<PAGE>
CALIFORNIA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 100.0%
<TABLE>
<CAPTION>
RATINGS
------------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Cogeneration -- 4.0%
---------------------------------------------------------------------------------------
NR NR $ 4,985 Central Valley Financing Authority,
(Carson Ice), 6.20%, 7/1/20 $ 5,575,822
NR BBB- 6,000 Sacramento Power Authority, (Campbell's
Soup), 6.00%, 7/1/22 6,382,380
---------------------------------------------------------------------------------------
$ 11,958,202
---------------------------------------------------------------------------------------
Electric Utilities -- 1.5%
---------------------------------------------------------------------------------------
A2 A-1 $ 4,100 California Pollution Control Financing
Authority, (San Diego Gas & Electric),
5.90%, 6/1/14 $ 4,584,005
---------------------------------------------------------------------------------------
$ 4,584,005
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 29.0%
---------------------------------------------------------------------------------------
NR NR $ 2,810 Commerce, Joint Power Financing
Authority, Multifamily, Prerefunded to
3/01/01, 8.00%, 3/1/22 $ 3,100,329
NR BBB 3,910 Fontana Public Financing Authority,
Prerefunded to 10/1/02, 7.00%, 9/1/21 4,180,533
NR BBB+ 2,000 Fontana Redevelopment Agency, (Jurupa
Hills), Prerefunded to 10/1/02, 7.00%,
10/1/14 2,262,360
Aaa AAA 3,455 Northern California Power Agency,
(MBIA), Prerefunded to 9/03/02, Variable
Rate, 8/1/25(1) 4,133,044
Aaa AAA 6,400 Port Oakland, Prerefunded to 5/1/99,
0.00%, 11/1/05 4,111,808
NR NR 10,900 Sacramento Cogeneration Authority,
(Procter & Gamble), Prerefunded to
7/1/05, 6.50%, 7/1/21 12,678,553
Aaa AAA 8,000 Sacramento County, Single Family,
(GNMA), (AMT), Escrowed to Maturity,
8.125%, 7/1/16(2) 10,864,800
<CAPTION>
RATINGS
------------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Escrowed / Prerefunded (continued)
---------------------------------------------------------------------------------------
Aaa AAA $ 6,000 Sacramento County, Single Family,
(GNMA), (AMT), Escrowed to Maturity,
8.25%, 1/1/21(2) $ 8,417,760
Aaa NR 14,285 Sacramento County, Single Family,
(GNMA), (AMT), Escrowed to Maturity,
8.50%, 11/1/16(2) 20,045,282
Aaa AAA 335 San Francisco City and County Airports,
(International Airport), (MBIA),
Prerefunded to 5/1/03, 6.75%, 5/1/13 380,999
Aaa AAA 12,000 San Joaquin Hills, Transportation
Corridor Agency, Toll Road Bonds,
Escrowed to Maturity, 0.00%, 1/1/14 5,926,920
Aaa AAA 5,765 San Joaquin Hills, Transportation
Corridor Agency, Toll Road Bonds,
Escrowed to Maturity, 0.00%, 1/1/26 1,487,082
Aaa AAA 35,975 San Joaquin Hills, Transportation
Corridor Agency, Toll Road Bonds,
Escrowed to Maturity, 0.00%, 1/1/27 8,814,595
---------------------------------------------------------------------------------------
$ 86,404,065
---------------------------------------------------------------------------------------
General Obligations -- 1.0%
---------------------------------------------------------------------------------------
NR NR $ 3,000 Capistrano Unified School District,
5.75%, 9/1/29(3) $ 3,000,000
---------------------------------------------------------------------------------------
$ 3,000,000
---------------------------------------------------------------------------------------
Hospital -- 4.3%
---------------------------------------------------------------------------------------
NR AAA $ 2,500 California HFA, Variable Rate,
8/15/28(1)(4) $ 2,617,050
NR NR 945 Eastern Plumas, Health Care, (District
Hospital), 7.50%, 8/1/07 1,009,638
NR NR 4,000 San Benito Health Care District, 5.40%,
10/1/20 3,881,280
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
35
<PAGE>
CALIFORNIA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
------------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospital (continued)
---------------------------------------------------------------------------------------
Ba2 NR $ 1,000 San Bernadino, (San Bernadino Community
Hospital), 7.875%, 12/1/08 $ 1,050,880
Ba2 NR 3,000 San Bernadino, (San Bernadino Community
Hospital), 7.875%, 12/1/19 3,152,640
NR NR 1,000 San Gorgonio Memorial Health Care
District, 5.75%, 5/1/20 969,090
---------------------------------------------------------------------------------------
$ 12,680,578
---------------------------------------------------------------------------------------
Housing -- 4.8%
---------------------------------------------------------------------------------------
Aa2 AA- $ 2,730 California Housing Finance Agency,
(AMT), 7.375%, 8/1/11 $ 2,797,922
Aa2 AA- 1,525 California Housing Finance Agency,
(AMT), 7.50%, 8/1/25 1,564,864
Aa AA- 5,630 California Housing Finance Agency,
(AMT), 7.65%, 8/1/23 5,772,214
NR NR 2,000 Los Angeles County, Housing Authority,
Multifamily, (Corporate Fund for
Housing), 10.50%, 12/1/29 1,942,960
A1 NR 645 Los Angeles County, Single Family,
7.875%, 8/1/16 702,773
NR A+ 1,385 Oakland, Housing Finance Agency, 7.10%,
1/1/10 1,456,549
---------------------------------------------------------------------------------------
$ 14,237,282
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 4.2%
---------------------------------------------------------------------------------------
Baa1 A- $ 5,500 California Pollution Control Financing
Authority, (Browning Ferris Industries),
(AMT), 5.80%, 12/1/16 $ 5,568,475
NR NR 3,000 California Pollution Control Financing
Authority, (Laidlaw Environmental),
(AMT), 6.70%, 7/1/07 3,130,560
<CAPTION>
RATINGS
------------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Industrial Development Revenue (continued)
---------------------------------------------------------------------------------------
Baa3 BB+ $ 3,600 California Statewide Community
Development Authority, (United
Airlines), (AMT), 5.70%, 10/1/33 $ 3,719,232
---------------------------------------------------------------------------------------
$ 12,418,267
---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 5.8%
---------------------------------------------------------------------------------------
Aaa AAA $ 4,195 Northern California Power Agency,
(MBIA), Variable Rate, 8/1/25(1) $ 4,986,806
Aaa AAA 2,000 Southern California Public Power
Authority, (FGIC), Variable Rate,
7/1/12(1) 2,205,000
Aaa AAA 7,070 Southern California Public Power
Authority, (MBIA), 0.00%, 7/1/15 3,201,650
Aaa AAA 6,915 Southern California Public Power
Authority, (MBIA), 5.00%, 1/1/20 6,857,121
---------------------------------------------------------------------------------------
$ 17,250,577
---------------------------------------------------------------------------------------
Insured-Hospital -- 1.3%
---------------------------------------------------------------------------------------
Aaa AAA $ 4,000 California HFA, (Stanford Health Care),
(AMBAC), 5.00%, 11/15/28 $ 3,948,000
---------------------------------------------------------------------------------------
$ 3,948,000
---------------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of Participation -- 3.9%
---------------------------------------------------------------------------------------
Aaa AAA $ 6,000 Anaheim Public Financing Authority,
(Public Improvements), (FSA), 0.00%,
9/1/19 $ 2,126,760
Aaa AAA 4,350 Stockton, Wastewater Treatment Plant,
(FGIC), 6.80%, 9/1/24 5,081,105
Aaa AAA 13,985 Visalia Unified School District, (MBIA),
0.00%, 12/1/17 4,373,249
---------------------------------------------------------------------------------------
$ 11,581,114
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
36
<PAGE>
CALIFORNIA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
------------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Solid Waste -- 0.6%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,500 Inland Empire Solid Waste Finance
Authority, (FSA), (AMT), 6.25%, 8/1/11 $ 1,700,715
---------------------------------------------------------------------------------------
$ 1,700,715
---------------------------------------------------------------------------------------
Insured-Transportation -- 4.6%
---------------------------------------------------------------------------------------
Aaa AAA $ 10,000 Alameda Corridor Transportation
Authority, (MBIA), 0.00%, 10/1/30 $ 1,946,800
Aaa AAA 2,200 Alameda Corridor Transportation
Authority, (MBIA), 4.75%, 1/1/25 2,099,526
Aaa AAA 3,125 Port Oakland, (MBIA), (AMT), 5.375%,
11/1/25 3,198,313
Aaa AAA 1,665 San Francisco City and County Airports,
(International Airport), (MBIA), 6.75%,
5/1/13 1,863,834
Aaa AAA 16,800 San Joaquin Hills, Transportation
Corridor Agency, Toll Road Bonds,
(MBIA), 0.00%, 1/15/24 4,713,912
---------------------------------------------------------------------------------------
$ 13,822,385
---------------------------------------------------------------------------------------
Insured-Water and Sewer -- 7.1%
---------------------------------------------------------------------------------------
Aaa AAA $ 5,000 California State Department Water
Resources, (Central Valley Water
Systems), (FGIC), 5.25%, 12/1/28 $ 5,094,350
Aaa AAA 5,000 East Bay, Municipal Utilities District,
Water System, (MBIA), Variable Rate,
6/1/08(1) 5,537,500
Aaa AAA 2,000 Metropolitan Water District, Southern
California Waterworks, (MBIA), 5.00%,
7/1/27 1,977,460
Aaa AAA 5,000 Metropolitan Water District, Southern
California Waterworks, (MBIA), 5.00%,
7/1/30 4,941,150
Aaa AAA 3,000 San Diego County Water Authority,
(FGIC), Variable Rate, 4/22/09(1) 3,678,750
---------------------------------------------------------------------------------------
$ 21,229,210
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
------------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 19.6%
---------------------------------------------------------------------------------------
Aa3 A+ $ 6,500 California Public Works, (University of
California), 5.00%, 6/1/23 $ 6,361,225
Aa3 A+ 5,000 California Public Works, (University of
California), 5.25%, 6/1/20 5,185,000
Aa3 A+ 8,000 California Public Works, (University of
California), 5.50%, 6/1/14 8,692,560
Baa3 BBB- 2,750 Inglewood, 7.00%, 8/1/19 2,930,730
A3 BBB 5,115 Los Angeles County, (Disney Parking),
0.00%, 3/1/16 2,071,575
A3 BBB 1,925 Los Angeles County, (Disney Parking),
0.00%, 3/1/17 736,505
A3 BBB 5,000 Los Angeles County, (Disney Parking),
0.00%, 9/1/17 1,862,350
A3 BBB 5,370 Los Angeles County, (Disney Parking),
0.00%, 3/1/18 1,947,269
A3 BBB 3,100 Los Angeles County, (Disney Parking),
0.00%, 3/1/20 1,007,748
A3 BBB 6,925 Los Angeles County, (Disney Parking),
0.00%, 9/1/20 2,191,486
A3 BBB 1,000 Los Angeles County, (Disney Parking),
6.50%, 3/1/23 1,122,220
NR NR 7,000 Los Angeles County, (Marina Del Ray),
6.50%, 7/1/08 7,635,670
A1 A+ 8,000 Pasadena Parking Facility, 6.25%, 1/1/18 9,143,440
A1 A+ 4,000 Sacramento City Financing Authority,
5.40%, 11/1/20 4,163,760
NR AAA 3,500 San Mateo County Joint Powers Financing
Authority, Variable Rate, 7/15/29(1)(4) 3,418,730
---------------------------------------------------------------------------------------
$ 58,470,268
---------------------------------------------------------------------------------------
Special Tax Revenue -- 7.2%
---------------------------------------------------------------------------------------
NR NR $ 3,150 Brentwood Infrastructure Financing
Authority, 5.625%, 9/2/29 $ 3,069,297
NR BBB 5,000 Contra Costa County, Public Financing
Authority, 7.10%, 8/1/22 5,440,950
NR NR 1,955 Fairfield, (North Cordelia District),
7.375%, 9/2/18 2,025,204
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
37
<PAGE>
CALIFORNIA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
------------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Special Tax Revenue (continued)
---------------------------------------------------------------------------------------
NR NR $ 3,325 Irvine, Improvement Bond Act 1915,
(Assessment District North 97-16, Group
Two), 5.50%, 9/2/22 $ 3,309,672
NR BBB 600 Rancho Mirage Joint Power Financing
Authority, 7.50%, 4/1/17 643,782
NR NR 3,000 Riverside County Community Facilities
District, 7.55%, 9/1/17 3,233,880
NR BBB 2,500 Riverside County Redevelopment Agency,
7.50%, 10/1/26 2,788,675
NR NR 1,000 Torrance Redevelopment Agency, 5.625%,
9/1/28 1,002,290
---------------------------------------------------------------------------------------
$ 21,513,750
---------------------------------------------------------------------------------------
Water and Sewer -- 1.1%
---------------------------------------------------------------------------------------
Aaa AAA $ 3,000 San Francisco City and County Sewer,
(AMBAC), Variable Rate, 10/1/21(1)(4) $ 3,221,040
---------------------------------------------------------------------------------------
$ 3,221,040
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $261,039,666) $ 298,019,458
---------------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by 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, 1999, 24.8% of securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 1.3% to 16.8% of total investments.
(1) Security has been issued as an inverse floater bond.
(2) Security (or a portion thereof) has been segregated to cover when-issued
securities.
(3) When-issued security.
(4) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
1999, the value of these securities amounted to $9,256,820 or 3.1% of the
Portfolio's net assets.
