) 6.60%, 8/1/23 5,315,352
NR NR 2,045 Highlands County
Industrial Development
Authority, Beverly
Enterprises-Florida,
Inc. Project, 9.25%,
7/1/07 2,250,073
Baa1 NR 3,750 Jacksonville,
Health-Cypress Village
Project, 7.00%, 12/01/22 3,900,525
NR NR 410 Okaloosa County, Beverly
Enterprises, 10.75%,
10/1/03 436,087
NR NR 680 Orange County Industrial
Development Authority,
Beverly Enterprises,
9.25%, 8/1/10 749,496
NR NR 1,000 Winter Garden, Beverly
Enterprises, 8.75%,
7/1/12 1,089,190
-------------
$ 25,577,895
-------------
POOLED LOANS - 0.9%
NR NR $ 5,000 Osceola County, IDA
Community Pooled Loan,
7.75%, 7/1/17 $ 5,052,700
-------------
SOLID WASTE - 0.7%
A A $ 3,745 Broward County Waste
Energy Company, L.P.
North Project, 7.95%,
12/1/08 $ 4,125,155
-------------
SPECIAL TAX REVENUE - 7.7%
A1 A+ $ 8,020 Orange County 5.375%,
1/1/24 $ 7,462,129
A1 NR 3,000 City of Orlando, 6.00%,
10/1/22 3,047,850
Baa1 A 7,410 Puerto Rico Highway &
Transportation
Authority, 5.50%, 7/1/19 7,085,368
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 10,135 Puerto Rico Highway &
Transportation
Authority, 5.00%, 7/1/22 8,995,117
Baa1 A 10,560 Puerto Rico Highway &
Transportation
Authority, 5.25%, 7/1/21 9,735,897
Baa1 A 4,750 Puerto Rico Highway &
Transportation
Authority, 5.00%, 7/1/36 4,148,745
Baa1 A 5,750 Puerto Rico Highway &
Transportation
Authority, 5.50%, 7/1/36 5,465,605
-------------
$ 45,940,711
-------------
TRANSPORTATION - 1.7%
NR NR $10,140 Mid-Bay Bridge
Authority, 6.125%,
10/1/22 $ 10,157,238
-------------
UTILITIES - 12.9%
Aa AA $ 7,125 Gainesville Utility
System, 5.20%, 10/1/22 $ 6,718,519
NR BBB 27,825 Guam Power Authority,
5.25%, 10/1/23 24,283,156
Aa1 AA 34,005 Jacksonville Electric
Authority, Bulk Power
Supply System, Scherer 4
Project, 5.25%, 10/1/21 31,892,948
Aa1 AA 2,850 Orlando Utilities
Commission Water and
Electric, 5.125%,
10/1/19 2,627,729
Aa AA- 1,750 Orlando Utilities
Commission Water and
Electric, 5.25%, 10/1/23 1,623,983
Aa AA- 2,965 Orlando Utilities
Commission Water and
Electric, 5.50%, 10/1/26 2,847,349
Baa1 BBB+ 6,000 Puerto Rico Electric
Power Authority, 0%,
7/1/17 1,749,540
Baa1 BBB+ 185 Puerto Rico Electric
Power Authority, 7.125%,
7/1/14 198,205
A1 AA 2,515 St. Lucie County Solid
Waste Disposal, Florida
Power & Light Company
(AMT), 6.70%, 5/1/27 2,644,196
NR NR 2,000 Virgin Islands Water &
Power Authority, 7.40%,
7/1/11 2,117,680
-------------
$ 76,703,305
-------------
</TABLE>
38
<PAGE> 10
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER - 0.4%
Baa1 BBB+ $ 2,500 Hillsborough County
Utility, 6.625%, 8/1/11 $ 2,636,250
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $560,837,654) $ 595,519,806
=============
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has 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 Florida
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1996, 43.9% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 0.2% to 13.4% of total investments.
See notes to financial statements
39
<PAGE> 11
Massachusetts Municipals Portfolio
Portfolio of Investments - September 30, 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 - 3.6%
Aa1 AA+ $ 1,625 Massachusetts Health and
Educational Facilities
Authority, HEFA, Amherst
College, 6.80%, 11/1/21 $ 1,757,096
A1 A+ 250 Massachusetts HEFA,
Tufts University, 7.75%,
8/1/13 269,148
NR BBB- 3,690 Massachusetts HEFA,
Merrimack College,
7.125%, 7/1/12 3,808,656
Aa1 AA 1,000 Massachusetts HEFA,
Williams College, 5.75%,
7/1/19 1,010,110
Aa1 AA+ 1,000 Massachusetts HEFA,
Wellesley College,
5.375%, 7/1/19 953,870
A1 NR 2,000 New England Educational
Loan Marketing
Corporation, (AMT),
6.90%, 11/1/09 2,137,020
-------------
$ 9,935,900
-------------
ESCROWED - 1.4%
NR AAA $10,000 Massachusetts General
Obligation Federal
Assisted Housing,
Section 8, 0%, 2/1/23 $ 1,786,500
Baa1 AAA 1,900 Puerto Rico Aqueduct and
Sewer Authority,
Prerefunded to 7/1/98,
7.00%, 7/1/19 2,030,416
-------------
$ 3,816,916
-------------
GENERAL OBLIGATIONS - 6.4%
Baa1 NR $ 1,000 City of Lowell, 6.375%,
8/15/01 $ 1,060,880
A1 A+ 3,400 Commonwealth of
Massachusetts, 5.00%,
1/1/12 3,152,854
A1 A+ 4,265 Massachusetts Bay
Transportation Authority
(MBTA), 5.50%, 3/1/21 4,045,523
A1 A+ 1,000 MBTA, 5.90%, 3/1/12 1,020,180
NR BBB 2,145 Government of Guam,
5.40%, 11/15/18 1,944,550
A NR 3,375 Town of Nantucket,
6.80%, 12/1/11 3,693,870
Baa1 A 100 Puerto Rico Public
Buildings Authority,
5.50%, 7/1/21 94,570
A1 A+ 250 University of
Massachusetts Building
Authority, 7.20%, 5/1/04 282,750
NR NR 2,350 Virgin Islands Public
Finance Authority,
7.25%, 10/1/18 2,500,635
-------------
$ 17,795,812
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
HEALTH CARE - 1.3%
NR AA $ 1,485 Massachusetts HEFA,
(FHA), Deutsches
Altenheim, 7.70%,
11/1/31 $ 1,592,217
NR AAA 2,100 Massachusetts Industrial
Finance Agency, IFA,
Heights Crossing, (AMT),
6.15%, 2/1/35 2,101,470
-------------
$ 3,693,687
-------------
HOSPITALS - 11.8%
A A $ 3,000 Massachusetts HEFA,
Charlton Memorial
Hospital, 7.25%, 7/1/13 $ 3,187,530
A1 A+ 530 Massachusetts HEFA,
Spaulding Rehabilitation
Hospital, 7.625%, 7/1/21 560,157
Baa1 BBB+ 2,000 Massachusetts HEFA, New
England Baptist
Hospital, 7.35%, 7/1/17 2,118,720
Aa NR 3,100 Massachusetts HEFA,
Daughters of Charity
Health System, 6.10%,
7/1/14 3,161,194
Baa BBB 5,025 Massachusetts HEFA,
Sisters of Providence
Health System, 6.50%,
11/15/08 5,030,779
Baa BBB 2,085 Massachusetts HEFA,
Sisters of Providence
Health System, 6.625%,
11/15/22 2,070,697
NR A- 1,020 Massachusetts HEFA,
Jordan Hospital, 6.875%,
10/1/15 1,059,627
NR A- 2,870 Massachusetts HEFA,
Jordan Hospital, 6.875%,
10/1/22 2,981,500
Baa BB 5,500 Massachusetts HEFA,
Milford-Whitinsville
Hospital, 7.75%, 7/15/17 5,730,010
NR BBB- 2,600 Massachusetts HEFA,
North Adams Hospital,
6.625%, 7/1/18 2,557,022
NR NR 9,000 Massachusetts IFA,
Biomedical Research
Corporation, 0%, 8/1/09 4,051,349
-------------
$ 32,508,585
-------------
HOUSING - 14.3%
NR AAA $ 2,750 Framingham Housing
Authority, (GNMA),
6.65%, 2/20/32 $ 2,802,800
A1 A+ 5,855 Massachusetts Housing
Finance Agency, HFA,
6.375%, 4/1/21 5,894,931
Aa A+ 400 Massachusetts HFA,
7.35%, 12/1/16 422,956
Aaa AAA 2,750 Massachusetts HFA,
(FNMA), 6.90%, 11/15/21 2,918,245
</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>
HOUSING - (CONTINUED)
Aaa AAA 1,000 Massachusetts HFA,
(FNMA), 6.875%, 11/15/11 1,073,290
Aa A+ 2,795 Massachusetts HFA,
(AMT), 7.125%, 6/1/25 2,924,464
Aa A+ 1,500 Massachusetts HFA,
(AMT), 8.10%, 12/1/21 1,588,230
Aa A+ 2,195 Massachusetts HFA,
(AMT), 8.10%, 6/1/20 2,305,276
Aa A+ 7,250 Massachusetts HFA,
(AMT), 6.60%, 12/1/26 7,437,919
Aa A+ 6,400 Massachusetts HFA,
(AMT), 6.60%, 12/1/26 6,565,888
Aa A+ 5,500 Massachusetts HFA,
(AMT), 6.60%, 12/1/24 5,647,565
-------------
$ 39,581,564
-------------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL - 4.2%
NR NR $ 2,075 Massachusetts IFA,
Hingham Water Company,
(AMT), 6.60%, 12/1/15 $ 2,124,115
NR NR 3,000 Massachusetts IFA,
Hingham Water Company,
(AMT), 6.90%, 12/1/29 3,081,840
A1 AA- 1,550 Puerto Rico Industrial,
Medical and
Environmental Pollution
Control Authority, The
Upjohn Company, 7.50%,
12/1/23 1,688,524
Baa3 BB+ 1,000 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.30%,
6/1/23 1,012,520
Baa3 BB+ 3,750 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.25%,
6/1/26 3,792,938
-------------
$ 11,699,937
-------------
INSURED EDUCATION - 4.0%
Aaa AAA $ 315 Massachusetts
Educational Finance
Authority, (MBIA),
(AMT), 7.25%, 1/1/09 $ 332,360
Aaa AAA 2,000 Massachusetts
Educational Finance
Authority, (AMBAC),
(AMT), 7.375%, 1/1/12 2,121,840
Aaa AAA 250 Massachusetts HEFA,
Northeastern University,
(AMBAC), 7.50%, 10/1/08 268,828
Aaa AAA 400 Massachusetts HEFA,
Boston University
"RIBS", (MBIA),
Variable, 10/1/31 (1) 452,008
Aaa AAA 3,000 Massachusetts HEFA,
Tufts University,
(FGIC), 5.95%, 8/15/18 3,035,400
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
NR AAA 5,170 Massachusetts HEFA,
Wentworth Institute,
(CLEE), 5.50%, 10/1/23 4,806,963
-------------
$ 11,017,399
-------------
INSURED GENERAL OBLIGATIONS - 1.2%
Aaa AAA $ 1,795 City of Boston, (FSA),
4.875%, 9/1/09 $ 1,689,005
Aaa AAA 1,000 Commonwealth of Puerto
Rico "RIBS", (AMBAC),
Variable, 7/1/15 (1) 1,016,500
Aaa AAA 600 Town of Tyngsborough,
(AMBAC), 6.90%, 5/15/08 672,702
-------------
$ 3,378,207
-------------
INSURED HOSPITALS - 12.9%
Aaa AAA $ 750 Massachusetts HEFA,
Addison Gilbert
Hospital, (MBIA), 5.75%,
7/1/23 $ 730,943
Aaa AAA 300 Massachusetts HEFA,
Berkshire Health
Systems, (MBIA), 7.60%,
10/1/14 325,143
Aaa AAA 3,750 Massachusetts HEFA, Beth
Israel Hospital,
(AMBAC), Variable,
7/1/25 (1) 3,788,438
Aaa AAA 1,500 Massachusetts HEFA,
Capital Assist Program,
(MBIA), 7.20%, 7/1/09 1,623,780
Aaa AAA 2,050 Massachusetts HEFA,
Fallon Healthcare
System, (FSA), 6.75%,
6/1/20 (2) 2,259,654
Aaa AAA 2,500 Massachusetts HEFA,
Fallon Healthcare System
(FSA), 6.875%, 6/1/11 2,784,225
Aaa AAA 2,040 Massachusetts HEFA,
Beverly Hospital,
(MBIA), 7.30%, 7/1/13 2,208,565
Aaa AAA 500 Massachusetts HEFA,
Baystate Medical Center,
(FGIC), 5.00%, 7/1/20 448,730
Aaa AAA 3,000 Massachusetts HEFA, The
Medical Center of
Central Massachusetts,
(AMBAC), "CARS",
Variable, 6/23/22 (1) 3,363,270
Aaa AAA 2,000 Massachusetts HEFA, St.
