<PAGE>
California Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 6.7%
- ---------------------------------------------------------------------------
NR BBB- $ 4,985 Central Valley Financing
Authority, (Carson Ice),
6.20%, 7/1/20 $ 4,981,361
NR BBB- 10,900 Sacramento Cogeneration
Authority, (Procter &
Gamble), 6.50%, 7/1/21 11,123,231
NR BBB- 6,000 Sacramento Power
Authority, Cogeneration
Project, 6.00%, 7/1/22 5,888,460
- ---------------------------------------------------------------------------
$ 21,993,052
- ---------------------------------------------------------------------------
Electric Utilities -- 1.3%
- ---------------------------------------------------------------------------
A2 A $ 4,100 California Pollution
Control Financing
Authority, (San Diego Gas
& Electric), 5.90%, 6/1/14 $ 4,209,060
- ---------------------------------------------------------------------------
$ 4,209,060
- ---------------------------------------------------------------------------
Escrowed / Prerefunded -- 15.9%
- ---------------------------------------------------------------------------
Aaa AAA $ 3,000 City and County of San
Francisco Sewer, (AMBAC),
Variable, 10/1/21/(1)/ $ 3,412,500
Aaa AAA 8,000 County of Sacramento,
Single Family, (AMT)
(GNMA), 8.125%, 7/1/16/(2)/ 10,146,559
Aaa AAA 6,000 County of Sacramento,
Single Family, (AMT)
(GNMA), 8.25%, 1/1/21 7,921,500
Aaa NR 14,285 County of Sacramento,
Single Family, (AMT)
(GNMA), 8.50%, 11/1/16 18,809,773
NR BBB 3,910 Fontana Public Financing
Authority, 7.00%, 9/1/21 4,068,003
NR NR 4,000 Huntington Beach Public
Financing Authority,
8.375%, 5/1/18 4,267,840
Aaa AAA 6,400 Port Oakland, CA, 0%,
11/1/05 3,764,608
- ---------------------------------------------------------------------------
$ 52,390,783
- ---------------------------------------------------------------------------
General Obligations -- 1.4%
- ---------------------------------------------------------------------------
Aa AA $ 5,000 East Bay Municipal
Utilities District,
5.00%, 4/1/15 $ 4,502,550
- ---------------------------------------------------------------------------
$ 4,502,550
- ---------------------------------------------------------------------------
Hospitals -- 2.6%
- ---------------------------------------------------------------------------
Ba3 NR $ 1,000 City of San Bernadino,
(San Bernadino Community
Hospital), 7.875%, 12/1/08 $ 1,034,860
Ba3 NR 3,000 City of San Bernadino,
(San Bernadino Community
Hospital), 7.875%, 12/1/19 3,104,580
NR BBB+ 2,700 City of Stockton, Dameron
Hospital Association,
8.30%, 12/1/14 2,801,898
NR BBB- 1,500 City of Woodland,
(Woodland Memorial
Hospital), 8.20%, 8/1/15 1,580,310
- ---------------------------------------------------------------------------
$ 8,521,648
- ---------------------------------------------------------------------------
Housing -- 7.1%
- ---------------------------------------------------------------------------
Aa AA- $ 2,875 California Housing
Finance Agency, 7.375%,
8/1/11 $ 2,989,166
Aa AA- 4,140 California Housing
Finance Agency, 7.40%,
8/1/26 4,460,105
Aa AA- 3,700 California Housing
Finance Agency, 7.50%,
8/1/25 3,983,679
Aa AA- 5,860 California Housing
Finance Agency, 7.65%,
8/1/23 6,100,026
Aa AA- 1,235 California Housing
Finance Agency, 8.60%,
8/1/19 1,286,080
NR A+ 1,650 City of Oakland, Housing
Finance Agency, 7.10%,
1/1/10 1,718,228
NR NR 2,000 Los Angeles County
Housing Authority, CA,
Multifamily Housing,
Corporate Fund for
Housing Projects, 10.50%,
12/1/29 1,963,380
A1 NR 790 Los Angeles County,
Single Family, 7.875%,
8/1/16 825,226
- ---------------------------------------------------------------------------
$ 23,325,890
- ---------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 1.5%
- ---------------------------------------------------------------------------
A3 A $ 5,000 California Pollution
Control Financing
Authority, 5.80%, 12/1/16 $ 4,834,600
- ---------------------------------------------------------------------------
$ 4,834,600
- ---------------------------------------------------------------------------
Insured Education -- 0.8%
- ---------------------------------------------------------------------------
Aaa AAA $ 3,330 University of California,
Multiple Purpose Project,
(MBIA), 4.75%, 9/1/21 $ 2,790,540
- ---------------------------------------------------------------------------
$ 2,790,540
- ---------------------------------------------------------------------------
</TABLE>
See notes to financial statements
28
<PAGE>
California Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Electric Utilities -- 7.0%
- ----------------------------------------------------------------------------
Aaa AAA $ 8,000 Northern California Power
Agency (MBIA), Variable,
8/1/25/(1)/ $ 9,040,000
Aaa AAA 3,500 Sacramento Municipal
Utilities District,
(MBIA), 6.375%, 8/15/22 3,677,870
Aaa AAA 2,000 Southern California
Public Power Authority,
(FGIC), Variable,
7/1/12/(1)/ 1,782,500
Aaa AAA 7,070 Southern California
Public Power Authority,
(MBIA), 0%, 7/1/15 2,455,270
Aaa AAA 6,915 Southern California
Public Power Authority,
(MBIA), 5.00%, 1/1/20 6,089,418
- ----------------------------------------------------------------------------
$ 23,045,058
- ----------------------------------------------------------------------------
Insured Lease Revenue / Certificates of Participation -- 6.1%
- ----------------------------------------------------------------------------
Aaa AAA $ 3,300 California Statewide
Communitys Development
Authority, (AMBAC),
5.68%, 1/1/24 $ 2,995,377
Aaa AAA 4,350 City of Stockton,
Wastewater Treatment
Plant, (FGIC), 6.80%,
9/1/24 4,783,521
Aaa AAA 1,000 Contra Costa County,
Public Financing
Authority, 5.375%, 11/1/17 946,390
Aaa AAA 1,000 Contra Costa County,
Public Financing
Authority, 5.50%, 11/1/22 945,580
Aaa AAA 7,700 Moulton Niguel Water
District (AMBAC), 4.80%,
9/1/17 6,616,148
Aaa AAA 13,985 Visalia Unified School
District, (MBIA), 0%,
12/1/17 3,656,938
- ----------------------------------------------------------------------------
$ 19,943,954
- ----------------------------------------------------------------------------
Insured Special Tax Revenue -- 1.8%
- ----------------------------------------------------------------------------
Aaa AAA $ 2,000 Anaheim, CA, Public
Financing Authority
(FSA), 5.00%, 9/1/27 $ 1,753,220
Aaa AAA 4,850 City of San Jose
Redevelopment Agency,
(MBIA), 4.75%, 8/1/24 4,048,489
- ----------------------------------------------------------------------------
$ 5,801,709
- ----------------------------------------------------------------------------
Insured Transportation -- 3.5%
- ----------------------------------------------------------------------------
Aaa AAA $ 8,000 City and County of San
Francisco Airport,
(MBIA), 6.75%, 5/1/13 $ 8,723,360
Aaa AAA 3,125 Port Oakland, CA, (MBIA),
5.375%, 11/1/25 2,869,344
- ----------------------------------------------------------------------------
$ 11,592,704
- ----------------------------------------------------------------------------
Insured Water and Sewer -- 4.4%
- ----------------------------------------------------------------------------
Aaa AAA $ 5,000 East Bay Municipal
Utilities District,
(MBIA), Variable,
6/1/08/(1)/ $ 4,781,250
Aaa AAA 3,000 San Diego County Water
Authority, (FGIC),
Variable, 4/22/09/(1)/ 3,161,250
Aaa AAA 5,000 San Diego Public Finance
Authority, (FGIC), 5.00%,
5/15/25 4,413,600
Aaa AAA 2,500 San Diego Public Finance
Authority, (FGIC), 5.25%,
5/15/27 2,290,200
- ----------------------------------------------------------------------------
$ 14,646,300
- ----------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 19.7%
- ----------------------------------------------------------------------------
A A $ 3,500 California Public Works,
(Susanville Prison),
5.375%, 6/1/18 $ 3,229,590
A1 A 6,500 California Public Works,
(University of
California), 5.00%, 6/1/23 5,619,965
A1 A 5,000 California Public Works,
(University of
California), 5.25%, 6/1/20 4,618,600
A1 A 8,000 California Public Works,
(University of
California), 5.50%, 6/1/14 7,782,880
A1 A 2,000 California Public Works,
(University of
California), 5.50%, 6/1/19 1,860,760
A A 3,000 California State Public
Works, (Monterey
Department of
Corrections), 5.375%,
11/1/13 2,840,730
A1 A 3,000 California State Public
Works, (University of
California), 5.50%, 6/1/10 2,984,490
Aaa AAA 6,850 California Statewide
Public Works, (J. Paul
Getty Trust), 5.00%,
10/1/23 6,100,131
A1 A+ 4,000 City of Sacramento
Financing Authority,
5.40%, 11/1/20 3,783,280
NR NR 7,000 County of Los Angeles,
(Marina Del Ray), 6.50%,
7/1/08 7,201,390
Baa1 BBB 5,115 County of Los Angeles,
Disney Parking Project,
0%, 3/1/16 1,467,698
</TABLE>
See notes to financial statements
29
<PAGE>
California Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
Lease Revenue / Certificates of
Participation (continued)
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 BBB $ 1,925 County of Los Angeles,
Disney Parking Project,
0%, 3/1/17 $ 512,127
Baa1 BBB 5,000 County of Los Angeles,
Disney Parking Project,
0%, 9/1/17 1,286,700
Baa1 BBB 5,370 County of Los Angeles,
Disney Parking Project,
0%, 3/1/18 1,336,754
Baa1 BBB 3,100 County of Los Angeles,
Disney Parking Project,
0%, 3/1/20 668,143
Baa1 BBB 6,925 County of Los Angeles,
Disney Parking Project,
0%, 9/1/20 1,443,447
Baa1 BBB 1,000 County of Los Angeles,
Disney Parking Project,
6.50%, 3/1/23 1,006,370
A BBB 2,750 Inglewood, CA, 7.00%,
8/1/19 2,907,190
A1 A+ 8,000 Pasadena Parking Facility
Project, 6.25%, 1/1/18 8,278,080
- ---------------------------------------------------------------------------
$ 64,928,325
- ---------------------------------------------------------------------------
Nursing Homes -- 1.0%
- ---------------------------------------------------------------------------
NR NR $ 3,105 Banning, CA, 9.50%,
12/1/11 $ 3,213,209
- ---------------------------------------------------------------------------
$ 3,213,209
- ---------------------------------------------------------------------------
Solid Waste -- 0.5%
- ---------------------------------------------------------------------------
Aaa AAA $ 1,500 Inland Empire Solid Waste
Finance Authority, (FSA),
6.25%, 8/1/11 $ 1,576,905
- ---------------------------------------------------------------------------
$ 1,576,905
- ---------------------------------------------------------------------------
Special Tax Revenue -- 9.9%
- ---------------------------------------------------------------------------
NR NR $ 2,880 City of Commerce, Joint
Power Financing
Authority, 8.00%, 3/1/22 $ 3,051,878
NR NR 1,960 City of Fairfield, North
Cordelia District,
7.375%, 9/2/18 2,019,506
NR NR 875 City of Fairfield, North
Cordelia District, 8.00%,
9/2/11 905,188
NR NR 1,575 City of Fontana, Public
Finance Authority, 7.75%,
12/1/20 1,799,768
NR BBB 600 City of Rancho Mirage,
Joint Power Financing
Authority, 7.50%, 4/1/17 644,496
NR NR 1,400 City of Simi Valley
Community Development,
Sycamore Plaza II, 8.20%,
9/1/12 1,409,058
NR BBB 5,000 Contra Costa County,
Public Financing
Authority, 7.10%, 8/1/22 5,280,950
NR BBB+ 8,220 Fontana Redevelopment
Agency, Jurupa Hills,
7.00%, 10/1/14 8,591,133
NR NR 3,000 Riverside County
Community Facilities
District, 7.55%, 9/1/17 3,114,690
NR BBB 2,500 Riverside County
Redevelopment Agency,
7.50%, 10/1/26 2,684,825
Baa BBB+ 3,000 Westminster Redevelopment
Agency, Community
Redevelopment Project,
7.30%, 8/1/21 3,218,550
- ---------------------------------------------------------------------------
$ 32,720,042
- ---------------------------------------------------------------------------
Transportation -- 7.6%
- ---------------------------------------------------------------------------
A A $ 1,400 County of Orange,
California Airport
Revenue Bonds, 8.125%,
7/1/16 $ 1,434,118
NR BBB 3,050 Guam Airport Authority
(AMT), 6.70%, 10/1/23 3,112,281
Aa AA- 2,000 Long Beach, CA (AMT),
7.25%, 5/15/19 2,094,840
NR NR 12,000 San Joaquin Hills
Transportation Corridor
Agency, Toll Road Revenue
Bonds, 0%, 1/1/14 4,123,560
NR NR 5,765 San Joaquin Hills
Transportation Corridor
Agency, Toll Road Revenue
Bonds, 0%, 1/1/26 883,890
NR NR 35,975 San Joaquin Hills
Transportation Corridor
Agency, Toll Road Revenue
Bonds, 0%, 1/1/27 5,167,449
NR NR 4,940 San Joaquin Hills
Transportation Corridor
Agency, Toll Road Revenue
Bonds, 7.00%, 1/1/30 5,243,563
Baa1 BBB 1,500 Stockton Port District,
7.95%, 1/1/05 1,567,005
Baa1 BBB 1,500 Stockton Port District,
8.10%, 1/1/14 1,568,070
- ---------------------------------------------------------------------------
$ 25,194,776
- ---------------------------------------------------------------------------
Water and Sewer -- 1.2%
- ---------------------------------------------------------------------------
Aa AA $ 4,425 Orange County Water
District, 5.00%, 8/15/18 $ 3,893,248
- ---------------------------------------------------------------------------
$ 3,893,248
- ---------------------------------------------------------------------------
</TABLE>
See notes to financial statements
30
<PAGE>
California Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Tax-Exempt Investments -- 100.0%
(identified cost $307,760,126) $329,124,353
- --------------------------------------------------------------------------------
</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 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 March 31, 1997, 23.0% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 1.0% to 15.4% of total investments.
See note to financial statements
31
<PAGE>
Florida Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
<TABLE>
<CAPTION>
Tax-Exempt Investments -- 100.0%
Ratings (Unaudited)
- ------------------
Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 1.7%
- --------------------------------------------------------------------------------
NR NR $11,000 Palm Beach County, Solid
Waste Industrial
Development Revenue
(Osceola Power) (AMT),
6.95%, 1/1/22 $ 9,197,760
- --------------------------------------------------------------------------------
$ 9,197,760
- --------------------------------------------------------------------------------
Education -- 1.1%
- --------------------------------------------------------------------------------
NR AAA $ 5,500 Volusia County
Educational Facilities,
(Embry-Riddle
Aeronautical University)
(CLEE), 6.625%, 10/15/22 $ 5,792,600
- --------------------------------------------------------------------------------
$ 5,792,600
- --------------------------------------------------------------------------------
Electric Utilities -- 14.5%
- --------------------------------------------------------------------------------
NR BBB $24,525 Guam Power Authority,
5.25%, 10/1/23 $ 21,185,185
Aa1 AA 24,005 Jacksonville Electric
Authority, Bulk Power
Supply System Scherer 4,
5.25%, 10/1/21 21,838,068
Aa1 AA 10,635 Jacksonville Electric
Authority, St. John's
River Power, 5.375%,
10/1/16 10,201,092
Aa1 AA 2,850 Orlando Utilities
Commission Water and
Electric, 5.125%, 10/1/19 2,558,844
Aa AA- 10,000 Orlando Utilities
Commission Water and
Electric, 5.60%, 10/6/17 9,441,600
NR NR 3,100 Palm Beach County,
(Okeelanta Power L.P.)