SEE NOTES TO FINANCIAL STATEMENTS
38
<PAGE>
FLORIDA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 100.0%
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Cogeneration -- 2.9%
---------------------------------------------------------------------------------------
NR NR $ 4,600 Palm Beach County, (Okeelanta Power),
(AMT), 6.85%, 2/15/21(1) $ 3,542,000
NR NR 11,000 Palm Beach County, (Osceola Power),
(AMT), 6.95%, 1/1/22(1) 8,360,000
---------------------------------------------------------------------------------------
$ 11,902,000
---------------------------------------------------------------------------------------
Electric Utilities -- 8.2%
---------------------------------------------------------------------------------------
Aa2 AA $ 14,000 Jacksonville Electric Authority, Bulk
Power Supply System Scherer 4, 5.25%,
10/1/21(2) $ 14,103,039
NR AA 3,490 Jacksonville Electric Authority,
Variable Rate, 10/1/32(3)(4) 3,407,147
Aa1 AA 2,850 Orlando Utilities Commission Water and
Electric, 5.125%, 10/1/19 2,853,392
Aa2 AA- 10,000 Orlando Utilities Commission Water and
Electric, 5.60%, 10/6/17 10,572,700
Aa3 AA- 2,515 St. Lucie County Solid Waste Disposal,
(Florida Power & Light Co.), (AMT),
6.70%, 5/1/27 2,722,437
---------------------------------------------------------------------------------------
$ 33,658,715
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 9.6%
---------------------------------------------------------------------------------------
Aaa AAA $ 9,225 Dade County, (Baptist Hospital of
Miami), Escrowed to Maturity, 5.75%,
5/1/21 $ 10,078,036
NR BBB+ 2,830 Escambia County HFA, (Baptist Hospital,
Inc. and Baptist Manor, Inc.),
Prerefunded to 10/01/03, 6.75%, 10/1/14 3,207,522
Aaa AAA 1,110 Escambia County, (MBIA), Prerefunded to
10/1/03, 7.20%, 1/1/15 1,135,874
Aa2 AA+ 6,000 Florida Board of General Services,
Prerefunded to 7/1/02, 6.60%, 7/1/17 6,580,080
NR NR 1,675 Florida State, (Mid-Bay Bridge
Authority), Escrowed to Maturity,
6.875%, 10/1/22 2,082,327
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Escrowed / Prerefunded (continued)
---------------------------------------------------------------------------------------
A3 A $ 7,255 Hillsborough County Capital Improvement,
(Museum of Science), Prerefunded to
1/1/01, 6.45%, 1/1/22 $ 7,573,204
Aaa AAA 2,000 Lee County, (Memorial Hospital), (MBIA),
Prerefunded to 4/1/01, Variable Rate,
4/1/20(3) 2,290,000
Aaa AAA 5,600 St. Lucie Utility System, Escrowed to
Maturity, 6.00%, 10/1/20 6,291,880
---------------------------------------------------------------------------------------
$ 39,238,923
---------------------------------------------------------------------------------------
General Obligations -- 6.2%
---------------------------------------------------------------------------------------
NR NR $ 3,000 Capistrano, CA, Unified School District,
5.75%, 9/1/29(5) $ 3,000,000
Aa2 AA+ 20,000 Florida Board of Education, 4.75%,
6/1/22 19,040,399
NR AA+ 2,500 Florida State, Variable Rate,
7/1/27(3)(4) 2,410,525
Baa1 A 2,100 Puerto Rico, 0.00%, 7/1/16 894,369
---------------------------------------------------------------------------------------
$ 25,345,293
---------------------------------------------------------------------------------------
Hospital -- 1.3%
---------------------------------------------------------------------------------------
NR AA+ $ 4,750 Jacksonville HFA, (St. Luke's Hospital
Association), 6.75%, 11/15/13 $ 5,172,513
---------------------------------------------------------------------------------------
$ 5,172,513
---------------------------------------------------------------------------------------
Housing -- 10.4%
---------------------------------------------------------------------------------------
Aaa NR $ 1,500 Broward County Housing Finance
Authority, Single Family, (GNMA/ FNMA),
(AMT), 6.10%, 10/1/19 $ 1,597,020
NR AAA 1,300 Clay County Housing Finance Authority,
Multifamily, (GNMA), 7.40%, 12/1/25 1,367,548
Aaa NR 2,005 Clay County Housing Finance Authority,
Single Family, (GNMA), (AMT), 6.55%,
3/1/28 2,143,265
Aaa NR 825 Dade County Housing Finance Authority,
Single Family, (AMT), 7.75%, 9/1/22 859,782
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
39
<PAGE>
FLORIDA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Housing (continued)
---------------------------------------------------------------------------------------
NR AAA $ 5,850 Dade County Housing Finance Authority,
Single Family, (GNMA), (AMT), 6.70%,
10/1/28 $ 6,257,219
Aaa NR 1,070 Dade County Housing Finance Authority,
Single Family, (GNMA), (AMT), 7.25%,
9/1/19 1,119,851
Aaa AAA 1,480 Escambia County Housing Finance
Authority, Single Family, (GNMA), (AMT),
6.90%, 10/1/21 1,598,163
Aaa AAA 1,725 Escambia County Housing Finance
Authority, Single Family, (GNMA), (AMT),
6.95%, 10/1/27 1,864,311
Aaa NR 2,360 Escambia County Housing Finance
Authority, Single Family, (GNMA), (AMT),
7.40%, 10/1/23 2,472,454
NR AAA 1,065 Florida Housing Finance Authority,
6.35%, 6/1/14 1,132,883
Aa3 AA 2,115 Florida Housing Finance Authority,
(AMT), 6.35%, 7/1/28 2,268,866
Aaa NR 625 Hillsborough County Housing Finance
Authority, Single Family, (GNMA), (AMT),
7.875%, 5/1/23 654,256
NR AAA 6,205 Orange County Housing Finance Authority,
Single Family, (GNMA), (AMT), 6.60%,
4/1/28 6,636,185
NR AAA 7,230 Orange County Housing Finance Authority,
Single Family, (GNMA), (AMT), 6.85%,
10/1/27(2) 7,780,854
NR AAA 1,695 Orange County Housing Finance Authority,
Single Family, (GNMA), (AMT), 7.375%,
9/1/24 1,791,395
Aaa NR 1,455 Polk County Housing Finance Authority,
Single Family, (GNMA), 7.15%, 9/1/23 1,521,537
Baa3 BBB 1,400 Puerto Rico Urban Renewal and Housing
Corp., 7.875%, 10/1/04 1,455,188
---------------------------------------------------------------------------------------
$ 42,520,777
---------------------------------------------------------------------------------------
Improvements -- 0.6%
---------------------------------------------------------------------------------------
Aa3 AA- $ 2,800 Orlando, Capital Improvement, 4.75%,
10/1/22 $ 2,657,508
---------------------------------------------------------------------------------------
$ 2,657,508
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 1.8%
---------------------------------------------------------------------------------------
A2 A $ 2,350 New York, NY, IDA, (British Airways
PLC), (AMT), 5.25%, 12/1/32 $ 2,340,976
Baa3 BBB- 4,500 Puerto Rico Port Authority, (American
Airlines), (AMT), 6.25%, 6/1/26 4,854,240
---------------------------------------------------------------------------------------
$ 7,195,216
---------------------------------------------------------------------------------------
Insured-Cogeneration -- 1.2%
---------------------------------------------------------------------------------------
Aaa NR $ 5,000 Tampa Solid Waste System, (McKay Bay
Refuse to Energy), (AMBAC), (AMT),
5.00%, 10/1/21 $ 4,891,000
---------------------------------------------------------------------------------------
$ 4,891,000
---------------------------------------------------------------------------------------
Insured-Education -- 1.5%
---------------------------------------------------------------------------------------
NR AAA $ 5,500 Volusia County Educational Facilities,
(Embry-Riddle Aeronautical University)
(CLEE), 6.625%, 10/15/22(2) $ 6,032,070
---------------------------------------------------------------------------------------
$ 6,032,070
---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 5.4%
---------------------------------------------------------------------------------------
Aaa AAA $ 5,000 Florida Municipal Power Agency Stanton
II, (AMBAC), Variable Rate,
10/1/20(3)(4) $ 6,043,250
Aaa AAA 1,540 Manatee County Public Utility, (FGIC),
0.00%, 10/1/12 808,546
Aaa AAA 2,200 Puerto Rico Electric Power Authority,
"STRIPES", (FSA), Variable Rate,
7/1/02(3) 2,455,750
Aaa AAA 2,200 Puerto Rico Electric Power Authority,
"STRIPES", (FSA), Variable Rate,
7/1/03(3) 2,530,000
Aaa AAA 3,000 Sunrise Utilities Systems, (AMBAC),
5.00%, 10/1/28 2,988,540
Aaa AAA 7,000 Sunrise Utilities Systems, (AMBAC),
5.20%, 10/1/22 7,168,700
---------------------------------------------------------------------------------------
$ 21,994,786
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
40
<PAGE>
FLORIDA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-General Obligations -- 2.3%
---------------------------------------------------------------------------------------
Aaa AAA $ 10,000 Florida Board of Education, (FGIC),
4.50%, 6/1/23 $ 9,190,800
---------------------------------------------------------------------------------------
$ 9,190,800
---------------------------------------------------------------------------------------
Insured-Hospital -- 7.5%
---------------------------------------------------------------------------------------
Aaa AAA $ 8,000 Charlotte County Health Care, (Bon-
Secours Health System), (FSA), Variable
Rate, 8/26/27(3) $ 9,230,000
Aaa AAA 10,000 Jacksonville HFA, (Daughters of
Charity), (MBIA), 5.00%, 11/15/15 10,002,200
Aaa AAA 3,000 Orange County HFA, (Orlando Regional
Medical Center), (MBIA), Variable Rate,
10/29/21(3) 3,495,000
Aaa AAA 7,500 Sarasota County Public Hospital Board,
(Sarasota Memorial Hospital), (MBIA),
5.25%, 7/1/24 7,717,500
---------------------------------------------------------------------------------------
$ 30,444,700
---------------------------------------------------------------------------------------
Insured-Housing -- 3.4%
---------------------------------------------------------------------------------------
Aaa AAA $ 595 Brevard County Housing Finance
Authority, Single Family, (FSA), 7.00%,
3/1/13 $ 625,714
Aaa AAA 3,000 Florida HFA, (Brittany of Rosemont),
(AMBAC), (AMT), 6.875%, 8/1/26 3,291,060
Aaa AAA 6,530 Florida HFA, (Maitland Club Apartments),
(AMBAC), (AMT), 6.875%, 8/1/26 7,163,541
Aaa AAA 2,675 Lee County Housing Finance, SCA
Multifamily, (FSA), (AMT), 7.05%, 1/1/30 2,934,823
---------------------------------------------------------------------------------------
$ 14,015,138
---------------------------------------------------------------------------------------
Insured-Miscellaneous -- 0.2%
---------------------------------------------------------------------------------------
Aaa AAA $ 799 Osceola County IDA, Community Provider
Pooled Loan Program, (FSA), 7.75%,
7/1/10 $ 840,532
---------------------------------------------------------------------------------------
$ 840,532
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Insured-Senior Living / Life Care -- 0.1%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Alachua County Health Facility, (Mental
Health Services), (FSA), 7.75%, 7/1/10 $ 534,790
---------------------------------------------------------------------------------------
$ 534,790
---------------------------------------------------------------------------------------
Insured-Solid Waste -- 0.4%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,500 St. John's County Solid Waste Disposal,
(FGIC), 7.25%, 11/1/10 $ 1,608,105
---------------------------------------------------------------------------------------
$ 1,608,105
---------------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 7.7%
---------------------------------------------------------------------------------------
Aaa AAA $ 3,835 Dade County, Professional Sports
Franchise, (MBIA), 0.00%, 10/1/23 $ 1,110,808
Aaa AAA 1,000 Jacksonville Excise Tax, (FGIC), (AMT),
0.00%, 10/1/11 552,710
Aaa AAA 2,000 Jacksonville Excise Tax, (FGIC), (AMT),
0.00%, 10/1/12 1,043,160
Aaa AAA 1,185 Opa-Locka Sales Tax, (FGIC), 7.00%,
1/1/14 1,346,717
NR AAA 1,250 Puerto Rico Public Finance Corp.,
(AMBAC-TCRS), Variable Rate,
6/1/26(3)(4) 1,253,788
Aaa AAA 2,000 Sunrise Public Facilities, (MBIA),
0.00%, 10/1/10 1,178,820
Aaa AAA 1,760 Sunrise Public Facilities, (MBIA),
0.00%, 10/1/12 924,053
Aaa AAA 2,840 Sunrise Public Facilities, (MBIA),
0.00%, 10/1/14 1,330,966
Aaa AAA 4,000 Sunrise Public Facilities, (MBIA),
0.00%, 10/1/15 1,767,960
Aaa AAA 4,140 Sunrise Public Facilities, (MBIA),
0.00%, 10/1/16 1,726,711
Aaa AAA 2,525 Sunrise Public Facilities, (MBIA),
0.00%, 10/1/17 994,572
Aaa AAA 11,500 Tampa Sports Authority, (MBIA), 5.25%,
1/1/17 11,830,625
Aaa AAA 6,800 Tampa Utility Tax, (AMBAC), 0.00%,
4/1/19 2,459,492
Aaa AAA 5,000 Tampa Utility Tax, (AMBAC), 0.00%,
10/1/19 1,763,050
Aaa AAA 2,000 Tampa Utility Tax, (AMBAC), 0.00%,
10/1/20 743,420
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
41
<PAGE>
FLORIDA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Special Tax Revenue (continued)
---------------------------------------------------------------------------------------
Aaa AAA $ 4,000 Tampa Utility Tax, (AMBAC), 0.00%,
10/1/20 $ 1,337,720
---------------------------------------------------------------------------------------
$ 31,364,572
---------------------------------------------------------------------------------------
Insured-Transportation -- 7.7%
---------------------------------------------------------------------------------------
Aaa AAA $ 3,475 Dade County Aviation Facilities, (MBIA),
(AMT), 6.00%, 10/1/24 $ 3,753,521
Aaa AAA 4,000 Dade County Aviation Facilities, (MBIA),
(AMT), 6.55%, 10/1/13 4,374,240
Aaa AAA 4,150 Dade County Aviation Facilities, (MBIA),
(AMT), 6.60%, 10/1/22 4,544,956
Aaa AAA 7,000 Florida Turnpike Authority, (Department
of Transportation), (FGIC), 4.50%,
7/1/27 6,369,650
Aaa AAA 8,650 Greater Orlando Aviation Authority,
(FGIC), (AMT), 6.375%, 10/1/21 9,419,331
Aaa AAA 2,000 Orlando and Orange County Expressway
Authority, (FGIC), 8.25%, 7/1/14 2,755,320
---------------------------------------------------------------------------------------
$ 31,217,018
---------------------------------------------------------------------------------------
Miscellaneous -- 1.3%
---------------------------------------------------------------------------------------
NR NR $ 5,000 Osceola County IDA, Community Pooled
Loan-93, 7.75%, 7/1/17 $ 5,371,800
---------------------------------------------------------------------------------------
$ 5,371,800
---------------------------------------------------------------------------------------
Nursing Home -- 5.1%
---------------------------------------------------------------------------------------
NR NR $ 300 Broward County IDA, (Beverly
Enterprises), 9.80%, 11/1/10 $ 337,347
NR NR 410 Charlotte County IDA, (Beverly
Enterprises), 10.00%, 6/1/11 453,927
NR AAA 4,285 Dade County IDA, (Club Care Center),
(GNMA), 6.60%, 1/20/18 4,572,052
NR AAA 5,075 Dade County IDA, (Gramercy Park Nursing
Care), (FHA), 6.60%, 8/1/23 5,450,347
Baa1 A- 2,000 Highlands County HFA, (Adventist Health
System), 5.25%, 11/15/28 1,938,540
NR NR 1,850 Highlands County IDA, (Beverly
Enterprises), 9.25%, 7/1/07 2,024,511
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Nursing Home (continued)
---------------------------------------------------------------------------------------
Baa1 NR $ 3,750 Jacksonville Health, (Cypress Village),
7.00%, 12/1/22 $ 4,061,325
NR NR 630 Orange County IDA, (Beverly
Enterprises), 9.25%, 8/1/10 691,286
NR NR 1,000 Winter Garden, (Beverly Enterprises),
8.75%, 7/1/12 1,106,750
---------------------------------------------------------------------------------------
$ 20,636,085
---------------------------------------------------------------------------------------
Senior Living / Life Care -- 3.5%
---------------------------------------------------------------------------------------
NR NR $ 6,895 Atlantic Beach, (Fleet Landing), 8.00%,
10/1/24 $ 7,685,857
NR BBB+ 770 Escambia County HFA, (Baptist Hospital,
Inc. and Baptist Manor, Inc.), 6.75%,
10/1/14 832,147
NR NR 4,000 North Miami HFA, (Imperial Club), 6.75%,
1/1/33 3,926,920
NR NR 1,855 Okaloosa County, Retirement Rental
Housing, (Encore Retirement Partners),
6.125%, 2/1/14 1,852,125
---------------------------------------------------------------------------------------
$ 14,297,049
---------------------------------------------------------------------------------------
Solid Waste -- 0.8%
---------------------------------------------------------------------------------------
A3 A- $ 3,285 Broward County, (Waste Energy Co., L.P.