Elizabeth Hospital
Issue, "LEVRRS", (FSA),
Variable, 8/15/21 (1) 2,274,120
Aaa AAA 2,600 Massachusetts HEFA,
Saint Luke's Hospital,
"Yield Curve Notes",
(MBIA), Variable,
8/15/23 (1) 2,542,150
</TABLE>
41
<PAGE> 13
MASSACHUSETTS 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 2,600 Massachusetts HEFA,
Saint Luke's Hospital,
"Yield Curve Notes",
(MBIA), Variable,
8/15/13 (1) 2,560,194
Aaa AAA 1,200 Massachusetts HEFA,
University Hospital,
(MBIA), 7.25%, 7/1/19 1,314,864
Aaa AAA 2,430 Massachusetts HEFA,
Lahey Clinic, (MBIA),
5.375%, 7/1/23 2,259,171
Aaa AAA 1,000 Massachusetts HEFA, New
England Medical Center,
(FGIC), 6.50%, 7/1/12 1,051,970
NR AAA 2,625 Massachusetts HEFA,
Winchester Hospital,
(CLEE), 5.75%, 7/1/14 2,570,453
NR AAA 3,650 Massachusetts HEFA,
Winchester Hospital,
(CLEE), 5.75%, 7/1/24 3,507,978
-------------
$ 35,613,648
-------------
INSURED HOUSING - 2.5%
Aaa AAA $ 2,500 Massachusetts HFA,
(AMT), (AMBAC), 6.40%,
12/1/15 $ 2,526,325
Aaa AAA 2,000 Massachusetts HFA,
(AMBAC), 6.45%, 1/1/36 2,063,880
Aaa AAA 2,225 Massachusetts HFA,
(AMT), (MBIA), 6.375%,
12/1/19 2,238,773
-------------
$ 6,828,978
-------------
INSURED TRANSPORTATION - 2.3%
Aaa AAA $ 5,860 Massachusetts Port
Authority, (AMT),
(FGIC), 7.50%, 7/1/20 $ 6,396,659
-------------
INSURED UTILITY - 2.0%
Aaa AAA $ 5,610 Massachusetts Municipal
Wholesale Electric
Company, (MBIA), 6.00%,
7/1/18 $ 5,655,385
-------------
LEASE/CERTIFICATE OF
PARTICIPATION - 3.5%
NR A- $ 7,800 Plymouth County,
Massachusetts
Correctional Facility
Project, 7.00%, 4/1/22 $ 8,549,346
NR BBB 1,200 Puerto Rico Industrial,
Tourist, Educational,
Medical and
Environmental Control
Authority, Guaynabo
Lease, 5.625%, 7/1/22 1,095,912
-------------
$ 9,645,258
-------------
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
NURSING HOMES - 2.2%
NR NR $ 2,400 Massachusetts HEFA,
Fairview Care
Facilities, 10.25%,
1/1/21 $ 2,717,400
NR NR 3,225 Massachusetts IFA, Age
Institute of
Massachusetts, 8.05%,
11/1/25 3,234,740
-------------
$ 5,952,140
-------------
SOLID WASTE - 0.5%
NR NR $ 1,245 City of Pittsfield,
Vicon Recovery
Associates Project,
7.95%, 11/1/04 $ 1,295,236
-------------
SPECIAL TAX REVENUE - 2.8%
A1 AA $ 3,000 Commonwealth of
Massachusetts, 6.00%,
6/1/13 $ 3,047,070
A1 AA- 4,560 Commonwealth of
Massachusetts, 5.80%,
6/1/14 4,579,654
-------------
$ 7,626,724
-------------
TRANSPORTATION - 8.3%
NR BBB $ 5,950 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 6,058,409
Aa AA- 9,800 Massachusetts Port
Authority, 6.00%, 7/1/23 9,938,572
A1 A+ 7,750 Massachusetts Turnpike
Authority, 5.00%, 1/1/20 6,837,438
-------------
$ 22,834,419
-------------
UTILITIES - 5.7%
NR BBB $ 2,765 Guam Power Authority,
5.25%, 10/1/23 $ 2,413,043
Baa BBB+ 3,500 Massachusetts Municipal
Wholesale Electric
Company, 6.75%, 7/1/11 3,682,385
Baa BBB+ 9,060 Massachusetts Municipal
Wholesale Electric
Company, 6.625%, 7/1/18 9,577,779
Baa1 BBB+ 150 Puerto Rico Electric
Power Authority, 5.50%,
7/1/20 142,739
-------------
$ 15,815,946
-------------
WATER & SEWER - 9.1%
Baa1 BBB $12,185 City of Boston
Massachusetts Harbor
Electric Energy Company
Project, (AMT), 7.375%,
5/15/15 $ 13,112,888
</TABLE>
42
<PAGE> 14
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER - (CONTINUED)
A A 1,500 MWRA, 5.25%, 3/1/13 1,423,980
A A 5,175 MWRA, 5.00%, 3/1/22 4,609,010
A A 4,165 MWRA, 5.25%, 12/1/15 3,957,162
NR NR 2,000 Virgin Islands Water and
Power Authority, 7.60%,
1/1/12 2,150,401
-------------
$ 25,253,441
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $259,784,548) $ 276,345,841
=============
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has 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 Massachusetts
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1996, 22.6% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 0.6% to 8.1% of total investments.
See notes to financial statements
43
<PAGE> 15
Mississippi Municipals Portfolio
Portfolio of Investments - September 30, 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>
ESCROWED - 2.0%
Aaa NR $ 1,500 Mississippi Housing
Finance Corporation,
SFMR, (AMT), 0%, 6/1/15 $ 502,230
-----------
EDUCATION - 1.9%
NR A $ 470 University of
Mississippi Educational
Building Athletic
Facility, 6.20%, 6/1/16 $ 478,150
-----------
GENERAL OBLIGATIONS - 4.7%
Aa AA- $ 200 State of Mississippi,
5.10%, 11/15/12 $ 190,686
Aa AA- 500 State of Mississippi,
6.75%, 12/1/14 545,750
Baa1 A 500 Puerto Rico Aquaduct and
Sewer Authority, 5.00%,
7/1/19 451,525
-----------
$ 1,187,961
-----------
HOSPITAL - 3.7%
A NR $ 1,000 Mississippi Hospital
Equipment & Facilities
Authority, Rankin
Medical Center, 5.60%,
3/1/19 $ 931,220
-----------
HOUSING - 10.4%
Aa NR $ 500 Hinds County, Woodridge
Apartments, (FHA) 6.25%,
11/1/27 $ 506,484
Aaa NR 945 Mississippi Home
Corporation, SFMR,
Access Program, (AMT),
(GNMA) 8.125%, 12/1/24 1,044,320
Aaa NR 460 Mississippi Home
Corporation, SFMR,
Access Program, (AMT),
(GNMA) 8.10%, 12/1/24 508,420
Aaa NR 500 Mississippi Home
Corporation, SFMR,
Access Program, (AMT),
(GNMA) 6.00%, 12/1/27 538,280
-----------
$ 2,597,504
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 12.6%
NR A- $ 400 Jackson County,
International Paper
Company, (AMT), 5.55%,
10/1/17 $ 385,596
A2 A 1,000 Lowndes County,
Weyerhaeuser Company,
6.80%, 4/1/22 1,119,320
NR AA- 500 Mississippi Business
Finance Corp., (AMT),
7.15%, 5/1/16 (2) 545,725
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa3 BB+ 490 Commonwealth of Puerto
Rico, Port American
Airlines, 6.25%, 6/1/26 495,611
A3 A- 600 Warren County,
International Paper
Company, (AMT), 6.60%,
3/1/19 615,846
-----------
$ 3,162,098
-----------
INSURED EDUCATION - 4.2%
Aaa AAA $ 1,000 Mississippi Educational
Facilities Authority,
Milsaps College, (MBIA)
6.50%, 11/1/19 $ 1,063,780
-----------
INSURED GENERAL OBLIGATIONS - 5.7%
Aaa AAA $ 500 Hinds County, (MBIA)
6.25%, 3/1/11 $ 535,405
Aaa AAA 1,000 Desoto County School
District, (MBIA) 4.75%,
2/1/13 892,980
-----------
$ 1,428,385
-----------
INSURED HOSPITALS - 18.2%
Aaa AAA $ 750 Alcorn County, Magnolia
Regional Health Center,
(AMBAC) 5.75%, 10/1/13 $ 753,023
Aaa AAA 1,000 City of Gulfport,
Gulfport Memorial
Hospital, (MBIA) 6.20%,
7/1/18 1,042,950
Aaa AAA 1,275 Hinds County,
Mississippi Methodist
Hospital, (AMBAC) 5.60%,
5/1/12 1,265,769
Aaa AAA 1,000 Mississippi Hospital
Equipment and Facilities
Authority, Mississippi
Baptist Medical Center,
(MBIA) 6.00%, 5/1/13 1,025,920
Aaa AAA 500 Mississippi Development
Bank, Adams County
Hospital, 5.75%, 7/1/16 493,560
-----------
$ 4,581,222
-----------
INSURED HOUSING - 2.1%
Aaa NR $ 500 Mississippi Home
Corporation, SFMR,
(AMT), (GNMA) 6.625%,
4/1/27 $ 516,990
-----------
INSURED LEASE/CERTIFICATE OF
PARTICIPATION - 4.0%
Aaa AAA $ 1,000 Medical Center Building
Corporation, University
of Mississippi Medical
Center, (MBIA) 5.80%,
12/1/14 $ 1,002,190
-----------
</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>
INSURED UTILITIES - 6.5%
Aaa AAA $ 1,250 Jackson County, Gautier
Utility District, (MBIA)
6.375%, 3/1/12 $ 1,310,338
Aaa AAA 300 Puerto Rico, Electric
Power Authority, (FSA),
Variable 7/1/03 (1) 325,335
-----------
$ 1,635,673
-----------
INSURED WATER & SEWER - 2.0%
Aaa AAA $ 500 City of Natchez,
Combined Water and Sewer
System, (MBIA) 5.70%,
8/1/17 $ 495,740
-----------
HEALTH CARE - 2.0%
NR NR $ 300 Mississippi Business
Finance Corporation,
Magnolia Healthcare,
7.99%, 7/1/25 $ 296,610
NR NR 200 City of Ridgeland Urban
Renewal, The Orchard,
LTD., 7.75%, 12/1/15 202,346
-----------
$ 498,956
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 7.9%
NR A $ 1,000 Mississippi Development
Bank, Golden Triangle
Solid Waste, 6.00%,
7/01/15 $ 981,150
A NR 1,000 Mississippi University
Educational Building
Corp., Facilities
Renovation, 6.15%,
6/15/15 1,014,670
-----------
$ 1,995,820
-----------
SPECIAL TAX - 4.6%
Baa1 A $ 1,000 Puerto Rico, Highway and
Transportation
Authority, 5.25%, 7/1/21 $ 921,960
Baa1 A 250 Puerto Rico, Highway and
Transportation
Authority, 5.50%, 7/1/36 237,633
-----------
$ 1,159,593
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - 7.5%
NR BBB $ 810 Guam Power Authority,
6.625%, 10/1/14 $ 839,630
Baa3 NR 1,000 Warren County,
Mississippi Power &
Light Company Project,
7.00%, 4/1/22 1,053,090
-----------
$ 1,892,720
-----------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $23,820,442) $ 25,130,232
===========
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has 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 Mississippi
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1996, 51.1% 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 1.3% to 29.3% of total investments.