(AMT), 6.85%, 2/15/21 2,565,653
Baa1 BBB+ 6,000 Puerto Rico Electric
Power Authority, 0%,
7/1/17 1,837,500
Baa1 BBB+ 5,000 Puerto Rico Electric
Power Authority, 6.25%,
7/1/17 5,138,500
Baa1 BBB+ 185 Puerto Rico Electric
Power Authority, 7.125%,
7/1/14 197,425
Aa3 AA- 2,515 St. Lucie County Solid
Waste Disposal, (Florida
Power & Light Co.) (AMT),
6.70%, 5/1/27 2,673,973
NR NR 2,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 2,120,200
- --------------------------------------------------------------------------------
$ 79,758,040
- --------------------------------------------------------------------------------
Escrowed / Prerefunded 7.9%
- --------------------------------------------------------------------------------
Aaa NR $ 9,810 City of Venice, Health
Facilities Authority,
5.75%, 12/1/24 $ 10,365,540
Aaa AAA 9,225 Dade County, (Baptist
Hospital of Miami),
5.75%, 5/1/21 9,330,534
NR NR 1,675 Florida Mid-Bay Bridge
Authority, 6.875%, 10/1/22 1,935,915
Aaa AAA 5,000 Florida Municipal Power
Agency Stanton II (AMBAC)
Variable, 10/1/20/(1)/ 5,918,750
A A 7,255 Hillsborough Capital
Improvement - Museum of
Science, 6.45%, 1/1/22 7,724,399
Aaa AAA 2,000 Orlando and Orange
County, Expressway
Authority (FGIC), 8.25%,
7/1/14 2,568,060
Aaa AAA 5,600 St. Lucie Utility System,
6.00%, 10/1/20 5,868,184
- --------------------------------------------------------------------------------
$ 43,711,382
- --------------------------------------------------------------------------------
General Obligations -- 10.6%
- --------------------------------------------------------------------------------
Aa2 AA $22,000 Florida Board of
Education, 4.75%, 6/1/22 $ 18,766,660
Aa2 AA 15,235 Florida Board of
Education, 5.00%, 6/1/20 13,611,101
Aaa AAA 4,250 Florida Board of
Education Capital Outlay,
5.50%, 6/1/26 4,034,143
Aa AA+ 8,000 Florida Board of General
Services, 6.60%, 7/1/17 8,616,800
NR BBB 5,700 Government of Guam,
5.40%, 11/15/18 5,113,698
Baa1 A 3,000 Puerto Rico, 6.50%, 7/1/23 3,186,150
Aaa AAA 2,350 Puerto Rico Public
Building Authority,
5.70%, 7/1/09 2,439,488
Baa1 A 2,500 Puerto Rico Public
Building Authority,
6.00%, 7/1/12 2,508,825
- --------------------------------------------------------------------------------
$ 58,276,865
- --------------------------------------------------------------------------------
Hospitals -- 1.6%
- --------------------------------------------------------------------------------
NR BBB+ $ 3,600 Escambia County, Health
Facilities Authority
(Baptist Hospital, Inc.
and The Baptist Manor,
Inc.), 6.75%, 10/1/14 $ 3,774,096
NR AA+ 4,750 Jacksonville Health
Facilities Finance
Authority, St. Luke's
Hospital Association,
6.75%, 11/15/13 5,086,110
- --------------------------------------------------------------------------------
$ 8,860,206
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
32
<PAGE>
Florida Municipals Porfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Housing -- 13.8%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR AAA $ 630 Broward County, Housing
Finance Authority, Single
Family, (GNMA) (AMT),
7.35%, 3/1/23 $ 660,624
Aaa NR 2,080 Clay County, FL, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.55%, 3/1/28 2,125,469
NR AAA 1,300 Clay County, Health
Facilities Authority,
Multifamily (GNMA),
7.40%, 12/1/25 1,371,097
Aaa NR 1,035 Dade County, Health
Facilities Authority,
Single Family (AMT),
7.75%, 9/1/22 1,090,621
Aaa NR 75 Dade County, Health
Facilities Authority,
Single Family (GNMA),
7.00%, 3/1/24 78,305
Aaa NR 290 Dade County, Health
Facilities Authority,
Single Family (GNMA),
7.10%, 9/1/13 304,201
NR AAA 5,850 Dade County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.70%, 10/1/28 6,034,802
Aaa NR 1,160 Dade County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 7.25%, 9/1/19 1,211,318
Aaa NR 2,400 Duval County, Housing
Finance Authority, Single
Family, 5.95%, 4/1/30 2,359,152
Aaa AAA 9,245 Escambia County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.20%, 4/1/22 9,292,889
Aaa AAA 4,535 Escambia County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.85%, 10/1/17 4,697,580
Aaa AAA 1,640 Escambia County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.90%, 10/1/21 1,706,026
Aaa AAA 1,920 Escambia County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.95%, 10/1/27 1,997,126
Aaa NR 2,540 Escambia County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 7.40%, 10/1/23 2,664,917
Aa3 AA 2,500 Florida Health Facilities
Authority (AMT), 6.35%,
7/1/28 2,541,100
NR AAA 1,125 Florida Health Facilities
Authority (FHA), 6.35%,
6/1/14 1,158,053
855 Hillsborough County,
Health Facilities
Authority, Single Family
(GNMA), (AMT), 7.875%,
5/1/23 906,625
NR NR 3,405 North Miami, FL, Health
Care Facilities (The
Imperial Club), 9.25%,
1/1/13 3,777,473
NR AAA 8,000 Orange County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.60%, 4/1/28 8,235,840
NR AAA 12,000 Orange County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.85%, 10/1/27 12,440,400
NR AAA 1,695 Orange County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 7.375%, 9/1/24 1,786,072
NR AAA 5,000 Orange County, Housing
Finance Authority, 5.95%,
3/1/28 4,916,400
Aaa NR 845 Palm Beach County, Health
Facilities Authority,
Single Family (GNMA),
7.60%, 3/1/23 894,711
Aaa NR 1,455 Polk County, Health
Facilities Authority,
Single Family (GNMA),
7.15%, 9/1/23 1,526,150
Baa BBB 1,400 Puerto Rico Commonwealth
Urban Renewal and Housing
Corp., 7.875%, 10/1/04 1,516,172
Aaa AAA 710 Puerto Rico Housing
Financial Corp. Single
Family (GNMA), 7.65%,
10/15/22 745,024
- --------------------------------------------------------------------------------
$76,038,147
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 0.8%
- --------------------------------------------------------------------------------
Baa3 BB+ $ 4,500 Puerto Rico Port
Authority (American
Airlines) (AMT), 6.25%,
6/1/26 $ 4,586,490
- --------------------------------------------------------------------------------
$ 4,586,490
- --------------------------------------------------------------------------------
Insured Electric Utilities -- 2.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 3,000 Dade County, Water and
Sewer System, (FGIC),
5.25%, 10/1/21 $ 2,776,410
Aa AA- 5,000 Lakeland Electric and
Water Revenue, 5.625%,
10/1/36 4,764,750
Aaa AAA 1,540 Manatee County, Public
Utility (FGIC), 0%,
10/1/12 642,503
Aaa AAA 2,200 Puerto Rico Electric
Power Authority (FSA)
Variable, 7/1/02/(1)/ 2,356,750
</TABLE>
See notes to financial statements
33
<PAGE>
Florida Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Electric Utilities (continued)
- -------------------------------------------------------------------------------
Aaa AAA $ 2,200 Puerto Rico Electric
Power Authority (FSA)
Variable, 7/1/03/(1)/ $ 2,381,500
- -------------------------------------------------------------------------------
$12,921,913
- -------------------------------------------------------------------------------
Insured General Obligations -- 0.8%
- -------------------------------------------------------------------------------
Aa2 AA $ 4,650 Florida Board of
Education Capital Outlay
(FGIC), 5.875%, 6/1/24 $ 4,612,149
- -------------------------------------------------------------------------------
$ 4,612,149
- -------------------------------------------------------------------------------
Insured Hospitals -- 7.3%
- -------------------------------------------------------------------------------
Aaa AAA $ 8,000 Charlotte County, Health
Care, Bon-Secours Health
System (FSA) Variable,
8/30/27/(1)/ $ 7,820,000
Aaa AAA 23,355 Jacksonville Health
Authority, Daughters of
Charity (MBIA), 5.00%,
11/15/15 21,156,359
Aaa AAA 2,000 Lee County, (Memorial
Hospital) (MBIA)
Variable, 4/1/20/(1)/ 2,227,500
Aaa AAA 3,000 Orange County, Health
Facilities Authority
(MBIA) Variable,
10/29/21/(1)/ 3,525,000
Aaa AAA 5,250 Orange County, Health
Facilities Authority,
Pooled Hospital Loan
Program, (Orlando
Regional Medical Center &
Indian River Memorial
Hospital) (FGIC), 7.875%,
12/1/25 5,387,235
- -------------------------------------------------------------------------------
$40,116,094
- -------------------------------------------------------------------------------
Insured Housing -- 2.9%
- -------------------------------------------------------------------------------
Aaa AAA $1,095 Brevard County, Housing
Finance Authority, Single
Family (FSA), 7.00%,
3/1/13 $ 1,150,757
Aaa AAA 1,720 Duval County, Health
Facilities Authority,
Single Family (FGIC),
7.35%, 7/1/24 1,832,058
Aaa AAA 3,000 Florida Health Facilities
Authority, Brittany of
Rosemont (AMBAC) (AMT),
6.875%, 8/1/26 3,178,800
Aaa AAA 6,530 Florida Health Facilities
Authority, Maitland Club
Apartments (AMBAC) (AMT),
6.875%, 8/1/26 6,919,188
Aaa AAA 2,675 Lee County, SCA
Multifamily (FSA) (AMT),
7.05%, 1/1/30 2,842,749
- -------------------------------------------------------------------------------
$15,923,552
- -------------------------------------------------------------------------------
Insured Life Care -- 0.1%
- -------------------------------------------------------------------------------
Aaa AAA $ 500 Alachua County Health
Facility, Mental Health
Services (CGIC), 7.75%,
7/1/10 $ 550,425
- -------------------------------------------------------------------------------
$ 550,425
- -------------------------------------------------------------------------------
Insured Miscellaneous -- 0.5%
- -------------------------------------------------------------------------------
Aaa AAA $2,000 Escambia County (MBIA),
7.20%, 1/1/15 $ 2,117,120
Aaa AAA 799 Osceola County,
Industrial Development
Authority, Community
Provider Pooled Loan
Program (CGIC), 7.75%,
7/1/10 850,927
- -------------------------------------------------------------------------------
$2,968,047
- -------------------------------------------------------------------------------
Insured Pooled Loans -- 0.3%
- -------------------------------------------------------------------------------
Aaa AAA $1,710 Dade County, (MBIA),
5.125%, 10/1/26 $1,533,460
- -------------------------------------------------------------------------------
$1,533,460
- -------------------------------------------------------------------------------
Insured Solid Waste -- 0.3%
- -------------------------------------------------------------------------------
Aaa AAA $1,500 St. John's County Solid
Waste Disposal (FGIC),
7.25%, 11/1/10 $1,640,475
- -------------------------------------------------------------------------------
$1,640,475
- -------------------------------------------------------------------------------
Insured Special Tax Revenue -- 7.7%
- -------------------------------------------------------------------------------
Aaa AAA $1,000 City of Jacksonville
(FGIC) (AMT), 0%, 10/1/10 $ 479,460
Aaa AAA 1,000 City of Jacksonville
(FGIC) (AMT), 0%, 10/1/11 450,860
Aaa AAA 2,000 City of Jacksonville
(FGIC) (AMT), 0%, 10/1/12 847,100
Aaa AAA 1,185 City of Opa-Locka (FGIC),
7.00%, 1/1/14 1,309,247
Aaa AAA 3,835 Dade, Professional Sports
Franchise (MBIA), 0%,
10/1/23 812,790
Aaa AAA 10,135 Puerto Rico Highway and
Transportation Authority
(MBIA), 5.00%, 7/1/22 9,134,270
Aaa AAA 5,000 St. Petersburg, Excise
Tax (FGIC), 5.00%, 10/1/16 4,523,000
Aaa AAA 2,000 Sunrise Public Facilities
(MBIA), 0%, 10/1/10 946,400
Aaa AAA 1,760 Sunrise Public Facilities
(MBIA), 0%, 10/1/12 734,290
</TABLE>
See notes to financial statements
34
<PAGE>
Florida Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Special Tax Revenue (continued)
- --------------------------------------------------------------------------------
Aaa AAA $ 2,840 Sunrise Public Facilities
(MBIA), 0%, 10/1/14 $ 1,040,633
Aaa AAA 4,000 Sunrise Public Facilities
(MBIA), 0%, 10/1/15 1,371,600
Aaa AAA 4,140 Sunrise Public Facilities
(MBIA), 0%, 10/1/16 1,327,160
Aaa AAA 2,525 Sunrise Public Facilities
(MBIA), 0%, 10/1/17 763,585
Aaa AAA 19,800 Tampa, Occupational
License Tax (FGIC),
5.50%, 10/1/27 18,688,230
- --------------------------------------------------------------------------------
$42,428,625
- --------------------------------------------------------------------------------
Insured Transportation -- 8.0%
- --------------------------------------------------------------------------------
Aaa AAA $5,475 Dade County Aviation
Facilities (MBIA) (AMT),
6.00%, 10/1/24 $ 5,427,696
Aaa AAA 4,000 Dade County Aviation
Facilities (MBIA) (AMT),
6.55%, 10/1/13 4,261,280
Aaa AAA 2,150 Dade County Aviation
Facilities (MBIA) (AMT),
6.60%, 10/1/22 2,276,829
Aaa AAA 8,455 Florida State Turnpike
Authority (FGIC), 6.35%,
7/1/22 8,818,565
Aaa AAA 8,650 Greater Orlando, Florida
Aviation Authority (FGIC)
(AMT), 6.375%, 10/1/21 /(2)/ 8,941,073
Aaa AAA 7,000 Massachusetts State
Turnpike Authority
(FGIC), 5.125%, 1/1/23 6,272,840
Aaa AAA 9,100 Massachusetts State
Turnpike Authority
(MBIA), 5.00%, 1/1/20 8,065,239
- --------------------------------------------------------------------------------
$44,063,522
- --------------------------------------------------------------------------------
Insured Water and Sewer -- 2.4%
- --------------------------------------------------------------------------------
Aaa AAA $2,500 Broward County, (AMBAC),
5.125%, 10/1/15 $ 2,306,625
Aaa AAA 2,000 City of Fort Myers
Utility (FGIC), 5.00%,
10/1/16 1,815,700
Aaa AAA 6,005 Dade County, Water and
Sewer System (FGIC),
5.50%, 10/1/25 5,687,396
Aaa AAA 4,155 Sanford (AMBAC), 4.50%,
10/1/21 3,385,494
- --------------------------------------------------------------------------------
$13,195,215
- --------------------------------------------------------------------------------
Life Care -- 1.3%
- --------------------------------------------------------------------------------
NR NR $6,895 Atlantic Beach, Fixed
Rate Improvement, Fleet
Landing Project, 8.00%,
6/1/24 $ 7,274,777
- --------------------------------------------------------------------------------
$ 7,274,777
- --------------------------------------------------------------------------------
Nursing Homes -- 4.7%
- --------------------------------------------------------------------------------
NR NR $ 300 Broward County,
Industrial Development
Authority (Beverly
Enterprises - Florida,
Inc.), 9.80%, 11/1/10 $ 337,572
NR NR 450 Charlotte County,
Industrial Development
Authority (Beverly
Enterprises), 10%, 6/1/11 511,223
NR NR 6,520 Citrus County, Industrial
Development Authority
(Beverly Enterprises),
7.25%, 4/1/03 6,605,999
NR AAA 4,285 Dade County, Industrial
Development Authority -
Club Care Center (GNMA),
6.60%, 1/20/18 4,457,386
NR AAA 5,075 Dade County, Industrial
Development Authority -
Gramercy Park Nursing
Care (FHA), 6.60%, 8/1/23 5,356,713
NR NR 2,045 Highlands County,
Industrial Development
Authority, (Beverly
Enterprises - Florida,
Inc.), 9.25%, 7/1/07 2,275,226
Baa1 NR 3,750 Jacksonville Health -
Cypress Village, 7.00%,
12/1/22 3,899,175
NR NR 385 Okaloosa County, (Beverly
Enterprises - Florida,
Inc.), 10.75%, 10/1/03 403,511
NR NR 680 Orange County, Industrial
Development Authority,
(Beverly Enterprises),
9.25%, 8/1/10 757,520
NR NR 1,000 Winter Garden, (Beverly
Enterprises), 8.75%,
7/1/12 1,113,220
- --------------------------------------------------------------------------------
$25,717,545
- --------------------------------------------------------------------------------
Pooled Loans -- 0.9%
- --------------------------------------------------------------------------------
NR NR $5,000 Osceola County,
Industrial Development
Authority, Community
Pooled Loan-93, 7.75%,
7/1/17 $ 5,139,850
- --------------------------------------------------------------------------------
$ 5,139,850
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
35
<PAGE>
Florida Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings Unaudited)
- ------------------ Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Solid Waste -- 2.2%
- --------------------------------------------------------------------------------
A A $ 3,605 Broward County, (Waste
Energy Co., L.P. North),
7.95%, 12/1/08 $ 3,922,492
Baa3 BBB- 7,275 Martin County, Indian
Town, (AMT), 7.875%,
12/15/25 8,275,531
- --------------------------------------------------------------------------------
$ 12,198,023
- --------------------------------------------------------------------------------
Special Tax Revenue -- 3.8%
- --------------------------------------------------------------------------------
A1 AA- $ 3,000 City of Orlando, 6.00%,
10/1/22 $ 3,028,080
Baa1 A 9,250 Puerto Rico Highway and
Transportation Authority,
5.00%, 7/1/36 7,963,418
Baa1 A 10,750 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/36 10,055,765
- --------------------------------------------------------------------------------
$ 21,047,263
- --------------------------------------------------------------------------------
Transportation -- 1.9%
- --------------------------------------------------------------------------------
NR NR $10,140 Mid-Bay Bridge Authority,
6.125%, 10/1/22 $ 10,153,283
- --------------------------------------------------------------------------------
$ 10,153,283
- --------------------------------------------------------------------------------
Water and Sewer -- 0.5%
- --------------------------------------------------------------------------------
Baa1 BBB+ $ 2,500 Hillsborough County
Utility, 6.625%, 8/1/11 $ 2,645,925
- --------------------------------------------------------------------------------
$ 2,645,925
- --------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $531,157,445) $550,351,633
- --------------------------------------------------------------------------------
</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 the economic developments in a specific industry
or municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1997, 32.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 0.1% to 15.2% of total investments.