North), 7.95%, 12/1/08 $ 3,463,277
---------------------------------------------------------------------------------------
$ 3,463,277
---------------------------------------------------------------------------------------
Special Tax Revenue -- 0.8%
---------------------------------------------------------------------------------------
NR AAA $ 3,175 Dade County, Special Obligation,
Variable Rate, 10/1/35(3) $ 3,059,938
---------------------------------------------------------------------------------------
$ 3,059,938
---------------------------------------------------------------------------------------
Transportation -- 8.7%
---------------------------------------------------------------------------------------
Aa2 AA+ $ 10,000 Florida State, (Jacksonville
Transportation), 5.25%, 7/1/22 $ 10,119,700
NR NR 10,140 Florida State, (Mid-Bay Bridge
Authority), 6.125%, 10/1/22 10,800,418
Baa1 A 5,000 Puerto Rico Highway and Transportation
Authority, 4.75%, 7/1/38 4,781,500
Baa1 A 9,250 Puerto Rico Highway and Transportation
Authority, 5.00%, 7/1/36 9,195,055
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
42
<PAGE>
FLORIDA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Transportation (continued)
---------------------------------------------------------------------------------------
Baa1 A $ 700 Puerto Rico Highway and Transportation
Authority, 5.50%, 7/1/36 $ 743,001
---------------------------------------------------------------------------------------
$ 35,639,674
---------------------------------------------------------------------------------------
Water and Sewer -- 1.4%
---------------------------------------------------------------------------------------
Baa1 BBB+ $ 2,500 Hillsborough County Utility, 6.625%,
8/1/11 $ 2,656,425
NR AAA 3,375 Tampa Bay Water Utility System, Variable
Rate, 10/1/27(3)(4) 3,002,704
---------------------------------------------------------------------------------------
$ 5,659,129
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $377,650,076) $ 407,951,408
---------------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The portfolio invests primarily in debt securities issued by 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, 1999, 38.1% 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 1.5% to 14.3% of total investments.
(1) Non-income producing security.
(2) Security (or a portion thereof) has been segregated to cover when-issued
securities.
(3) Security has been issued as an inverse floater bond.
(4) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
1999, the value of these securities amounted to $16,117,414 or 3.9% of the
Portfolio's net assets.
(5) When-issued security.
SEE NOTES TO FINANCIAL STATEMENTS
43
<PAGE>
MASSACHUSETTS MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 100.0%
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Assisted Living -- 0.7%
---------------------------------------------------------------------------------------
NR AAA $ 1,500 Massachusetts IFA, (Briscoe House),
(FHA), 7.125%, 2/1/36 $ 1,741,455
---------------------------------------------------------------------------------------
$ 1,741,455
---------------------------------------------------------------------------------------
Cogeneration -- 0.9%
---------------------------------------------------------------------------------------
NR BBB $ 1,000 Massachusetts Development Finance
Agency, Resource Recovery, (Ogden
Haverhill), 5.50%, 12/1/19 $ 991,990
NR BBB 1,250 Massachusetts IFA, Resource Recovery,
(Ogden Haverhill), (AMT), 5.60%, 12/1/19 1,253,613
---------------------------------------------------------------------------------------
$ 2,245,603
---------------------------------------------------------------------------------------
Education -- 9.7%
---------------------------------------------------------------------------------------
Aa1 AA+ $ 1,625 Massachusetts HEFA, (Amherst College),
6.80%, 11/1/21 $ 1,779,976
Aa3 AA- 9,635 Massachusetts HEFA, (Boston College),
4.75%, 6/1/31 8,939,257
NR AAA 3,300 Massachusetts HEFA, (Merrimack College),
7.125%, 7/1/12 3,703,062
NR AAA 1,150 Massachusetts HEFA, Residual
Certificates, Variable Rate,
10/1/27(1)(2) 1,126,115
NR A 2,000 Massachusetts IFA, (Belmont Hill
School), 5.25%, 9/1/28 1,968,980
Baa3 BBB- 1,250 Massachusetts IFA, (Dana Hall), 5.90%,
7/1/27 1,289,838
Baa1 BBB+ 2,000 Massachusetts IFA, (St. Johns High
School, Inc.), 5.35%, 6/1/28 1,955,080
A3 NR 2,000 New England Educational Loan Marketing
Corp., (AMT), 6.90%, 11/1/09 2,279,200
---------------------------------------------------------------------------------------
$ 23,041,508
---------------------------------------------------------------------------------------
Electric Utilities -- 6.7%
---------------------------------------------------------------------------------------
Baa2 BBB+ $ 5,060 Massachusetts Municipal Wholesale
Electric Co., 6.625%, 7/1/18 $ 5,463,282
Baa2 BBB+ 3,500 Massachusetts Municipal Wholesale
Electric Co., 6.75%, 7/1/11 3,790,920
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Electric Utilities (continued)
---------------------------------------------------------------------------------------
Baa1 BBB+ $ 16,230 Puerto Rico Electric Power Authority,
0.00%, 7/1/17 $ 6,543,449
---------------------------------------------------------------------------------------
$ 15,797,651
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 17.4%
---------------------------------------------------------------------------------------
Aaa NR $ 2,400 Massachusetts HEFA, (Fairview Care
Facilities), Prerefunded to 1/1/01,
10.25%, 1/1/21 $ 2,735,712
NR BBB+ 3,055 Massachusetts HEFA, (Jordan Hospital),
Prerefunded to 10/1/02, 6.875%, 10/1/22 3,406,783
Baa3 NR 2,000 Massachusetts HEFA, (Milford-
Whitinsville Hospital), Prerefunded to
7/15/02, 7.75%, 7/15/17 2,274,240
Aaa BBB 2,085 Massachusetts HEFA, (Sisters of
Providence Health System), Prerefunded
to 11/15/04, 6.625%, 11/15/22 2,324,045
Aaa AAA 1,380 Massachusetts Port Authority, (FGIC),
Prerefunded to 7/1/00, 7.50%, 7/1/20 1,476,172
Aaa AAA 29,870 Massachusetts Turnpike Authority,
Escrowed to Maturity, 0.00%, 1/1/28 6,777,802
Aaa NR 20,860 Massachusetts Turnpike Authority,
Escrowed to Maturity, 5.00%, 1/1/20(3) 21,114,700
NR AAA 1,000 Puerto Rico, "RIBS", (AMBAC),
Prerefunded to 7/1/02, Variable Rate,
7/1/15(1)(2) 1,163,120
---------------------------------------------------------------------------------------
$ 41,272,574
---------------------------------------------------------------------------------------
General Obligations -- 0.8%
---------------------------------------------------------------------------------------
Aaa NR $ 1,700 Nantucket, 6.80%, 12/1/11 $ 1,867,943
---------------------------------------------------------------------------------------
$ 1,867,943
---------------------------------------------------------------------------------------
Hospital -- 18.6%
---------------------------------------------------------------------------------------
NR BBB+ $ 1,500 Massachusetts HEFA, (Cape Cod
Healthcare), 5.45%, 11/15/23 $ 1,472,985
Baa2 BBB 1,550 Massachusetts HEFA, (Caritas Christi
Obligation Group), 5.625%, 7/1/20 1,541,289
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
44
<PAGE>
MASSACHUSETTS MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospital (continued)
---------------------------------------------------------------------------------------
Aa2 AA+ $ 2,000 Massachusetts HEFA, (Daughters of
Charity Health System), 6.10%, 7/1/14 $ 2,164,480
NR AA 1,445 Massachusetts HEFA, (FHA), (Deutsches
Altenheim), 7.70%, 11/1/31 1,524,966
NR BBB+ 3,610 Massachusetts HEFA, (Jordan Hospital),
5.25%, 10/1/23 3,461,232
NR BBB+ 1,465 Massachusetts HEFA, (Jordan Hospital),
5.375%, 10/1/28 1,425,928
NR BBB+ 1,020 Massachusetts HEFA, (Jordan Hospital),
6.875%, 10/1/15 1,091,420
Baa2 BBB- 500 Massachusetts HEFA, (Milford-
Whitinsville Hospital), 5.25%, 7/15/18 479,475
Baa2 BBB- 1,500 Massachusetts HEFA, (Milford-
Whitinsville Hospital), 5.375%, 7/15/28 1,434,930
Baa3 NR 3,050 Massachusetts HEFA, (New England Health
Systems), 6.125%, 8/1/13 3,121,065
NR BBB- 2,600 Massachusetts HEFA, (North Adams
Hospital), 6.625%, 7/1/18 2,801,266
Aaa BBB 5,255 Massachusetts HEFA, (Sisters of
Providence Health System), 6.50%,
11/15/08 5,835,467
A1 AA- 530 Massachusetts HEFA, (Spaulding
Rehabilitation Hospital), 7.625%, 7/1/21 542,291
NR A+ 8,000 Massachusetts IFA, (Biomedical Research
Corp.), 0.00%, 8/1/08 5,223,360
NR NR 9,000 Massachusetts IFA, (Biomedical Research
Corp.), 0.00%, 8/1/09 5,557,590
NR NR 11,000 Massachusetts IFA, (Biomedical Research
Corp.), 0.00%, 8/1/10 6,411,570
---------------------------------------------------------------------------------------
$ 44,089,314
---------------------------------------------------------------------------------------
Housing -- 5.8%
---------------------------------------------------------------------------------------
Aa A+ $ 12,815 Massachusetts HFA, (AMT), 6.60%, 12/1/26 $ 13,667,710
---------------------------------------------------------------------------------------
$ 13,667,710
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 3.6%
---------------------------------------------------------------------------------------
NR NR $ 3,000 Massachusetts IFA, (Hingham Water Co.),
(AMT), 6.90%, 12/1/29 $ 3,272,370
NR NR 2,075 Massachusetts IFA, (Massachusetts
American Co.), (AMT), 6.60%, 12/1/15 2,235,937
Baa3 BBB- 2,850 Puerto Rico Port Authority, (American
Airlines), (AMT), 6.25%, 6/1/26 3,074,352
---------------------------------------------------------------------------------------
$ 8,582,659
---------------------------------------------------------------------------------------
Insured-Education -- 2.5%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,700 Massachusetts Educational Finance
Authority, (AMBAC), (AMT), 7.375%,
1/1/12 $ 1,862,367
Aaa AAA 255 Massachusetts Educational Finance
Authority, (MBIA), (AMT), 7.25%, 1/1/09 271,399
Aaa AAA 400 Massachusetts HEFA, (Boston University),
RIBS, (MBIA), Variable Rate, 10/1/31(1) 464,500
Aaa AAA 2,500 Massachusetts HEFA, (Brandeis
University), (MBIA), 4.75%, 10/1/28 2,347,350
Aaa AAA 1,000 Massachusetts IFA, (College of the Holy
Cross), (MBIA), 5.00%, 9/1/23 979,930
---------------------------------------------------------------------------------------
$ 5,925,546
---------------------------------------------------------------------------------------
Insured-Hospital -- 10.0%
---------------------------------------------------------------------------------------
Aaa AAA $ 3,750 Massachusetts HEFA, (Beth Israel
Hospital), (AMBAC), (AMT), Variable
Rate, 7/1/25(1) $ 4,312,500
Aaa AAA 1,040 Massachusetts HEFA, (Beverly Hospital),
(MBIA), 7.30%, 7/1/13 1,070,534
Aaa AAA 1,500 Massachusetts HEFA, (Capital Assist
Program), (MBIA), 7.20%, 7/1/09 1,543,725
Aaa AAA 1,000 Massachusetts HEFA, (Caregroup), (MBIA),
4.75%, 7/1/20 940,620
Aaa AAA 3,000 Massachusetts HEFA, (Hallmark Health),
(FSA), 5.00%, 7/1/27 2,896,380
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
45
<PAGE>
MASSACHUSETTS MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Hospital (continued)
---------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Massachusetts HEFA, (St. Elizabeth
Hospital Issue), "LEVRRS", (FSA),
Variable Rate, 8/12/21(1) $ 2,315,000
Aaa AAA 2,600 Massachusetts HEFA, (St. Luke's
Hospital) "Yield Curve Notes", (MBIA),
Variable Rate, 8/15/13(1) 2,947,750
Aaa AAA 2,600 Massachusetts HEFA, (St. Luke's
Hospital) "Yield Curve Notes", (MBIA),
Variable Rate, 8/15/23(1) 2,918,500
Aaa AAA 3,000 Massachusetts HEFA, (The Medical Center
of Central Massachusetts) (AMBAC),
"CARS", Variable Rate, 6/23/22(1) 3,933,750
Aaa AAA 700 Massachusetts HEFA, (University
Hospital), (MBIA), 7.25%, 7/1/19 747,110
---------------------------------------------------------------------------------------
$ 23,625,869
---------------------------------------------------------------------------------------
Insured-Transportation -- 3.4%
---------------------------------------------------------------------------------------
Aaa AAA $ 4,480 Massachusetts Port Authority, (FGIC),
7.50%, 7/1/20 $ 4,768,602
Aaa AAA 4,000 Massachusetts Turnpike Authority,
Metropolitan Highway System, (MBIA),
0.00%, 1/1/19 1,462,440
Aaa AAA 6,500 Massachusetts Turnpike Authority,
Metropolitan Highway System, (MBIA),
0.00%, 1/1/24 1,827,020
---------------------------------------------------------------------------------------
$ 8,058,062
---------------------------------------------------------------------------------------
Insured-Water and Sewer -- 2.0%
---------------------------------------------------------------------------------------
Aaa AAA $ 5,000 Massachusetts Water Resources Authority,
(FSA), 4.75%, 8/1/27 $ 4,692,650
---------------------------------------------------------------------------------------
$ 4,692,650
---------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 3.7%
---------------------------------------------------------------------------------------
NR AA- $ 7,800 Plymouth County, (Plymouth County
Correctional Facility), 7.00%, 4/1/22 $ 8,770,866
---------------------------------------------------------------------------------------
$ 8,770,866
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Nursing Home -- 1.5%
---------------------------------------------------------------------------------------
NR NR $ 3,225 Massachusetts IFA, (Age Institute of
Massachusetts), 8.05%, 11/1/25 $ 3,598,681
---------------------------------------------------------------------------------------
$ 3,598,681
---------------------------------------------------------------------------------------
Senior Living / Life Care -- 0.8%
---------------------------------------------------------------------------------------
NR NR $ 1,900 Massachusetts IFA, (Forge Hill), (AMT),
6.75%, 4/1/30 $ 1,812,543
---------------------------------------------------------------------------------------
$ 1,812,543
---------------------------------------------------------------------------------------
Solid Waste -- 0.4%
---------------------------------------------------------------------------------------
NR NR $ 920 Pittsfield, Solid Waste Disposal, (Vicon
Recovery Associates), 7.95%, 11/1/04 $ 946,036
---------------------------------------------------------------------------------------
$ 946,036
---------------------------------------------------------------------------------------
Transportation -- 2.6%
---------------------------------------------------------------------------------------
NR AA- $ 3,500 Massachusetts Bay Transportation
Authority, Variable Rate, 3/1/27(1)(2) $ 3,284,680
Baa1 A 1,000 Puerto Rico Highway and Transportation
Authority, 4.75%, 7/1/38 956,300
Baa1 A 2,000 Puerto Rico Highway and Transportation
Authority, 5.00%, 7/1/36 1,988,120
---------------------------------------------------------------------------------------
$ 6,229,100
---------------------------------------------------------------------------------------
Water and Sewer -- 8.9%
---------------------------------------------------------------------------------------
Baa1 BBB $ 12,185 Boston IDA, (Harbor Electric Energy
Co.), (AMT), 7.375%, 5/15/15 $ 13,026,496
A1 A 1,500 Massachusetts Water Resources Authority,
5.25%, 3/1/13 1,542,510
A1 A 4,165 Massachusetts Water Resources Authority,
5.25%, 12/1/15 4,346,386
NR NR 2,000 Virgin Islands Water and Power
Authority, 7.60%, 1/1/12 2,263,220
---------------------------------------------------------------------------------------
$ 21,178,612
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $216,982,571) $ 237,144,382
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
46
<PAGE>
MASSACHUSETTS MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
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 the economic developments in a specific industry
or municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1999, 19.0% 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 2.6% to 7.4% of total investments.