See notes to financial statements
45
<PAGE> 17
New York Municipals Portfolio
Portfolio of Investments - September 30, 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 - 0.3%
NR NR $ 1,970 Village of North
Syracuse Housing
Authority, (AJM Senior
Housing, Inc. Janus Park
Project), 8.00%, 6/1/24 $ 1,959,007
------------
EDUCATION - 15.1%
A NR $ 1,000 Dutchess County IDA,
Bard College, 7.00%,
11/1/17 $ 1,084,560
A1 NR 6,170 Monroe County IDA,
Wilmur Assoc., 7.25%,
12/1/16 6,378,855
Baa BBB- 1,660 City of New Rochelle IDA
Civic Facilities,
College of New Rochelle,
6.75%, 7/1/22 1,698,877
Baa1 BBB+ 1,300 Dormitory Authority,
State University
Educational Facilities,
7.50%, 5/15/11 1,518,517
Aaa AA+ 6,895 Dormitory Authority,
State University
Educational Facilities,
4.75%, 7/1/14 6,140,825
Aa AA 2,650 Dormitory Authority,
Vassar College, 5.00%,
7/1/15 2,452,178
Baa1 BBB+ 415 Dormitory Authority,
State University
Educational Facilities,
7.375%, 5/15/14 452,421
Baa1 BBB+ 9,850 Dormitory Authority,
State University
Educational Facilities,
5.25%, 5/15/15 9,089,875
Baa1 BBB+ 24,605 Dormitory Authority,
State University
Educational Facilities,
5.25%, 5/15/19 22,505,701
Baa1 BBB+ 6,805 Dormitory Authority,
State University
Educational Facilities,
5.25%, 5/15/21 6,160,430
NR AA 1,300 Dormitory Authority, New
York Medical College
(Asset Guaranty),
6.875%, 7/1/21 1,402,570
Baa1 BBB+ 32,000 Dormitory Authority,
State University
Educational Facilities,
5.50%, 5/15/13 30,751,680
------------
$ 89,636,489
------------
ELECTRIC UTILITIES - 4.5%
A1 A $ 2,500 New York State Energy
Research & Development
Authority, Brooklyn
Union Gas (RIBS)(AMT),
Variable, 7/1/26 (1) $ 2,952,600
A1 A+ 500 New York State Energy
Research & Development
Authority, Consolidated
Edison (AMT), 7.75%,
1/1/24 524,500
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 A+ 2,365 New York State Energy
Research & Development
Authority, Consolidated
Edison (AMT), 7.50%,
7/1/25 2,537,148
A1 A+ 1,000 New York State Energy
Research & Development
Authority, Consolidated
Edison (AMT), 7.50%,
1/1/26 1,076,510
Aa AA- 17,445 Power Authority of the
State of New York,
5.25%, 1/1/18 16,280,023
NR NR 3,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 3,176,520
------------
$ 26,547,301
------------
ESCROWED - 9.6%
Aaa AAA $ 725 Albany Municipal Water
(MBIA), 7.50%, 12/1/17 $ 787,915
Aaa BBB 1,000 Dormitory Authority,
City University, 7.625%,
7/1/20 1,123,410
Aaa BBB+ 1,530 Dormitory Authority,
State University
Educational Facilities,
7.70%, 5/15/12 1,717,670
Baa1 BBB+ 2,000 Dormitory Authority,
State University
Educational Facilities,
5.50%, 5/15/19 1,891,120
Baa1 BBB- 2,250 Dormitory Authority,
Upstate Community
College, 7.20%, 7/1/21 2,527,718
Baa1 NR 2,000 Dormitory Authority,
Upstate Community
College, 7.30%, 7/1/21 2,255,280
Aaa AAA 500 Erie County Water
Authority, Water Works
System, (AMBAC) 6.00%,
12/1/08 531,960
Aaa AAA 500 Metropolitan
Transportation Authority
Commuter Facilities
Bonds, 7.50%, 7/1/19 557,455
Aaa AAA 1,000 New York Local
Government Assistance
Corporation (LGAC),
7.00%, 4/1/16 1,112,750
Aaa AAA 1,500 New York, LGAC, 6.75%,
4/1/21 1,670,610
Aaa BBB 1,000 New York State Housing
Finance Agency (HFA),
Service Contracts,
7.80%, 9/15/01 1,143,750
Aaa AAA 1,775 New York State HFA,
Service Contracts,
7.375%, 9/15/21 2,028,452
</TABLE>
46
<PAGE> 18
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
ESCROWED - (CONTINUED)
Aaa BBB+ 90 New York State Medical
Care Facilities Finance
Agency, (MCFFA), Mental
Health Services
Facilities, 7.75%,
8/15/10 100,586
Aaa AAA 450 New York State MCFFA,
Mental Health Services
Facilities, 7.875%,
8/15/08 510,889
Aaa AAA 3,320 New York State MCFFA,
Mental Health Services
Facilities, 7.50%,
2/15/21 3,751,135
Aaa NR 8,100 New York State Urban
Development Corporation
(UDC) Correctional
Facilities, 6.50%,
1/1/21 8,686,521
Baa1 BBB 4,750 New York State Thruway
Authority, Local Highway
and Bridge Service
Contract Bonds, 7.25%,
1/1/10 (2) 5,288,650
Baa1 BBB 500 New York State UDC,
Alfred Technology,
7.875%, 1/1/20 559,015
Baa1 BBB 750 New York State UDC,
Clarkson Center, 7.80%,
1/1/20 852,308
Baa1 BBB 750 New York State UDC,
Clarkson Center, 8.00%,
1/1/20 854,903
Aaa AAA 5,350 New York State UDC,
Onondaga Co. Convention
Center, 7.875, 1/1/10 6,106,222
Aaa AAA 500 Oyster Bay (FGIC),
6.60%, 2/15/12 548,360
Aaa AAA 450 Oyster Bay (FGIC),
6.60%, 2/15/13 493,524
NR AA- 500 Power Authority of the
State of New York,
8.00%, 1/1/17 532,560
NR AAA 1,760 Puerto Rico Highway &
Transportation
Authority, 6.625%,
7/1/18 1,958,282
Baa1 AAA 3,750 Puerto Rico Aqueduct &
Sewer Authority, 7.875%,
7/1/17 4,062,113
Baa1 AAA 4,840 Puerto Rico Highway and
Transportation
Authority, 6.625%,
7/1/18 5,385,274
------------
$ 57,038,432
------------
GENERAL OBLIGATIONS - 1.3%
Baa1 BBB+ $ 120 New York City, 8.25%,
11/15/16 $ 137,923
Baa1 BBB+ 4,000 New York City, 7.50%,
2/1/18 4,394,040
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
Aa AA 1,700 Onondaga County, 5.875%,
2/15/11 1,776,381
Aa AA 1,600 Onondaga County, 5.875%,
2/15/12 1,654,832
------------
$ 7,963,176
------------
HEALTH CARE - 16.8%
NR AAA $ 6,705 Dormitory Authority,
United Health Services,
FHA Insured Mortgage,
7.35%, 8/1/29 $ 7,222,760
NR AA 1,000 Dormitory Authority, St.
Johns, FHA Insured
Nursing Home 6.05%,
2/1/16 1,019,610
Baa1 BBB+ 10,000 Dormitory Authority,
Mental Health Facilities
5.375%, 2/15/26 8,964,200
Aa AA 750 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.35%, 2/15/29 805,725
NR AAA 3,395 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.125%, 2/15/14 3,513,248
NR AA 9,000 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.70%, 8/15/23 9,458,640
Aa AA 6,600 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.20%, 2/15/31 7,132,422
Aa AA 1,500 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.95%, 2/15/32 1,597,650
Aa AA 2,190 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.00%, 8/15/32 2,350,220
Aa AA 1,050 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.75%, 2/15/12 1,116,119
Aa AA 1,000 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.55%, 8/15/12 1,044,180
NR AA+ 2,670 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.10%, 8/15/15 2,720,169
Aa AA 3,500 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.20%, 8/15/14 3,619,700
</TABLE>
47
<PAGE> 19
NEW YORK 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>
HEALTH CARE - (CONTINUED)
Aa AA 6,550 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.25%, 8/15/15 6,781,805
Aa AA 6,625 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.20%, 8/15/15 6,798,244
Aa AA 950 New York State MCFFA,
Insured Mortgage Project
(FHA), 7.45%, 8/15/31 1,038,388
Baa1 BBB+ 1,610 New York State MCFFA,
Mental Health Services
Facilities, 7.625%,
8/15/17 1,797,951
Baa1 BBB+ 145 New York State MCFFA,
Mental Health Services
Facilities, 7.75%,
8/15/10 159,326
Baa1 BBB+ 495 New York State MCFFA,
Mental Health Services
Facilities, 7.875%,
8/15/08 552,237
Baa1 BBB+ 1,230 New York State MCFFA,
Mental Health Services
Facilities, 7.50%,
2/15/21 1,360,823
Baa NR 5,540 New York State MCFFA,
Secured Hospital, 7.35%,
8/15/11 5,929,296
Baa BBB 19,700 New York State MCFFA,
Secured Hospital
(Brookdale), 6.80%,
8/15/12 20,500,214
Baa1 BBB+ 4,785 New York State MCFFA,
Mental Health Services
Facilities, Series 1994
A, 5.25%, 8/15/23 4,199,220
------------
$ 99,682,147
------------
HOSPITALS - 0.8%
Aa AAA $ 1,500 Dormitory Authority,
Long Island Jewish
Medical Center (FHA),
7.75%, 8/15/27 $ 1,588,305
NR AAA 1,000 Dormitory Authority, St.
Francis Hospital (FHA),
7.65%, 8/1/30 1,101,470
Baa1 BBB+ 1,800 Syracuse Industrial
Development Agency
(IDA), St. Joseph's
Hospital Health Center,
7.50%, 6/1/18 1,909,800
------------
$ 4,599,575
------------
HOUSING - 5.9%
NR NR $ 4,662 New York City Housing
Development Corporation
(HDC), Allerville
Project, 6.50%, 11/15/18 $ 4,772,466
NR NR 2,044 New York City HDC,
Dayton Project, 6.50%
11/15/18 2,068,286
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
NR AAA 2,550 New York City HDC,
Multi-Unit Management,
7.35%, 6/1/19 2,683,620
Baa A 4,750 New York City HDC,
General Housing, 6.50%,
5/1/22 4,750,000
Aa AAA 235 New York State Housing
Finance Agency, Baytown,
7.10%, 8/15/35 248,942
Aa NR 510 New York State Mortgage
Agency, 7.70%, 10/1/12 545,924
Aa NR 8,750 New York State Mortgage
Agency, 6.90%, 4/1/15 9,316,563
Aa NR 500 New York State Mortgage
Agency, 6.65%, 4/1/22 518,770
Aa NR 1,000 New York State Mortgage
Agency, 7.50%, 4/1/15 1,081,050
Aa NR 1,600 New York State Mortgage
Agency (AMT), 7.95%,
10/1/21 1,712,832
Aa NR 6,350 New York State Mortgage
Agency (AMT), 6.40%,
10/1/20 6,433,122
Baa BBB 350 Puerto Rico Commonwealth
Urban Renewal & Housing
Corporation, 7.875%,
10/1/04 384,727
Aaa AAA 365 Puerto Rico Housing
Financial Corporation
Single-Family (GNMA),
7.65%, 10/15/22 384,137
------------
$ 34,900,439
------------
INDUSTRIAL DEVELOPMENT
REVENUE - 0.5%
Baa3 BB+ $ 2,800 Port Authority of New
York and New Jersey,
Delta Airlines LaGuardia
Airport, 6.95%, 6/1/08 $ 2,983,932
------------
INSURED COLLEGES &
UNIVERSITIES - 0.4%
Aaa AAA $ 2,000 Dormitory Authority, New
York University (MBIA),
5.00%, 7/1/11 $ 1,872,820
Aaa AAA 450 Dormitory Authority,
Colgate University
(MBIA), 6.00%, 7/1/16 471,843
------------
$ 2,344,663
------------
INSURED GENERAL OBLIGATION - 0.0%
Aaa AAA $ 1,035 Erie County Water
Authority (AMBAC), 0%,
12/1/17 $ 226,955
------------
</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>
INSURED GENERAL
OBLIGATIONS LOCAL - 1.7%
Aaa AAA $ 465 Chautauqua County