See notes to financial statements
36
<PAGE>
Massachusetts Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
<TABLE>
<CAPTION>
Tax-Exempt Investments -- 100.0%
Ratings (Unaudited)
- -------------------
Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR AAA $ 1,500 Massachusetts IFA
(Briscoe House) (FHA),
7.125%, 2/1/36 $ 1,572,825
- --------------------------------------------------------------------------------
$ 1,572,825
- --------------------------------------------------------------------------------
Education -- 4.0%
- --------------------------------------------------------------------------------
Aa1 AA+ $ 1,625 Massachusetts Health and
Educational Facilities
Authority (HEFA) (Amherst
College), 6.80%, 11/1/21 $ 1,741,984
A1 A+ 2,500 Massachusetts HEFA
(Boston College), 5.25%,
6/1/18 2,320,475
NR BBB- 3,600 Massachusetts HEFA
(Merrimack College),
7.125%, 7/1/12 3,845,016
A1 A+ 250 Massachusetts HEFA (Tufts
University), 7.75%, 8/1/13 265,545
A1 NR 2,000 New England Educational
Loan Marketing Corp.,
(AMT), 6.90%, 11/1/09 2,154,520
- --------------------------------------------------------------------------------
$ 10,327,540
- --------------------------------------------------------------------------------
Electric Utilities -- 6.2%
- --------------------------------------------------------------------------------
NR BBB $ 3,985 Guam Power Authority,
5.25%, 10/1/23 $ 3,442,323
Baa2 BBB+ 3,500 Massachusetts Municipal
Wholesale Electric Co.,
6.75%, 7/1/11 3,710,035
Baa2 BBB+ 5,060 Massachusetts Municipal
Wholesale Electric Co.,
6.625%, 7/1/18 5,280,818
Baa1 BBB+ 11,175 Puerto Rico Electric
Power Authority, 0%,
7/1/17 3,422,344
- --------------------------------------------------------------------------------
$ 15,855,520
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 0.8%
- --------------------------------------------------------------------------------
NR AAA $11,295 Massachusetts General
Obligations Federal
Assisted Housing, Section
8, 0%, 2/1/23 $ 2,037,844
- --------------------------------------------------------------------------------
$ 2,037,844
- --------------------------------------------------------------------------------
General Obligations -- 6.4%
- --------------------------------------------------------------------------------
Baa1 A- $ 1,000 City of Lowell, 6.375%,
8/15/01 $ 1,045,350
A1 A+ 3,400 Commonwealth of
Massachusetts, 5.00%,
1/1/12 3,172,438
Baa1 A $ 2,000 Commonwealth of Puerto
Rico Aqueduct and Sewer
Authority, 5.00%, 7/1/19 $ 1,777,260
NR BBB 2,145 Government of Guam,
5.40%, 11/15/18 1,924,365
A1 A+ 3,015 Massachusetts Bay Transit
Authority (MBTA), 5.50%,
3/1/21 2,841,065
A1 A+ 1,000 Massachusetts Bay Transit
Authority (MBTA), 5.90%,
3/1/12 1,019,020
A NR 1,700 Town of Nantucket, 6.80%,
12/1/11 1,846,506
A1 A+ 250 University of
Massachusetts Building
Authority, 7.20%, 5/1/04 284,183
NR NR 2,350 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 2,540,421
- --------------------------------------------------------------------------------
$ 16,450,608
- --------------------------------------------------------------------------------
Hospitals -- 13.8%
- --------------------------------------------------------------------------------
A2 A $ 3,000 Massachusetts HEFA
(Charlton Memorial
Hospital), 7.25%, 7/1/13 $ 3,243,270
Aa2 AA 2,000 Massachusetts HEFA
(Daughters of Charity
Health System), 6.10%,
7/1/14 2,042,980
NR A- 1,020 Massachusetts HEFA
(Jordan Hospital),
6.875%, 10/1/15 1,071,704
NR A- 2,870 Massachusetts HEFA
(Jordan Hospital),
6.875%, 10/1/22 3,033,188
Baa3 BB 5,500 Massachusetts HEFA
(Milford-Whitinsville
Hospital), 7.75%, 7/15/17 5,761,800
Baa1 BBB+ 2,000 Massachusetts HEFA (New
England Baptist
Hospital), 7.35%, 7/1/17 2,103,160
NR BBB- 2,600 Massachusetts HEFA (North
Adams Hospital), 6.625%,
7/1/18 2,590,250
Baa2 BBB 5,025 Massachusetts HEFA
(Sisters of Providence
Health System), 6.50%,
11/15/08 5,120,224
Baa2 BBB 2,085 Massachusetts HEFA
(Sisters of Providence
Health System), 6.625%,
11/15/22 2,069,050
A1 A+ 530 Massachusetts HEFA
(Spaulding Rehabilitation
Hospital), 7.625%, 7/1/21 557,390
</TABLE>
See notes to financial statements
37
<PAGE>
Massachusetts Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospitals (continued)
- --------------------------------------------------------------------------------
NR AA $ 1,475 Massachusetts HEFA,
(FHA), (Deutsches
Altenheim), 7.70%, 11/1/31 $ 1,584,607
NR NR 9,000 Massachusetts IFA
(Biomedical Research
Corp.), 0%, 8/1/09 4,393,350
NR AAA 1,950 Massachusetts IFA
(Heights Crossing) (AMT),
6.15%, 2/1/35 1,935,629
- --------------------------------------------------------------------------------
$ 35,506,602
- --------------------------------------------------------------------------------
Housing -- 14.9%
- --------------------------------------------------------------------------------
NR AAA $ 2,750 Framingham Housing
Authority, (GNMA), 6.65%,
2/20/32 $ 2,833,160
A1 A+ 5,000 Massachusetts HFA,
6.375%, 4/1/21 5,124,150
Aa A+ 5,500 Massachusetts HFA (AMT),
6.60%, 12/1/24 5,650,975
Aa A+ 7,195 Massachusetts HFA, (AMT),
6.60%, 12/1/26 7,385,379
Aa A+ 6,365 Massachusetts HFA, (AMT),
6.60%, 12/1/26 6,533,418
Aa A+ 2,795 Massachusetts HFA, (AMT),
7.125%, 6/1/25 2,952,694
Aa A+ 2,195 Massachusetts HFA, (AMT),
8.10%, 6/1/20 2,276,215
Aa A+ 1,500 Massachusetts HFA, (AMT),
8.10%, 12/1/21 1,545,210
Aaa AAA 1,000 Massachusetts HFA,
(FNMA), 6.875%, 11/15/11 1,067,850
Aaa AAA 2,750 Massachusetts HFA,
(FNMA), 6.90%, 11/15/21 2,912,718
- --------------------------------------------------------------------------------
$ 38,281,769
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 5.3%
- --------------------------------------------------------------------------------
A3 NR $ 5,090 Massachusetts IFA (Babson
College), 5.25%, 10/1/27 $ 4,621,109
NR NR 2,075 Massachusetts IFA
(Hingham Water Co.)
(AMT), 6.60%, 12/1/15 2,130,216
NR NR 3,000 Massachusetts IFA
(Hingham Water Co.)
(AMT), 6.90%, 12/1/29 3,136,260
Baa3 BB+ 3,750 Puerto Rico Port
Authority (American
Airlines) (AMT), 6.25%,
6/1/26 3,822,075
- --------------------------------------------------------------------------------
$ 13,709,660
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Insured Education -- 1.2%
- --------------------------------------------------------------------------------
Aaa AAA $ 2,000 Massachusetts Educational
Finance Authority,
(AMBAC), (AMT), 7.30%,
1/1/12 $ 2,145,260
Aaa AAA 300 Massachusetts Educational
Finance Authority,
(MBIA), (AMT), 7.25%,
1/1/09 316,437
Aaa AAA 400 Massachusetts HEFA
(Boston University)
"RIBS", (MBIA),Variable,
10/1/31/(1)/ 446,500
Aaa AAA 250 Massachusetts HEFA
(Northeastern University)
(AMBAC), 7.50%, 10/1/08 265,345
- --------------------------------------------------------------------------------
$ 3,173,542
- --------------------------------------------------------------------------------
Insured Electric Utilities -- 0.7%
- --------------------------------------------------------------------------------
Aaa AAA $ 2,000 Massachusetts Municipal
Wholesale Electric Co.
(MBIA), 4.75%, 7/1/10 $ 1,820,460
- --------------------------------------------------------------------------------
$ 1,820,460
- --------------------------------------------------------------------------------
Insured General Obligations -- 1.3%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,795 City of Boston (FSA),
4.875%, 9/1/09 $ 1,700,350
NR AAA 1,000 Commonwealth of Puerto
Rico "RIBS", (AMBAC),
Variable, 7/1/15/(1)/ 1,005,000
Aaa AAA 600 Town of Tyngsborough,
(AMBAC), 6.90%, 5/15/08 663,648
- --------------------------------------------------------------------------------
$ 3,368,998
- --------------------------------------------------------------------------------
Insured Hospitals -- 7.8%
- --------------------------------------------------------------------------------
Aaa AAA $ 300 Massachusetts HEFA
(Berkshire Health
Systems) (MBIA), 7.60%,
10/1/14 $ 320,886
Aaa AAA 3,750 Massachusetts HEFA (Beth
Israel Hospital) Inverse
Floaters (AMBAC), (AMT),
Variable, 7/1/25/(1)/ 3,637,500
Aaa AAA 1,040 Massachusetts HEFA
(Beverly Hospital)
(MBIA), 7.30%, 7/1/13 1,112,831
Aaa AAA 1,500 Massachusetts HEFA
(Capital Assist Program),
(MBIA), 7.20%, 7/1/09 1,601,895
</TABLE>
See notes to financial statements
38
<PAGE>
Massachusetts Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Hospitals (continued)
- --------------------------------------------------------------------------------
Aaa AAA $ 2,050 Massachusetts HEFA
(Fallon Healthcare
System), (FSA), 6.75%,
6/1/20/(2)/ $ 2,237,288
Aaa AAA 2,000 Massachusetts HEFA (St.
Elizabeth Hospital Issue)
"LEVRRS", (FSA),
Variable, 8/15/21/(1)/ 2,222,500
Aaa AAA 2,600 Massachusetts HEFA (St.
Luke's Hospital) "Yield
Curve Notes", (MBIA),
Variable, 8/15/23/(1)/ 2,421,250
Aaa AAA 2,600 Massachusetts HEFA (St.
Luke's Hospital) "Yield
Curve Notes", (MBIA),
Variable, 8/15/13/(1)/ 2,512,250
Aaa AAA 3,000 Massachusetts HEFA (The
Medical Center of Central
Massachusetts) (AMBAC),
"CARS", Variable,
6/23/22/(1)/ 3,303,750
Aaa AAA 700 Massachusetts HEFA
(University Hospital)
(MBIA), 7.25%, 7/1/19 760,424
- --------------------------------------------------------------------------------
$ 20,130,574
- --------------------------------------------------------------------------------
Insured Housing -- 0.8%
- --------------------------------------------------------------------------------
Aaa AAA $ 2,000 Massachusetts HFA,
(AMBAC), 6.45%, 1/1/36 $ 2,063,300
- --------------------------------------------------------------------------------
$ 2,063,300
- --------------------------------------------------------------------------------
Insured Transportation -- 2.5%
- --------------------------------------------------------------------------------
Aaa AAA $ 5,860 Massachusetts Port
Authority, (AMT), (FGIC),
7.50%, 7/1/20 $ 6,381,599
- --------------------------------------------------------------------------------
$ 6,381,599
- --------------------------------------------------------------------------------
Insured Water and Sewer -- 1.0%
- --------------------------------------------------------------------------------
Aaa AAA $ 2,800 Massachusetts State Water
Resources Authority
(MBIA), 5.00%, 3/1/22 $ 2,454,872
- --------------------------------------------------------------------------------
$ 2,454,872
- --------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 3.8%
- --------------------------------------------------------------------------------
NR A- $ 7,800 Plymouth County, MA
(Plymouth County
Correctional Facility),
7.00%, 4/1/22 $ 8,564,087
NR BBB 1,200 Puerto Rico Industrial,
Tourist, Educational,
Medical and Environmental
Control Authority
(Guaynabo Municipal
Government Center Lease),
5.625%, 7/1/22 $ 1,105,956
- --------------------------------------------------------------------------------
$ 9,670,043
- --------------------------------------------------------------------------------
Life Care -- 3.4%
- --------------------------------------------------------------------------------
NR AAA $ 2,000 Boston, MA, Industrial
Development Financing
Authority, 6.00%, 2/1/37 $ 1,962,680
NR NR 8,000 Massachusetts IFA, 0%,
8/1/08 4,184,800
NR NR 6,000 Massachusetts IFA, 0%,
8/1/10 2,734,980
- --------------------------------------------------------------------------------
$ 8,882,460
- --------------------------------------------------------------------------------
Nursing Homes -- 2.3%
- --------------------------------------------------------------------------------
NR NR $ 2,400 Massachusetts HEFA
(Fairview Care
Facilities), 10.25%,
1/1/21 $ 2,676,672
NR NR 3,225 Massachusetts IFA (AGE
Institute of
Massachusetts Project),
8.05%, 11/1/25 3,251,897
- --------------------------------------------------------------------------------
$ 5,928,569
- --------------------------------------------------------------------------------
Solid Waste -- 0.5%
- --------------------------------------------------------------------------------
NR NR $ 1,145 City of Pittsfield, Vicon
Recovery Associates,
7.95%, 11/1/04 $ 1,179,671
- --------------------------------------------------------------------------------
$ 1,179,671
- --------------------------------------------------------------------------------
Special Tax Revenue -- 1.6%
- --------------------------------------------------------------------------------
Baa1 A $ 1,000 Puerto Rico Highway and
Transportation Authority,
5.00%, 7/1/36 $ 860,910
Baa1 A 3,500 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/36 3,273,970
- --------------------------------------------------------------------------------
$ 4,134,880
- --------------------------------------------------------------------------------
Transportation -- 10.7%
- --------------------------------------------------------------------------------
NR BBB $ 5,950 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 6,071,499
</TABLE>
See notes to financial statements
39
<PAGE>
Massachusetts Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Transportation (continued)
- ---------------------------------------------------------------------------
Aa AA- $ 2,000 Massachusetts Port
Authority, 6.00%, 7/1/23 $ 2,004,280
A1 A+ 21,900 Massachusetts State
Turnpike Authority,
5.00%, 1/1/20 19,434,716
- ---------------------------------------------------------------------------
$ 27,510,495
- ---------------------------------------------------------------------------
Water and Sewer -- 10.4%
- ---------------------------------------------------------------------------
Baa1 BBB $12,185 City of Boston (Harbor
Electric Energy Co.)
(AMT), 7.375%, 5/15/15 $ 13,025,764
A A 7,175 Massachusetts Water
Resources Authority,
5.00%, 3/1/22 6,257,102
A A 1,500 Massachusetts Water
Resources Authority,
5.25%, 3/1/13 1,422,390
A A 4,165 Massachusetts Water
Resources Authority,
5.25%, 12/1/15 3,939,590
NR NR 2,000 Virgin Islands Water and
Power Authority, 7.60%,
1/1/12 2,131,740
- ---------------------------------------------------------------------------
$ 26,776,586
- ---------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $245,151,275) $257,218,417
- ---------------------------------------------------------------------------
</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 March 31, 1997, 15.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 2.4% to 5.4% of total investments.