(1) Security has been issued as an inverse floater bond.
(2) Security exempt from registration under Rule 144A of the Securities Act of
1933. These may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At March 31, 1999, the value of
these securities amounted to $5,573,915 or 2.3% of the Portfolio's net
assets.
(3) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
SEE NOTES TO FINANCIAL STATEMENTS
47
<PAGE>
MISSISSIPPI MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 100.0%
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Education -- 2.7%
---------------------------------------------------------------------------------------
NR A $ 470 University of Mississippi Educational
Building Corp., (Athletic Facility),
6.20%, 6/1/16 $ 514,504
---------------------------------------------------------------------------------------
$ 514,504
---------------------------------------------------------------------------------------
Electric Utilities -- 4.8%
---------------------------------------------------------------------------------------
NR BBB $ 400 Guam Power Authority, 6.625%, 10/1/14 $ 445,924
Baa3 NR 450 Warren County, (Mississippi Power &
Light Co.), 7.00%, 4/1/22 491,499
---------------------------------------------------------------------------------------
$ 937,423
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 16.0%
---------------------------------------------------------------------------------------
Aaa AAA $ 750 Medical Center Building Corp.,
(University of Mississippi Medical
Center), (MBIA), Prerefunded to 12/1/04,
5.80%, 12/1/14 $ 832,005
Aaa AAA 1,000 Mississippi Educational Facilities
Authority, (Milsaps College), (MBIA),
Prerefunded to 11/1/04, 6.50%, 11/1/19 1,145,130
Aaa NR 2,500 Mississippi Housing Finance Corp.,
Single Family, (AMT), Escrowed to
Maturity, 0.00%, 6/1/15 1,126,900
---------------------------------------------------------------------------------------
$ 3,104,035
---------------------------------------------------------------------------------------
General Obligations -- 1.1%
---------------------------------------------------------------------------------------
Aa3 AA $ 200 Mississippi State, 5.10%, 11/15/12 $ 210,340
---------------------------------------------------------------------------------------
$ 210,340
---------------------------------------------------------------------------------------
Hospital -- 6.4%
---------------------------------------------------------------------------------------
Baa3 NR $ 300 Corinth and Alcorn County, (Magnolia
Registered Health Center), 5.50%,
10/1/21 $ 290,598
NR BBB+ 500 Jones County, (South Central Regional
Medical Center), 5.50%, 12/1/17 493,415
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Hospital (continued)
---------------------------------------------------------------------------------------
Baa3 BBB- $ 450 Mississippi Hospital Equipment and
Facilities Authority, (Rush Medical
Foundation), 6.00%, 1/1/22 $ 461,975
---------------------------------------------------------------------------------------
$ 1,245,988
---------------------------------------------------------------------------------------
Housing -- 13.9%
---------------------------------------------------------------------------------------
Aa NR $ 500 Hinds County, (Woodridge Apartments),
(FHA), 6.25%, 11/1/27 $ 527,805
Aaa NR 500 Mississippi Home Corp., Single Family,
Access Program, (GNMA), (AMT), 6.625%,
4/1/27 536,170
Aaa NR 495 Mississippi Home Corp., Single Family,
Access Program, (GNMA), (AMT), 7.55%,
12/1/27 563,978
Aaa NR 320 Mississippi Home Corp., Single Family,
Access Program, (GNMA), (AMT), 8.10%,
12/1/24 358,243
Aaa NR 640 Mississippi Home Corp., Single Family,
Access Program, (GNMA), (AMT), 8.125%,
12/1/24 713,914
---------------------------------------------------------------------------------------
$ 2,700,110
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 12.5%
---------------------------------------------------------------------------------------
Baa2 NR $ 500 Grenada County, (Georgia-Pacific Corp.),
5.45%, 9/1/14 $ 491,385
A2 A 750 Lowndes County, (Weyerhaeuser Co.),
6.80%, 4/1/22 907,043
NR AA- 500 Mississippi Business Finance Corp.,
(E.I. DuPont deNemours), (AMT), 7.15%,
5/1/16 538,100
A3 BBB+ 450 Warren County, (International Paper
Co.), (AMT), 6.60%, 3/1/19 486,914
---------------------------------------------------------------------------------------
$ 2,423,442
---------------------------------------------------------------------------------------
Insured-Education -- 2.7%
---------------------------------------------------------------------------------------
Aaa NR $ 500 Mississippi State University Educational
Building Corp., (MBIA), 5.25%, 8/1/17 $ 520,050
---------------------------------------------------------------------------------------
$ 520,050
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
48
<PAGE>
MISSISSIPPI MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Electric Utilities -- 1.8%
---------------------------------------------------------------------------------------
Aaa AAA $ 300 Puerto Rico Electric Power Authority,
"STRIPES", (FSA), Variable Rate,
7/1/03(1) $ 345,000
---------------------------------------------------------------------------------------
$ 345,000
---------------------------------------------------------------------------------------
Insured-General Obligations -- 3.0%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Hinds County, (MBIA), 6.25%, 3/1/11 $ 577,250
---------------------------------------------------------------------------------------
$ 577,250
---------------------------------------------------------------------------------------
Insured-Hospital -- 14.2%
---------------------------------------------------------------------------------------
Aaa AAA $ 750 Gulfport, (Gulfport Memorial Hospital),
(MBIA), 6.20%, 7/1/18 $ 826,965
Aaa AAA 1,275 Hinds County, (Mississippi Methodist
Hospital), (AMBAC), 5.60%, 5/1/12 1,384,840
Aaa AAA 500 Mississippi Hospital Equipment and
Facilities Authority, (Mississippi
Baptist Medical Center), (MBIA), 6.00%,
5/1/13 540,315
---------------------------------------------------------------------------------------
$ 2,752,120
---------------------------------------------------------------------------------------
Insured-Transportation -- 2.8%
---------------------------------------------------------------------------------------
Aaa AAA $1,250 Puerto Rico Highway and Transportation
Authority, (AMBAC), 0.00%, 7/1/16 $ 545,050
---------------------------------------------------------------------------------------
$ 545,050
---------------------------------------------------------------------------------------
Insured-Water and Sewer -- 4.2%
---------------------------------------------------------------------------------------
Aaa AAA $ 435 Mississippi Development Bank, (Combined
Water and Sewer System), (AMBAC), 5.00%,
7/1/23 $ 424,808
Aaa AAA 400 Mississippi Development Bank,
(Diberville Combined Water and Sewer
System), (AMBAC), 5.00%, 7/1/23 389,820
---------------------------------------------------------------------------------------
$ 814,628
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 11.1%
---------------------------------------------------------------------------------------
NR A $1,000 Mississippi Development Bank, (Golden
Triangle Solid Waste), 6.00%, 7/1/15 $ 1,082,270
A2 NR 1,000 Mississippi State University Educational
Building Corp., 6.15%, 6/15/15 1,074,120
---------------------------------------------------------------------------------------
$ 2,156,390
---------------------------------------------------------------------------------------
Nursing Home -- 1.7%
---------------------------------------------------------------------------------------
NR NR $ 300 Mississippi Business Finance Corp.,
(Magnolia Healthcare), 7.99%, 7/1/25 $ 322,551
---------------------------------------------------------------------------------------
$ 322,551
---------------------------------------------------------------------------------------
Senior Living / Life Care -- 1.1%
---------------------------------------------------------------------------------------
NR NR $ 200 Ridgeland, Urban Renewal, (The Orchard),
7.75%, 12/1/15 $ 216,246
---------------------------------------------------------------------------------------
$ 216,246
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $17,717,241) $ 19,385,127
---------------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The portfolio invests primarily in debt securities issued by Mississippi
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, 1999, 38.9% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 1.8% to 22.9% of total investments.
(1) Security has been issued as an inverse floater bond.
SEE NOTES TO FINANCIAL STATEMENTS
49
<PAGE>
NEW YORK MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 100.0%
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Assisted Living -- 1.6%
---------------------------------------------------------------------------------------
NR NR $ 4,000 Glen Cove IDA, (Regency at Glen Cove),
9.50%, 7/1/12 $ 4,271,000
NR NR 2,935 North Syracuse Village Housing
Authority, (AJM Senior Housing, Inc.,
Janus Park), 8.00%, 6/1/24 3,039,222
---------------------------------------------------------------------------------------
$ 7,310,222
---------------------------------------------------------------------------------------
Cogeneration -- 2.3%
---------------------------------------------------------------------------------------
Baa3 BBB- $ 6,000 New York City IDA, (Brooklyn Navy Yard
Cogeneration), 5.65%, 10/1/28 $ 6,129,840
NR NR 4,250 Suffolk County IDA, (Nissequogue
Cogeneration Partners Facility), (AMT),
5.50%, 1/1/23 4,272,270
---------------------------------------------------------------------------------------
$ 10,402,110
---------------------------------------------------------------------------------------
Education -- 24.3%
---------------------------------------------------------------------------------------
A NR $ 1,000 Dutchess County IDA, (Bard College),
7.00%, 11/1/17 $ 1,101,370
A1 NR 5,740 Monroe County IDA, (Wilmur Assoc.),
7.25%, 12/1/16 6,025,680
Baa2 NR 1,660 New Rochelle IDA, (College of New
Rochelle), 6.75%, 7/1/22 1,778,657
Baa1 BBB+ 8,000 New York State Dormitory Authority,
(City University), 5.625%, 7/1/16 8,558,320
Baa1 BBB+ 8,500 New York State Dormitory Authority,
(City University), 6.00%, 7/1/20 9,538,190
Baa1 BBB 105 New York State Dormitory Authority,
(City University), 6.375%, 7/1/08 113,831
Baa1 BBB+ 5,100 New York State Dormitory Authority,
(City University), 7.00%, 7/1/09 5,892,489
Baa1 BBB+ 4,325 New York State Dormitory Authority,
(City University), 7.50%, 7/1/10 5,215,561
NR AA 1,300 New York State Dormitory Authority, (New
York Medical College), (Asset Guaranty),
6.875%, 7/1/21 1,445,522
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Education (continued)
---------------------------------------------------------------------------------------
Aaa AAA $ 2,500 New York State Dormitory Authority,
(Rockefeller University), 4.75%, 7/1/37 $ 2,347,250
A3 A- 11,000 New York State Dormitory Authority,
(State University Educational
Facilities), 5.125%, 5/15/21 10,898,799
A3 A- 9,985 New York State Dormitory Authority,
(State University Educational
Facilities), 5.25%, 5/15/15 10,399,177
A3 A- 28,775 New York State Dormitory Authority,
(State University Educational
Facilities), 5.25%, 5/15/19 29,587,030
A3 A- 14,680 New York State Dormitory Authority,
(State University Educational
Facilities), 5.25%, 5/15/21 15,077,533
A3 A- 2,000 New York State Dormitory Authority,
(State University Educational
Facilities), 5.50%, 5/15/19 2,119,280
A3 A- 1,300 New York State Dormitory Authority,
(State University Educational
Facilities), 7.50%, 5/15/11 1,585,363
---------------------------------------------------------------------------------------
$ 111,684,052
---------------------------------------------------------------------------------------
Electric Utilities -- 9.1%
---------------------------------------------------------------------------------------
Baa1 A- $ 7,000 Long Island Power Authority, Electric
System Revenue, 5.25%, 12/1/26 $ 7,002,380
Baa1 A- 11,550 Long Island Power Authority, Electric
System Revenue, 5.50%, 12/1/23 11,943,739
NR NR 5,880 Long Island Power Authority, Electric
System Revenue, 8.362%, 12/1/29(1)(2) 6,268,550
A1 A+ 2,365 New York State Energy Research and
Development Authority, (Consolidated
Edison), (AMT), 7.50%, 7/1/25 2,411,236
A2 A 2,500 New York State Energy Research and
Development Authority, (Brooklyn Union
Gas), "RIBS", (AMT), Variable Rate,
7/1/26(1) 3,300,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
50
<PAGE>
NEW YORK MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Electric Utilities (continued)
---------------------------------------------------------------------------------------
A1 A+ $ 1,000 New York State Energy Research and
Development Authority, (Consolidated
Edison), (AMT), 7.50%, 1/1/26 $ 1,037,840
NR NR 5,450 New York State Energy Research and
Development Authority, (LILCO), "RITES",
(AMT), Variable Rate, 8/1/22(1) 6,644,948
Baa3 A- 3,110 New York State Energy Research and
Development Authority, (LILCO), (AMT),
6.90%, 8/1/22 3,414,314
---------------------------------------------------------------------------------------
$ 42,023,007
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 0.7%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,650 Dutchess County Resource Recovery Solid
Waste, (FGIC), Prerefunded to 1/1/00,
7.50%, 1/1/09 $ 1,735,602
Aaa AAA 215 New York City, (AMBAC), Prerefunded to
8/1/02, 7.00%, 8/1/17 240,005
Baa1 BBB 145 New York State Dormitory Authority,
(City University), Prerefunded to
7/1/02, 6.375%, 7/1/08 158,800
NR AAA 1,000 New York State Dormitory Authority, (St.