Unlimited Tax (FGIC),
7.30%, 4/1/07 $ 544,445
Aaa AAA 520 Chautauqua County
Unlimited Tax (FGIC),
6.40%, 9/15/08 571,594
Aaa AAA 770 Chautauqua County
Unlimited Tax (FGIC),
6.40%, 9/15/09 843,304
Aaa AAA 725 Jamestown, (Secondary
AMBAC), 7.00%, 3/15/07 831,684
Aaa AAA 600 Jamestown, (Secondary
AMBAC), 7.00%, 3/15/08 688,920
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/09 809,585
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/10 811,986
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/11 813,687
Aaa AAA 675 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/12 785,639
Aaa AAA 675 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/13 786,078
Aaa AAA 515 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/14 599,671
Aaa AAA 2,000 New York City (AMBAC),
7.00%, 8/1/17 2,218,080
------------
$ 10,304,673
------------
INSURED GENERAL
OBLIGATIONS SCHOOL
DISTRICT - 0.3%
Aaa AAA $ 700 Bethlehem Central School
District (AMBAC), 7.10%,
11/1/08 $ 814,709
Aaa AAA 700 Bethlehem Central School
District (AMBAC), 7.10%,
11/1/09 814,135
------------
$ 1,628,844
------------
INSURED GENERAL
OBLIGATIONS (TERRITORY) - 0.8%
Aaa AAA $ 4,500 Commonwealth of Puerto
Rico Public Improvement
Residual Interest Tax
Exempt Securities (FSA),
Variable, 7/1/22 (1) $ 4,628,340
------------
INSURED HEALTH CARE - 3.5%
Aaa AAA $12,630 New York State Dormitory
Authority, Mental Health
Facilities (MBIA)
5.125%, 8/15/21 $ 11,622,758
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,500 New York State MCFFA,
Long Term Health Care
(FSA), 6.80%, 11/1/14 1,602,690
Aaa AAA 1,300 New York State MCFFA,
New York Hospital FHA
Insured Mortgage
(AMBAC), 6.60%, 2/15/11 1,419,522
Aaa AAA 5,400 New York State MCFFA,
New York Hospital FHA
Insured Mortgage
(AMBAC), 6.75%, 8/15/14 5,889,240
------------
$ 20,534,210
------------
INSURED HOUSING - 0.1%
Aaa AAA $ 500 New York City HDC,
Charter Oaks (MBIA),
7.375% 4/1/17 $ 518,075
------------
INSURED MISCELLANEOUS - 0.1%
Aaa AAA $ 500 New York City IDA, (USTA
National Tennis Center
Incorporated Project)
(FSA), 6.375%, 11/15/14 $ 530,770
------------
INSURED MUNICIPAL
ELECTRIC - 2.0%
Aaa AAA $12,150 New York State Energy
Research & Development
Authority, Brooklyn
Union Gas, (MBIA),
5.50%, 1/1/21 $ 11,815,997
------------
INSURED SOLID WASTE - 1.5%
Aaa AAA $ 1,650 Dutchess County Resource
Recovery Solid Waste
(FGIC), 7.50%, 1/1/09 $ 1,788,666
Aaa AAA 6,795 Islip Resource Recovery
Agency (MBIA), 6.50%,
7/1/09 7,390,106
------------
$ 9,178,772
------------
INSURED TOLL & TURNPIKE - 1.1%
NR AAA $ 3,000 Triborough Bridge &
Tunnel Authority,
(TBTA), Residual
Interest Tax Exempt
Securities (MBIA),
Variable, 1/1/19 (1) $ 3,042,750
Aaa AAA 3,000 TBTA, Residual Interest
Tax Exempt Securities
(AMBAC) Variable, 1/1/12
(1) 3,221,730
------------
$ 6,264,480
------------
INSURED UTILITY OTHER - 0.8%
Aaa AAA $ 5,000 Puerto Rico Telephone
Authority, (MBIA),
Variable, 1/25/07 (1) $ 4,954,050
------------
</TABLE>
49
<PAGE> 21
NEW YORK 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 WATER & SEWER - 0.0%
Aaa AAA $ 275 Albany Municipal Water
Financial Authority
(MBIA), 7.50%, 12/1/17 $ 295,243
------------
LEASE/CERTIFICATE OF
PARTICIPATION - 11.2%
Baa1 BBB $ 5,100 Dormitory Authority,
City University, 7.00%,
7/1/09 $ 5,655,084
Baa1 BBB 4,325 Dormitory Authority,
City University, 7.50%,
7/1/10 4,978,681
Baa1 BBB 15,815 Dormitory Authority,
City University, 5.75%,
7/1/13 15,612,726
Baa1 BBB 5,500 Dormitory Authority,
City University, 5.625%,
7/1/16 5,305,740
Baa1 BBB+ 13,380 New York State HFA
Health Facilities,
6.00%, 5/1/06 13,505,237
Baa1 BBB 250 Dormitory Authority,
City University, 6.375%,
7/1/08 260,895
NR BBB 5,865 New York State Thruway
Authority, 0%, 1/1/01 4,648,951
NR BBB 2,350 New York State Thruway
Authority, 0%, 1/1/03 1,649,418
Baa1 BBB 12,200 New York State UDC,
5.70%, 4/1/20 11,861,694
A A 1,825 Syracuse - Hancock
International Airport,
6.625%, 1/1/12 1,913,914
NR BBB 1,000 Dormitory Authority,
City University,
(Cross-over Refunded
'98) 8.125%, 7/1/08 1,083,850
------------
$ 66,476,190
------------
MISCELLANEOUS - 1.7%
Aa AA- $ 200 City of New York
Municipal Assistance
Corporation, 7.50%,
7/1/08 $ 213,778
Aa AA- 485 City of New York
Municipal Assistance
Corporation, 7.625%,
7/1/08 519,420
Aa AA- 635 City of New York
Municipal Assistance
Corporation, 7.625%,
7/1/08 695,655
NR NR 1,300 New York City IDA, (YMCA
of Greater New York),
8.00%, 8/1/16 1,385,787
Aaa AAA 7,000 VRDC-IVRC Trust, (NY
MTA), Variable, 6/26/02
(1) 7,128,450
------------
$ 9,943,090
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
SOLID WASTE - 2.1%
A NR $ 2,665 Hempstead IDA Resource
Recovery, American
Refunding Fuel
Co.,7.40%, 12/1/10 $ 2,727,494
Baa NR 9,530 New York State EFC
Resource Recovery,
Huntington Project,
7.50%, 10/1/12 10,033,184
------------
$ 12,760,678
------------
SPECIAL TAX REVENUE - 11.8%
A A $ 4,750 New York State LGAC,
5.25%, 4/1/16 $ 4,516,395
A A 5,225 New York State LGAC,
5.50%, 4/1/17 5,118,096
A A 3,300 New York State LGAC,
6.875%, 4/1/19 3,594,459
A A 4,000 New York State LGAC,
5.50%, 4/1/21 3,834,000
A A 26,170 New York State LGAC,
5.00%, 4/1/23 23,288,945
A A 5,000 New York State LGAC,
5.00%, 4/1/21 4,528,700
A A 21,000 New York State LGAC,
5.00%, 4/1/21 18,766,860
NR BBB+ 2,630 New York State Municipal
Bond Bank Agency,
6.875%, 3/15/06 2,811,943
Baa1 BBB 3,335 TBTA, Convention Center,
6.00%, 1/1/11 3,382,524
------------
$ 69,841,922
------------
TRANSPORTATION - 2.7%
A1 AA- $ 1,500 Port Authority of New
York and New Jersey
(AMT), Variable, 1/15/27
(1) $ 1,551,960
Aa A+ 11,580 TBTA General Purpose,
5.50%, 1/1/17 11,592,854
Aa A+ 2,500 TBTA General Purpose,
6.125%, 1/1/21 2,676,125
------------
$ 15,820,939
------------
WATER & SEWER REVENUE - 3.4%
Aa A $11,050 New York State EFC,
State Water Pollution
Control, 6.875%, 6/15/10 $ 12,101,850
Aa A+ 4,545 New York State EFC,
State Water Pollution
Control, 7.20%, 3/15/11 4,948,323
</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>
WATER & SEWER REVENUE - (CONTINUED)
Aa A 2,750 New York State EFC,
State Water Pollution
Control, 7.00%, 6/15/12 3,030,912
Aa A 150 New York State EFC,
State Water Pollution
Control, 7.50%, 6/15/12 165,705
------------
$ 20,246,790
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $559,321,735) $ 593,625,179
============
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has 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 York
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1996, 22.5% 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 0.1% to 9.9% of total investments.
See notes to financial statements
51
<PAGE> 23
Ohio Municipals Portfolio
Portfolio of Investments - September 30, 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 - 6.3%
A A+ $ 1,000 University of
Cincinnati, 6.50%,
12/1/11 $ 1,033,880
A1 AA- 650 University of
Cincinnati, 6.50%,
6/1/11 687,635
Aa AA- 550 Ohio State Higher
Educational Facilities,
Case Western University,
6.50%, 10/1/20 614,114
NR AAA 1,500 Ohio Higher Educational
Facilities, Ohio
Northern University
(CLEE), 5.60%, 5/1/13 1,490,325
A1 NR 7,000 Ohio State Student Loan
Funding Corp (AMT),
6.10%, 8/1/07 7,053,550
A1 NR 7,000 Ohio State Student Loan
Funding Corp (AMT),
6.10%, 8/1/08 7,014,700
-------------
$ 17,894,204
-------------
ESCROWED - 2.5%
NR NR $ 1,650 Cuyahoga County-Judson
Retirement Community,
8.875%, 11/15/19 $ 1,900,685
NR BBB+ 1,000 Lucas County, Flowers
Hospital, 6.125%,
12/01/13 1,088,240
A AAA 2,760 Middleburg Heights
Hospital-Southwest
General, 6.75%, 8/15/21 3,066,553
Baa1 NR 1,000 Scioto City Ohio, 7.15%,
8/1/11 1,117,210
-------------
$ 7,172,688
-------------
GENERAL OBLIGATIONS - 7.6%
NR NR $ 3,035 Belmont County, 7.30%,
12/1/17 $ 3,198,465
NR NR 2,450 Cleveland City School
District, 7.25%, 6/15/98 2,476,828
Aaa AAA 1,035 City of Columbus, 5.50%,
11/1/12 1,031,667
A1 NR 1,360 Copley-Fairlawn City
School District, 6.25%,
12/1/15 1,432,502
A1 NR 500 Huber Heights, Ohio,
6.75%, 12/1/11 542,250
A1 NR 725 City of Medina, Ohio
Fire Station
Improvement, 3.00%,
12/1/10 530,142
Aa AA 1,500 Ohio State
Infrastructure
Improvement, 0%, 8/1/11 654,690
Baa1 A 2,500 Puerto Rico Public
Building Authority,
6.00%, 7/1/12 2,508,475
NR NR 1,000 Tuscarawas Public
Library Improvement,
6.90%, 12/1/11 1,073,440
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa NR 1,000 Youngstown, Ohio, 7.55%,
12/1/11 1,098,920
NR NR 6,855 Youngstown, Ohio, 7.35%,
6/15/05 7,318,055
-------------
$ 21,865,434
-------------
HOSPITALS - 22.6%
NR AAA $ 1,000 Allen County Ohio, LIMA
Convalescent Home
Foundation (GNMA),
6.40%, 1/1/21 $ 1,025,460
Baa BBB- 1,000 Butler County, Hamilton-
Hughe Hospital, 7.50%,
1/1/10 1,050,250
NR BBB 1,000 Cambridge Ohio, Guernsey
Memorial Hospital,
8.00%, 12/1/11 1,070,480
A1 A 2,100 Cuyahoga County,
Fairview General
Hospital, 6.25%, 8/15/10 2,156,154
A1 A 2,370 Cuyahoga County, Meridia
Health System, 7.00%,
8/15/23 2,496,108
A1 A 2,000 Cuyahoga County, Meridia
Health System, 6.50%,
8/15/12 2,047,400
Aa AA 750 Cuyahoga County,
University Hospitals
Health System, 6.50%,
1/15/19 779,835
Aa AA 4,450 Cuyahoga County,
University Hospitals
Health System, 6.00%,
1/15/22 4,507,049
NR BBB+ 4,130 Defiance Hospital, Inc.,
7.625%, 11/1/03 4,215,698
Baa BBB- 765 East Liverpool City
Hospital-Series A,
8.00%, 10/1/21 807,167
Baa BBB- 1,000 East Liverpool City
Hospital-Series B,
8.00%, 10/1/21 1,055,120
A A 4,000 Erie County, Firelands
Community Hospital,
6.75%, 1/1/08 4,228,960
Aa NR 2,000 Franklin County,
Children's Hospital,
5.75%, 11/1/20 1,981,880