See notes to financial statements
40
<PAGE>
Mississippi Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 4.0%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 University of Mississippi
Educational Building,
5.50%, 12/1/27 $ 472,770
NR A 470 University of Mississippi
Educational Building
Athletic Facility, 6.20%,
6/1/16 481,947
- --------------------------------------------------------------------------------
$ 954,717
- --------------------------------------------------------------------------------
Electric Utilities -- 8.0%
- --------------------------------------------------------------------------------
NR BBB $ 810 Guam Power Authority
Revenue Bonds, 6.625%,
10/1/14 $ 839,435
Baa3 NR 1,000 Warren County (Mississippi
Power & Light Co.), 7.00%,
4/1/22 1,054,550
- --------------------------------------------------------------------------------
$1,893,985
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 5.5%
- --------------------------------------------------------------------------------
A NR $ 750 Mississippi Hospital
Equipment and Facilities
Authority, (Rankin Medical
Center), 5.60%, 3/1/19 $ 788,505
Aaa NR 1,500 Mississippi Housing Finance
Corp., Single Family (AMT),
0%, 6/1/15 521,595
- --------------------------------------------------------------------------------
$1,310,100
- --------------------------------------------------------------------------------
General Obligations -- 4.1%
- --------------------------------------------------------------------------------
Baa1 A $ 250 Commonwealth of Puerto Rico
Aqueduct and Sewer
Authority, 5.00%, 7/1/19 $ 222,158
Aa3 AA 200 State of Mississippi,
5.10%, 11/15/12 191,978
Aa3 NR 500 State of Mississippi,
6.75%, 12/1/14 556,290
- --------------------------------------------------------------------------------
$ 970,426
- --------------------------------------------------------------------------------
Housing -- 13.1%
- --------------------------------------------------------------------------------
Aa NR $ 500 Hinds County, Woodridge
Apartments, (FHA), 6.25%,
11/1/27 $ 506,740
500 Mississippi Home Corp.,
Single Family, (AMT),
(GNMA), 6.625%, 4/1/27 514,535
Aaa NR 445 Mississippi Home Corp.,
Single Family, Access
Program, (AMT), (GNMA),
8.10%, 12/1/24 492,553
Aaa NR 940 Mississippi Home Corp.,
Single Family, Access
Program, (AMT), (GNMA),
8.125%, 12/1/24 $1,039,161
Aaa NR 500 Mississippi Home Corp.,
Single Family, Access
Program, (GNMA), (AMT),
6.00%, 12/1/27 548,975
- --------------------------------------------------------------------------------
$3,101,964
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 11.8%
- --------------------------------------------------------------------------------
A2 A $1,000 Lowndes County
(Weyerhaeuser Co.), 6.80%,
4/1/22 $1,121,560
NR AA- 500 Mississippi Business
Finance Corp., (AMT),
7.15%, 5/1/16/(1)/ 539,725
Baa3 BB+ 490 Puerto Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26 499,418
A3 A- 600 Warren County
(International Paper Co.),
(AMT), 6.60%, 3/1/19 627,030
- --------------------------------------------------------------------------------
$2,787,733
- --------------------------------------------------------------------------------
Insured Education -- 4.4%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Mississippi Educational
Facilities Authority,
(Milsaps College), (MBIA),
6.50%, 11/1/19 $1,054,230
- --------------------------------------------------------------------------------
$1,054,230
- --------------------------------------------------------------------------------
Insured Electric Utilities -- 5.8%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Jackson County, Gautier
Utility District, (MBIA),
6.375%, 3/1/12 $1,048,260
Aaa AAA 300 Puerto Rico, Electric Power
Authority (FSA), Variable,
7/1/03/(2)/ 324,750
- --------------------------------------------------------------------------------
$1,373,010
- --------------------------------------------------------------------------------
Insured General Obligations -- 6.0%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Desoto County School
District, (MBIA), 4.75%,
2/1/13 $ 893,540
Aaa AAA 500 Hinds County, (MBIA),
6.25%, 3/1/11 539,910
- --------------------------------------------------------------------------------
$1,433,450
- --------------------------------------------------------------------------------
Insured Hospitals -- 17.2%
- --------------------------------------------------------------------------------
Aaa AAA $ 250 Alcorn County (Magnolia
Regional Health Center),
(AMBAC), 5.75%, 10/1/13 $ 250,880
</TABLE>
See notes to financial statements
41
<PAGE>
Mississippi Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Hospitals (continued)
- ------------------------------------------------------------------------------
Aaa AAA $1,000 City of Gulfport (Gulfport
Memorial Hospital), (MBIA),
6.20%, 7/1/18 $ 1,017,120
Aaa AAA 1,275 Hinds County (Mississippi
Methodist Hospital),
(AMBAC), 5.60%, 5/1/12 1,280,227
Aaa AAA 500 Mississippi Development
Bank (Adams County
Hospital), 5.75%, 7/1/16 491,105
Aaa AAA 1,000 Mississippi Hospital
Equipment and Facilities
Authority (Mississippi
Baptist Medical Center)
(MBIA), 6.00%, 5/1/13 1,022,710
- ------------------------------------------------------------------------------
$ 4,062,042
- ------------------------------------------------------------------------------
Insured Lease Revenue / Certificates of Participation -- 4.2%
- ------------------------------------------------------------------------------
Aaa AAA $1,000 Medical Center Building
Corp., (University of
Mississippi Medical Center)
(MBIA), 5.80%, 12/1/14 $ 1,003,950
- ------------------------------------------------------------------------------
$ 1,003,950
- ------------------------------------------------------------------------------
Insured Water and Sewer -- 2.1%
- ------------------------------------------------------------------------------
Aaa AAA $ 500 City of Natchez, Combined
Water and Sewer System,
(MBIA), 5.70%, 8/1/17 $ 487,910
- ------------------------------------------------------------------------------
$ 487,910
- ------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 8.6%
- ------------------------------------------------------------------------------
NR A $1,000 Mississippi Development
Bank, Golden Triangle Solid
Waste, 6.00%, 7/1/15 $ 1,006,030
A2 NR 1,000 Mississippi University
Educational Building Corp.,
Facilities Renovation,
6.15%, 6/15/15 1,023,470
- ------------------------------------------------------------------------------
$ 2,029,500
- ------------------------------------------------------------------------------
Life Care -- 0.9%
- ------------------------------------------------------------------------------
NR NR $ 200 Ridgeland, MS, Urban
Renewal, The Orchard
Project Series 1993A,
7.75%, 12/1/15 $ 207,156
- ------------------------------------------------------------------------------
$ 207,156
- ------------------------------------------------------------------------------
Nursing Homes -- 1.3%
- ------------------------------------------------------------------------------
NR NR $ 300 Mississippi Finance Corp.
(Magnolia Healthcare),
7.99%, 7/1/25 $ 297,054
- ------------------------------------------------------------------------------
$ 297,054
- ------------------------------------------------------------------------------
Special Tax Revenue -- 3.0%
- ------------------------------------------------------------------------------
Baa1 A $ 750 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/36 $ 701,565
- ------------------------------------------------------------------------------
$ 701,565
- ------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $22,420,070) $23,668,792
- ------------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
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 March 31, 1997, 39.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 3.5% to 25.9% of total investments.
See notes to financial statements
42
<PAGE>
New York Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living -- 0.4%
- ----------------------------------------------------------------------------
NR NR $ 1,970 Village of North
Syracuse, NY, Housing
Authority (AJM Senior
Housing, Inc., Janus
Park), 8.00%, 6/1/24 $ 1,959,500
- ----------------------------------------------------------------------------
$ 1,959,500
- ----------------------------------------------------------------------------
Education -- 16.3%
- ----------------------------------------------------------------------------
Baa2 NR $ 1,660 City of New Rochelle IDA
Civic Facilities,
(College of New
Rochelle), 6.75%, 7/1/22 $ 1,701,268
NR AA 1,300 Dormitory Authority, (New
York Medical College)
(Asset Guaranty), 6.875%,
7/1/21 1,395,953
Aa AA 2,650 Dormitory Authority,
(Vassar College), 5.00%,
7/1/15 2,436,781
Aaa AA+ 6,895 Dormitory Authority,
State University
Educational Facilities,
4.75%, 7/1/14 6,087,664
Baa1 BBB+ 9,850 Dormitory Authority,
State University
Educational Facilities,
5.25%, 5/15/15 9,075,593
Baa1 BBB+ 28,675 Dormitory Authority,
State University
Educational Facilities,
5.25%, 5/15/19 26,074,177
Baa1 BBB+ 14,680 Dormitory Authority,
State University
Educational Facilities,
5.25%, 5/15/21 13,276,151
Baa1 BBB+ 20,125 Dormitory Authority,
State University
Educational Facilities,
5.50%, 5/15/13 19,202,872
Baa1 BBB+ 415 Dormitory Authority,
State University
Educational Facilities,
7.375%, 5/15/14 449,433
Baa1 BBB+ 1,300 Dormitory Authority,
State University
Educational Facilities,
7.50%, 5/15/11 1,495,286
A NR 1,000 Dutchess County IDA,
(Bard College), 7.00%,
11/1/17 1,072,870
A1 NR 6,035 Monroe County IDA,
(Wilmur Assc.), 7.25%,
12/1/16 6,373,081
- ----------------------------------------------------------------------------
$ 88,641,129
- ----------------------------------------------------------------------------
Electric Utilities -- 4.0%
- ----------------------------------------------------------------------------
A1 A+ $ 500 New York State Energy
Research and Development
Authority (Consolidated
Edison) (AMT), 7.75%,
1/1/24 $ 517,075
A1 A+ 2,365 New York State Energy
Research and Development
Authority, (Consolidated
Edison) (AMT), 7.50%,
7/1/25 2,509,218
A1 A+ 1,000 New York State Energy
Research and Development
Authority, (Consolidated
Edison) (AMT), 7.50%,
1/1/26 1,066,140
A1 A 2,500 New York State Energy
Research and Development
Authority, (Brooklyn
Union Gas) (RIBS)(AMT),
Variable, 7/1/26/(1)/ 2,925,000
Aa AA- 12,345 Power Authority of the
State of New York, 5.25%,
1/1/18 11,369,992
NR NR 3,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 3,180,300
- ----------------------------------------------------------------------------
$ 21,567,725
- ----------------------------------------------------------------------------
Escrowed / Prerefunded -- 7.1%
- ----------------------------------------------------------------------------
Aaa BBB $ 1,000 Dormitory Authority,
(City University),
7.625%, 7/1/20 $ 1,109,270
Baa1 NR 2,250 Dormitory Authority,
(Upstate Community
College), 7.20%, 7/1/21 2,492,573
Baa1 NR 2,000 Dormitory Authority,
(Upstate Community
College), 7.30%, 7/1/21 2,223,060
Baa1 BBB+ 2,000 Dormitory Authority,
State University
Educational Facilities,
5.50%, 5/15/19 1,881,740
Aaa AAA 500 Erie County Water
Authority, Water Works
System, (AMBAC), 6.00%,
12/1/08 533,310
Aaa AAA 500 Metropolitan
Transportation Authority
Commuter Facilities
Bonds, 7.50%, 7/1/19 550,605
Aaa BBB 1,000 New York State Housing
Finance Agency (HFA),
Service Contracts, 7.80%,
9/15/01 1,126,510
NR AAA 70 New York State Medical
Care Facilities Finance
Agency (MCFFA) Mental
Health Services
Facilities, 7.75%, 8/15/10 77,223
</TABLE>
See notes to financial statements
43
<PAGE>
New York Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Escrowed / Prerefunded (continued)
- --------------------------------------------------------------------------------
Aaa AAA $ 3,320 New York State (MCFFA),
Mental Health Services
Facilities, 7.50%, 2/15/21 $ 3,705,220
Aaa AAA 1,775 New York State (HFA),
Service Contracts,
7.375%, 9/15/21 1,999,538
Aaa AAA 225 New York State (MCFFA),
Mental Health Services
Facilities, 7.875%,
8/15/08 251,618
NR AA- 500 New York State Power
Authority, Series V,
8.00%, 1/1/17 525,080
Baa1 BBB 4,750 New York State Thruway
Authority, Local Highway
and Bridge Service
Contract Bonds, 7.25%,
1/1/10 /(2)/ 5,233,550
Baa1 BBB 500 New York State Urban
Development Corporation
(UDC), Alfred Technology,
7.875%, 1/1/20 550,210
Baa1 BBB 750 New York State Urban
Development Corp. (UDC),
Clarkson Center, 7.80%,
1/1/20 840,203
Baa1 BBB 750 New York State UDC,
Clarkson Center, 8.00%,
1/1/20 844,635
Aaa NR 8,100 New York State UDC,
Correctional Facilities,
6.50%, 1/1/21 8,622,369
Baa1 AAA 3,750 Puerto Rico Aqueduct and
Sewer Authority, 7.875%,
7/1/17 4,003,163
Aaa AAA 1,760 Puerto Rico Highway and
Transportation Authority
- Highway Revenue,
6.625%, 7/1/18 1,939,995
- --------------------------------------------------------------------------------
$ 38,509,872
- --------------------------------------------------------------------------------
General Obligations -- 1.4%
- --------------------------------------------------------------------------------
Aaa BBB+ $ 475 New York, NY, 7.50%,
2/1/18 $ 536,565
Baa1 BBB+ 3,525 New York, NY, 7.50%,
2/1/18 3,872,777
AA AA 1,700 Onondaga County, NY,
5.875%, 2/15/11 1,785,646
AA AA 1,600 Onondaga County, NY,
5.875%, 2/15/12 1,676,064
- --------------------------------------------------------------------------------
$ 7,871,052
- --------------------------------------------------------------------------------
Hospitals -- 16.8%
- --------------------------------------------------------------------------------
Aa AAA $ 1,500 Dormitory Authority,
(Long Island Jewish
Medical Center) (FHA),
7.75%, 8/15/27 $ 1,563,975
NR AAA 1,000 Dormitory Authority, (St.
Francis Hospital) (FHA),
7.65%, 8/1/30 1,085,240
NR AA 1,000 Dormitory Authority, (St.
Johns) (FHA), 6.05%,
2/1/16 1,002,260
Baa1 BBB+ 10,000 Dormitory Authority,
(Mental Health
Facilities), 5.375%,
2/15/26 8,964,500
NR AAA 6,705 Dormitory Authority,
(United Health Services),
(FHA), 7.35%, 8/1/29 7,156,112
Aa AA 1,000 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.55%, 8/15/12 1,043,470
Aa AA 9,000 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.70%, 8/15/23 9,405,450
Aa AA 1,050 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.75%, 2/15/12 1,113,819
Aa AA 1,500 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.95%, 2/15/32 1,595,865
Aa AA 2,190 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.00%, 8/15/32 2,351,819
Aa AA 6,600 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.25%, 2/15/31 7,098,960
Aa AA 745 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.35%, 2/15/29 791,443
Aa AA 3,500 New York State MCFFA,
Insured Mortgage (FHA),
6.20%, 8/15/14 3,580,780
Aa AA 6,625 New York State MCFFA,
Insured Mortgage (FHA),
6.20%, 8/15/15 6,723,116
Aa AA 6,550 New York State MCFFA,
Insured Mortgage (FHA),
6.25%, 8/15/15 6,667,638
Aa AA 950 New York State MCFFA,
Insured Mortgage (FHA),
7.45%, 8/15/31 1,028,119
Baa1 BBB+ 1,230 New York State MCFFA,
Mental Health Services
Facilities, 7.50%, 2/15/21 1,350,626
Baa1 BBB+ 75 New York State MCFFA,
Mental Health Services
Facilities, 7.75%, 8/15/10 81,655
Baa1 BBB+ 270 New York State MCFFA,
Mental Health Services
Facilities, 7.875%,
8/15/08 298,496
</TABLE>
See notes to financial statements
44
<PAGE>
New York Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospitals (continued)
- ----------------------------------------------------------------------------
Baa BBB $ 5,540 New York State MCFFA,
Secured Hospital, 7.35%,
8/15/11 $ 6,029,459
Baa BBB 19,700 New York State MCFFA,
Secured Hospital
(Brookdale), 6.80%,
8/15/12 20,605,608
Baa1 BBB+ 1,800 Syracuse Industrial
Development Agency (IDA),
St. Joseph's Hospital
Health Center, 7.50%,
6/1/18 2,011,302
- ----------------------------------------------------------------------------
$ 91,549,712
- ----------------------------------------------------------------------------
Housing -- 6.2%
- ----------------------------------------------------------------------------
NR NR $ 4,619 New York City Housing
Development Corporation
(HDC), Allerville, 6.50%,
11/15/18 $ 4,653,931
NR NR 2,025 New York City HDC,
Dayton, 6.50%, 11/15/18 2,048,842
NR AAA 2,550 New York City HDC,
Multi-Unit Management,
7.35%, 6/1/19 2,697,390
Aa AAA 235 New York State Housing
Finance Agency, Baytown,
7.10%, 8/15/35 246,727
Aa NR 37,865 New York State Mortgage
Agency, 0%, 10/1/14 7,298,857
Aa NR 500 New York State Mortgage
Agency, 6.65%, 4/1/22 516,715
Aa2 NR 8,750 New York State Mortgage
Agency, 6.90%, 4/1/15 9,416,575
Aa NR 1,000 New York State Mortgage
Agency, 7.50%, 4/1/15 1,068,800
Aa2 NR 450 New York State Mortgage
Agency, 7.70%, 10/1/12 473,949
Aa2 NR 2,850 New York State Mortgage
Agency (AMT), 6.40%,
10/1/20 2,912,216
Aa2 NR 1,600 New York State Mortgage
Agency (AMT), 7.95%,
10/1/21 1,694,176
Baa BBB 350 Puerto Rico Commonwealth
Urban Renewal and Housing
Corp., 7.875%, 10/1/04 379,043
Aaa AAA 330 Puerto Rico Housing
Financial Corp. Single
Family (GNMA), 7.65%,
10/15/22 346,279
- ----------------------------------------------------------------------------
$ 33,753,500
- ----------------------------------------------------------------------------
Industrial Development Revenue / Pollution Control Revenue -- 1.0%
- ----------------------------------------------------------------------------
Aaa AAA $ 5,830 New York City, 5.375%,
7/1/23 $ 5,441,780
- ----------------------------------------------------------------------------
$ 5,441,780
- ----------------------------------------------------------------------------
Insured Colleges and Universities -- 0.1%
- ----------------------------------------------------------------------------
Aaa AAA $ 450 Dormitory Authority,
(Colgate University)
(MBIA), 6.00%, 7/1/16 $ 469,643