Francis Hospital), (FHA), Prerefunded to
8/1/00, 7.65%, 8/1/30 1,075,810
---------------------------------------------------------------------------------------
$ 3,210,217
---------------------------------------------------------------------------------------
General Obligations -- 4.0%
---------------------------------------------------------------------------------------
A3 A- $ 8,000 New York City, 0.00%, 8/1/07 $ 5,525,680
A3 A- 2,500 New York City, 0.00%, 8/1/08 1,642,775
A3 A- 5,000 New York City, 5.25%, 8/1/16 5,076,050
Aa2 AA 1,700 Onondaga County, 5.875%, 2/15/11 1,903,932
Aa2 AA 1,600 Onondaga County, 5.875%, 2/15/12 1,795,584
Baa1 A 6,200 Puerto Rico, 0.00%, 7/1/18 2,364,928
---------------------------------------------------------------------------------------
$ 18,308,949
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Health Care -- 1.3%
---------------------------------------------------------------------------------------
NR NR $ 5,000 New York State Housing Finance Agency,
"RITES", Variable Rate, 5/1/06(1)(2) $ 5,950,300
---------------------------------------------------------------------------------------
$ 5,950,300
---------------------------------------------------------------------------------------
Hospital -- 7.8%
---------------------------------------------------------------------------------------
Baa1 BBB+ $ 7,680 New York State Dormitory Authority,
(Jamaica Hospital), 5.20%, 2/15/15 $ 7,741,133
A3 A- 7,300 New York State Dormitory Authority,
Mental Health Facilities, 5.375%,
2/15/26 7,438,773
NR AA 9,000 New York State MCFFA, Hospital and
Nursing Insured Mortgage, (FHA), 6.70%,
8/15/23 9,936,000
Aa2 AA 2,190 New York State MCFFA, Hospital and
Nursing Insured Mortgage, (FHA), 7.00%,
8/15/32 2,423,629
Aa2 AA 6,600 New York State MCFFA, Hospital and
Nursing Insured Mortgage, (FHA), 7.25%,
2/15/31 7,347,450
Aa2 AA 935 New York State MCFFA, Hospital and
Nursing Insured Mortgage, (FHA), 7.45%,
8/15/31 1,010,623
---------------------------------------------------------------------------------------
$ 35,897,608
---------------------------------------------------------------------------------------
Hotel -- 0.3%
---------------------------------------------------------------------------------------
NR NR $ 3,000 Niagara County IDA, (Wintergarden Inn
Associates), 9.75%, 6/1/11(3) $ 1,200,000
---------------------------------------------------------------------------------------
$ 1,200,000
---------------------------------------------------------------------------------------
Housing -- 2.1%
---------------------------------------------------------------------------------------
NR NR $ 4,429 New York City HDC, Allerville, 6.50%,
11/15/18 $ 4,434,756
NR NR 1,942 New York City HDC, Dayton, 6.50%,
11/15/18 2,040,019
Aa2 AAA 235 New York State Housing Finance Agency,
(Baytown), 7.10%, 8/15/35 250,289
Aaa NR 5,485 New York State Mortgage Agency, 0.00%,
10/1/14 1,236,429
Aa2 NR 500 New York State Mortgage Agency, 6.65%,
4/1/22 526,145
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
51
<PAGE>
NEW YORK MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Housing (continued)
---------------------------------------------------------------------------------------
Aa2 NR $ 1,000 New York State Mortgage Agency, 7.50%,
4/1/15 $ 1,061,600
---------------------------------------------------------------------------------------
$ 9,549,238
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 2.8%
---------------------------------------------------------------------------------------
NR NR $ 1,250 Chautauqua County IDA, (Womans Christian
Association), 6.35%, 11/15/17 $ 1,251,600
NR NR 3,250 Chautauqua County IDA, (Womans Christian
Association), 6.40%, 11/15/29 3,232,840
Baa1 BBB- 3,500 New York City IDA, (American Airlines,
Inc.), (AMT), 5.40%, 7/1/19 3,540,670
Baa1 BBB- 2,000 New York City IDA, (American Airlines,
Inc.), (AMT), 5.40%, 7/1/20 2,023,240
Baa3 BBB- 2,800 Port Authority of New York and New
Jersey, (Delta Airlines), 6.95%,
6/1/08(4) 3,033,184
---------------------------------------------------------------------------------------
$ 13,081,534
---------------------------------------------------------------------------------------
Insured-Education -- 2.0%
---------------------------------------------------------------------------------------
Aaa AAA $ 8,375 New York State Dormitory Authority, (New
York University), (MBIA), 5.75%, 7/1/27 $ 9,326,065
---------------------------------------------------------------------------------------
$ 9,326,065
---------------------------------------------------------------------------------------
Insured-General Obligations -- 2.8%
---------------------------------------------------------------------------------------
Aaa AAA $ 700 Bethlehem Central School District,
(AMBAC), 7.10%, 11/1/08 $ 855,855
Aaa AAA 700 Bethlehem Central School District,
(AMBAC), 7.10%, 11/1/09 864,745
Aaa AAA 770 Chautauqua County Unlimited Tax, (FGIC),
6.40%, 9/15/09 904,650
Aaa AAA 700 Jamestown, (AMBAC), 7.10%, 3/15/09 856,919
Aaa AAA 700 Jamestown, (AMBAC), 7.10%, 3/15/10 861,028
Aaa AAA 700 Jamestown, (AMBAC), 7.10%, 3/15/11 864,864
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Insured-General Obligations (continued)
---------------------------------------------------------------------------------------
Aaa AAA $ 675 Jamestown, (AMBAC), 7.10%, 3/15/12 $ 839,288
Aaa AAA 675 Jamestown, (AMBAC), 7.10%, 3/15/13 842,110
Aaa AAA 515 Jamestown, (AMBAC), 7.10%, 3/15/14 645,666
Aaa AAA 65 New York City, (AMBAC), 7.00%, 8/1/17 71,804
Aaa AAA 4,500 Puerto Rico, (FSA), Variable Rate,
7/1/22(1)(2) 5,130,000
---------------------------------------------------------------------------------------
$ 12,736,929
---------------------------------------------------------------------------------------
Insured-Hospital -- 0.5%
---------------------------------------------------------------------------------------
Aaa AAA $ 2,750 New York State Dormitory Authority, (New
York Presbyterian Hospital), (AMBAC),
4.75%, 8/1/27 $ 2,580,958
---------------------------------------------------------------------------------------
$ 2,580,958
---------------------------------------------------------------------------------------
Insured-Miscellaneous -- 0.5%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 New York City IDA, (USTA National Tennis
Center, Inc.), (FSA), 6.375%, 11/15/14 $ 558,240
Aaa AAA 1,600 New York City Trust Cultural Resources,
(American Museum of Natural History),
(MBIA), 5.65%, 4/1/22 1,693,312
---------------------------------------------------------------------------------------
$ 2,251,552
---------------------------------------------------------------------------------------
Insured-Senior Living / Life Care -- 0.3%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,400 New York State MCFFA, Long Term Health
Care, (FSA), 6.80%, 11/1/14 $ 1,532,020
---------------------------------------------------------------------------------------
$ 1,532,020
---------------------------------------------------------------------------------------
Insured-Solid Waste -- 1.7%
---------------------------------------------------------------------------------------
Aaa AAA $ 6,795 Islip Resource Recovery Agency, (MBIA),
6.50%, 7/1/09 $ 7,778,848
---------------------------------------------------------------------------------------
$ 7,778,848
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
52
<PAGE>
NEW YORK MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Special Tax Revenue -- 1.3%
---------------------------------------------------------------------------------------
Aaa AAA $ 5,900 Puerto Rico Financing Authority,
(AMBAC), 5.00%, 7/1/28 $ 5,886,017
---------------------------------------------------------------------------------------
$ 5,886,017
---------------------------------------------------------------------------------------
Insured-Transportation -- 4.5%
---------------------------------------------------------------------------------------
Aaa AAA $ 6,000 New York State Thruway Authority,
(MBIA), 5.375%, 4/1/16 $ 6,258,300
Aaa AAA 3,000 Triborough Bridge and Tunnel Authority,
"RITES", (AMBAC), Variable Rate,
1/1/12(1)(2) 3,419,130
NR AAA 3,000 Triborough Bridge and Tunnel Authority,
(MBIA), Variable Rate, 1/1/19(1)(2) 3,213,540
NR NR 7,000 VRDC-IVRC Trust, (New York MTA), (MBIA),
Variable Rate, 6/26/02(1)(2) 7,840,000
---------------------------------------------------------------------------------------
$ 20,730,970
---------------------------------------------------------------------------------------
Insured-Utilities -- 1.2%
---------------------------------------------------------------------------------------
Aaa AAA $ 5,000 Puerto Rico Telephone Authority, (MBIA),
Variable Rate, 1/25/07(1)(2) $ 5,525,000
---------------------------------------------------------------------------------------
$ 5,525,000
---------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 9.4%
---------------------------------------------------------------------------------------
Baa1 A- $ 3,380 New York State HFA, 6.00%, 5/1/06 $ 3,706,981
NR BBB 5,865 New York State Thruway Authority, 0.00%,
1/1/01 5,488,232
NR BBB 2,350 New York State Thruway Authority, 0.00%,
1/1/03 2,016,747
Baa1 BBB+ 27,940 New York State UDC, 5.70%, 4/1/20 29,954,194
Baa1 BBB- 1,825 Syracuse-Hancock International Airport,
6.625%, 1/1/12 1,938,552
---------------------------------------------------------------------------------------
$ 43,104,706
---------------------------------------------------------------------------------------
Senior Living / Life Care -- 0.3%
---------------------------------------------------------------------------------------
Baa3 BBB- $ 1,250 New York City, Health and Hospital
Corp., 5.25%, 2/15/17 $ 1,241,325
---------------------------------------------------------------------------------------
$ 1,241,325
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Solid Waste -- 2.1%
---------------------------------------------------------------------------------------
Baa1 NR $ 9,530 New York State EFC, Resource Recovery,
(Huntington), 7.50%, 10/1/12 $ 9,886,899
---------------------------------------------------------------------------------------
$ 9,886,899
---------------------------------------------------------------------------------------
Special Tax Revenue -- 6.9%
---------------------------------------------------------------------------------------
A3 A+ $ 14,830 New York State LGAC, 5.00%, 4/1/21 $ 14,722,482
A3 A+ 8,500 New York State LGAC, 5.375%, 4/1/19 8,691,335
NR BBB+ 2,630 New York State Municipal Bond Bank
Agency, 6.875%, 3/15/06 2,842,530
NR AAA 1,750 Puerto Rico, Infrastructure Financing
Authority, Variable Rate, 7/1/28(1)(2) 1,733,743
Baa1 BBB+ 3,335 Triborough Bridge and Tunnel Authority,
Convention Center, 6.00%, 1/1/11 3,727,530
---------------------------------------------------------------------------------------
$ 31,717,620
---------------------------------------------------------------------------------------
Transportation -- 7.2%
---------------------------------------------------------------------------------------
Baa1 BBB+ $ 2,535 Metropolitan Transportation Authority of
New York, 5.50%, 7/1/14 $ 2,662,080
A1 AA- 3,200 Port Authority of New York and New
Jersey, 5.375%, 3/1/28 3,383,840
A1 AA- 1,500 Port Authority of New York and New
Jersey, (AMT), Variable Rate, 1/15/27(1) 1,662,720
Baa1 A 4,000 Puerto Rico Highway and Transportation
Authority, 4.75%, 7/1/38 3,825,200
Aa3 A+ 5,000 Triborough Bridge and Tunnel Authority,
5.20%, 1/1/22 5,035,700
Aa3 A+ 12,080 Triborough Bridge and Tunnel Authority,
5.50%, 1/1/17 12,954,108
Aa3 A+ 3,000 Triborough Bridge and Tunnel Authority,
6.125%, 1/1/21 3,459,420
---------------------------------------------------------------------------------------
$ 32,983,068
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
53
<PAGE>
NEW YORK MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Water and Sewer -- 3.0%
---------------------------------------------------------------------------------------
A1 A $ 9,000 New York City Municipal Water Finance
Authority, 5.25%, 6/15/29 $ 9,041,670
Aa2 A+ 4,545 New York State EFC, State Water
Pollution Control, 7.20%, 3/15/11 4,772,477
---------------------------------------------------------------------------------------
$ 13,814,147
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $423,756,266) $ 459,713,361
---------------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by 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, 1999, 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 insured by
financial institution ranged from 0.6% to 9.1% of total investments.
(1) Security has been issued as an inverse floater bond.
(2) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
1999, the value of these securities amounted to $39,080,263 or 8.5% of the
Portfolio's net assets.
(3) Non-income producing security.