Aa NR 3,000 Franklin County,
Children's Hospital,
6.60%, 5/1/13 3,170,670
A A 1,015 City of Garfield
Heights, Marymount
Hospital, 6.65%,
11/15/11 1,055,488
A A 1,000 City of Garfield
Heights, Marymount
Hospital, 6.70%,
11/15/15 1,043,070
Aa2 NR 1,000 Hamilton County, Wesley
Hall Project, 6.50%,
3/1/15 1,045,320
A1 A 5,115 Hamilton County,
Bethesda Hospital, Inc.,
6.25%, 1/1/12 5,203,234
</TABLE>
52
<PAGE> 24
- --------------------------------------------------------------------------------
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)
A1 A+ 1,095 Lorain County, Humility
of Mary Health Care
Corp., 7.125%, 12/15/06 1,190,911
A1 A+ 1,000 Lorain County, Humility
of Mary Health Care
Corp., 7.20%, 12/15/11 1,075,410
A1 A+ 5,900 Lorain County, Humility
of Mary Health Care
Corp., 5.90%, 12/15/08 6,060,833
NR A+ 1,750 Lorain County, Lakeland
Community Hospital,
Inc., 6.50%, 11/15/12 1,800,890
Baa BBB 3,800 Miami, Upper Valley
Medical Center, 6.375%,
5/15/26 3,752,310
NR AAA 500 Muskingham County-
Bethesda Care System
(CLEE), 5.40%, 12/1/16 468,465
NR NR 10,000 Mt Vernon, Knox
Community Hospital,
7.875%, 6/1/12 10,305,300
Aa2 NR 600 Warren County, Otterbein
Home Project, 7.20%,
7/1/11 656,298
-------------
$ 64,249,760
-------------
HOUSING - 11.9%
Aa NR $ 1,300 City of Clermont,
Laurels Project (FHA),
6.00%, 9/1/20 $ 1,306,877
Aa NR 1,000 Franklin County,
Hamilton Creek
Apartments (FHA), (AMT),
5.80%, 7/1/14 959,280
Aa NR 3,645 Franklin County,
Hamilton Creek
Apartments (FHA), (AMT),
5.55%, 7/1/24 3,297,085
Aa NR 2,500 Franklin County MFMR-
Tuttle Park Project
(FHA), (AMT), 6.50%,
3/1/26 2,586,875
Aa NR 5,985 Franklin County MFMR-
Tuttle Park Project
(FHA), (AMT), 6.60%,
3/1/36 6,209,018
NR NR 3,000 Lucas County, County
Creek Project (AMT),
8.00%, 7/1/26 2,850,120
NR AAA 3,490 Ohio HFA, (GNMA), (AMT),
6.375%, 3/1/25 3,503,715
NR AAA 4,735 Ohio HFA, (GNMA), (AMT),
6.70%, 3/1/25 4,865,639
NR AAA 1,250 Ohio HFA, MFMR-Asbury
Woods (FHA), 7.00%,
10/1/24 1,280,550
Aa NR 1,950 Ohio HFA, Oakleaf
Village Project, (FHA),
5.70%, 9/1/26 1,848,308
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
Aa NR 1,000 Ohio HFA, Aristocrat
South Board & Care
Project (FHA), (AMT),
7.30%, 8/1/31 1,034,720
Aaa AAA 985 Ohio HFA SFMR,
(GNMA) (AMT), Variable,
3/31/31 (1) 1,047,390
A1 A+ 500 Ohio Building Authority
Juvenile Correctional
Building, 5.80%, 10/1/07 511,810
Baa BBB 2,925 Puerto Rico Urban
Renewal & Housing, 0%,
10/01/99 2,530,271
-------------
$ 33,831,658
-------------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL REVENUE - 11.8%
Aa NR $ 2,000 Cuyahoga, IDR-Chippewa
Place Project, 6.60%,
8/1/15 $ 2,095,520
Baa1 NR 3,750 Ohio Air Quality
Development Authority,
Ashland Oil Inc, 6.85%,
4/1/10 3,995,550
NR A- 575 Ohio IDR, Enterprise
Bond Fund, Burrows Paper
Corp. (AMT), 7.625%,
6/1/11 634,507
NR A- 285 Ohio IDR, Enterprise
Bond Fund, Cheryl & Co.,
(AMT), 5.50%, 12/1/04 286,838
NR A- 530 Ohio IDR, Enterprise
Bond Fund, Cheryl & Co.,
(AMT), 5.90%, 12/1/09 538,856
NR A- 1,735 Ohio IDR, Enterprise
Bond Fund, Consolidated
Biscuit, (AMT), 7.00%,
12/1/09 1,936,121
NR A- 3,345 Ohio IDR, Enterprise
Bond Fund, J J & W LP
Project (AMT), 6.70%,
12/1/14 3,480,640
NR A- 750 Ohio IDR, Enterprise
Bond Fund, Luigino's
Inc. (AMT), 6.85%,
6/1/01 766,965
NR A- 850 Ohio IDR, Enterprise
Bond Fund, Progress
Plastic Products, (AMT),
6.80%, 12/1/01 920,771
NR A- 1,525 Ohio IDR, Enterprise
Bond Fund, Progress
Plastic Products, (AMT),
7.80%, 12/1/09 1,775,863
NR A- 680 Ohio IDR, Enterprise
Bond Fund, Royal
Appliance Manufacturing
Co., Series 1991 #9
(AMT), 7.625%, 12/1/11 755,664
</TABLE>
53
<PAGE> 25
OHIO 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/
POLLUTION CONTROL
REVENUE - (CONTINUED)
NR A- 1,000 Ohio IDR, Enterprise
Bond Fund, Royal
Appliance Manufacturing
Co., Series 1991 #5
(AMT), 7.625%, 12/1/11 1,111,270
NR A- 880 Ohio IDR, Enterprise
Bond Fund, VSM Corp.,
(AMT), 7.375%, 12/1/11 968,140
NR AA- 1,000 Ohio Pollution Control,
Standard Oil Company,
6.75%, 12/1/15 1,145,520
NR BB- 1,020 Ohio Economic
Development, KMART
Corp., 6.75%, 5/15/07 1,008,505
NR NR 1,500 Ohio State Solid Waste-
Republic Engineering
Steel (AMT), 9.00%,
6/1/21 1,568,055
Baa2 BBB 3,990 Ohio Water Development
Authority, Union Carbide
Corp. Project, 5.50%,
1/15/07 3,931,187
Ba2 NR 1,500 Portage County, Kroger
Corporation, 7.25%,
7/1/99 1,566,615
Baa3 BB+ 4,000 Puerto Rico Port
Authority-American
Airlines (AMT), 6.25%,
6/1/26 4,045,800
Ba2 NR 1,000 Summit County, IDR-
Kroger Corporation,
6.85%, 7/1/99 1,035,900
-------------
$ 33,568,287
-------------
INSURED - EDUCATION - 0.4%
Aaa AAA $ 1,000 Ohio Higher Education,
University of Dayton
Project (FGIC), 5.80%,
12/1/14 $ 1,014,470
-------------
INSURED - GENERAL OBLIGATION - 2.6%
Aaa AAA $ 1,000 Hilliard Ohio School
District (FGIC), 5.00%,
12/1/20 $ 902,640
Aaa AAA 1,595 Marion County Local
School District (MBIA),
5.375%, 12/1/19 1,536,591
Aaa AAA 1,700 Puerto Rico (AMBAC),
Variable, 7/1/15 (1) 1,728,050
Aaa AAA 3,000 Puerto Rico (FSA),
Variable, 7/1/22 (1) 3,085,560
-------------
$ 7,252,841
-------------
INSURED - HEALTHCARE - 0.7%
Aaa AAA $ 1,945 Hamilton County, Sisters
of Charity Health Care
System (MBIA), 5.25%,
5/15/13 $ 1,845,649
-------------
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
INSURED - HOSPITAL - 12.5%
Aaa AAA $ 2,500 Akron, Bath and Copley
Townships Children's
Hospital Medical Center
of Akron, (AMBAC),
5.25%, 11/15/20 $ 2,334,750
Aaa AAA 1,000 Clermont County, Mercy
Health System (AMBAC),
Variable, 10/5/21 (1) 1,149,040
Aaa AAA 1,500 Cuyahoga County,
Fairview Hospital,
(MBIA), 5.50%, 8/15/19 1,417,905
Aaa AAA 2,750 Cuyahoga County,
Fairview Hospital,
(MBIA), 5.50%, 1/15/17 2,652,073
Aaa AAA 9,500 Franklin County,
Riverside United
Methodist (AMBAC),
5.75%, 5/15/20 9,426,470
Aaa AAA 3,325 Franklin County,
Riverside United
Methodist (MBIA), 5.75%,
5/15/20 3,320,478
Aaa AAA 2,750 Mansfield General
Hospital (AMBAC), 6.70%,
12/1/09 2,968,763
Aaa AAA 5,000 Middleburg Heights
Hospital-Southwestern
General (FSA), 5.75%,
8/15/21 4,960,350
Aaa AAA 1,000 Montgomery County, Ohio
Miami Valley Hospital,
(AMBAC), 6.25%, 11/15/16 1,046,500
Aaa AAA 6,565 Portage County, Robinson
Memorial Hospital,
(MBIA), 5.80%, 11/15/15 6,394,506
-------------
$ 35,670,835
-------------
INSURED - HOUSING - 1.0%
Aaa AAA $ 980 Ohio Capital Corporation
FHA Insured Mortgage
Loans, (MBIA), 7.25%,
7/1/24 $ 1,022,012
Aaa AAA 750 Ohio Capital Corporation
FHA Insured Mortgage
Loans, (MBIA), 6.50%,
1/1/25 767,108
Aaa AAA 1,100 Ohio Capital Corporation
MFMR-Horizon Apts.
(MBIA), 6.50%, 1/1/23 1,137,664
-------------
$ 2,926,784
-------------
INSURED - IDR/IDB - 2.6%
Aaa AAA $ 7,000 Ohio Air Quality
Development Authority,
JMG Funding, L.P.
Project, (AMBAC), (AMT),
6.375%, 1/1/29 $ 7,318,220
-------------
</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>
INSURED - LEASE - 0.2%
Aaa AAA $ 1,000 Ohio Higher Education,
University of Dayton,
(FGIC), 0%, 12/1/06 $ 591,200
-------------
INSURED - SPECIAL TAX REVENUE - 0.5%
Aaa AAA $ 2,110 Hudson Local School
District, (FGIC), 0%,
12/15/09 $ 1,033,605
Aaa AAA 1,000 Hudson Local School
District, (FGIC), 0%,
12/15/10 460,880
-------------
$ 1,494,485
-------------
INSURED - UTILITIES - 2.2%
Aaa AAA $ 1,650 Cleveland Public Power
System, (MBIA), 7.00%,
11/15/17 $ 1,815,792
Aaa AAA 2,000 Cuyahoga County Medical
Center Utility System
(AMT) (MBIA), 6.10%,
8/15/15 2,029,960
Aaa AAA 2,300 Puerto Rico Electric
Power Authority, (FSA),
Variable, 7/1/02 (1) 2,469,671
-------------
$ 6,315,423
-------------
LIFE CARE - 1.7%
Aa NR $ 1,995 Franklin County,
Kensington Place
Project, 6.75%,
1/1/34 (2) $ 2,056,945
Aa2 NR 1,000 Hamilton,
Hospital-Episcopal
Retirement Home, 6.80%,
1/1/08 1,085,900
NR BBB- 1,800 Marion, Health
Care-United Church Home,
6.30%, 11/15/15 1,768,464
-------------
$ 4,911,309
-------------
NURSING HOMES - 1.2%
NR NR $ 3,100 Green County-Fairview
Extended Care, 10.125%,
1/1/11 $ 3,508,208
-------------
SPECIAL TAX REVENUE - 3.7%
Baa1 A $ 3,000 Puerto Rico Highway &
Transportation
Authority, 6.625%,
7/1/12 $ 3,184,740
Baa1 A 5000 Puerto Rico Highway &
Transportation
Authority, 5.25%, 7/1/20 4,617,100
Baa1 A 3000 Puerto Rico Highway &
Transportation
Authority, 5.00%, 7/1/36 2,620,260
-------------
$ 10,422,100
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
TRANSPORTATION - 2.0%
NR BBB $ 5,630 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 5,732,577
-------------
UTILITIES - 5.0%
NR BBB $ 5,500 Guam Power Authority,
5.25%, 10/1/13 (3) $ 4,966,500
A1 A+ 1,935 Ohio State Air Quality
Development Authority,
6.10%, 9/1/30 1,970,352
Baa1 BBB+ 360 Puerto Rico Electric
Power Authority, 7.125%,
7/1/14 385,697
Baa1 BBB+ 20,165 Puerto Rico Electric
Power Authority, 0%,
7/1/17 5,879,913
NR NR 1,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,058,840
-------------
$ 14,261,302
-------------
WATER & SEWER REVENUE - 1.0%
NR NR $ 800 Mahoning Valley Sanitary
District, 7.80%,
12/15/08 $ 836,040
NR NR 950 Mahoning Valley Sanitary
District, 7.80%,
12/15/09 990,081
NR NR 1,000 City of Vermilion, Ohio
Water System, 7.25%,
8/15/15 1,070,350
-------------
$ 2,896,471
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $271,985,967) $ 284,743,905
===============
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has 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 Ohio
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1996, 31.5% 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 by financial
institution ranged from 1.1% to 9.1% of total investments.
See notes to financial statements.