- ----------------------------------------------------------------------------
$ 469,643
- ----------------------------------------------------------------------------
Insured Electric Utilities -- 1.3%
- ----------------------------------------------------------------------------
Aaa AAA $ 2,200 New York State Energy
Research and Development
Authority, (Brooklyn
Union Gas) (MBIA), 5.50%,
1/1/21 $ 2,089,450
Aaa AAA 5,000 Puerto Rico Telephone
Authority (MBIA)
Variable, 6.769%,
1/25/07/(1)/ 5,018,750
- ----------------------------------------------------------------------------
$ 7,108,200
- ----------------------------------------------------------------------------
Insured General Obligations -- 2.6%
- ----------------------------------------------------------------------------
Aaa AAA $ 700 Bethlehem Central School
District (AMBAC), 7.10%,
11/1/08 $ 815,864
Aaa AAA 700 Bethlehem Central School
District (AMBAC), 7.10%,
11/1/09 815,934
Aaa AAA 770 Chautauqua County
Unlimited Tax (FGIC),
6.40%, 9/15/09 846,854
Aaa AAA 1,035 Erie County Water
Authority (AMBAC), 0%,
12/1/17 235,804
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/09 807,751
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/10 806,939
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/11 808,773
Aaa AAA 675 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/12 781,029
Aaa AAA 675 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/13 781,576
Aaa AAA 515 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/14 596,313
Aaa AAA 1,930 New York, NY (AMBAC),
7.00%, 8/1/17 2,114,199
Aaa AAA 4,500 Puerto Rico (FSA),
Variable, 7/1/22/(1)/ 4,522,500
- ----------------------------------------------------------------------------
$ 13,933,536
- ----------------------------------------------------------------------------
Insured Hospitals -- 1.8%
- ----------------------------------------------------------------------------
Aaa AAA $ 2,965 New York State Dormitory
Authority (Mt. Sinai)
(MBIA), 5.15%, 7/1/24 $ 2,723,264
</TABLE>
See notes to financial statements
45
<PAGE>
New York Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Hospitals (continued)
- --------------------------------------------------------------------------------
Aaa AAA $ 1,300 New York State MCFFA, New
York Hospital (FHA)
(AMBAC), 6.60%, 2/15/11 $ 1,393,886
Aaa AAA 5,400 New York State MCFFA, New
York Hospital (FHA)
(AMBAC), 6.75%, 8/15/14 5,862,240
- --------------------------------------------------------------------------------
$ 9,979,390
- --------------------------------------------------------------------------------
Insured Housing -- 0.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 New York City HDC,
Charter Oaks (MBIA),
7.375%, 4/1/17 $ 516,305
- --------------------------------------------------------------------------------
$ 516,305
- --------------------------------------------------------------------------------
Insured Life Care -- 0.3%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,500 New York State MCFFA,
Long Term Health Care
(FSA), 6.80%, 11/1/14 $ 1,605,030
- --------------------------------------------------------------------------------
$ 1,605,030
- --------------------------------------------------------------------------------
Insured Miscellaneous -- 0.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 New York City IDA, (USTA
National Tennis Center
Inc.) (FSA), 6.375%,
11/15/14 $ 527,915
- --------------------------------------------------------------------------------
$ 527,915
- --------------------------------------------------------------------------------
Insured Solid Waste -- 1.7%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,650 Dutchess County Resource
Recovery Solid Waste
(FGIC), 7.50%, 1/1/09 $ 1,778,733
Aaa AAA 6,795 Islip Resource Recovery
Agency (MBIA), 6.50%,
7/1/09 7,376,516
- --------------------------------------------------------------------------------
$ 9,155,249
- --------------------------------------------------------------------------------
Insured Transportation -- 1.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 3,000 Triborough Bridge and
Tunnel Authority of New
York, RITES
(AMBAC),Variable,
1/1/12/(1)/ $ 3,270,000
Baa AAA 3,000 Triborough Bridge and
Tunnel Authority, (MBIA),
Variable, 1/1/19/(1)/ 3,018,750
- --------------------------------------------------------------------------------
$ 6,288,750
- --------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 12.2%
- --------------------------------------------------------------------------------
Baa1 BBB $ 8,000 Dormitory Authority,
(City University),
5.625%, 7/1/16 $ 7,690,240
Baa1 BBB 250 Dormitory Authority,
(City University),
6.375%, 7/1/08 257,860
Baa1 BBB 5,100 Dormitory Authority,
(City University), 7.00%,
7/1/09 5,576,799
Baa1 BBB 4,325 Dormitory Authority,
(City University), 7.50%,
7/1/10 4,930,846
Baa1 BBB 1,000 Dormitory Authority, City
University, (Cross-over
Refunded '98), 8.125%,
7/1/08 1,063,280
Baa1 BBB 8,500 New York State Dormitory
Authority, (City
University), 6.00%, 7/1/20 8,504,335
Baa BBB+ 13,380 New York State HFA Health
Facilities, 6.00%, 5/1/06 13,467,504
NR BBB 5,865 New York State Thruway
Authority, 0%, 1/1/01 4,793,992
NR BBB 2,350 New York State Thruway
Authority, 0%, 1/1/03 1,705,818
Baa1 BBB 16,950 New York State UDC,
5.70%, 4/1/20 16,330,307
A A 1,825 Syracuse-Hancock
International Airport,
6.625%, 1/1/12 1,911,523
- --------------------------------------------------------------------------------
$ 66,232,504
- --------------------------------------------------------------------------------
Life Care -- 1.1%
- --------------------------------------------------------------------------------
NR NR $ 4,000 Glen Cove, Industrial
Development Agency, 9.50%,
7/1/12 $ 4,000,000
Baa1 BBB+ 1,090 New York State Medical
Care Facilities, 7.625%,
8/15/17 1,228,005
Baa1 BBB+ 490 New York State Medical
Care Facilities, 7.625%,
8/15/17 535,364
- --------------------------------------------------------------------------------
$ 5,763,369
- --------------------------------------------------------------------------------
Miscellaneous -- 1.7%
- --------------------------------------------------------------------------------
Aa2 AA $ 635 City of New York
Municipal Assistance
Corp., 7.625%, 7/1/08 $ 687,083
Aaa NR 1,300 New York City IDA, (YMCA
of Greater New York),
8.00%, 8/1/16 1,485,081
NR NR 7,000 VRDC-IVRC Trust, (NY
MTA), Variable, 6.10%,
6/26/02/(1)/ 7,122,500
- --------------------------------------------------------------------------------
$ 9,294,664
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
46
<PAGE>
New York Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Solid Waste -- 1.9%
- --------------------------------------------------------------------------------
Baa1 NR $ 9,530 New York State EFC
Resource Recovery,
Huntington, 7.50%, 10/1/12 $ 10,315,844
- --------------------------------------------------------------------------------
$ 10,315,844
- --------------------------------------------------------------------------------
Special Tax Revenue -- 12.5%
- --------------------------------------------------------------------------------
A3 A $ 5,000 New York State Local
Government Assitance
Corporation (LGAC),
5.00%, 4/1/21 $ 4,365,450
A3 A 14,000 New York State LGAC,
5.00%, 4/1/21 12,467,279
A3 A 11,170 New York State LGAC,
5.00%, 4/1/23 9,702,039
A3 A 32,300 New York State LGAC,
5.375%, 4/1/19 30,169,168
A3 A 5,225 New York State LGAC,
5.50%, 4/1/17 5,080,006
NR BBB+ 2,630 New York State Municipal
Bond Bank Agency, 6.875%,
3/15/06 2,800,030
Baa1 BBB 3,335 Triborough Bridge and
Tunnel Authority,
Convention Center, 6.00%,
1/1/11 3,364,181
- --------------------------------------------------------------------------------
$ 67,948,153
- --------------------------------------------------------------------------------
Transportation -- 4.6%
- --------------------------------------------------------------------------------
A1 AA- $ 1,500 Port Authority of New
York and New Jersey
(AMT), Variable,
1/15/27/(1)/ $ 1,576,875
Baa3 BB+ 2,800 Port Authority of New
York and New Jersey,
(Delta Airlines), 6.95%,
6/1/08 2,971,192
Aa A+ 7,460 Triborough Bridge and
Tunnel Authority, 5.20%,
1/1/27 6,745,630
Aa A+ 11,580 Triborough Bridge and
Tunnel Authority, 5.50%,
1/1/17 11,340,062
Aa A+ 2,500 Triborough Bridge and
Tunnel Authority, 6.125%,
1/1/21 2,645,500
- --------------------------------------------------------------------------------
$ 25,279,259
- --------------------------------------------------------------------------------
Water and Sewer -- 3.7%
- --------------------------------------------------------------------------------
Aa2 A $ 2,750 New York State EFC, State
Water Pollution Control,
7.00%, 6/15/12 $ 3,011,140
Aa2 A+ 4,545 New York State EFC, State
Water Pollution Control,
7.20%, 3/15/11 4,913,918
Aa A 150 New York State EFC, State
Water Pollution Control,
7.50%, 6/15/12 $ 164,204
Aa A 11,050 New York State
Environmental Facilities
Corporation (EFC), State
Water Pollution Control,
6.875%, 6/15/10 12,047,373
- --------------------------------------------------------------------------------
$ 20,136,635
- --------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $520,628,074) $543,848,716
- --------------------------------------------------------------------------------
</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 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 March 31, 1997, 9.1% 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 institutions ranged from 0.5% to 5.4% of total investments.
See notes to financial statements
47
<PAGE>
Ohio Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 5.2%
- ---------------------------------------------------------------------------
Aaa AAA $ 1,000 Ohio Higher Education
Facilities (University of
Dayton) (FGIC), 5.80%,
12/1/14 $ 1,009,110
Aa3 AA- 550 Ohio State Higher
Educational Facilities,
(Case Western
University), 6.50%,
10/1/20 606,210
A1 NR 6,000 Ohio State Student Loan
Funding Corp (AMT),
6.10%, 8/1/07 6,025,920
A1 NR 5,000 Ohio State Student Loan
Funding Corp (AMT),
6.10%, 8/1/08 5,003,400
A1 AA- 650 University of Cincinnati,
6.50%, 6/1/11 688,591
Aaa AAA 1,000 University of Cincinnati,
6.50%, 12/1/11 1,041,200
- ---------------------------------------------------------------------------
$ 14,374,431
- ---------------------------------------------------------------------------
Electric Utilities -- 5.0%
- ---------------------------------------------------------------------------
NR BBB $ 5,500 Guam Power Authority,
5.25%, 10/1/13 $ 4,962,375
A1 A+ 1,185 Ohio State Air Quality
Development Authority,
6.10%, 9/1/30 1,203,356
Baa1 BBB+ 20,165 Puerto Rico Electric
Power Authority, 0%,
7/1/17 6,175,530
Baa1 BBB+ 360 Puerto Rico Electric
Power Authority, 7.125%,
7/1/14 384,178
NR NR 1,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,060,100
- ---------------------------------------------------------------------------
$ 13,785,539
- ---------------------------------------------------------------------------
Escrowed / Prerefunded -- 0.4%
- ---------------------------------------------------------------------------
NR BBB+ $ 1,000 Lucas County (Flowers
Hospital), 6.125%, 12/1/13 $ 1,076,030
- ---------------------------------------------------------------------------
$ 1,076,030
- ---------------------------------------------------------------------------
General Obligations -- 6.3%
- ---------------------------------------------------------------------------
NR NR $ 3,035 Belmont County, 7.30%,
12/1/12 $ 3,228,967
A1 NR 725 City of Medina, OH Fire
Station Improvement,
3.00%, 12/1/10 533,216
Ba1 BBB 2,450 Cleveland City School
District, 7.25%, 6/15/98 2,480,527
NR NR 800 Mahoning Valley, OH,
Sanitation District,
7.80%, 12/15/08 868,400
NR NR $ 950 Mahoning Valley, OH,
Sanitation District,
7.80%, 12/15/09 1,031,225
Aa1 AA+ 1,500 Ohio State Infrastructure
Improvement, 0%, 8/1/11 674,940
NR NR 1,000 Tuscarawas Public Library
Improvement, 6.90%,
12/1/11 1,029,670
Baa NR 6,855 Youngstown, OH, 7.35%,
7/1/05 7,372,826
- ---------------------------------------------------------------------------
$ 17,219,771
- ---------------------------------------------------------------------------
Hospitals -- 22.8%
- ---------------------------------------------------------------------------
NR AAA $ 1,000 Allen County OH LIMA
Convalescent Home
Foundation (GNMA), 6.40%,
1/1/21 $ 1,036,560
Baa3 BBB- 1,000 Butler County
(Hamilton-Hughe
Hospital), 7.50%, 1/1/10 1,062,220
A2 A 1,015 City of Garfield Heights
(Marymount Hospital),
6.65%, 11/15/11 1,070,328
A2 A 1,000 City of Garfield Heights
(Marymount Hospital),
6.70%, 11/15/15 1,055,040
A1 A+ 2,100 Cuyahoga County, Fairview
General Hospital, 6.25%,
8/15/10 2,146,242
A1 A 2,000 Cuyahoga County, Meridia
Health System, 6.50%,
8/15/12 2,059,040
A1 A 2,370 Cuyahoga County, Meridia
Health System, 7.00%,
8/15/23 2,518,457
Aa3 AA 4,450 Cuyahoga County,
University Hospitals
Health System, 6.00%,
1/15/22 4,450,757
Aa3 AA 750 Cuyahoga County,
University Hospitals
Health System, 6.50%,
1/15/19 773,730
NR BBB+ 3,705 Defiance Hospital, Inc.,
7.625%, 11/1/03 3,786,251
Baa3 BBB 765 East Liverpool City
Hospital-
Series A, 8.00%, 10/1/21 803,717
Baa3 BBB 1,000 East Liverpool City
Hospital-
Series B, 8.00%, 10/1/21 1,050,610
A2 A 4,000 Erie County (Firelands
Community Hospital),
6.75%, 1/1/08 4,187,720
Aa3 NR 2,000 Franklin County
(Children's Hospital),
5.75%, 11/1/20 1,936,000
Aa3 NR 3,000 Franklin County
(Children's Hospital),
6.60%, 5/1/13 3,200,190
A1 A 5,115 Hamilton County (Bethesda
Hospital, Inc.), 6.25%,
1/1/12 5,245,279
</TABLE>
See notes to financial statements
48
<PAGE>
Ohio Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospitals (continued)
- --------------------------------------------------------------------------------
Aa2 NR $ 1,000 Hamilton County, OH
Wesley Hall, 6.50%, 3/1/15 $ 1,050,860
A1 A+ 5,900 Lorain County (Humility
of Mary Health Care
Corp.), 5.90%, 12/15/08 5,989,385
A1 A+ 1,095 Lorain County (Humility
of Mary Health Care
Corp.), 7.125%, 12/15/06 1,179,293
A1 A+ 1,000 Lorain County (Humility
of Mary Health Care
Corp.), 7.20%, 12/15/11 1,073,590
NR A+ 1,750 Lorain, OH, Hospital
Improvement, (Lakeland
County Hospital), 6.50%,
11/15/12 1,819,545
Baa BBB 3,800 Miami, Upper Valley
Medical Center, 6.375%,
5/15/26 3,832,794
NR NR 10,000 Mt Vernon, (Knox
Community Hospital),
7.875%, 6/1/12 10,309,799
Aa1 NR 600 Warren County, Hospital
Facilities (Otterbein
Homes), 7.20%, 7/1/11 643,746
- --------------------------------------------------------------------------------
$ 62,281,153
- --------------------------------------------------------------------------------
Housing -- 11.4%
- --------------------------------------------------------------------------------
Aa NR $ 1,300 City of Clermont, Laurels
(FHA), 6.00%, 9/1/20 $ 1,285,427
Aa NR 5,985 Franklin County MFMR -
Tuttle Park (FHA), (AMT,
6.60%, 3/1/36 6,221,347
Aa NR 2,500 Franklin County MFMR -
Tuttle Park (FHA), (AMT),
6.50%, 3/1/26 2,589,425
NR NR 3,645 Franklin County,
(Hamilton Creek
Apartments) (FHA), (AMT),
5.55%, 7/1/24 3,384,455
NR NR 1,000 Franklin County,
(Hamilton Creek
Apartments) (FHA), (AMT),
5.80%, 7/1/14 979,630
NR NR 3,000 Lucas County, County
Creek Project (AMT),
8.00%, 7/1/26 2,869,410
Aaa AAA 935 Ohio HFA SFMR, (GNMA)
(AMT), Variable, 3/1/31(1) 1,002,788
NR AAA 3,310 Ohio HFA, (GNMA), (AMT),
6.375%, 3/1/25 3,343,597
NR NR 4,595 Ohio HFA, (GNMA), (AMT),
6.70%, 3/1/25 4,743,510
Aa NR 1,000 Ohio HFA, Aristocrat
South Board & Care (FHA),
(AMT), 7.30%, 8/1/31 1,041,820
NR AAA 1,250 Ohio HFA, MFMR-Asbury
Woods (FHA), 7.00%,
10/1/24 1,282,350
Baa1 A 2,925 Puerto Rico Commonwealth
Urban Renewal and Housing
Corp., 0%, 10/1/99 2,601,729
- --------------------------------------------------------------------------------
$ 31,345,488
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution Control Revenue -- 12.6%
- --------------------------------------------------------------------------------
Aa NR $ 2,000 Cuyahoga OH IDR -
Chippewa Place, 6.60%,
8/1/15 $ 2,081,760
A3 NR 3,750 Ohio Air Quality
Development Authority,
(Ashland Oil Inc.),
6.85%, 4/1/10 3,883,875
NA NA 850 Ohio Economic Development
Commission, (Ohio
Enterprise Bond
Fund-Progress Plastics
Products), (AMT), 6.80%,
12/1/01 892,432
NR BB- 1,020 Ohio Economic
Development, (Kmart
Corp.), 6.75%, 5/15/07 1,033,178
NR AA 1,000 Ohio Pollution Control,
(Standard Oil Co.),
6.75%, 12/1/15 1,132,260
Baa2 BB- 3,885 Ohio Water Development
Authority, (Union Carbide
Corp.), 5.50%, 1/15/07 3,885,078
NA A- 565 Ohio, Enterprise Bond
Fund, (Burrows Paper
Corp.) (AMT), 7.625%,
6/1/11 614,042
NR A- 270 Ohio, Enterprise Bond
Fund, (Cheryl & Co.)
(AMT), 5.50%, 12/1/04 276,761
NR A- 530 Ohio, Enterprise Bond
Fund, (Cheryl & Co.),
(AMT), 5.90%, 12/1/09 541,300
NR A- 1,695 Ohio, Enterprise Bond
Fund, (Consolidated
Biscuit), (AMT), 7.00%,
12/1/09 1,808,175
NR NR 3,300 Ohio, Enterprise Bond
Fund, (J J & W LP) (AMT),
6.70%, 12/1/14 3,403,620
NA NA 750 Ohio, Enterprise Bond
Fund, (Luigino's Inc.)
(AMT), 6.85%, 6/1/01 759,863
NA A- 1,525 Ohio, Enterprise Bond
Fund, (Progress Plastic
Products) (AMT), 7.80%,
12/1/09 1,693,482
NA A- 1,000 Ohio, Enterprise Bond
Fund, (Royal Appliance
Manufacturing Co.) (AMT),
7.625%, 12/1/11 1,067,700
NA A- 680 Ohio, Enterprise Bond
Fund, (Royal Appliance
Manufacturing Co.) (AMT),
7.625%, 12/1/11 732,333
</TABLE>
See notes to financial statements
49
<PAGE>
Ohio Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Industrial Development Revenue /
Pollution Control Revenue (continued)
- --------------------------------------------------------------------------------
NR A- $ 880 Ohio, Enterprise Bond
Fund, (VSM Corp.) (AMT),
7.375%, 12/1/11 $ 936,320
Ba1 NR 1,500 Portage County, (Kroger
Corp.), 7.25%, 7/1/99 1,543,545
Baa3 BB+ 4,000 Puerto Rico Port
Authority (American
Airlines) (AMT), 6.25%,
6/1/26 4,076,880
NR NR 3,000 State of Ohio, Solid
Waste (Republic
Engineered Steel, Inc.)