(4) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
SEE NOTES TO FINANCIAL STATEMENTS
54
<PAGE>
OHIO MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 100.0%
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Education -- 1.3%
---------------------------------------------------------------------------------------
Aa AA $ 550 Ohio State Higher Educational
Facilities, (Case Western University),
6.50%, 10/1/20 $ 654,280
NR AA 2,625 Ohio State Higher Educational
Facilities, (Oberlin College), 6.54%,
10/1/29(1)(2) 2,496,611
---------------------------------------------------------------------------------------
$ 3,150,891
---------------------------------------------------------------------------------------
Electric Utilities -- 4.0%
---------------------------------------------------------------------------------------
NR NR $ 2,000 Clyde, Electric System Revenue, (AMT),
6.00%, 11/15/14 $ 2,034,160
A1 A+ 1,185 Ohio State Air Quality Development
Authority, (Dayton Power), 6.10%, 9/1/30 1,264,383
Ba1 BB+ 6,250 Ohio State Water Development Authority,
Pollution Control Facilities, (Cleveland
Electric), (AMT), 6.10%, 8/1/20 6,337,812
---------------------------------------------------------------------------------------
$ 9,636,355
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 2.4%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Clermont County, (Mercy Health System),
(AMBAC), Prerefunded to 9/25/01,
Variable Rate, 10/5/21(1) $ 1,175,000
A1 NR 1,750 Lorain, (Lakeland County Hospital),
Escrowed to Maturity, 6.50%, 11/15/12 1,987,755
NR AAA 1,700 Puerto Rico, "RIBS", (AMBAC),
Prerefunded to 7/1/02, Variable Rate,
7/1/15(1)(2) 1,977,304
Aa2 NR 600 Warren County, (Otterbein Homes),
Prerefunded to 7/1/01, 7.20%, 7/1/11 656,748
---------------------------------------------------------------------------------------
$ 5,796,807
---------------------------------------------------------------------------------------
General Obligations -- 8.3%
---------------------------------------------------------------------------------------
NR NR $ 3,035 Belmont County, 7.30%, 12/1/12 $ 3,298,165
Aa3 NR 3,250 Chagrin Falls, (Village School
District), 5.375%, 12/1/22 3,338,530
Aa2 NR 2,510 Hamilton County Parking Facility, 5.00%,
12/1/24 2,479,428
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
General Obligations (continued)
---------------------------------------------------------------------------------------
Baa1 A $ 1,075 Puerto Rico, 0.00%, 7/1/16 $ 457,832
Aa2 NR 1,250 Rocky River City School District,
5.375%, 12/1/17 1,313,375
NR NR 1,000 Tuscarawas County Public Library
Improvement, 6.90%, 12/1/11 1,065,280
NR NR 6,855 Youngstown, 7.35%, 7/1/05 7,800,029
---------------------------------------------------------------------------------------
$ 19,752,639
---------------------------------------------------------------------------------------
Hospital -- 17.8%
---------------------------------------------------------------------------------------
NR AAA $ 1,000 Allen County LIMA, (Convalescent Home
Foundation), (GNMA), 6.40%, 1/1/21 $ 1,051,290
Baa3 BBB- 1,000 Butler County, (Hamilton-Hughe
Hospital), 7.50%, 1/1/10 1,069,760
Aa3 AA- 3,000 Cuyahoga County, (Cleveland Health
Clinic), 5.125%, 1/1/29 2,923,770
Aa3 AA- 2,100 Cuyahoga County, (Fairview General
Hospital), 6.25%, 8/15/10 2,286,816
Aa AA 4,450 Cuyahoga County, (University Hospitals
Health System), 6.00%, 1/15/22 4,709,213
Aa AA 750 Cuyahoga County, (University Hospitals
Health System), 6.50%, 1/15/19 805,883
NR A 2,815 Defiance, (Defiance Hospital), 7.625%,
11/1/03 2,850,610
Baa2 BBB+ 1,000 East Liverpool, (City Hospital), 8.00%,
10/1/21 1,075,390
A A 4,000 Erie County, (Firelands Community
Hospital), 6.75%, 1/1/08 4,342,040
Aa NR 3,000 Franklin County, (Children's Hospital),
6.60%, 5/1/13 3,306,210
Aa3 A 1,015 Garfield Heights, (Marymount Hospital),
6.65%, 11/15/11 1,130,233
Aa3 A 1,000 Garfield Heights, (Marymount Hospital),
6.70%, 11/15/15 1,115,210
A2 A 5,115 Hamilton County, (Bethesda Hospital,
Inc.), 6.25%, 1/1/12 5,541,079
Aa2 NR 1,000 Hamilton County, (Wesley Hall), 6.50%,
3/1/15 1,106,360
Baa2 BBB 3,800 Miami, (Upper Valley Medical Center),
6.375%, 5/15/26 4,025,910
NR A- 1,000 Parma, (Parma Community General Hospital
Association), 5.35%, 11/1/18 1,004,670
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
55
<PAGE>
OHIO MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospital (continued)
---------------------------------------------------------------------------------------
NR A- $ 4,250 Parma, (Parma Community General Hospital
Association), 5.375%, 11/1/29 $ 4,267,978
---------------------------------------------------------------------------------------
$ 42,612,422
---------------------------------------------------------------------------------------
Housing -- 10.9%
---------------------------------------------------------------------------------------
Aa NR $ 1,300 Clermont County, (SEM Laurels), (FHA),
6.00%, 9/1/20 $ 1,364,727
NR NR 2,980 Cuyahoga County, (Rolling Hills Apts.),
(AMT), 8.00%, 1/1/28 3,041,835
Aa NR 2,500 Franklin County MFMR, (Tuttle Park),
(FHA), (AMT), 6.50%, 3/1/26 2,731,275
Aa NR 5,985 Franklin County MFMR, (Tuttle Park),
(FHA), (AMT), 6.60%, 3/1/36 6,535,499
Aa NR 3,645 Franklin County, (Hamilton Creek
Apartments), (FHA), (AMT), 5.55%, 7/1/24 3,672,301
Aa NR 1,000 Franklin County, (Hamilton Creek
Apartments), (FHA), (AMT), 5.80%, 7/1/14 1,032,430
Aaa NR 2,500 Kent MFMR, (Silver Meadows), (GNMA),
(AMT), 7.30%, 12/20/36 2,841,225
NR NR 2,950 Lucas County, (Country Creek), (AMT),
8.00%, 7/1/26 2,963,747
Aaa AAA 785 Ohio HFA SFMR, (GNMA), (AMT), Variable
Rate, 3/31/31(1) 869,388
Aa A 1,000 Ohio HFA, (Aristocrat), (FHA), (AMT),
7.30%, 8/1/31 1,053,930
---------------------------------------------------------------------------------------
$ 26,106,357
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 13.8%
---------------------------------------------------------------------------------------
Ba2 BB $ 4,500 Cleveland, (Continental Airlines, Inc.),
(AMT), 5.375%, 9/15/27 $ 4,387,860
Aa NR 2,000 Cuyahoga IDR, (Chippewa Place), 6.60%,
8/1/15 2,137,300
NR BBB 500 Dayton, Special Facilities Revenue,
(Emery Airline Freight), 5.625%, 2/1/18 503,995
NR A- 525 Ohio Economic Development Commission,
(Burrows Paper Corp.), (AMT), 7.625%,
6/1/11 567,257
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Industrial Development Revenue (continued)
---------------------------------------------------------------------------------------
NR A- $ 215 Ohio Economic Development Commission,
(Cheryl & Co.), (AMT), 5.50%, 12/1/04 $ 230,463
NR A- 530 Ohio Economic Development Commission,
(Cheryl & Co.), (AMT), 5.90%, 12/1/09 572,596
NR A- 1,520 Ohio Economic Development Commission,
(Consolidated Biscuit), (AMT), 7.00%,
12/1/09 1,703,662
NR A- 3,110 Ohio Economic Development Commission, (J
J & W LP), (AMT), 6.70%, 12/1/14 3,422,213
NR BB+ 1,020 Ohio Economic Development Commission,
(Kmart Corp.), 6.75%, 5/15/07 1,086,759
NR A- 750 Ohio Economic Development Commission,
(Luigino's, Inc.), (AMT), 6.85%, 6/1/01 752,078
NR A- 1,525 Ohio Economic Development Commission,
(Progress Plastic Products), (AMT),
7.80%, 12/1/09 1,779,843
NR A- 505 Ohio Economic Development Commission,
(Progress Plastics Products), (AMT),
6.80%, 12/1/01 522,417
NR A- 1,000 Ohio Economic Development Commission,
(Royal Appliance Manufacturing Co.),
(AMT), 7.625%, 12/1/11 1,083,380
NR A- 680 Ohio Economic Development Commission,
(Royal Appliance Manufacturing Co.),
(AMT), 7.625%, 12/1/11 736,698
NR A- 880 Ohio Economic Development Commission,
(VSM Corp.), (AMT), 7.375%, 12/1/11 947,945
Aa3 AA+ 1,000 Ohio Pollution Control, (Standard Oil
Co.), 6.75%, 12/1/15 1,214,760
NR NR 3,000 Ohio Solid Waste Revenue, (Republic
Engineered Steels, Inc.), (AMT), 9.00%,
6/1/21 3,212,700
Baa2 BBB 3,715 Ohio Water Development Authority, (Union
Carbide Corp.), 5.50%, 1/15/07 3,717,415
Baa3 BBB- 4,000 Puerto Rico Port Authority, (American
Airlines), (AMT), 6.25%, 6/1/26 4,314,880
---------------------------------------------------------------------------------------
$ 32,894,221
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
56
<PAGE>
OHIO MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Education -- 0.5%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Ohio HEFA, (University of Dayton),
(FGIC), 5.80%, 12/1/14 $ 1,085,370
---------------------------------------------------------------------------------------
$ 1,085,370
---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 3.6%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,650 Cleveland Public Power System, (MBIA),
7.00%, 11/15/17 $ 1,804,787
Aaa AAA 2,000 Cleveland, Public Power System, (MBIA),
5.00%, 11/15/20 1,990,720
Aaa AAA 2,000 Cuyahoga County Utility Systems,
(Medical Center Co.), (MBIA), (AMT),
6.10%, 8/15/15 2,164,860
Aaa AAA 2,300 Puerto Rico Electric Power Authority,
"STRIPES", (FSA), Variable Rate,
7/1/02(1) 2,567,375
---------------------------------------------------------------------------------------
$ 8,527,742
---------------------------------------------------------------------------------------
Insured-General Obligations -- 3.8%
---------------------------------------------------------------------------------------
Aaa NR $ 1,000 Norwalk, City School District, (AMBAC),
4.75%, 12/1/26 $ 947,630
Aaa AAA 3,000 Puerto Rico, (FSA), Variable Rate,
7/1/22(1)(2) 3,420,000
Aaa AAA 5,000 South-Western City School District,
Franklin and Pickway Counties, (AMBAC),
4.75%, 12/1/26 4,738,150
---------------------------------------------------------------------------------------
$ 9,105,780
---------------------------------------------------------------------------------------
Insured-Hospital -- 9.5%
---------------------------------------------------------------------------------------
Aaa AAA $ 4,000 Hamilton County, (Childrens Hospital
Medical Center), (MBIA), 4.75%, 5/15/28 $ 3,745,480
NR AA 1,250 Knox County, (Knox Community Hospital),
(AGR), 5.00%, 6/1/12 1,269,838
Aaa AAA 1,250 Mahoning County, (Forum Health), (MBIA),
5.00%, 11/15/17 1,232,800
Aaa AAA 2,750 Mansfield, (Mansfield General Hospital),
(AMBAC), 6.70%, 12/1/09 2,989,718
Aaa AAA 5,000 Middleburg Heights, (Southwestern
General), (FSA), 5.75%, 8/15/21 5,328,650
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Insured-Hospital (continued)
---------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Montgomery County, (Miami Valley
Hospital), (AMBAC), 6.25%, 11/15/16 $ 1,089,430
Aaa AAA 6,565 Portage County, (Robinson Memorial
Hospital), (MBIA), 5.80%, 11/15/15 7,038,532
---------------------------------------------------------------------------------------
$ 22,694,448
---------------------------------------------------------------------------------------
Insured-Housing -- 0.5%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,100 Ohio Capital Corp., (Horizon
Apartments), (FHA), (MBIA), 6.50%,
1/1/23 $ 1,151,788
---------------------------------------------------------------------------------------
$ 1,151,788
---------------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of Participation -- 0.9%
---------------------------------------------------------------------------------------
Aaa AAA $ 2,150 University of Cincinnati, (MBIA),
5.125%, 6/1/24 $ 2,155,526
---------------------------------------------------------------------------------------
$ 2,155,526
---------------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 1.7%
---------------------------------------------------------------------------------------
Aaa AAA $ 2,110 Hudson Local School District, (FGIC),
0.00%, 12/15/09 $ 1,299,401
Aaa AAA 2,700 Puerto Rico Financing Authority,
(AMBAC), 5.00%, 7/1/28 2,693,601
---------------------------------------------------------------------------------------
$ 3,993,002
---------------------------------------------------------------------------------------
Insured-Transportation -- 2.0%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,750 Columbus Municipal Airport Authority,
(AMBAC), 5.00%, 1/1/28 $ 1,727,513
Aaa AAA 2,000 Ohio State Airline Quality Development
Authority, (JMG Funding), (AMBAC),
5.625%, 10/1/22 2,072,740
Aaa AAA 2,000 Puerto Rico Highway and Transportation
Authority, (AMBAC), 0.00%, 7/1/16 872,080
---------------------------------------------------------------------------------------
$ 4,672,333
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
57
<PAGE>
OHIO MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Water and Sewer -- 0.6%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,600 Springboro, Water System Revenue,
(AMBAC), 4.75%, 12/1/23 $ 1,525,024
---------------------------------------------------------------------------------------
$ 1,525,024
---------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 0.5%
---------------------------------------------------------------------------------------
A2 A+ $ 1,000 University of Cincinnati, 6.50%, 12/1/11 $ 1,090,110
---------------------------------------------------------------------------------------
$ 1,090,110
---------------------------------------------------------------------------------------
Nursing Home -- 6.6%
---------------------------------------------------------------------------------------
NR NR $ 2,000 Cuyahoga County Health Care Facilities,
(Benjamin Rose Institute), 5.50%,
12/1/17 $ 1,992,900
NR NR 2,100 Cuyahoga County Health Care Facilities,
(Benjamin Rose Institute), 5.50%,
12/1/28 2,069,613
Aaa NR 1,305 Cuyahoga County, (Maple Care Center),
(GNMA), (AMT), 8.00%, 8/20/16 1,583,017
NR AAA 1,205 North Canton Health Care Facilities,
(St. Luke Lutheran), (GNMA), 6.10%,
9/20/16 1,345,045
NR AAA 6,455 North Canton Health Care Facilities,
(St. Luke Lutheran), (GNMA), 9.55%,
3/20/32 8,864,715
---------------------------------------------------------------------------------------
$ 15,855,290
---------------------------------------------------------------------------------------
Senior Living / Life Care -- 4.0%
---------------------------------------------------------------------------------------
Aa NR $ 1,990 Franklin County, (Kensington Place),
6.75%, 1/1/34(3) $ 2,118,654
Aa2 NR 1,000 Hamilton County, (Hospital - Episcopal
Retirement Home), 6.80%, 1/1/08 1,076,510
NR BBB- 1,800 Marion, Health Care, (United Church
Home), 6.30%, 11/15/15 1,883,970
NR NR 2,400 Ohio Housing Finance Agency, Retirement
Rental Housing, (Encore Retirement
Partners), 6.75%, 3/1/19 2,404,968
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Senior Living / Life Care (continued)
---------------------------------------------------------------------------------------
NR NR $ 2,250 Summit County Healthcare Facilities,
(Village at Saint Edward), 5.75%,
12/1/25 $ 2,192,940
---------------------------------------------------------------------------------------
$ 9,677,042
---------------------------------------------------------------------------------------
Solid Waste -- 3.3%
---------------------------------------------------------------------------------------
P-1 BBB $ 5,400 Ohio State Solid Waste Disposal, (USG
Corp.), (AMT), 5.60%, 8/1/32 $ 5,404,320
NR NR 2,400 Ohio State Water Development Authority,
Solid Waste Disposal Revenue, (Bay Shore
Power), (AMT), 5.875%, 9/1/20 2,449,512
---------------------------------------------------------------------------------------
$ 7,853,832
---------------------------------------------------------------------------------------
Special Tax Revenue -- 0.9%
---------------------------------------------------------------------------------------
NR AAA $ 2,250 Puerto Rico, Infrastructure Financing
Authority, Variable Rate, 7/1/28(1)(2) $ 2,229,098
---------------------------------------------------------------------------------------
$ 2,229,098
---------------------------------------------------------------------------------------
Transportation -- 2.7%
---------------------------------------------------------------------------------------
Baa1 A $ 3,000 Puerto Rico Highway and Transportation
Authority, 4.75%, 7/1/38 $ 2,868,900
Baa1 A 250 Puerto Rico Highway and Transportation
Authority, 5.00%, 7/1/36 248,515
Baa1 A 3,000 Puerto Rico Highway and Transportation
Authority, 6.625%, 7/1/12 3,256,500
---------------------------------------------------------------------------------------
$ 6,373,915
---------------------------------------------------------------------------------------
Water and Sewer -- 0.4%
---------------------------------------------------------------------------------------
NR NR $ 1,000 Vermilion Water, 7.25%, 8/15/15 $ 1,051,240
---------------------------------------------------------------------------------------
$ 1,051,240
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $224,641,868) $ 238,991,232
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
58
<PAGE>
OHIO MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
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, 1999, 24.3% 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 0.5% to 9.1% of total investments.