55
<PAGE> 27
Rhode Island Municipals Portfolio
Portfolio of Investments - September 30, 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 - 5.2%
Aa1 AA $1,500 Rhode Island Health and
Educational Building
Corporation, Brown
University, 5.375%,
9/1/23 $ 1,413,585
A NR 750 Rhode Island Student Loan
Authority, (AMT), 5.60%,
12/1/12 715,433
------------
$ 2,129,018
------------
ELECTRIC UTILITY - 1.6%
Baa1 BBB+ $ 710 Puerto Rico Electric
Power Authority, 5.00%,
7/1/12 $ 655,259
------------
ESCROWED - 2.0%
Aaa AAA $ 550 Rhode Island Depositors
Economic Protection
Corporation, (MBIA),
5.25%, 8/1/21 $ 533,791
NR NR 270 Rhode Island Depositors
Economic Protection
Corporation, 5.75%,
8/1/21 268,210
------------
$ 802,001
------------
GENERAL OBLIGATIONS
(LOCAL) - 0.5%
Baa NR $ 210 West Warwick, 6.80%,
7/15/98 $ 212,986
------------
GENERAL OBLIGATIONS
(TERRITORY) - 4.4%
NR BBB $ 750 Government of Guam,
5.40%, 11/15/18 $ 679,913
Baa1 A 1,250 Puerto Rico Aqueduct &
Sewer Authority, 5.00%,
7/1/19 1,128,812
------------
$ 1,808,725
------------
HOSPITALS - 7.8%
NR AA $1,500 Rhode Island Health and
Educational Building
Corporation, Landmark
Medical Center, 5.875%,
10/1/19 $ 1,473,090
NR A 1,015 Rhode Island Health and
Educational Building
Corporation, Butler
Hospital, 5.125%, 1/1/08 965,316
Baa BBB 830 Rhode Island Health and
Educational Building
Corporation, Westerly
Hospital, 6.00%, 7/1/14 772,547
------------
$ 3,210,953
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - 16.3%
Aa AA+ $1,550 Rhode Island Housing and
Mortgage Finance
Corporation, (AMT),
6.60%, 10/1/25 $ 1,594,888
Aa AA+ 100 Rhode Island Housing and
Mortgage Finance
Corporation, (AMT),
6.70%, 10/1/12 104,458
Aa AA+ 270 Rhode Island Housing and
Mortgage Finance
Corporation, 6.70%,
10/1/14 283,130
Aa AA+ 875 Rhode Island Housing and
Mortgage Finance
Corporation, (AMT),
6.80%, 10/1/25 (2) 910,954
Aa AA+ 1,000 Rhode Island Housing and
Mortgage Finance
Corporation, (AMT),
7.10%, 10/1/23 1,038,970
Aa AA+ 2,000 Rhode Island Housing and
Mortgage Finance
Corporation, (AMT),
7.55%, 10/1/22 2,123,500
Aa AA+ 35 Rhode Island Housing and
Mortgage Finance
Corporation, (AMT),
7.875%, 10/1/22 36,608
Aa AA+ 500 Rhode Island Housing and
Mortgage Finance
Corporation, (MBIA),
6.20%, 10/1/06 515,915
Aa AA+ 95 Rhode Island Housing and
Mortgage Finance
Corporation, 6.85%,
4/1/27 99,188
------------
$ 6,707,611
------------
INDUSTRIAL DEVELOPMENT
REVENUE - 1.2%
Baa3 BB+ $ 500 Puerto Rico Port
Authority, American
Airlines, Inc. (AMT),
6.30%, 6/1/23 $ 506,260
------------
INSURED COLLEGES AND
UNIVERSITIES - 13.7%
Aaa AAA $1,000 Rhode Island Health and
Educational Building,
Providence College Issue
(MBIA), 5.60%, 11/1/15 $ 970,310
Aaa AAA 730 Rhode Island Health and
Educational Building,
Providence College Issue
(MBIA), 5.60%, 11/1/22 700,048
</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>
INSURED COLLEGES AND
UNIVERSITIES - (CONTINUED)
Aaa AAA 2,200 Rhode Island Health and
Educational Building,
University of Rhode
Island (MBIA), 5.25%,
9/15/23 2,005,366
NR AAA 500 Rhode Island Health and
Educational Building,
Johnson & Wales, (CLEE)
6.00%, 4/1/17 504,540
Aaa AAA 1,500 Rhode Island Health and
Educational Building,
RISD, (MBIA), 5.625%,
6/1/26 1,446,465
------------
$ 5,626,729
------------
INSURED GENERAL
OBLIGATIONS - 17.0%
Aaa AAA $1,500 Kent County Water
Authority, (MBIA), 6.35%,
7/15/14 $ 1,592,985
Aaa AAA 1,000 Rhode Island Depositors
Economic Protection
Corporation, (MBIA),
5.80%, 8/1/09 1,032,840
Aaa AAA 1,000 Rhode Island Depositors
Economic Protection
Corporation, 5.80%,
8/1/12 1,016,510
Aaa AAA 2,000 Rhode Island Clean Water
Revolving Fund Series A,
(MBIA), 5.875%, 10/1/15 2,017,280
Aaa AAA 1,480 Rhode Island Port
Authority and Economic
Development Corporation
Airport, (FSA), 5.25%,
7/1/23 1,329,291
------------
$ 6,988,906
------------
INSURED GENERAL OBLIGATIONS
(LOCAL) - 2.5%
Aaa AAA $1,000 Cranston, Rhode Island,
(MBIA), 6.10%, 6/15/15 $ 1,040,290
------------
INSURED GENERAL OBLIGATION
(TERRITORY) - 0.6%
Aaa AAA $ 250 Puerto Rico, Public
Improvement Bonds of
1992, Yield Curve Notes
(AMBAC), Variable, 7/1/15
(1) $ 254,125
------------
INSURED HOUSING - 6.2%
Aaa AAA $ 850 Providence Housing
Development Corporation
Mortgage, (Barbara Jordan
Apartments) (MBIA),
6.50%, 7/1/09 $ 880,915
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,075 Villa Excelsior Housing
Development Corporation
Mortgage (MBIA), 6.75%,
1/1/19 1,125,622
Aaa AAA 500 Villa Excelsior Housing
Development Corporation
Mortgage (MBIA), 6.85%,
1/1/24 525,305
------------
$ 2,531,842
------------
INSURED LEASE/CERTIFICATE OF
PARTICIPATION - 4.8%
Aaa AAA $ 800 City of Pawtucket, Public
Building Authority,
(FSA), 5.75%, 3/15/14 $ 805,184
Aaa AAA 590 Providence Rhode Island
Public Building
Authority, Feinstein
School (MBIA), 5.25%,
12/15/13 559,845
Aaa AAA 630 Providence Rhode Island
Public Building
Authority, Feinstein
School (MBIA), 5.25%,
12/15/14 596,723
------------
$ 1,961,752
------------
INSURED WATER & SEWER - 4.0%
Aaa AAA $ 350 Rhode Island Clean Water,
Water Pollution Control,
(MBIA), 5.40%, 10/1/15 $ 340,281
Aaa AAA 500 Rhode Island Clean Water,
Water Pollution Control
(MBIA), 5.85%, 10/1/09 511,000
Aaa AAA 750 Rhode Island Clean Water,
Safe Drinking Water
(AMBAC), 6.70%, 1/1/15 813,307
------------
$ 1,664,588
------------
INSURED SPECIAL TAX - 6.4%
Aaa AAA $3,000 Convention Center
Authority of Rhode
Island, (MBIA), 5.58%,
5/15/20 $ 2,651,130
------------
MISCELLANEOUS - 1.8%
Baa1 A- $ 230 Rhode Island Depositors
Economic Protection
Corporation, 5.75%,
8/1/21 $ 213,930
NR BBB 500 Guam Airport Authority,
(AMT), Series 93-B,
6.70%, 10/1/23 509,110
------------
$ 723,040
------------
</TABLE>
57
<PAGE> 29
RHODE ISLAND 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>
SPECIAL TAX - 4.0%
Baa BBB- $1,500 City of Providence,
Special Obligation Tax
Increment Bonds, 7.65%,
6/1/16 $ 1,637,236
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $40,355,643) $ 41,112,451
=============
</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.
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 Rhode Island
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1996, 54.1% 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 2.6% to 46.3% of total investments.
See notes to financial statements
58
<PAGE> 30
West Virginia Municipals Portfolio
Portfolio of Investments - September 30, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENT - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
ELECTRIC UTILITIES - 11.2%
NR BBB $ 750 Guam Power Authority,
5.25%, 10/1/13 $ 677,250
NR BBB 500 Guam Power Authority,
5.25%, 10/1/23 436,355
A2 A 2,000 Harrison, West Virginia
PCR (Monongahela Power
Company Harrison
Station), 6.75%, 8/1/24 2,105,380
A3 BBB+ 1,000 Mason, West Virginia PCR
(Appalachian Power Co.),
6.85%, 6/1/22 1,055,250
-------------
$ 4,274,235
-------------
ESCROWED - 2.0%
Aaa AAA $ 2,500 Kanawha-Putnam, West
Virginia Single Family
Mortgage (AMBAC), 0%,
12/1/16 $ 759,125
-------------
GENERAL OBLIGATION - 1.0%
NR BBB $ 400 Guam General Obligation,
5.375%, 11/15/13 $ 366,248
-------------
HOSPITALS - 10.6%
NR BBB+ $ 1,750 Berkeley, West Virginia
Building Commission
(City Hospital), 6.50%,
11/1/22 $ 1,758,592
Baa1 NR 350 Princeton, West Virginia
(Community Hospital),
6.00%, 5/1/18 330,600
A1 NR 1,000 West Virginia HFA
(Charleston Area Medical
Center), 6.50%, 9/1/23 1,041,920
A1 NR 875 West Virginia HFA
(Charleston Area Medical
Center), 6.50%, 9/1/16 914,585
-------------
$ 4,045,697
-------------
HOUSING - 1.2%
Aa1 AA+ $ 500 West Virginia Housing
Development Finance,
5.55%, 5/1/17 $ 472,455
-------------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION CONTROL
REVENUE - 20.2%
A2 A $ 2,000 Braxton, West Virginia
Solid Waste
(Weyerhaeuser) (AMT),
6.50%, 4/1/25 $ 2,053,520
NR A- 1,375 Jefferson, West Virginia
IDR (Royal Vendors,
Incorporated), (AMT),
5.90%, 8/1/04 1,397,233
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa2 BBB 300 Kanawha, West Virginia
IDR (Union Carbide
Chemicals and Plastics
Company), (AMT) 8.00%,
8/1/20 326,283
A2 NR 1,500 Puerto Rico IM&E
(American Home Products
Corporation), 5.10%,
12/1/18 1,371,570
Baa3 BB+ 1,025 Puerto Rico Port
Authority (American
Airlines) (AMT), 6.30%,
6/1/23 1,037,832
Baa3 BB+ 500 Puerto Rico Port
Authority (American
Airlines) (AMT), 6.25%,
6/1/26 505,724
NR NR 1,000 Upshur, West Virginia
Solid Waste (TJI
Project) (AMT), 7.00%,
7/15/25 1,029,590
-------------
$ 7,721,752
-------------
INSURED EDUCATION - 7.3%
Aaa AAA $ 1,150 West Virginia State
College System (AMBAC),
6.00%, 4/1/12, (2) $ 1,187,812
Aaa AAA 550 West Virginia State
University System
(AMBAC), 6.00%, 4/1/12 568,084
Aaa AAA 1,000 West Virginia State
University (Marshall
Library) (AMBAC), 5.75%,
4/1/16 1,003,120
-------------
$ 2,759,016
-------------
INSURED ELECTRIC UTILITIES - 6.1%
Aaa AAA $ 750 Marshall, West Virginia
PCR (Ohio Power Kammer
Plant) (MBIA), 5.45%,
7/1/14 $ 730,800
Aaa AAA 880 Mason, West Virginia PCR
(Ohio Power Company)
(AMBAC), 5.45%, 12/1/16 850,687
Aaa AAA 250 Puerto Rico Electric
Power Authority (FSA),
Variable, 7/1/03, (1) 271,113
Aaa AAA 500 Putnam, West Virginia
PCR (Appalachian Power
Company) (AMBAC), 5.45%,
6/1/19 480,475
-------------
$ 2,333,075
-------------
</TABLE>
59
<PAGE> 31
WEST VIRGINIA 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 GENERAL OBLIGATION - 6.8%
Aaa AAA $ 745 Berkeley, West Virginia
Board of Education
(FGIC), 4.125%, 6/1/10 $ 636,521
Aaa AAA 1,000 West Virginia (FGIC),
5.75%, 11/1/21 1,011,230
Aaa AAA 1,000 West Virginia (FGIC),
5.25%, 11/1/26 942,400
-------------
$ 2,590,151
-------------
INSURED HOSPITAL - 12.2%
Aaa AAA $ 1,100 West Virginia HFA
(Linked Bulls & Bears)
(MBIA), 6.10%, 1/1/18 $ 1,119,173
Aaa AAA 2,000 West Virginia HFA
(University Hospital)
(MBIA), 5.00%, 6/1/16 1,796,300
Aaa AAA 1,300 West Virginia HFA
(Cabell Huntington
Hospital) (AMBAC),
6.25%, 1/1/19 1,364,974
Aaa AAA 350 West Virginia HFA
(Charleston Area Medical
Center) (MBIA), 5.75%,
9/1/13 351,103
-------------
$ 4,631,550
-------------
INSURED TRANSPORTATION - 2.2%
Aaa AAA $ 1,250 West Virginia Parkways
Economic Development and
Tourism Authority
(FGIC), 0%, 5/15/04 $ 830,538
-------------
INSURED WATER & SEWER - 15.9%
Aaa AAA $ 1,250 Berkeley, West Virginia
Public Service District
Sewer (MBIA), 5.75%,
10/1/25 $ 1,248,238
NR AAA 500 Crab Orchard-MacArthur,
West Virginia Sewerage
(AMBAC), 5.50%, 10/1/25 480,414
Aaa AAA 750 Greenbrier, West
Virginia Public Service
District Sewer (MBIA),
5.625%, 10/1/19 739,058
Aaa AAA 500 Huntington, West
Virginia Sewerage System
(FSA), 5.375%, 11/1/23 469,180
500 Parkersburg, West
Virginia Waterworks and
Sewer (FSA), 5.80%,
9/1/19 502,100
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 2,000 West Virginia Water
Development (Loan
Program II) (FSA),
5.25%, 11/1/35 1,827,680
Aaa AAA 750 West Virginia Water
Development (Loan
Program II) (FSA),
6.00%, 11/1/14 772,238
-------------
$ 6,038,908
-------------
NURSING HOMES - 2.0%
NR NR $ 745 Kanawha, West Virginia
IDR (Beverly
Enterprises), 7.25%,
11/1/04 $ 754,365
-------------
SPECIAL TAX REVENUE - 1.3%
Baa1 A $ 500 Puerto Rico Highway and
Transportation
Authority, 5.50%, 7/1/15 $ 489,650
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $37,357,087) $ 38,066,765
=============
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has 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 West Virginia
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1996, 52.4% 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 9.0% to 17.6% of total investments.