(AMT), 9.00%, 6/1/21 3,019,890
Ba1 NR 1,000 Summit County, (Kroger
Corp.), 6.85%, 7/1/99 1,020,720
- --------------------------------------------------------------------------------
$ 34,403,214
- --------------------------------------------------------------------------------
Insured Electric Utilities -- 3.6%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,650 Cleveland Public Power
System, (MBIA), 7.00%,
11/15/17 $ 1,805,463
Aaa AAA 4,000 Cleveland, OH, Public
Power System (MBIA),
5.00%, 11/15/20 3,602,800
NR NR 2,000 Cuyahoga County Medical
Center Utility System
(MBIA) (AMT), 6.10%,
8/15/15 2,028,980
Aaa AAA 2,300 Puerto Rico Electric
Power Authority (FSA),
Variable, 7/1/02/(1)/ 2,463,875
- --------------------------------------------------------------------------------
$ 9,901,118
- --------------------------------------------------------------------------------
Insured General Obligations -- 2.6%
- --------------------------------------------------------------------------------
NR AAA $ 1,700 Commonwealth of Puerto
Rico "RIBS", (AMBAC),
Variable, 7/1/15/(1)/ $ 1,708,500
Aaa AAA 500 Hilliard Ohio School
District (FGIC), 5.00%,
12/1/20 452,090
Aaa AAA 2,000 North Olmsted, OH
(AMBAC), 5.00%, 12/1/16 1,827,820
Aaa AAA 3,000 Puerto Rico (FSA),
Variable, 7/1/22/(1)/ 3,015,000
- --------------------------------------------------------------------------------
$ 7,003,410
- --------------------------------------------------------------------------------
Insured Hospitals -- 12.6%
- --------------------------------------------------------------------------------
Aaa AAA $ 2,500 Akron, Bath and Copley
Townships Children's
Hospital Medical Center
of Akron, (AMBAC), 5.25%,
11/15/20 $ 2,277,850
Aaa AAA $ 1,000 Clermont County, Mercy
Health System (AMBAC)
Variable, 10/5/21/(1)/ 1,188,750
Aaa AAA 1,750 Cuyahoga County,
(Fairview Hospital)
(MBIA), 5.50%, 1/15/17 1,681,558
Aaa AAA 1,500 Cuyahoga County,
(Fairview Hospital)
(MBIA), 5.50%, 8/15/19 1,419,660
Aaa AAA 9,500 Franklin County,
Riverside United
Methodist (AMBAC), 5.75%,
5/15/20 9,291,379
Aaa AAA 3,325 Franklin County,
Riverside United
Methodist (MBIA), 5.75%,
5/15/20 3,251,983
Aaa AAA 2,750 Mansfield General
Hospital (AMBAC), 6.70%,
12/1/09 2,973,328
Aaa AAA 5,000 Middleburg Heights
Hospital-Southwestern
General (FSA), 5.75%,
8/15/21 4,887,500
Aaa AAA 1,000 Montgomery County, (Miami
Valley Hospital) (AMBAC),
6.25%, 11/15/16 1,029,500
Aaa AAA 6,565 Portage County, (Robinson
Memorial Hospital),
(MBIA), 5.80%, 11/15/15 6,572,221
- --------------------------------------------------------------------------------
$ 34,573,729
- --------------------------------------------------------------------------------
Insured Housing -- 1.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 750 Ohio Capital Corp. FHA
Insured Mortgage Loans,
(MBIA), 6.50%, 1/1/25 $ 762,428
NR NR 975 Ohio Capital Corp. FHA
Insured Mortgage Loans,
(MBIA), 7.25%, 7/1/24 1,007,838
Aaa AAA 1,100 Ohio Capital Corp. MFMR -
Horizon Apts. (MBIA),
6.50%, 1/1/23 1,130,030
- --------------------------------------------------------------------------------
$ 2,900,296
- --------------------------------------------------------------------------------
Insured Industrial Development Revenue /
Pollution Control Revenue -- 3.5%
- --------------------------------------------------------------------------------
NR NR $ 7,000 Ohio Air Quality
Development Authority,
JMG Funding, L.P.,
(AMBAC) (AMT), 6.375%,
1/1/29 $ 7,221,199
Aaa AAA 2,500 University of
Cincinnati-Ohio (MBIA),
5.125%, 6/1/24 2,278,325
- --------------------------------------------------------------------------------
$ 9,499,524
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
50
<PAGE>
Ohio Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Lease Revenue / Certificates of
Participation -- 0.2%
- ----------------------------------------------------------------------------
Aaa AAA $ 1,000 Ohio Higher Education
(University of Dayton),
(FGIC), 0%, 12/1/06 $ 609,390
- ----------------------------------------------------------------------------
$ 609,390
- ----------------------------------------------------------------------------
Insured Special Tax Revenue -- 0.6%
- ----------------------------------------------------------------------------
Aaa AAA $ 2,110 Hudson Local School
District, (FGIC), 0%,
12/15/09 $ 1,062,934
Aaa AAA 1,000 Hudson Local School
District, (FGIC), 0%,
12/15/10 472,230
- ----------------------------------------------------------------------------
$ 1,535,164
- ----------------------------------------------------------------------------
Life Care -- 1.8%
- ----------------------------------------------------------------------------
Aa NA $ 1,995 Franklin County,
Kensington Place, 6.75%,
1/1/34/(2)/ $ 2,050,361
Aa2 NR 1,000 Hamilton County, OH
Hospital - Episcopal
Retirement Home, 6.80%,
1/1/08 1,052,110
NR BBB- 1,800 Marion OH Health Care -
United Church Home,
6.30%, 11/15/15 1,793,394
- ----------------------------------------------------------------------------
$ 4,895,865
- ----------------------------------------------------------------------------
Miscellaneous -- 1.1%
- ----------------------------------------------------------------------------
NR NR $ 3,000 Cuyahoga County Ohio
Revenue, 8.00%, 1/1/28 $ 2,903,070
- ----------------------------------------------------------------------------
$ 2,903,070
- ----------------------------------------------------------------------------
Nursing Homes -- 4.7%
- ----------------------------------------------------------------------------
NR NR $ 3,020 Greene County, Ohio,
IDA, Fairview Extended
Care-91, 10.125%, 1/1/11 $ 3,397,319
NR AAA 1,205 North Canton, OH, Health
Care Facilities, 6.10%,
9/20/16 1,201,566
NR AAA 6,455 North Canton, OH, Health
Care Facilities, 9.55%,
3/20/32 8,319,913
- ----------------------------------------------------------------------------
$ 12,918,798
- ----------------------------------------------------------------------------
Special Tax Revenue -- 2.0%
- ----------------------------------------------------------------------------
Baa1 A $ 2,500 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/36 $ 2,338,550
Baa1 A 3,000 Puerto Rico, Highway and
Transportation Authority,
6.625%, 7/1/12 3,200,460
- ----------------------------------------------------------------------------
$ 5,539,010
- ----------------------------------------------------------------------------
Transportation -- 2.1%
- ----------------------------------------------------------------------------
NR BBB $ 5,630 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 5,744,965
- ----------------------------------------------------------------------------
$ 5,744,965
- ----------------------------------------------------------------------------
Water and Sewer -- 0.4%
- ----------------------------------------------------------------------------
NR NR $ 1,000 Vermilion, OH, 7.25%,
8/15/15 $ 1,049,390
- ----------------------------------------------------------------------------
$ 1,049,390
- ----------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $263,442,371) $273,559,355
- ----------------------------------------------------------------------------
</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 March 31, 1997, 24.2% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 1.3% to 10.2% of total investments.
See notes to financial statements
51
<PAGE>
Rhode Island Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Education -- 4.4%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa1 AA $1,000 Rhode Island Health and
Educational Building Corp.
(Brown University), 5.375%,
9/1/23 $ 928,230
A NR 750 Rhode Island Student Loan
Authority, (AMT), 5.60%,
12/1/12 711,353
- --------------------------------------------------------------------------------
$ 1,639,583
- --------------------------------------------------------------------------------
General Obligations -- 5.4%
- --------------------------------------------------------------------------------
Baa1 A $1,250 Commonwealth of Puerto Rico
Aqueduct and Sewer
Authority, 5.00%, 7/1/19 $ 1,110,788
NR BBB 750 Guam, 5.40%, 11/15/18 672,855
Baa NR 210 West Warwick, 6.80%, 7/15/98 214,194
- --------------------------------------------------------------------------------
$ 1,997,837
- --------------------------------------------------------------------------------
Hospitals -- 11.9%
- --------------------------------------------------------------------------------
A3 A- $1,250 Rhode Island Health and
Educational Building (South
County Hospital), 5.75%,
11/15/26 $ 1,149,550
NR AA 1,500 Rhode Island Health and
Educational Building Corp.
(Landmark Medical Center),
5.875%, 10/1/19 1,476,105
Baa3 BBB 830 Rhode Island Health and
Educational Building Corp.
(Westerly Hospital), 6.00%,
7/1/14 795,107
NR A 1,015 Rhode Island Health and
Educational Building Corp.,
(Butler Hospital), 5.125%,
1/1/08 958,728
- --------------------------------------------------------------------------------
$ 4,379,490
- --------------------------------------------------------------------------------
Housing -- 17.4%
- --------------------------------------------------------------------------------
Aa2 AA+ $ 220 Rhode Island Housing and
Mortgage Finance Corp.,
6.50%, 4/1/27 $ 226,433
Aa2 AA+ 270 Rhode Island Housing and
Mortgage Finance Corp.,
6.70%, 10/1/14 282,425
Aa2 AA+ 95 Rhode Island Housing and
Mortgage Finance Corp.,
6.85%, 4/1/27 99,192
Aa2 AA+ 1,550 Rhode Island Housing and
Mortgage Finance Corp.,
(AMT), 6.60%, 10/1/25 1,589,897
Aa2 AA+ 100 Rhode Island Housing and
Mortgage Finance Corp.,
(AMT), 6.70%, 10/1/12 104,313
Aa2 AA+ 875 Rhode Island Housing and
Mortgage Finance Corp.,
(AMT), 6.80%, 10/1/25/(1)/ 906,544
Aa2 AA+ 1,000 Rhode Island Housing and
Mortgage Finance Corp.,
(AMT), 7.10%, 10/1/23 1,038,900
Aa2 AA+ 2,000 Rhode Island Housing and
Mortgage Finance Corp.,
(AMT), 7.55%, 10/1/22 2,109,860
Aa AA+ 35 Rhode Island Housing and
Mortgage Finance Corp.,
(AMT), 7.875%, 10/1/22 36,666
- --------------------------------------------------------------------------------
$ 6,394,230
- --------------------------------------------------------------------------------
Industrial Development Revenue /
Pollution Control Revenue -- 1.4%
- --------------------------------------------------------------------------------
Baa3 BB+ $ 500 Puerto Rico Port Authority
(American Airlines), (AMT),
6.30%, 6/1/23 $ 507,590
- --------------------------------------------------------------------------------
$ 507,590
- --------------------------------------------------------------------------------
Insured Colleges and Universities -- 5.3%
- --------------------------------------------------------------------------------
Aaa AAA $2,200 Rhode Island Health and
Educational Building
(University of Rhode
Island) (MBIA), 5.25%,
9/15/23 $ 1,967,812
- --------------------------------------------------------------------------------
$ 1,967,812
- --------------------------------------------------------------------------------
Insured General Obligations -- 16.9%
- --------------------------------------------------------------------------------
NR AAA $ 250 Commonwealth of Puerto Rico
"RIBS", (AMBAC), Variable,
7/1/15/(2)/ $ 251,250
Aaa AAA 1,000 Cranston, RI Rhode Island,
(MBIA), 6.10%, 6/15/15 1,024,120
Aaa AAA 1,500 Kent County, Water
Authority, (MBIA), 6.35%,
7/15/14 1,577,685
Aaa AAA 1,000 Rhode Island Depositors
Economic Protection Corp.,
5.80%, 8/1/12 1,020,830
Aaa AAA 1,000 Rhode Island Depositors
Economic Protection Corp.,
(MBIA), 5.80%, 8/1/09 1,036,780
Aaa AAA 1,480 Rhode Island Port Authority
and Economic Development
Corporation Airport, (FSA),
5.25%, 7/1/23 1,296,140
- --------------------------------------------------------------------------------
$ 6,206,805
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
52
<PAGE>
Rhode Island Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Housing -- 8.3%
- -----------------------------------------------------------------------------
Aaa AAA $ 830 Providence Housing
Development Corp. Mortgage,
(Barbara Jordan Apartments)
(MBIA), 6.50%, 7/1/09 $ 872,870
Aa2 AA+ 500 Rhode Island Housing and
Mortgage Finance Corp.,
(MBIA), 6.20%, 10/1/06 511,130
Aaa AAA 1,075 Villa Excelsior Housing
Development Corp. Mortgage
(MBIA), 6.75%, 1/1/19 1,129,137
Aaa AAA 500 Villa Excelsior Housing
Development Corp. Mortgage
(MBIA), 6.85%, 1/1/24 526,870
- ------------------------------------------------------------------------------
$ 3,040,007
- ------------------------------------------------------------------------------
Insured Life Care -- 2.4%
- ------------------------------------------------------------------------------
Aaa AAA $1,000 Rhode Island Health and
Educational Building,
Lifespan Obligation Group
(MBIA), 5.25%, 5/15/26 $ 889,140
- ------------------------------------------------------------------------------
$ 889,140
- ------------------------------------------------------------------------------
Insured Special Tax Revenue -- 13.0%
- ------------------------------------------------------------------------------
Aaa AAA $3,000 Convention Center Authority
of Rhode Island, (MBIA),
5.00%, 5/15/20 $ 2,608,679
Aaa AAA 2,300 Convention Center Authority
of Rhode Island, (MBIA),
5.25%, 5/15/15 2,175,155
- ------------------------------------------------------------------------------
$ 4,783,834
- ------------------------------------------------------------------------------
Insured Water and Sewer -- 4.5%
- ------------------------------------------------------------------------------
Aaa AAA $ 750 Rhode Island Clean Water,
Safe Drinking Water
(AMBAC), 6.70%, 1/1/15 $ 808,620
Aaa AAA 500 Rhode Island Clean Water,
Water Pollution Control
(MBIA), 5.85%, 10/1/09 515,090
Aaa AAA 350 Rhode Island Clean Water,
Water Pollution Control,
(MBIA), 5.40%, 10/1/15 336,585
- ------------------------------------------------------------------------------
$ 1,660,295
- ------------------------------------------------------------------------------
Life Care -- 2.7%
- ------------------------------------------------------------------------------
NR NR $1,000 Rhode Island Health and
Educational Building
(Tockwotton Home), 6.25%,
8/15/22 $ 978,760
- ------------------------------------------------------------------------------
$ 978,760
- ------------------------------------------------------------------------------
Miscellaneous -- 0.6%
- ------------------------------------------------------------------------------
Baa1 A- $ 230 Rhode Island Depositors
Economic Protection Corp.,
5.75%, 8/1/21 $ 224,825
- ------------------------------------------------------------------------------
$ 224,825
- ------------------------------------------------------------------------------
Special Tax Revenue -- 4.4%
- ------------------------------------------------------------------------------
Baa BBB- $1,500 City of Providence Special
Obligation Tax Increment
Bonds, 7.65%, 6/1/16 $ 1,616,835
- ------------------------------------------------------------------------------
$ 1,616,835
- ------------------------------------------------------------------------------
Transportation -- 1.4%
- ------------------------------------------------------------------------------
NR BBB $ 500 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 510,210
- ------------------------------------------------------------------------------
$ 510,210
- ------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $36,470,453) $36,797,253
- ------------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
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 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 March 31, 1997, 50.4% 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 institutions ranged from 2.9% to 40.9% of total investments.
See notes to financial statements
53
<PAGE>
West Virginia Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Electric Utilities -- 12.1%
- ----------------------------------------------------------------------------
NR BBB $ 750 Guam Power Authority, 5.25%,
10/1/13 $ 676,688
NR BBB 500 Guam Power Authority, 5.25%,
10/1/23 431,910
A2 A 2,000 Harrison, WV PCR (Monongahela
Power Co. Harrison Station),
6.75%, 8/1/24 2,137,479
Baa1 BBB+ 1,000 Mason, WV PCR (Appalacian
Power Co.), 6.85%, 6/1/22 1,075,010
- ----------------------------------------------------------------------------
$ 4,321,087
- ----------------------------------------------------------------------------
Escrowed/Prerefunded -- 2.2%
- ----------------------------------------------------------------------------
Aaa AAA $2,500 Kanawha-Putnam, WV Single
Family Mortgage (AMBAC), 0%,
12/1/16 $ 789,150
- ----------------------------------------------------------------------------
$ 789,150
- ----------------------------------------------------------------------------
General Obligations -- 1.0%
- ----------------------------------------------------------------------------
NR BBB $ 400 Guam, 5.375%, 11/15/13 $ 365,840
- ----------------------------------------------------------------------------
$ 365,840
- ----------------------------------------------------------------------------
Hospitals -- 9.9%
- ----------------------------------------------------------------------------
NR BBB+ $1,750 Berkeley, WV Building
Commission (City Hospital),
6.50%, 11/1/22 $ 1,763,702
Baa1 BBB+ 250 Princeton, WV (Community
Hospital), 6.00%, 5/1/18 239,753
A1 NR 500 West Virginia HFA
(Charleston Area Medical
Center), 6.50%, 9/1/16 513,230
A1 NR 1,000 West Virginia HFA
(Charleston Area Medical
Center), 6.50%, 9/1/23 1,023,360
- ----------------------------------------------------------------------------
$ 3,540,045
- ----------------------------------------------------------------------------
Industrial Development Revenue/Pollution
Control Revenue -- 18.0%
- ----------------------------------------------------------------------------
A2 A $2,000 Braxton, WV Solid Waste
(Weyerhaeuser) (AMT), 6.50%,
4/1/25 $ 2,093,519
NR A- 1,375 Jefferson, WV (Royal
Venders, Inc.) (AMT), 5.90%,
8/1/04 1,416,896
Baa2 NR 300 Kanawha, WV (Union Carbide
Chemicals and Plastics Co.)