(1) Security has been issued as an inverse floater bond.
(2) Security exempt from registration under Rule 144A of the Securities Act of
1993. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
1999, the value of these securities amounted to $10,123,013 or 4.2% of the
Portfolio's net assets.
(3) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
SEE NOTES TO FINANCIAL STATEMENTS
59
<PAGE>
RHODE ISLAND MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 100.0%
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Education -- 1.8%
---------------------------------------------------------------------------------------
A NR $ 750 Rhode Island Student Loan Authority,
(AMT), 5.60%, 12/1/12 $ 796,028
---------------------------------------------------------------------------------------
$ 796,028
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 1.3%
---------------------------------------------------------------------------------------
NR AAA $ 250 Puerto Rico, "RIBS", (AMBAC),
Prerefunded to 7/1/02, Variable Rate,
7/1/15(1)(2) $ 290,780
Aaa AAA 255 Rhode Island Clean Water Protection
Finance Agency, Water Pollution Control,
(MBIA), Prerefunded to 10/1/04, 5.85%,
10/1/09 282,119
---------------------------------------------------------------------------------------
$ 572,899
---------------------------------------------------------------------------------------
General Obligations -- 3.1%
---------------------------------------------------------------------------------------
Baa1 A $ 225 Puerto Rico, 0.00%, 7/1/16 $ 95,825
Baa1 A 1,000 Puerto Rico Public Buildings Authority,
5.25%, 7/1/21 1,007,410
Baa1 A- 230 Rhode Island Depositors Economic
Protection Corp., 5.75%, 8/1/21 250,843
---------------------------------------------------------------------------------------
$ 1,354,078
---------------------------------------------------------------------------------------
Hospital -- 11.2%
---------------------------------------------------------------------------------------
NR AA $ 1,500 Rhode Island HEFA, (Landmark Medical
Center), 5.875%, 10/1/19 $ 1,568,265
NR A- 500 Rhode Island HEFA, (Newport Hospital),
5.30%, 7/1/29 485,655
Baa3 BBB- 800 Rhode Island HEFA, (Saint Joseph Health
Services), 5.50%, 10/1/29 757,128
A3 A- 1,250 Rhode Island HEFA, (South County
Hospital), 5.75%, 11/15/26 1,277,325
Baa3 BBB 830 Rhode Island HEFA, (Westerly Hospital),
6.00%, 7/1/14 856,037
---------------------------------------------------------------------------------------
$ 4,944,410
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Housing -- 14.9%
---------------------------------------------------------------------------------------
NR AAA $ 500 Guam Housing Corp., Single Family,
5.75%, 9/1/31 $ 538,720
Aa2 AA+ 1,740 Rhode Island Housing and Mortgage
Finance Corp., (AMT), 6.60%, 10/1/25 1,856,737
Aa2 AA+ 100 Rhode Island Housing and Mortgage
Finance Corp., (AMT), 6.70%, 10/1/12 106,355
Aa2 AA+ 875 Rhode Island Housing and Mortgage
Finance Corp., (AMT), 6.80%, 10/1/25(3) 934,386
Aa2 AA+ 1,000 Rhode Island Housing and Mortgage
Finance Corp., (AMT), 7.10%, 10/1/23 1,044,570
Aa2 AA+ 2,000 Rhode Island Housing and Mortgage
Finance Corp., (AMT), 7.55%, 10/1/22 2,108,920
---------------------------------------------------------------------------------------
$ 6,589,688
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 2.2%
---------------------------------------------------------------------------------------
Baa3 BBB- $ 400 Puerto Rico Port Authority, (American
Airlines), (AMT), 6.25%, 6/1/26 $ 431,488
Baa3 BBB- 500 Puerto Rico Port Authority, (American
Airlines), (AMT), 6.30%, 6/1/23 530,235
---------------------------------------------------------------------------------------
$ 961,723
---------------------------------------------------------------------------------------
Insured-Education -- 3.1%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Rhode Island HEFA, (Johnson and Wales
University), (MBIA), 5.00%, 4/1/29(4) $ 966,100
Aaa AAA 400 Rhode Island HEFA, (Roger Williams
College), (AMBAC), 5.00%, 11/15/28 386,488
---------------------------------------------------------------------------------------
$ 1,352,588
---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 1.6%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,750 Puerto Rico Electric Power Authority,
(MBIA), 0.00%, 7/1/17 $ 723,363
---------------------------------------------------------------------------------------
$ 723,363
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
60
<PAGE>
RHODE ISLAND MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-General Obligations -- 13.7%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,500 Kent County Water Authority, (MBIA),
6.35%, 7/15/14 $ 1,669,050
Aaa AAA 500 Providence, Public Building Authority,
(School and Public Facilities Projects),
(FSA), 5.00%, 12/15/18 492,265
Aaa AAA 500 Rhode Island Depositors Economic
Protection Corp., (MBIA), 5.80%, 8/1/09 562,230
Aaa AAA 1,000 Rhode Island Depositors Economic
Protection Corp., (MBIA), 5.80%, 8/1/12 1,121,200
Aaa AAA 375 Rhode Island State Consolidated Capital
Development, (FGIC), 4.75%, 9/1/17 363,566
Aaa AAA 500 Rhode Island State Economic Development
Corp., (FSA), 5.00%, 7/1/23 483,260
Aaa AAA 1,400 Rhode Island State Economic Development
Corp., (FSA), 5.00%, 7/1/28 1,352,932
---------------------------------------------------------------------------------------
$ 6,044,503
---------------------------------------------------------------------------------------
Insured-Hospital -- 14.1%
---------------------------------------------------------------------------------------
Aaa AAA $ 2,700 Rhode Island HEFA, (Lifespan), (MBIA),
5.25%, 5/15/26 $ 2,686,284
Aaa AAA 3,350 Rhode Island HEFA, (Lifespan), (MBIA),
5.75%, 5/15/23(5) 3,529,760
---------------------------------------------------------------------------------------
$ 6,216,044
---------------------------------------------------------------------------------------
Insured-Housing -- 1.2%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Villa Excelsior Housing Development
Corp., (MBIA), 6.85%, 1/1/24 $ 539,550
---------------------------------------------------------------------------------------
$ 539,550
---------------------------------------------------------------------------------------
Insured-Pooled Loans -- 0.6%
---------------------------------------------------------------------------------------
Aaa AAA $ 245 Rhode Island Clean Water Protection
Finance Agency, Water Pollution Control,
(MBIA), 5.85%, 10/1/09 $ 268,314
---------------------------------------------------------------------------------------
$ 268,314
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 14.4%
---------------------------------------------------------------------------------------
Aaa AAA $ 3,000 Convention Center Authority of Rhode
Island, (MBIA), 5.00%, 5/15/20 $ 2,932,860
Aaa AAA 2,300 Convention Center Authority of Rhode
Island, (MBIA), 5.25%, 5/15/15 2,408,537
Aaa AAA 1,000 Puerto Rico Financing Authority,
(AMBAC), 5.00%, 7/1/28 997,630
---------------------------------------------------------------------------------------
$ 6,339,027
---------------------------------------------------------------------------------------
Insured-Transportation -- 1.0%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Puerto Rico Highway and Transportation
Authority, (AMBAC), 0.00%, 7/1/16 $ 436,040
---------------------------------------------------------------------------------------
$ 436,040
---------------------------------------------------------------------------------------
Insured-Water and Sewer -- 2.8%
---------------------------------------------------------------------------------------
Aaa AAA $ 750 Rhode Island Clean Water, Safe Drinking
Water, (AMBAC), 6.70%, 1/1/15 $ 851,078
Aaa AAA 350 Rhode Island Clean Water, Water
Pollution Control, (MBIA), 5.40%,
10/1/15 371,896
---------------------------------------------------------------------------------------
$ 1,222,974
---------------------------------------------------------------------------------------
Nursing Home -- 1.6%
---------------------------------------------------------------------------------------
NR NR $ 725 Rhode Island HEFA, (Steere House),
5.80%, 7/1/20 $ 725,479
---------------------------------------------------------------------------------------
$ 725,479
---------------------------------------------------------------------------------------
Senior Living / Life Care -- 2.4%
---------------------------------------------------------------------------------------
NR NR $ 1,000 Rhode Island HEFA, (Tockwotton Home),
6.25%, 8/15/22 $ 1,046,080
---------------------------------------------------------------------------------------
$ 1,046,080
---------------------------------------------------------------------------------------
Special Tax Revenue -- 5.2%
---------------------------------------------------------------------------------------
Baa3 BBB- $ 1,500 Providence, 7.65%, 6/1/16 $ 1,694,355
NR AAA 600 Puerto Rico, Infrastructure Financing
Authority, Variable Rate, 7/1/28(1)(2) 594,426
---------------------------------------------------------------------------------------
$ 2,288,781
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
61
<PAGE>
RHODE ISLAND MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Transportation -- 3.8%
---------------------------------------------------------------------------------------
Baa1 A $ 1,750 Puerto Rico Highway and Transportation
Authority, 4.75%, 7/1/38 $ 1,673,525
---------------------------------------------------------------------------------------
$ 1,673,525
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $41,612,747) $ 44,095,094
---------------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by 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, 1999, 53.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 0.8% to 41.0% of total investments.
(1) Security has been issued as an inverse floater bond.
(2) Security exempt from registration under Rule 144A of the Securities Act of
1993. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
1999, the value of these securities amounted to $885,206 or 2.0% of the
Portfolio's net assets.
(3) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
(4) When-issued security.
(5) Security (or a portion thereof) has been segregated to cover when-issued
securities.
SEE NOTES TO FINANCIAL STATEMENTS
62
<PAGE>
WEST VIRGINIA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 100.0%
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Electric Utilities -- 8.4%
---------------------------------------------------------------------------------------
A2 A $ 1,000 Harrison PCR, (Monongahela Power Co.
Harrison Station), (AMT), 6.75%, 8/1/24 $ 1,100,670
Baa1 BBB+ 1,000 Mason PCR, (Appalacian Power Co.),
6.85%, 6/1/22 1,078,770
Baa1 BBB+ 1,130 Puerto Rico Electric Power Authority,
0.00%, 7/1/17 455,582
---------------------------------------------------------------------------------------
$ 2,635,022
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 3.3%
---------------------------------------------------------------------------------------
Aaa AAA $ 2,500 Kanawha-Putnam, Single Family, (AMBAC),
Escrowed to Maturity, 0.00%, 12/1/16 $ 1,037,625
---------------------------------------------------------------------------------------
$ 1,037,625
---------------------------------------------------------------------------------------
General Obligations -- 1.3%
---------------------------------------------------------------------------------------
Baa1 A $ 500 Puerto Rico, 0.00%, 7/1/16 $ 212,945
Baa1 A 500 Puerto Rico, 0.00%, 7/1/18 190,720
---------------------------------------------------------------------------------------
$ 403,665
---------------------------------------------------------------------------------------
Hospital -- 8.5%
---------------------------------------------------------------------------------------
NR BBB+ $ 1,250 Berkeley Building Commission, (City
Hospital), 6.50%, 11/1/22 $ 1,330,000
Baa1 BBB+ 250 Princeton, (Community Hospital), 6.00%,
5/1/18 255,985
A1 NR 1,000 West Virginia HFA, (Charleston Area
Medical Center), 6.50%, 9/1/23 1,066,350
---------------------------------------------------------------------------------------
$ 2,652,335
---------------------------------------------------------------------------------------
Housing -- 1.7%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 West Virginia State Housing Development
Fund, (AMT), 5.70%, 11/1/17 $ 516,425
---------------------------------------------------------------------------------------
$ 516,425
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 9.1%
---------------------------------------------------------------------------------------
NR A- $ 1,375 Jefferson, (Royal Venders, Inc.), (AMT),
5.90%, 8/1/04 $ 1,439,405
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Industrial Development Revenue (continued)
---------------------------------------------------------------------------------------
Baa2 NR $ 300 Kanawha, (Union Carbide Chemicals and
Plastics Co.), (AMT), 8.00%, 8/1/20 $ 316,887
NR NR 1,000 Upshur Solid Waste, (TJI), (AMT), 7.00%,
7/15/25 1,105,160
---------------------------------------------------------------------------------------
$ 2,861,452
---------------------------------------------------------------------------------------
Insured-Education -- 10.0%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 West Virginia University, (AMBAC),
5.00%, 5/1/22 $ 492,240
Aaa AAA 1,000 West Virginia University, (AMBAC),
5.00%, 5/1/27 978,540
Aaa AAA 1,000 West Virginia University, (AMBAC),
5.75%, 4/1/16 1,064,890
Aaa AAA 550 West Virginia University, (AMBAC),
6.00%, 4/1/12 597,867
---------------------------------------------------------------------------------------
$ 3,133,537
---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 3.3%
---------------------------------------------------------------------------------------
Aaa AAA $ 700 Marshall PCR, (Ohio Power Kammer Plant),
(MBIA), 5.45%, 7/1/14 $ 730,793
Aaa AAA 250 Puerto Rico Electric Power Authority,
"STRIPES", (FSA), Variable Rate,
7/1/03(1) 287,500
---------------------------------------------------------------------------------------
$ 1,018,293
---------------------------------------------------------------------------------------
Insured-General Obligations -- 6.8%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,000 West Virginia State Roads, (FGIC),
4.50%, 6/1/23 $ 920,380
Aaa AAA 150 West Virginia, (FGIC), 5.25%, 11/1/26 151,512
Aaa AAA 1,000 West Virginia, (FGIC), 5.75%, 11/1/21 1,069,630
---------------------------------------------------------------------------------------
$ 2,141,522
---------------------------------------------------------------------------------------
Insured-Hospital -- 13.2%
---------------------------------------------------------------------------------------
Aaa NR $ 500 Randolph County Commission Health
System, (Davis Health System Inc.),
(FSA), 5.20%, 11/1/21 $ 496,365
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
63
<PAGE>
WEST VIRGINIA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Hospital (continued)
---------------------------------------------------------------------------------------
Aaa AAA $ 1,300 West Virginia HFA, (Cabell Huntington
Hospital), (AMBAC), 6.25%, 1/1/19 $ 1,426,945
Aaa AAA 850 West Virginia HFA, (Charleston Area
Medical Center), (MBIA), 5.75%, 9/1/13 913,733
Aaa AAA 1,200 West Virginia HFA, (Linked Bulls &
Bears), (MBIA), 6.10%, 1/1/18 1,283,760
---------------------------------------------------------------------------------------
$ 4,120,803
---------------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of Participation -- 1.7%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 West Virginia School Building Authority,
(AMBAC), 5.60%, 7/1/17 $ 529,015
---------------------------------------------------------------------------------------
$ 529,015
---------------------------------------------------------------------------------------
Insured-Senior Living / Life Care -- 2.3%
---------------------------------------------------------------------------------------
Aaa NR $ 730 Harrison County Building Commission,
(Maplewood Retirement), (AMBAC), 5.25%,
4/1/28 $ 731,511
---------------------------------------------------------------------------------------
$ 731,511
---------------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 2.5%
---------------------------------------------------------------------------------------
Aaa AAA $ 800 Puerto Rico Financing Authority,
(AMBAC), 5.00%, 7/1/28 $ 798,104
---------------------------------------------------------------------------------------
$ 798,104
---------------------------------------------------------------------------------------
Insured-Transportation -- 2.6%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,000 West Virginia Parkways Economic
Development and Tourism Authority,
(FGIC), 0.00%, 5/15/04 $ 811,890
---------------------------------------------------------------------------------------
$ 811,890
---------------------------------------------------------------------------------------
Insured-Water and Sewer -- 16.3%
---------------------------------------------------------------------------------------
Aaa AAA $ 250 Berkeley Public Service District Sewer,
(MBIA), 5.75%, 10/1/25 $ 267,300
Aaa AAA 500 Crab Orchard Public Service District,
(AMBAC), 5.50%, 10/1/25 521,220
<CAPTION>
RATINGS
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Insured-Water and Sewer (continued)
---------------------------------------------------------------------------------------
Aaa NR $ 1,000 Fairmont, Waterworks Revenue, (AMBAC),
4.50%, 7/1/24 $ 915,930
Aaa NR 500 Fairmont, Waterworks Revenue, (AMBAC),
4.75%, 7/1/29 476,535
Aaa AAA 1,500 Parkersburg Waterworks and Sewer, (FSA),
5.80%, 9/1/19 1,608,629
Aaa AAA 500 West Virginia Water Development, (Loan
Program II), (FSA), 5.25%, 11/1/35 503,240
Aaa AAA 750 West Virginia Water Development, (Loan
Program II), (FSA), 6.00%, 11/1/14 825,473
---------------------------------------------------------------------------------------
$ 5,118,327
---------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 3.3%
---------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Charleston Urban Renewal Authority,
Lease Revenue, (FSA), 5.25%, 12/15/18 $ 1,024,010
---------------------------------------------------------------------------------------
$ 1,024,010
---------------------------------------------------------------------------------------
Nursing Home -- 1.6%
---------------------------------------------------------------------------------------
NR NR $ 500 Kanawha County, (Beverly Enterprises),
5.50%, 11/1/08 $ 494,845
---------------------------------------------------------------------------------------
$ 494,845
---------------------------------------------------------------------------------------
Solid Waste -- 3.3%
---------------------------------------------------------------------------------------
A2 A $ 1,000 Braxton County, (Weyerhaeuser Co.),
(AMT), 5.80%, 6/1/27 $ 1,044,290
---------------------------------------------------------------------------------------
$ 1,044,290
---------------------------------------------------------------------------------------
Special Tax Revenue -- 0.8%
---------------------------------------------------------------------------------------
NR AAA $ 250 Puerto Rico, Infrastructure Financing
Authority, Variable Rate, 7/1/28(1)(2) $ 247,678
---------------------------------------------------------------------------------------
$ 247,678
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $29,511,433) $ 31,320,349
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
64
<PAGE>
WEST VIRGINIA MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
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, 1999, 65.3% 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 9.4% to 30.6% of total investments.