See notes to financial statements
60
<PAGE> 32
Municipals Portfolios
Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $337,396,359 $560,837,654 $259,784,548 $23,820,442
Unrealized appreciation 25,997,282 34,682,152 16,561,293 1,309,790
------------ ------------ ------------ -----------
Total investments, at value (Note 1A) $363,393,641 $595,519,806 $276,345,841 $25,130,232
Cash 1,251,461 10,859,556 337 139,652
Receivable for daily variation margin on open
financial futures contracts (Note 1E) 84,375 223,875 78,469 5,906
Receivable for investments sold -- 13,871,030 -- 20,541
Interest receivable 5,874,698 13,150,484 5,203,030 472,839
Deferred organization expenses (Note 1D) 8,923 12,242 7,209 1,077
------------ ------------ ------------ -----------
Total assets $370,613,098 $633,636,993 $281,634,886 $25,770,247
------------ ------------ ------------ -----------
LIABILITIES:
Demand note payable (Note 5) $ -- $ -- $ 484,000 $ --
Payable for investments purchased -- 9,245,000 -- 488,071
Payable to affiliates --
Trustees' fees (Note 2) 4,213 5,213 3,712 417
Accrued expenses 18,690 12,779 17,938 2,198
------------ ------------ ------------ -----------
Total liabilities $ 22,903 $ 9,262,992 $ 505,650 $ 490,686
------------ ------------ ------------ -----------
NET ASSETS applicable to investors' interest in
Portfolio $370,590,195 $624,374,001 $281,129,236 $25,279,561
============ ============ ============ ===========
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $345,003,950 $591,109,319 $264,876,671 $23,998,544
Unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 25,586,245 33,264,682 16,252,565 1,281,017
------------ ------------ ------------ -----------
Total $370,590,195 $624,374,001 $281,129,236 $25,279,561
============ ============ ============ ===========
</TABLE>
See notes to financial statements
61
<PAGE> 33
FINANCIAL STATEMENTS (continued)
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $559,321,735 $271,985,967 $40,355,643 $37,357,087
Unrealized appreciation 34,303,444 12,757,938 756,808 709,678
------------ ------------ ----------- -----------
Total investments, at value (Note 1A) $593,625,179 $284,743,905 $41,112,451 $38,066,765
Cash 382,818 2,624,350 232,372 704,250
Receivable for daily variation margin on open
financial futures contracts (Note 1E) 145,969 76,500 13,500 11,250
Receivable for investments sold 80,000 50,041 -- --
Interest receivable 10,316,594 5,216,871 810,371 723,533
Deferred organization expenses (Note 1D) 8,608 5,345 1,107 1,105
------------ ------------ ----------- -----------
Total assets $604,559,168 $292,717,012 $42,169,801 $39,506,903
------------ ------------ ----------- -----------
LIABILITIES:
Payable to affiliates --
Trustees' fees (Note 2) $ 5,213 $ 3,713 $ 417 $ 417
Accrued expenses 24,435 42,483 2,205 5,695
------------ ------------ ----------- -----------
Total liabilities $ 29,648 $ 46,196 $ 2,622 $ 6,112
------------ ------------ ----------- -----------
NET ASSETS applicable to investors' interest in
Portfolio $604,529,520 $292,670,816 $42,167,179 $39,500,791
============ ============ =========== ===========
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $570,585,516 $280,397,239 $41,443,615 $38,876,976
Unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 33,944,004 12,273,577 723,564 623,815
------------ ------------ ----------- -----------
Total $604,529,520 $292,670,816 $42,167,179 $39,500,791
============ ============ =========== ===========
</TABLE>
See notes to financial statements
62
<PAGE> 34
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Year Ended September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $25,401,268 $41,738,135 $18,541,089 $1,654,970
----------- ----------- ----------- ----------
Expenses --
Investment adviser fee (Note 2) $ 1,942,811 $ 3,123,150 $ 1,343,099 $ 55,976
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 17,811 20,749 15,864 1,623
Custodian fee (Note 1J) 173,498 208,454 136,510 16,731
Legal and accounting services 43,579 41,453 35,453 24,384
Bond pricing -- -- -- 5,597
Amortization of organization expenses (Note 1D) 5,640 8,853 5,223 623
Miscellaneous 54,538 133,570 67,101 3,417
----------- ----------- ----------- ----------
Total expenses $ 2,237,877 $ 3,536,229 $ 1,603,250 $ 108,351
----------- ----------- ----------- ----------
Deduct --
Reduction of investment adviser fee (Note 2) $ -- $ -- $ -- $ 27,990
Reduction of custodian fee (Note 1J) 41,453 208,454 28,177 8,361
----------- ----------- ----------- ----------
Total $ 41,453 $ 208,454 $ 28,177 $ 36,351
----------- ----------- ----------- ----------
Net expenses $ 2,196,424 $ 3,327,775 $ 1,575,073 $ 72,000
----------- ----------- ----------- ----------
Net investment income $23,204,844 $38,410,360 $16,966,016 $1,582,970
----------- ----------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 5,804,250 $ 7,700,894 $ 3,401,693 $ 358,232
Financial futures contracts (1,261,311) (1,995,643) (305,415) (51,938 )
----------- ----------- ----------- ----------
Net realized gain $ 4,542,939 $ 5,705,251 $ 3,096,278 $ 306,294
----------- ----------- ----------- ----------
Change in unrealized appreciation (depreciation) --
Investments $ 1,694,189 $ 874,146 $ (962,702) $ 147,107
Financial futures contracts (237,538) (1,417,469) (204,628) (1,013 )
----------- ----------- ----------- ----------
Net unrealized appreciation (depreciation) $ 1,456,651 $ (543,323) $(1,167,330) $ 146,094
----------- ----------- ----------- ----------
Net realized and unrealized gain $ 5,999,590 $ 5,161,928 $ 1,928,948 $ 452,388
----------- ----------- ----------- ----------
Net increase in net assets from
operations $29,204,434 $43,572,288 $18,894,964 $2,035,358
=========== =========== =========== ==========
</TABLE>
See notes to financial statements
63
<PAGE> 35
FINANCIAL STATEMENTS (continued)
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Year Ended September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ------------ -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $38,971,505 $19,254,005 $2,535,637 $ 2,312,518
----------- ----------- ---------- ----------
Expenses --
Investment adviser fee (Note 2) $ 2,932,032 $ 1,404,951 $ 108,803 $ 95,361
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 20,749 16,357 1,543 1,622
Custodian fee (Note 1J) 195,496 150,137 23,340 26,173
Interest expense (Note 5) -- 130,578 -- --
Legal and accounting services 41,684 36,530 24,437 24,430
Amortization of organization expenses (Note
1D) 6,313 3,971 637 633
Miscellaneous 83,059 20,008 10,971 17,951
----------- ----------- ---------- ----------
Total expenses $ 3,279,333 $ 1,762,532 $ 169,731 $ 166,170
----------- ----------- ---------- ----------
Deduct --
Reduction of investment adviser fee (Note 2) $ -- $ -- $ 53,561 $ --
Reduction of custodian fee (Note 1J) 169,999 47,356 11,507 15,840
----------- ----------- ---------- ----------
Total $ 169,999 $ 47,356 $ 65,068 $ 15,840
----------- ----------- ---------- ----------
Net expenses $ 3,109,334 $ 1,715,176 $ 104,663 $ 150,330
----------- ----------- ---------- ----------
Net investment income $35,862,171 $17,538,829 $2,430,974 $ 2,162,188
----------- ----------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) --
Investment transactions (identified cost
basis) $ 5,500,573 $ 2,797,956 $ 40,116 $ (141,935)
Financial futures contracts (1,445,211) (672,364) (167,078) 14,161
----------- ----------- ---------- ----------
Net realized gain (loss) $ 4,055,362 $ 2,125,592 $ (126,962) $ (127,774)
----------- ----------- ---------- ----------
Change in unrealized appreciation
(depreciation) --
Investments $ 2,600,470 $ 766,247 $ 705,345 $ 877,300
Financial futures contracts 3,422 (484,361) 4,227 (78,550)
----------- ----------- ---------- ----------
Net unrealized appreciation $ 2,603,892 $ 281,886 $ 709,572 $ 798,750
----------- ----------- ---------- ----------
Net realized and unrealized gain $ 6,659,254 $ 2,407,478 $ 582,610 $ 670,976
----------- ----------- ---------- ----------
Net increase in net assets from
operations $42,521,425 $19,946,307 $3,013,584 $ 2,833,164
=========== =========== ========== ==========
</TABLE>
See notes to financial statements
64
<PAGE> 36
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 23,204,844 $ 38,410,360 $ 16,966,016 $ 1,582,970
Net realized gain 4,542,939 5,705,251 3,096,278 306,294
Change in unrealized appreciation
(depreciation) 1,456,651 (543,323) (1,167,330 ) 146,094
------------- ------------- ------------ ------------
Net increase in net assets from
operations $ 29,204,434 $ 43,572,288 $ 18,894,964 $ 2,035,358
------------- ------------- ------------ ------------
Capital transactions --
Contributions $ 20,317,562 $ 35,149,563 $ 16,336,133 $ 1,623,996
Withdrawals (89,601,939) (166,550,986) (56,272,108 ) (7,372,753)
------------- ------------- ------------ ------------
Decrease in net assets resulting from
capital transactions $ (69,284,377) $(131,401,423) $(39,935,975 ) $(5,748,757)
------------- ------------- ------------ ------------
Total decrease in net assets $ (40,079,943) $ (87,829,135) $(21,041,011 ) $(3,713,399)
NET ASSETS:
At beginning of year 410,670,138 712,203,136 302,170,247 28,992,960
------------- ------------- ------------ ------------
At end of year $ 370,590,195 $ 624,374,001 $281,129,236 $25,279,561
============= ============= ============ ============
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 35,862,171 $ 17,538,829 $ 2,430,974 $ 2,162,188
Net realized gain (loss) 4,055,362 2,125,592 (126,962 ) (127,774)
Change in unrealized appreciation 2,603,892 281,886 709,572 798,750
------------- ------------- ------------ ------------
Net increase in net assets from
operations $ 42,521,425 $ 19,946,307 $ 3,013,584 $ 2,833,164
------------- ------------- ------------ ------------
Capital transactions --
Contributions $ 36,583,799 $ 11,748,362 $ 5,557,065 $ 3,463,423
Withdrawals (127,312,013) (58,040,501) (9,309,437 ) (7,630,857)
------------- ------------- ------------ ------------
Decrease in net assets resulting from
capital transactions $ (90,728,214) $ (46,292,139) $ (3,752,372 ) $(4,167,434)
------------- ------------- ------------ ------------
Total decrease in net assets $ (48,206,789) $ (26,345,832) $ (738,788 ) $(1,334,270)
NET ASSETS:
At beginning of year 652,736,309 319,016,648 42,905,967 40,835,061
------------- ------------- ------------ ------------
At end of year $ 604,529,520 $ 292,670,816 $ 42,167,179 $39,500,791
============= ============= ============ ============
</TABLE>
See notes to financial statements
65
<PAGE> 37
FINANCIAL STATEMENTS (continued)
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended September 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 26,176,138 $ 43,615,848 $ 17,915,854 $ 1,761,923
Net realized loss (23,050,795) (22,866,182) (15,667,434 ) (2,036,920)
Change in unrealized appreciation 33,475,523 54,420,669 23,987,414 3,242,877
------------- ------------- ------------ -----------
Net increase in net assets from
operations $ 36,600,866 $ 75,170,335 $ 26,235,834 $ 2,967,880
------------- ------------- ------------ -----------
Capital transactions --
Contributions $ 39,676,667 $ 64,327,943 $ 27,917,577 $ 4,982,661
Withdrawals (110,738,796) (199,418,295) (60,522,944 ) (8,434,232)
------------- ------------- ------------ -----------
Decrease in net assets resulting from
capital transactions $ (71,062,129) $(135,090,352) $(32,605,367 ) $(3,451,571)
------------- ------------- ------------ -----------
Total decrease in net assets $ (34,461,263) $ (59,920,017) $ (6,369,533 ) $ (483,691)
NET ASSETS:
At beginning of year 445,131,401 772,123,153 308,539,780 29,476,651
------------- ------------- ------------ -----------
At end of year $ 410,670,138 $ 712,203,136 $302,170,247 $28,992,960
============= ============= ============ ===========
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 38,506,539 $ 18,465,329 $ 2,410,958 $ 2,332,643
Net realized loss (19,277,660) (7,231,426) (1,392,005 ) (1,158,097)
Change in unrealized appreciation 43,043,554 20,963,434 2,874,743 2,810,543
------------- ------------- ------------ -----------
Net increase in net assets from
operations $ 62,272,433 $ 32,197,337 $ 3,893,696 $ 3,985,089
------------- ------------- ------------ -----------
Capital transactions --
Contributions $ 61,423,633 $ 24,237,228 $ 9,514,698 $ 3,302,492
Withdrawals (126,606,533) (61,829,470) (8,622,345 ) (6,925,830)
------------- ------------- ------------ -----------
Increase (decrease) in net assets
resulting from capital transactions $ (65,182,900) $ (37,592,242) $ 892,353 $(3,623,338)
------------- ------------- ------------ -----------
Total increase (decrease) in net
assets $ (2,910,467) $ (5,394,905) $ 4,786,049 $ 361,751
NET ASSETS:
At beginning of year 655,646,776 324,411,553 38,119,918 40,473,310
------------- ------------- ------------ -----------
At end of year $ 652,736,309 $ 319,016,648 $ 42,905,967 $40,835,061
============= ============= ============ ===========
</TABLE>
See notes to financial statements
66
<PAGE> 38
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA PORTFOLIO FLORIDA PORTFOLIO
-------------------------------------------- -----------------------------------------------
YEAR ENDED YEAR ENDED
-------------------------------------------- -----------------------------------------------
SEPTEMBER 30, MARCH 31, SEPTEMBER 30,
------------------------------ --------- -----------------------------------------------
1996 1995 1994**** 1994*** 1996 1995 1994 1993*
-------- -------- -------- --------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.57% 0.59% 0.57% + 0.55% + 0.52% 0.55% 0.48% 0.47%+
Net expenses after custodian
fee reduction 0.56% 0.58% -- -- 0.49% 0.52% -- --
Net investment income 5.93% 6.22% 6.09% + 5.72% + 5.67% 5.94% 5.65% 5.53%+
NET ASSETS, end of year (000
omitted) $370,590 $410,763 $445,131 $467,259 $624,374 $712,203 $772,123 $772,422
PORTFOLIO TURNOVER 14% 58% 40% 91% 51% 61% 57% 55%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MASSACHUSETTS PORTFOLIO MISSISSIPPI PORTFOLIO
-------------------------------------------- -----------------------------------------------
YEAR ENDED SEPTEMBER 30, YEAR ENDED SEPTEMBER 30,
-------------------------------------------- -----------------------------------------------
1996 1995 1994 1993* 1996 1995 1994 1993**
-------- -------- -------- --------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):++
Net expenses (1) 0.55% 0.56% 0.51% 0.49% + 0.29% 0.27% 0.05% 0.00%+
Net expenses after custodian
fee reduction 0.54% 0.53% -- -- 0.26% 0.23% -- --
Net investment income 5.77% 6.00% 5.74% 5.72% + 5.77% 5.97% 5.67% 4.49%+
NET ASSETS, end of year (000
omitted) $281,129 $302,170 $308,540 $290,613 $ 25,280 $ 28,993 $ 29,477 $ 11,233
PORTFOLIO TURNOVER 51% 87% 53% 38% 12% 52% 38% 11%
</TABLE>
++The operating expenses of the Mississippi Portfolio reflect a reduction of the
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
<TABLE>
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Expenses (1) 0.40% 0.39% 0.32% 0.25%+
Expenses after custodian fee reduction 0.37% 0.35% -- --
Net investment income 5.66% 5.85% 5.40% 4.24%+
+ Annualized.