(AMT), 8.00%, 8/1/20 322,584
Baa3 BB+ $ 500 Puerto Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26 $ 509,610
Baa3 BB+ 1,025 Puerto Rico Port Authority
(American Airlines), (AMT),
6.30%, 6/1/23 1,040,560
NR NR 1,000 Upshur, WV Solid Waste
(TJI) (AMT), 7.00%, 7/15/25 1,035,590
- ----------------------------------------------------------------------------
$ 6,418,759
- ----------------------------------------------------------------------------
Insured Education -- 7.7%
- ----------------------------------------------------------------------------
Aaa AAA $1,150 West Virginia State College
System (AMBAC), 6.00%,
4/1/12 /(1)/ $ 1,184,937
Aaa AAA 1,000 West Virginia State
University (Marshall
Library) (AMBAC), 5.75%,
4/1/16 992,580
Aaa AAA 550 West Virginia State
University System (AMBAC),
6.00%, 4/1/12 568,502
- ----------------------------------------------------------------------------
$ 2,746,019
- ----------------------------------------------------------------------------
Insured Electric Utilities -- 6.2%
- ----------------------------------------------------------------------------
Aaa AAA $ 750 Marshall, WV PCR (Ohio
Power Kammer Plant) (MBIA),
5.45%, 7/1/14 $ 732,968
Aaa AAA 250 Puerto Rico Electric Power
Authority (FSA), Variable,
7/1/03 /(2)/ 270,625
Aaa AAA 1,280 Williamson, WV Waterworks
and Sewage System (AMBAC),
5.50%, 10/1/25 1,213,990
- ----------------------------------------------------------------------------
$ 2,217,583
- ----------------------------------------------------------------------------
Insured General Obligations -- 5.3%
- ----------------------------------------------------------------------------
Aaa AAA $1,000 West Virginia (FGIC),
5.25%, 11/1/26 $ 914,050
Aaa AAA 1,000 West Virginia (FGIC),
5.75%, 11/1/21 986,350
- ----------------------------------------------------------------------------
$ 1,900,400
- ----------------------------------------------------------------------------
Insured Hospitals -- 13.2%
- ----------------------------------------------------------------------------
Aaa AAA $1,300 West Virginia HFA (Cabell
Huntington Hospital)
(AMBAC), 6.25%, 1/1/19 $ 1,333,735
Aaa AAA 850 West Virginia HFA
(Charleston Area Medical
Center) (MBIA), 5.75%,
9/1/13 854,913
Aaa AAA 1,100 West Virginia HFA (Linked
Bulls & Bears) (MBIA),
6.10%, 1/1/18 1,102,585
</TABLE>
See notes to financial statements
54
<PAGE>
West Virginia Municipals Portfolio as of March 31, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Hospitals (continued)
- ----------------------------------------------------------------------------
Aaa AAA $1,600 West Virginia HFA
(University Hospital)
(MBIA), 5.00%, 6/1/16 $ 1,424,928
- ----------------------------------------------------------------------------
$ 4,716,161
- ----------------------------------------------------------------------------
Insured Lease Revenue / Certificates of Participation -- 1.4%
- ----------------------------------------------------------------------------
Aaa AAA $ 500 West Virginia School
Building Authority (AMBAC),
5.60%, 7/1/17 $ 488,415
- ----------------------------------------------------------------------------
$ 488,415
- ----------------------------------------------------------------------------
Insured Transportation -- 2.5%
- ----------------------------------------------------------------------------
Aaa AAA $1,250 West Virginia Parkways
Economic Development and
Tourism Authority (FGIC),
0%, 5/15/04 $ 872,038
- ----------------------------------------------------------------------------
$ 872,038
- ----------------------------------------------------------------------------
Insured Water and Sewer -- 17.0%
- ----------------------------------------------------------------------------
Aaa AAA $ 250 Berkeley, WV Public Service
District Sewer (MBIA),
5.75%, 10/1/25 $ 246,383
Aaa AAA 500 Crab Orchard, WV (AMBAC),
5.50%, 10/1/25 474,215
Aaa AAA 750 Greenbrier, WV Public
Service District Sewer
(MBIA), 5.625%, 10/1/19 726,758
Aaa AAA 1,500 Parkersburg, WV Waterworks
and Sewer (FSA), 5.80%,
9/1/19 1,480,470
Aaa AAA 150 West Virginia State Water
Development Authority
(FSA), 5.00%, 11/1/18 133,383
Aaa AAA 2,000 West Virginia Water
Development (Loan Program
II) (FSA), 5.25%, 11/1/35 1,787,719
Aaa AAA 750 West Virginia Water
Development (Loan Program
II) (FSA), 6.00%, 11/1/14 773,378
Aaa AAA 500 West Virginia Water
Development Authority
(FSA), 5.00%, 11/1/21 444,630
- ----------------------------------------------------------------------------
$ 6,066,936
- ----------------------------------------------------------------------------
Nursing Homes -- 2.1%
- ----------------------------------------------------------------------------
NR NR $ 745 Kanawha, WV (Beverly
Enterprises), 7.25%, 11/1/04 $ 764,504
- ----------------------------------------------------------------------------
$ 764,504
- ----------------------------------------------------------------------------
Special Tax Revenue -- 1.4%
- ----------------------------------------------------------------------------
Baa1 A $ 500 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 $ 485,665
- ----------------------------------------------------------------------------
$ 485,665
- ----------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $35,151,438) $35,692,602
- ----------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
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 March 31, 1997, 53.3% 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 9.2% to 20.2% of total investments.
See notes to financial statements
55
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS (Unaudited)
Statements of Assets and Liabilities
As of March 31, 1997
<TABLE>
<CAPTION>
California Florida Massachusetts Mississippi
Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $307,760,126 $ 531,157,445 $ 245,151,275 $ 22,420,070
Unrealized appreciation 21,364,227 19,194,188 12,067,142 1,248,722
- -----------------------------------------------------------------------------------------------------------------------------------
Investment at value (Note 1A) $329,124,353 $ 550,351,633 $ 257,218,417 $ 23,668,792
- -----------------------------------------------------------------------------------------------------------------------------------
Cash $ 2,018,494 $ 31,384 $ 453 $ 182,172
Receivable for investments sold 1,918,200 710,242 -- --
Dividends and interest receivable 5,328,723 11,731,145 4,597,529 453,432
Receivable for variation margin on open financial
futures contracts (Note 1E) 14,219 -- 7,813 938
Deferred organization expenses (Note 1D) 6,119 7,840 4,612 767
- -----------------------------------------------------------------------------------------------------------------------------------
Total assets $338,410,108 $ 562,832,244 $ 261,828,824 $ 24,306,101
- -----------------------------------------------------------------------------------------------------------------------------------
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ -- $ -- $ -- $ 481,375
Demand note payable (Note 5) -- 6,016,000 54,000 --
Payable to affiliate for Trustees' fees (Note 2) 4,312 5,300 3,837 395
Accrued expenses 21,003 11,186 21,581 3,566
- -----------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 25,315 $ 6,032,486 $ 79,418 $ 485,336
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in
Portfolio $338,384,793 $ 556,799,758 $ 261,749,406 $ 23,820,765
- -----------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $316,787,839 $ 537,605,570 $ 249,554,392 $ 22,556,698
Net unrealized appreciation of investments
(computed on the basis of identified cost) 21,596,954 19,194,188 12,195,014 1,264,067
- -----------------------------------------------------------------------------------------------------------------------------------
Total $338,384,793 $ 556,799,758 $ 261,749,406 $ 23,820,765
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
56
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Assets and Liabilities
As of March 31, 1997
<TABLE>
<CAPTION>
New York Ohio Rhode Island West Virginia
Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $520,628,074 $263,442,371 $36,470,453 $35,151,438
Unrealized appreciation 23,220,642 10,116,984 326,800 541,164
- -----------------------------------------------------------------------------------------------------------------------------------
Investment at value (Note 1A) $543,848,716 $273,559,355 $36,797,253 $35,692,602
- -----------------------------------------------------------------------------------------------------------------------------------
Cash $ 3,607 $ 534 $ 1,831,145 $ 473,276
Receivable for investments sold 2,946,832 979,067 -- --
Dividends and interest receivable 9,295,982 4,610,154 747,259 678,077
Receivable for variation margin on open financial
futures contracts (Note 1E) 53,125 -- 4,063 1,563
Deferred organization expenses (Note 1D) 5,478 3,370 790 790
- -----------------------------------------------------------------------------------------------------------------------------------
Total assets $556,153,740 $279,152,480 $39,380,510 $36,846,308
- -----------------------------------------------------------------------------------------------------------------------------------
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ -- $ 919,238 $ -- $ --
Demand note payable (Note 5) 4,507,000 2,587,000 -- --
Payable to affiliate for Trustees' fees (Note 2) 5,261 3,800 395 400
Accrued expenses 39,691 15,847 2,449 4,806
- -----------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 4,551,952 $ 3,525,885 $ 2,844 $ 5,206
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in Portfolio $551,601,788 $275,626,595 $39,377,666 $36,841,102
- -----------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $527,511,617 $265,509,611 $38,984,373 $36,274,364
Net unrealized appreciation of investments
(computed on the basis of identified cost) 24,090,171 10,116,984 393,293 566,738
- -----------------------------------------------------------------------------------------------------------------------------------
Total $551,601,788 $275,626,595 $39,377,666 $36,841,102
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
57
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statement of Operations
For the Six Months Ended March 31, 1997
<TABLE>
<CAPTION>
California Florida Massachusetts Mississippi
Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B)
- -----------------------------------------------------------------------------------------------------------------------------------
Interest $ 11,417,797 $ 17,996,486 $ 8,636,070 $ 736,487
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment income $ 11,417,797 $ 17,996,486 $ 8,636,070 $ 736,487
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 881,358 $ 1,367,238 $ 623,088 $ 23,481
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 8,623 10,561 7,674 790
Custodian fee (Note 1J) 85,384 108,408 72,899 9,498
Legal and accounting services 32,609 35,641 29,309 18,789
Bond pricing 5,960 8,324 6,717 3,726
Amortization of organization expenses (Note 1D) 2,804 4,402 2,597 310
Miscellaneous 17,085 20,359 23,059 1,124
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 1,033,823 $ 1,554,933 $ 765,343 $ 57,718
- -----------------------------------------------------------------------------------------------------------------------------------
Less Allocations --
Reduction of custodian fee (Note 1J) $ 17,769 $ 109,908 $ 12,110 $ 1,502
Preliminary reduction of investment adviser fee (Note 2) -- -- -- 1,608
- -----------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 17,769 $ 109,908 $ 12,110 $ 3,110
- -----------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 1,016,054 $ 1,445,025 $ 753,233 $ 54,608
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 10,401,743 $ 16,551,461 $ 7,882,837 $ 681,879
- -----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) on Investments
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 5,332,459 $ 10,151,303 $ 3,632,171 $ 181,937
Financial futures contracts (1,507,890) (3,853,532) (1,784,643) (107,521)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain on investment transactions $ 3,824,569 $ 6,297,771 $ 1,847,528 $ 74,416
- -----------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ (4,633,055) $(15,487,964) $(4,494,151) $ (61,068)
Financial futures contracts 643,764 1,417,470 436,600 44,118
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation)
of investments $ (3,989,291) $(14,070,494) $(4,057,551) $ (16,950)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments $ (164,722) $ (7,772,723) $(2,210,023) $ 57,466
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 10,237,021 $ 8,778,738 $ 5,672,814 $ 739,345
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
58
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Operations
For the Six Months Ended March 31, 1997
<TABLE>
<CAPTION>
New York Ohio Rhode Island West Virginia
Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B)
- -----------------------------------------------------------------------------------------------------------------------------------
Interest $ 17,982,111 $ 8,931,910 $1,202,086 $1,126,572
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment income $ 17,982,111 $ 8,931,910 $1,202,086 $1,126,572
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 1,348,107 $ 651,675 $ 50,216 $ 45,688
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 10,522 7,636 790 795
Custodian fee (Note 1J) 136,088 64,693 10,174 10,314
Legal and accounting services 35,440 28,499 18,565 18,675
Bond pricing 8,812 6,490 3,216 1,966
Amortization of organization expenses (Note 1D) 3,130 1,975 317 315
Registration fees -- -- 300 --
Interest expense (Note 5) 81,664 -- 4,733 --
Miscellaneous 12,695 30,880 4,717 2,881
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 1,636,458 $ 791,848 $ 93,028 $ 80,634
- -----------------------------------------------------------------------------------------------------------------------------------
Less Allocations --
Reduction of custodian fee (Note 1J) $ 31,036 $ 11,992 $ 8,081 $ 6,595
Preliminary reduction of investment adviser
fee (Note 2) -- -- 25,036 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 31,036 $ 11,992 $ 33,117 $ 6,595
- -----------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 1,605,422 $ 779,856 $ 59,911 $ 74,039
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 16,376,689 $ 8,152,054 $1,142,175 $1,052,533
- -----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost
basis) $ 8,322,395 $ 2,163,523 $ 185,797 $ 152,708
Financial futures contracts (1,733,795) (1,032,359) (153,906) (249,730)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investment
transactions $ 6,588,600 $ 1,131,164 $ 31,891 $ (97,022)
- -----------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $(11,082,802) $(2,640,954) $ (430,007) $ (168,515)
Financial futures contracts 1,228,969 484,361 99,736 111,438
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) of investments $ (9,853,833) $(2,156,593) $ (330,271) $ (57,077)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized loss on investments $ (3,265,233) $(1,025,429) $ (298,380) $ (154,099)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 13,111,456 $ 7,126,625 $ 843,795 $ 898,434
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
59
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Changes in Net Assets
For the Six Months Ended March 31, 1997
<TABLE>
<CAPTION>
California Florida Massachusetts Mississippi
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 10,401,743 $ 16,551,461 $ 7,882,837 $ 681,879
Net realized gain on investments 3,824,569 6,297,771 1,847,528 74,416
Net change in unrealized appreciation
(depreciation) of investments (3,989,291) (14,070,494) (4,057,551) (16,950)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 10,237,021 $ 8,778,738 $ 5,672,814 $ 739,345
- -----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 10,014,357 $ 25,429,318 $ 6,620,762 $ 753,862
Withdrawals (52,456,780) (101,782,299) (31,673,406) (2,952,003)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital transactions $(42,442,423) $ (76,352,981) $ (25,052,644) $ (2,198,141)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $(32,205,402) $ (67,574,243) $ (19,379,830) $ (1,458,796)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
At beginning of period $370,590,195 $ 624,374,001 $ 281,129,236 $ 25,279,561
- -----------------------------------------------------------------------------------------------------------------------------------
At end of period $338,384,793 $ 556,799,758 $ 261,749,406 $ 23,820,765
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
60
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Changes in Net Assets
For the Six Months Ended March 31, 1997
<TABLE>
<CAPTION>
New York Ohio Rhode Island West Virginia
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 16,376,689 $ 8,152,054 $ 1,142,175 $ 1,052,533
Net realized gain (loss) on investments 6,588,600 1,131,164 31,891 (97,022)
Net change in unrealized appreciation
(depreciation) of investments (9,853,833) (2,156,593) (330,271) (57,077)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 13,111,456 $ 7,126,625 $ 843,795 $ 898,434
- -----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 16,904,187 $ 5,760,016 $ 2,133,419 $ 859,375
Withdrawals (82,943,375) (29,930,862) (5,766,727) (4,417,498)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital transactions $(66,039,188) $(24,170,846) $ (3,633,308) $ (3,558,123)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $(52,927,732) $(17,044,221) $ (2,789,513) $ (2,659,689)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
At beginning of period $604,529,520 $292,670,816 $ 42,167,179 $ 39,500,791
- -----------------------------------------------------------------------------------------------------------------------------------
At end of period $551,601,788 $275,626,595 $ 39,377,666 $ 36,841,102
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
61
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended September 30, 1996
<TABLE>
<CAPTION>
California Florida Massachusetts Mississippi
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 23,204,844 $ 38,410,360 $ 16,966,016 $ 1,582,970
Net realized gain on investments 4,542,939 5,705,251 3,096,278 306,294
Change in unrealized appreciation (depreciation)
of investments 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)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital transactions $ (69,284,377) $ (131,401,423) $ (39,935,975) $ (5,748,757)
- -----------------------------------------------------------------------------------------------------------------------------------
Net 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>
See notes to financial statements
62
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended September 30, 1996
<TABLE>
<CAPTION>
New York Ohio Rhode Island West Virginia
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 35,862,171 $ 17,538,829 $ 2,430,974 $ 2,162,188
Net realized gain (loss) on investments 4,055,362 2,125,592 (126,962) (127,774)
Change in unrealized appreciation (depreciation)
of investments 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)
- ---------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital transactions $ (90,728,214) $ (46,292,139) $ (3,752,372) $ (4,167,434)
- ---------------------------------------------------------------------------------------------------------------------------------
Net 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
63
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
California Portfolio
--------------------------------------------------------------------------
Year Ended
Six Months ------------------------------------------------------
Ended September 30, March 31,
March 31, 1997 ------------------------------------ ------------
(Unaudited) 1996 1995 1994*** 1994**
- -----------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets:
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses/(1)/ 0.58%+ 0.57% 0.59% 0.57%+ 0.55%+
Net expenses, after
custodian fee reduction 0.57%+ 0.56% 0.58% -- --
Net investment income 5.83%+ 5.93% 6.22% 6.09%+ 5.72%+
Portfolio Turnover 7% 14% 58% 40% 91%
- -----------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(000s omitted) $ 338,385 $ 370,590 $ 410,763 $ 445,131 $ 467,259
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
Florida Portfolio
---------------------------------------------------------------------------
Six Months
Ended Year Ended September 30,
March 31, 1997 -------------------------------------------------------
(Unaudited) 1996 1995 1994 1993*
- -----------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses (1) 0.53%+ 0.52% 0.55% 0.48% 0.47%+
Net expenses, after
custodian fee reduction 0.49%+ 0.49% 0.52% -- --
Net investment income 5.55%+ 5.67% 5.94% 5.65% 5.53%+
Portfolio Turnover 35% 51% 61% 57% 55%
- -----------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(000s omitted) $ 556,800 $ 624,374 $ 712,203 $ 772,123 $ 772,422
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the period from the start of business, February 1, 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 year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset arrange-
ments with its service providers. The expense ratios for the prior periods
have not been adjusted to reflect this change.