* For the period from the start of business, February 1, 1993, to September 30, 1993.
** For the period from the start of business, June 11, 1993, to September 30, 1993.
*** For the period from the start of business, May 3, 1993 to March 31, 1994.
**** For the six months ended September 30, 1994. The Portfolio changed its fiscal year from March 31 to September 30,
effective September 30, 1994.
(1) The expense ratios for the years ended September 30, 1996 and 1995 have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require 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 September 30, 1994 have not been adjusted to reflect this change.
</TABLE>
See notes to financial statements
67
<PAGE> 39
FINANCIAL STATEMENTS (continued)
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK PORTFOLIO OHIO PORTFOLIO
-------------------------------------------- -----------------------------------------------
YEAR ENDED SEPTEMBER 30, YEAR ENDED SEPTEMBER 30,
-------------------------------------------- -----------------------------------------------
1996 1995 1994 1993** 1996 1995 1994 1993*
-------- -------- -------- --------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.52% 0.54% 0.48% 0.48% + 0.57% 0.57% 0.51% 0.49%+
Net expenses after custodian
fee reduction 0.49% 0.51% -- -- 0.56% 0.55% -- --
Net investment income 5.64% 5.97% 5.70% 5.64% + 5.69% 5.80% 5.61% 5.61%+
NET ASSETS, end of year (000
omitted) $604,530 $652,736 $655,647 $648,807 $292,671 $319,017 $324,412 $298,092
PORTFOLIO TURNOVER 47% 55% 47% 37% 35% 51% 31% 24%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RHODE ISLAND PORTFOLIO WEST VIRGINIA PORTFOLIO
-------------------------------------------- -----------------------------------------------
YEAR ENDED SEPTEMBER 30, YEAR ENDED SEPTEMBER 30,
-------------------------------------------- -----------------------------------------------
1996 1995 1994 1993** 1996 1995 1994 1993*
-------- -------- -------- --------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):++
Net expenses (1) 0.27% 0.29% 0.12% 0.00% + 0.42% 0.31% 0.10% 0.00%+
Net expenses after custodian
fee reduction 0.24% 0.25% -- -- 0.38% 0.29% -- --
Net investment income 5.69% 5.96% 5.64% 4.86% + 5.41% 5.81% 5.52% 4.50%+
NET ASSETS, end of year (000
omitted) $ 42,167 $ 42,906 $38,120 $ 16,981 $ 39,501 $ 40,835 $ 40,473 $ 24,760
PORTFOLIO TURNOVER 25% 42% 42% 23% 43% 19% 39% 19%
</TABLE>
++The operating expenses of the Rhode Island and West Virginia Portfolios may
reflect a reduction of the investment adviser fee and/or an allocation of
expenses to the Investment Adviser. Had such actions not been taken, the
ratios would have been as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Expenses (1) 0.40% 0.41% 0.33% 0.26% + 0.39% 0.33% 0.21%+
Expenses after custodian fee
reduction 0.37% 0.37% -- -- 0.37% -- --
Net investment income 5.56% 5.84% 5.43% 4.60% + 5.73% 5.29% 4.30%+
+ Annualized.
* For the period from the start of business, February 1, 1993, to September 30, 1993.
** For the period from the start of business, June 11, 1993, to September 30, 1993.
(1) The expense ratios for the years ended September 30, 1996 and 1995 have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Portfolio to increase its expense ratio by the
effect of any expense offset arrangements with its service providers. The expense ratios for each of the periods
ended on or before September 30, 1994 have not been adjusted to reflect this change.
</TABLE>
See notes to financial statements
68
<PAGE> 40
Notes to Financial Statements
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
California Municipals Portfolio (California Portfolio), Florida Municipals
Portfolio (Florida Portfolio), Massachusetts Municipals Portfolio (Massachusetts
Portfolio), Mississippi Municipals Portfolio (Mississippi Portfolio), New York
Municipals Portfolio (New York Portfolio), Ohio Municipals Portfolio (Ohio
Portfolio), Rhode Island Municipals Portfolio (Rhode Island Portfolio) and West
Virginia Municipals Portfolio (West Virginia Portfolio), collectively the
Portfolios, are registered under the Investment Company Act of 1940 as
non-diversified open-end management investment companies. The Portfolios 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 consistently
followed by the Portfolios in the preparation of their financial statements. 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 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 sales transaction, the Portfolio
will realize a gain or loss depending on whether the sales proceeds from the
closing sales transaction is 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 Portfolios record when-issued
securities on trade date and maintain security positions such that sufficient
liquid assets will be available to make payments for the securities purchased.
Securities purchased on a when-issued or delayed delivery basis are
marked-to-market daily and begin earning interest on settlement date.
H. OTHER--Investment transactions are accounted for on a trade date basis.
I. USE OF ESTIMATES--The preparation of financial statements in conformity with
generally accepted accounting
69
<PAGE> 41
- --------------------------------------------------------------------------------
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.
J. 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 to the respective 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 the
Portfolios' custodian fees are reported as a reduction of expenses in the
statements of operations.
- --------------------------------------------------------------------------------
(2) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS
WITH AFFILIATES
The investment adviser fee is earned by Boston Management and Research (BMR), a
wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation for
management and investment advisory services rendered to 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 September 30, 1996, each Portfolio paid advisory fees as follows:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT EFFECTIVE RATE*
- ------------------ ---------- ----------------
<S> <C> <C>
California $1,942,811 0.50%
Florida 3,123,150 0.46%
Massachusetts 1,343,099 0.46%
Mississippi 55,976 0.20%
New York 2,932,032 0.46%
Ohio 1,404,951 0.46%
Rhode Island 108,803 0.25%
West Virginia 95,361 0.24%
</TABLE>
* Advisory fees paid as a percentage of average daily net assets.
To enhance the net income of the Mississippi Portfolio and the Rhode Island
Portfolio, BMR made a reduction in its fee in the amount of $27,990 and $53,561,
respectively, for the year ended September 30, 1996. 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.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations. Trustees of the Portfolio that
are not affiliated with the Investment Adviser may elect to defer receipt of all
or a percentage of their annual fees in accordance with the terms of the
Trustees Deferred Compensation Plan. For the year ended September 30, 1996, no
significant amounts have been deferred.
- --------------------------------------------------------------------------------
(3) INVESTMENTS
Purchases and sales of investments, other than U.S. Government securities,
purchased option transactions and short-term obligations, for the year ended
September 30, 1996 were as follows:
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
Purchases $ 54,079,902 $342,367,214 $147,661,742 $ 3,314,865
Sales 106,027,565 450,625,807 169,737,557 7,067,480
</TABLE>
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
Purchases $301,869,050 $107,686,903 $ 10,268,065 $16,700,245
Sales 359,091,966 143,159,361 11,564,173 19,323,806
</TABLE>
70
<PAGE> 42
- --------------------------------------------------------------------------------
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the investments
owned by each Portfolio at September 30, 1996, as computed on a federal income
tax basis, are as follows:
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
Aggregate Cost $337,396,359 $560,837,654 $259,803,177 $23,820,442
============ ============ =========== ==========
Gross unrealized appreciation $ 26,461,163 $ 36,660,431 $ 16,636,591 $ 1,326,127
Gross unrealized depreciation 463,881 1,978,279 93,927 16,337
------------ ------------ ----------- ----------
Net unrealized appreciation $ 25,997,282 $ 34,682,152 $ 16,542,664 $ 1,309,790
============ ============ =========== ==========
</TABLE>
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
Aggregate Cost $559,386,220 $271,985,967 $ 40,355,643 $37,359,901
============== ============== ================ ===============
Gross unrealized appreciation $ 35,018,432 $ 12,978,340 $ 1,111,293 $ 926,299
Gross unrealized depreciation 779,473 220,402 354,485 219,435
------------ ------------ ------------- -------------
Net unrealized appreciation $ 34,238,959 $ 12,757,938 $ 756,808 $ 706,864
============== ============== ================ ===============
</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 securities 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 portfolios and funds
at the end of each quarter.
For the year ended September 30, 1996, the Ohio Portfolio had an average daily
loan balance of $1,757,500 and the average interest rate was 7.43%. The maximum
loan balance outstanding at any month end during the year ended September 30,
1996 was $5,303,000 for the Ohio Portfolio. The remaining Portfolios did not
have any significant borrowings or allocated fees during the year ended
September 30, 1996.
71
<PAGE> 43
- --------------------------------------------------------------------------------
(6) FINANCIAL INSTRUMENTS
The Portfolios regularly trade in financial instruments with off-balance sheet
risk in the normal course of their investing activities to assist in managing
exposure to various market risks. These financial instruments include futures
contracts and may involve, to a varying degree, elements of risk in excess of
the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at September 30,
1996, were as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS NET UNREALIZED
PORTFOLIO EXPIRATION DATE CONTRACTS POSITION DEPRECIATION
- -------------- ----------------- ------------------------ -------- --------------
<S> <C> <C> <C> <C>
California 12/96 300 U.S. Treasury Bonds Short $ 411,037
Florida 12/96 796 U.S. Treasury Bonds Short 1,417,470
Massachusetts 12/96 279 U.S. Treasury Bonds Short 308,728
Mississippi 12/96 21 U.S. Treasury Bonds Short 28,773
New York 12/96 519 U.S. Treasury Bonds Short 359,440
Ohio 12/96 272 U.S. Treasury Bonds Short 484,361
Rhode Island 12/96 48 U.S. Treasury Bonds Short 33,244
West Virginia 12/96 40 U.S. Treasury Bonds Short 85,863
</TABLE>
At September 30, 1996, each Portfolio had sufficient cash and/or securities to
cover margin requirements on open futures contracts.
72
<PAGE> 44
PORTFOLIO INVESTMENT ADVISER
Boston Management and Research
24 Federal Street
Boston, MA 02110
FUND ADMINISTRATOR
Eaton Vance Management
24 Federal Street
Boston, MA 02110
PRINCIPAL UNDERWRITER
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
CUSTODIAN
Investors Bank & Trust Company
89 South Street
P.O. Box 1537
Boston, MA 02205-1537
TRANSFER AGENT
First Data Investor Services Group, Inc.
Attn: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
INDEPENDENT AUDITORS
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