See notes to financial statements
64
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Massachusetts Portfolio
--------------------------------------------------------------------------
Six Months
Ended Year Ended September 30,
March 31, 1997 ------------------------------------------------------
(Unaudited) 1996 1995 1994 1993*
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average daily net assets+:
- -----------------------------------------------------------------------------------------------------------------------------
Expenses/(1)/ 0.56%+ 0.55% 0.56% 0.51% 0.49%+
Net expenses, after
custodian fee reduction 0.55%+ 0.54% 0.53% -- --
Net investment income 5.76%+ 5.77% 6.00% 5.74% 5.72%+
Portfolio Turnover 22% 51% 87% 53% 38%
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $ 261,749 $ 281,129 $ 302,170 $ 308,540 $ 290,613
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Mississippi Portfolio
-----------------------------------------------------------------------
Six Months
Ended Year Ended September 30,
March 31, 1997 ---------------------------------------------------
(Unaudited) 1996 1995 1994 1993**
- --------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+:
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses/(1)/ 0.46%+ 0.29% 0.27% 0.05% 0.00%+
Net expenses, after
custodian fee reduction 0.45%+ 0.26% 0.23% -- --
Net investment income 5.56%+ 5.77% 5.97% 5.67% 4.49%+
Portfolio Turnover 4% 12% 52% 38% 11%
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $ 23,821 $ 25,280 $ 28,993 $ 29,477 $ 11,233
- --------------------------------------------------------------------------------------------------------------------------
</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> <C>
Expenses/(1)/ 0.47%+ 0.40% 0.39% 0.32% 0.25%+
Expenses after custodian fee reduction 0.46%+ 0.37% 0.35% -- --
Net investment income 5.55%+ 5.66% 5.85% 5.40% 4.24%+
</TABLE>
+ 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 year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
65
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
New York Portfolio
--------------------------------------------------------------
Six Months
Ended Year Ended September 30,
March 31, 1997 ----------------------------------------------
(Unaudited) 1996 1995 1994 1993**
- ----------------------------------------------------------------------------------------------------
Ratios to average daily net assets:
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses/(1)/ 0.56%+ 0.52% 0.54% 0.48% 0.48%+
Net expenses, after
custodian fee reduction 0.55%+ 0.49% 0.51% -- --
Net investment income 5.63%+ 5.64% 5.97% 5.70% 5.64%+
Portfolio Turnover 21% 47% 55% 47% 37%
- ----------------------------------------------------------------------------------------------------
Net assets, end of period
(000s omitted) $ 551,602 $ 604,530 $ 652,736 $ 655,647 $ 648,807
- ----------------------------------------------------------------------------------------------------
<CAPTION>
Ohio Portfolio
-------------------------------------------------------------
Six Months
Ended Year Ended September 30,
March 31, 1997 ---------------------------------------------
(Unaudited) 1996 1995 1994 1993*
- ---------------------------------------------------------------------------------------------------
Ratios to average daily net assets:
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses/(1)/ 0.56+ 0.57% 0.57% 0.51% 0.49%+
Net expenses, after
custodian fee reduction 0.55+ 0.56% 0.55% -- --
Net investment income 5.70%+ 5.69% 5.80% 5.61% 5.61%+
Portfolio Turnover 12% 35% 51% 31% 24%
- ----------------------------------------------------------------------------------------------------
Net assets, end of period
(000s omitted) $ 275,627 $ 292,671 $ 319,017 $ 324,412 $ 298,092
- ----------------------------------------------------------------------------------------------------
</TABLE>
+ 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 year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
66
<PAGE>
EV Municipals Portfolios as of March 31, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Rhode Island Portfolio
--------------------------------------------------------
Six Months
Ended Year Ended September 30,
March 31, 1997 -----------------------------------------
(Unaudited) 1996 1995 1994 1993*
- --------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+:
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses /(1)/ 0.33%+ 0.27% 0.29% 0.12% 0.00%+
Net expenses, after
custodian fee reduction 0.29%+ 0.24% 0.25% -- --
Net investment income 5.60%+ 5.69% 5.96% 5.64% 4.86%+
Portfolio Turnover 18% 25% 42% 42% 23%
- --------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $ 39,378 $ 42,167 $ 42,906 $ 38,120 $ 16,981
- --------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolios may reflect a reduction of the
Investment Adviser fee, and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
Expenses /(1)/ 0.46%+ 0.40% 0.41% 0.33% 0.26%+
Expenses after custodian fee reduction 0.42%+ 0.37% 0.37% -- --
Net investment income 5.48%+ 5.56% 5.84% 5.43% 4.60%+
</TABLE>
<TABLE>
<CAPTION>
West Virginia Portfolio
---------------------------------------------------------
Six Months
Ended Year Ended September 30,
March 31, 1997 ------------------------------------------
(Unaudited) 1996 1995 1994 1993**
- ---------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+:
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses /(1)/ 0.41%+ 0.42% 0.31% 0.10% 0.00%+
Net expenses, after custodian fee reduction 0.38%+ 0.38% 0.29% -- --
Net investment income 5.43%+ 5.41% 5.81% 5.52% 4.50%+
Portfolio Turnover 13% 43% 19% 39% 19%
- ---------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $ 36,841 $ 39,501 $ 40,835 $ 40,473 $ 24,760
- ---------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolios may reflect a reduction of the
Investment Adviser fee, and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
Expenses /(1)/ 0.39% 0.33% 0.21%+
Expenses after custodian fee reduction 0.37% -- --
Net investment income 5.73% 5.29% 4.30%+
</TABLE>
+ Annualized.
* For the period from the start of business, June 11, 1993, to September 30,
1993.
** For the period from the start of business, February 1, 1993, to
September 30, 1993.
/(1)/ The expense ratios for the year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
67
<PAGE>
EV Municipals Portfolio as of March 31, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
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 amended, as non-diversified open-end investment
management 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
financial 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 price. 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, deduction or credit. Interest
income received by the Portfolios on investments in municipal bonds, which is
excludable from gross income under the Internal Revenue Code, will retain its
status as income exempt from federal income tax when allocated to each
Portfolio's investors. The portion of such interest, if any, earned on private
activity bonds issued after August 7, 1986, may be considered a tax preference
item for investors.
D Deferred Organization Expenses -- Costs incurred by a Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
E Financial Futures Contracts -- Upon the entering of a financial futures
contract, a Portfolio is required to deposit ("initial margin") either in cash
or securities an amount equal to a certain percentage of the purchase price
indicated in the financial futures contract. Subsequent payments are made or
received by a Portfolio ("margin maintenance") each day, dependent on the
daily fluctuations in the value of the underlying security, and are recorded
for book purposes as unrealized gains or losses by a Portfolio. A Portfolio's
investment in financial futures contracts is designed only to hedge against
anticipated future changes in interest rates. Should interest rates move
unexpectedly, a Portfolio may not achieve the anticipated benefits of the
financial futures contracts and may realize a loss.
F Options on Financial Futures Contracts -- Upon of which is marked-to-market
daily. When a purchased option expires, the Portfolio will realize a loss in
the amount of the purchase of a put option on a financial futures contract by
a Portfolio, the premium paid is recorded as an investment, the value 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 sale transaction are greater or less than the cost of the
option. When a Portfolio exercises a put option, settlement is made in cash.
The risk associated with purchasing put options is limited to the premium
originally paid.
68
<PAGE>
EV Municipals Portfolio as of March 31, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
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 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. 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 reflected as a reduction of operating expense on the statement of
operations.
K Interim Financial Information -- The interim financial statements relating
to March 31, 1997 and for the six months then ended have not been audited by
independent certified public accountants, but in the opinion of the
Portfolios' management reflect all adjustments, consisting only of normal
recurring adjustments, necessary for the fair presentation of the financial
statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
----------------------------------------------------------------------------
The investment adviser fee is earned by Boston Management and Research
(BMR), a wholly-owned subsidiary of Eaton Vance Management (EVM), as
compensation for management and investment advisory services rendered to
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 six months ended March 31, 1997, each
Portfolio paid advisory fees as follows:
<TABLE>
<CAPTION>
Portfolio Amount Effective Rate*
-------------------------------------------------------------------
<S> <C> <C>
California $ 881,358 0.49%
Florida 1,367,238 0.46%
Massachusetts 623,088 0.46%
Mississippi 23,481 0.19%
New York 1,348,107 0.46%
Ohio 651,675 0.46%
Rhode Island 50,216 0.25%
West Virginia 45,688 0.24%
</TABLE>
* Advisory fees paid as a percentage of average daily net assets.
To enhance the net income of the Mississippi Portfolio and Rhode Island
Portfolio, BMR made a preliminary reduction of its fee in the amount of
$1,608, and $25,036, respectively.
Except as to Trustees of the Portfolios who are not members of EVM's or
BMR's organization, officers and Trustees receive remuneration for their
services to the Portfolios out of such investment adviser fee.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations. Trustees of the Portfolios
that are not affiliated with the Investment Adviser may elect to defer
receipt of all or a percentage of their annual fees in accordance with the
terms of the Trustees Deferred Compensation Plan. For the six months ended
March 31, 1997, no significant amounts have been deferred.
69
<PAGE>
EV Municipals Portfolio as of March 31, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
3 Investments
-----------------------------------------------------------------------------
Purchases and sales of investments, other than U.S. Government securities,
purchased option transactions and short-term obligations, for the six months
ended March 31, 1997 were as follows:
<TABLE>
<CAPTION>
California Portfolio
-----------------------------------------------------------------------------
<S> <C>
Purchases $ 24,333,583
Sales 60,363,696
Florida Portfolio
-----------------------------------------------------------------------------
Purchases $ 200,071,979
Sales 229,871,761
Massachusetts Portfolio
-----------------------------------------------------------------------------
Purchases $ 58,728,219
Sales 76,402,194
Mississippi Portfolio
-----------------------------------------------------------------------------
Purchases $ 954,610
Sales 2,562,073
New York Portfolio
-----------------------------------------------------------------------------
Purchases $ 123,444,326
Sales 170,852,131
Ohio Portfolio
-----------------------------------------------------------------------------
Purchases $ 33,707,790
Sales 44,759,085
Rhode Island Portfolio
-----------------------------------------------------------------------------
Purchases $ 7,137,249
Sales 11,213,781
West Virginia Portfolio
-----------------------------------------------------------------------------
Purchases $ 5,114,687
Sales 7,518,788
</TABLE>
4 Federal Income Tax Basis of Investments
-----------------------------------------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at March 31, 1997, as computed on a
federal income tax basis, are as follows:
<TABLE>
<CAPTION>
California Portfolio
----------------------------------------------------------------------------
<S> <C>
Aggregate Cost $ 307,760,126
----------------------------------------------------------------------------
Gross unrealized appreciation $ 22,235,277
Gross unrealized depreciation (871,050)
----------------------------------------------------------------------------
Net unrealized appreciation $ 21,364,227
----------------------------------------------------------------------------
Florida Portfolio
----------------------------------------------------------------------------
Aggregate Cost $ 531,157,445
----------------------------------------------------------------------------
Gross unrealized appreciation $ 24,103,886
Gross unrealized depreciation (4,909,698)
----------------------------------------------------------------------------
Net unrealized appreciation $ 19,194,188
----------------------------------------------------------------------------
Massachusetts Portfolio
----------------------------------------------------------------------------
Aggregate Cost $ 245,151,275
----------------------------------------------------------------------------
Gross unrealized appreciation $ 13,054,978
Gross unrealized depreciation (987,836)
----------------------------------------------------------------------------
Net unrealized appreciation $ 12,067,142
----------------------------------------------------------------------------
Mississippi Portfolio
----------------------------------------------------------------------------
Aggregate Cost $ 22,420,070
----------------------------------------------------------------------------
Gross unrealized appreciation $ 1,257,087
Gross unrealized depreciation (8,365)
----------------------------------------------------------------------------
Net unrealized appreciation 1,248,722
----------------------------------------------------------------------------
New York Portfolio
----------------------------------------------------------------------------
Aggregate Cost $ 520,628,074
----------------------------------------------------------------------------
Gross unrealized appreciation $ 26,067,941
Gross unrealized depreciation (2,847,299)
----------------------------------------------------------------------------
Net unrealized appreciation $ 23,220,642
----------------------------------------------------------------------------
</TABLE>
70
<PAGE>
EV Municipals Portfolio as of March 31, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ohio Portfolio
---------------------------------------------------------------------------
<S> <C>
Aggregate Cost $ 263,442,371
---------------------------------------------------------------------------
Gross unrealized appreciation $ 10,615,677
Gross unrealized depreciation (498,693)
---------------------------------------------------------------------------
Net unrealized appreciation $ 10,116,984
---------------------------------------------------------------------------
Rhode Island Portfolio
---------------------------------------------------------------------------
Aggregate Cost $ 36,470,453
---------------------------------------------------------------------------
Gross unrealized appreciation $ 802,010
Gross unrealized depreciation (475,210)
---------------------------------------------------------------------------
Net unrealized appreciation $ 326,800
---------------------------------------------------------------------------
West Virginia Portfolio
---------------------------------------------------------------------------
Aggregate Cost $ 35,151,438
---------------------------------------------------------------------------
Gross unrealized appreciation $ 809,767
Gross unrealized depreciation (268,603)
---------------------------------------------------------------------------
Net unrealized appreciation $ 541,164
---------------------------------------------------------------------------
</TABLE>
5 Line of Credit
---------------------------------------------------------------------------
The Portfolio participates with other funds and portfolios managed by BMR
and EVM and its affiliates in a committed $120 million unsecured line of
credit agreement with a group of banks. Borrowings will be made by the
Portfolios or Funds solely to facilitate the handling of unusual and/or
unanticipated short-term cash requirements. Interest is charged to each fund
or portfolio based on its borrowings at the bank's base rate or at an amount
above either the bank's adjusted certificate of deposit rate, Eurodollar
rate or federal funds effective rate. In addition, a fee computed at an
annual rate of 0.15% on the daily unused portion of the facility is
allocated among the participating portfolios and funds at the end of each
quarter.
For the six months ended March 31, 1997, the New York Portfolio had an
average daily loan balance of $2,062,000 and an average interest rates of
5.97%. The Rhode Island Portfolio had an average loan balance of $565,176
and an average interest rate of 5.95%. The maximum loan balances outstanding
at any month end during the six months ended March 31, 1997 were $7,944,000
and $1,007,000 for the New York Portfolio and Rhode Island Portfolio,
respectively. The remaining Portfolios did not have any significant
borrowings or allocated fees during the six months ended March 31, 1997.
At March 31, 1997, the Florida Portfolio, Massachusetts Portfolio, New York
Portfolio and Ohio Portfolio had balances outstanding pursuant to this line
of credit of $6,016,000, $54,000, $4,507,000 and $2,587,000, respectively.
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 March 31,
1997, is as follows:
<TABLE>
<CAPTION>
Futures
Contracts Net Unrealized
Expiration Appreciation
Portfolio Date Contracts Position (Depreciation)
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
California 6/97 91 U.S. Treasury Bonds Short $232,727
-----------------------------------------------------------------------------------
Massachusetts 6/97 50 U.S. Treasury Bonds Short $127,872
-----------------------------------------------------------------------------------
Mississippi 6/97 6 U.S. Treasury Bonds Short $ 15,345
-----------------------------------------------------------------------------------
New York 6/97 340 U.S. Treasury Bonds Short $869,529
-----------------------------------------------------------------------------------
Rhode Island 6/97 26 U.S. Treasury Bonds Short $ 66,493
-----------------------------------------------------------------------------------
West Virginia 6/97 10 U.S. Treasury Bonds Short $ 25,574
-----------------------------------------------------------------------------------
</TABLE>
At March 31,1997 each Portfolio had sufficient cash and/or securities to
cover margin requirements on open futures contracts.
71
<PAGE>
Municipals Portfolios
<TABLE>
<CAPTION>
Officers Independent Trustees
<S> <C>
Thomas J. Fetter Donald R. Dwight
President and Portfolio President, Dwight Partners, Inc.
Manager of Florida and Ohio Chairman, Newspapers of New England, Inc.
Municipals Portfolios
James B. Hawkes Samuel L. Hayes, III
Vice President and Trustee Jacob H. Schiff Professor of Investment
Banking, Harvard University Graduate School of
Robert B. MacIntosh Business Administration
Vice President and Portfolio
Manager of Massachusetts
Municipals Portfolio Norton H. Reamer
President and Director, United Asset
Management Corporation
Nicole Anderes
Vice President and Portfolio
Manager of New York John L. Thorndike
and Rhode Island Formerly Director, Fiduciary Company Incorporated
Municipals Portfolios
Jack L. Treynor
Timothy T. Browse Investment Adviser and Consultant
Vice President and Portfolio
Manager of West Virginia
Municipals Portfolio
Cynthia J. Clemson
Vice President and Portfolio
Manager of California and
Mississippi Municipals Portfolio
James L. O'Connor
Treasurer
Thomas Otis
Secretary
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