(1) Security has been issued as an inverse floater bond.
(2) Security exempt from registration under Rule 144A of the Securities Act of
1993. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
1999, the value of these securities amounted to $247,678 or 0.8% of the
Portfolio's net assets.
SEE NOTES TO FINANCIAL STATEMENTS
65
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENTS OF ASSETS AND LIABILITIES
AS OF MARCH 31, 1999
<TABLE>
<CAPTION>
CALIFORNIA PORTFOLIO FLORIDA PORTFOLIO MASSACHUSETTS PORTFOLIO MISSISSIPPI PORTFOLIO
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $261,039,666 $377,650,076 $216,982,571 $17,717,241
Unrealized appreciation 36,979,792 30,301,332 20,161,811 1,667,886
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENTS, AT VALUE $298,019,458 $407,951,408 $237,144,382 $19,385,127
- ------------------------------------------------------------------------------------------------------------------------------------
Cash $ 2,158,274 $ 352 $ 96 $ 133,684
Receivable for investments sold -- 336,600 345,298 25,677
Interest receivable 3,990,087 7,455,719 3,672,315 344,972
Receivable for daily variation
margin on financial futures
contracts -- -- 21,250 --
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $304,167,819 $415,744,079 $241,183,341 $19,889,460
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Payable for when-issued securities $ 3,000,000 $ 3,000,000 $ -- $ --
Demand note payable -- 3,723,000 945,000 --
Payable to affiliate for Trustees'
fees 313 270 283 4
Other accrued expenses 19,689 2,750 19,844 5,896
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 3,020,002 $ 6,726,020 $ 965,127 $ 5,900
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $301,147,817 $409,018,059 $240,218,214 $19,883,560
- ------------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital
contributions and withdrawals $264,168,025 $378,716,727 $220,024,143 $18,215,674
Net unrealized appreciation
(computed on the basis of
identified cost) 36,979,792 30,301,332 20,194,071 1,667,886
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL $301,147,817 $409,018,059 $240,218,214 $19,883,560
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
66
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS (UNAUDITED) CONT'D
STATEMENTS OF ASSETS AND LIABILITIES
AS OF MARCH 31, 1999
<TABLE>
<CAPTION>
NEW YORK PORTFOLIO OHIO PORTFOLIO RHODE ISLAND PORTFOLIO WEST VIRGINIA PORTFOLIO
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Assets
- --------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $423,756,266 $ 224,641,868 $41,612,747 $29,511,433
Unrealized appreciation 35,957,095 14,349,364 2,482,347 1,808,916
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENTS, AT VALUE $459,713,361 $ 238,991,232 $44,095,094 $31,320,349
- --------------------------------------------------------------------------------------------------------------------------------
Cash $ 488 $ 514 $ 527 $ 184,152
Receivable for investments sold 85,957 773,150 1,198,155 --
Interest receivable 7,402,243 3,573,637 806,688 468,153
Receivable for daily variation
margin on financial futures
contracts -- -- 4,781 4,101
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $467,202,049 $ 243,338,533 $46,105,245 $31,976,755
- --------------------------------------------------------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ 6,003,322 $ 2,747,283 $ 1,017,512 $ 814,010
Payable for when-issued securities -- -- 967,291 --
Demand note payable 861,000 1,131,000 65,000 --
Payable to affiliate for Trustees'
fees 454 -- 32 --
Other accrued expenses 32,277 23,731 6,695 3,365
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 6,897,053 $ 3,902,014 $ 2,056,530 $ 817,375
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $460,304,996 $ 239,436,519 $44,048,715 $31,159,380
- --------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital
contributions and withdrawals $424,347,901 $ 225,087,155 $41,559,109 $29,350,464
Net unrealized appreciation
(computed on the basis of
identified cost) 35,957,095 14,349,364 2,489,606 1,808,916
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL $460,304,996 $ 239,436,519 $44,048,715 $31,159,380
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
67
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS (UNAUDITED) CONT'D
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
CALIFORNIA PORTFOLIO FLORIDA PORTFOLIO MASSACHUSETTS PORTFOLIO MISSISSIPPI PORTFOLIO
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Income
- ------------------------------------------------------------------------------------------------------------------------------------
Interest $ 8,809,515 $ 11,973,321 $ 7,134,972 $ 575,253
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 8,809,515 $ 11,973,321 $ 7,134,972 $ 575,253
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee $ 726,153 $ 966,088 $ 531,497 $ 16,573
Trustees' fees and expenses 13,973 13,358 11,979 137
Custodian fee 76,163 80,807 64,033 9,162
Legal and accounting services 38,103 39,092 33,843 16,746
Miscellaneous 7,174 19,531 8,415 1,844
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 861,566 $ 1,118,876 $ 649,767 $ 44,462
- ------------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 30,533 $ 80,807 $ 28,558 $ 1,886
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 30,533 $ 80,807 $ 28,558 $ 1,886
- ------------------------------------------------------------------------------------------------------------------------------------
NET EXPENSES $ 831,033 $ 1,038,069 $ 621,209 $ 42,576
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 7,978,482 $ 10,935,252 $ 6,513,763 $ 532,677
- ------------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions
(identified cost basis) $ 1,281,321 $ 6,016,956 $ 1,398,908 $ 92,950
Financial futures contracts 49,825 (295,422) 176,100 1,111
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN $ 1,331,146 $ 5,721,534 $ 1,575,008 $ 94,061
- ------------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost
basis) $(7,709,786) $(14,930,620) $(6,314,696) $(469,407)
Financial futures contracts 376,199 398,880 32,260 22,941
- ------------------------------------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) $(7,333,587) $(14,531,740) $(6,282,436) $(446,466)
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED LOSS $(6,002,441) $ (8,810,206) $(4,707,428) $(352,405)
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 1,976,041 $ 2,125,046 $ 1,806,335 $ 180,272
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
68
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS (UNAUDITED) CONT'D
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
NEW YORK PORTFOLIO OHIO PORTFOLIO RHODE ISLAND PORTFOLIO WEST VIRGINIA PORTFOLIO
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Investment Income
- --------------------------------------------------------------------------------------------------------------------------------
Interest $ 13,409,676 $ 7,475,858 $1,175,800 $ 849,882
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 13,409,676 $ 7,475,858 $1,175,800 $ 849,882
- --------------------------------------------------------------------------------------------------------------------------------
Expenses
- --------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee $ 1,067,182 $ 550,843 $ 53,187 $ 33,197
Trustees' fees and expenses 15,343 10,473 1,364 1,191
Custodian fee 73,514 51,698 15,813 14,395
Legal and accounting services 47,462 32,109 18,832 18,056
Miscellaneous 29,014 40,862 2,141 3,568
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 1,232,515 $ 685,985 $ 91,337 $ 70,407
- --------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ -- $ -- $ 6,048 $ 3,232
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ -- $ -- $ 6,048 $ 3,232
- --------------------------------------------------------------------------------------------------------------------------------
NET EXPENSES $ 1,232,515 $ 685,985 $ 85,289 $ 67,175
- --------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 12,177,161 $ 6,789,873 $1,090,511 $ 782,707
- --------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- --------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions
(identified cost basis) $ 2,098,895 $ 2,020,363 $ 116,630 $ 263,327
Financial futures contracts (468,986) (95,996) 28,673 22,193
- --------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN $ 1,629,909 $ 1,924,367 $ 145,303 $ 285,520
- --------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost
basis) $(11,274,567) $(5,285,066) $ (938,844) $(852,117)
Financial futures contracts 633,222 129,636 7,259 45,458
- --------------------------------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) $(10,641,345) $(5,155,430) $ (931,585) $(806,659)
- --------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED LOSS $ (9,011,436) $(3,231,063) $ (786,282) $(521,139)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 3,165,725 $ 3,558,810 $ 304,229 $ 261,568
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
69
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS (UNAUDITED) CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
Increase (Decrease) in Net Assets CALIFORNIA PORTFOLIO FLORIDA PORTFOLIO MASSACHUSETTS PORTFOLIO MISSISSIPPI PORTFOLIO
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 7,978,482 $ 10,935,252 $ 6,513,763 $ 532,677
Net realized gain 1,331,146 5,721,534 1,575,008 94,061
Net change in unrealized
appreciation (depreciation) (7,333,587) (14,531,740) (6,282,436) (446,466)
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 1,976,041 $ 2,125,046 $ 1,806,335 $ 180,272
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 13,800,165 $ 14,885,790 $ 11,021,549 $ 908,534
Withdrawals (26,637,072) (64,012,597) (23,336,122) (1,944,910)
- ------------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $(12,836,907) $(49,126,807) $(12,314,573) $(1,036,376)
- ------------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $(10,860,866) $(47,001,761) $(10,508,238) $ (856,104)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of period $312,008,683 $456,019,820 $250,726,452 $20,739,664
- ------------------------------------------------------------------------------------------------------------------------------------
AT END OF PERIOD $301,147,817 $409,018,059 $240,218,214 $19,883,560
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
70
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS (UNAUDITED) CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
Increase (Decrease) in Net Assets NEW YORK PORTFOLIO OHIO PORTFOLIO RHODE ISLAND PORTFOLIO WEST VIRGINIA PORTFOLIO
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 12,177,161 $ 6,789,873 $ 1,090,511 $ 782,707
Net realized gain 1,629,909 1,924,367 145,303 285,520
Net change in unrealized
appreciation (depreciation) (10,641,345) (5,155,430) (931,585) (806,659)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 3,165,725 $ 3,558,810 $ 304,229 $ 261,568
- --------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 16,271,065 $ 7,899,453 $ 4,207,967 $ 1,124,330
Withdrawals (45,195,810) (27,052,194) (2,534,853) (2,146,062)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS FROM CAPITAL TRANSACTIONS $(28,924,745) $ (19,152,741) $ 1,673,114 $(1,021,732)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS $(25,759,020) $ (15,593,931) $ 1,977,343 $ (760,164)
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
At beginning of period $486,064,016 $ 255,030,450 $42,071,372 $31,919,544
- --------------------------------------------------------------------------------------------------------------------------------
AT END OF PERIOD $460,304,996 $ 239,436,519 $44,048,715 $31,159,380
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
71
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED SEPTEMBER 30, 1998
<TABLE>
<CAPTION>
Increase (Decrease) in Net Assets CALIFORNIA PORTFOLIO FLORIDA PORTFOLIO MASSACHUSETTS PORTFOLIO MISSISSIPPI PORTFOLIO
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 16,749,988 $ 24,411,408 $ 13,279,143 $ 1,095,413
Net realized gain 5,489,144 10,921,955 5,581,339 573,326
Net change in unrealized
appreciation (depreciation) 7,467,292 12,878,283 3,418,130 114,281
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 29,706,424 $ 48,211,646 $ 22,278,612 $ 1,783,020
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 22,739,308 $ 23,116,173 $ 23,126,655 $ 1,791,601
Withdrawals (67,441,064) (129,509,414) (48,353,576) (4,961,704)
- ------------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $(44,701,756) $(106,393,241) $(25,226,921) $(3,170,103)
- ------------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $(14,995,332) $ (58,181,595) $ (2,948,309) $(1,387,083)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of year $327,004,015 $ 514,201,415 $253,674,761 $22,126,747
- ------------------------------------------------------------------------------------------------------------------------------------
AT END OF YEAR $312,008,683 $ 456,019,820 $250,726,452 $20,739,664
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
72
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED SEPTEMBER 30, 1998
<TABLE>
<CAPTION>
Increase (Decrease) in Net Assets NEW YORK PORTFOLIO OHIO PORTFOLIO RHODE ISLAND PORTFOLIO WEST VIRGINIA PORTFOLIO
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 26,577,893 $ 14,511,143 $ 2,164,155 $ 1,733,679
Net realized gain (loss) 16,834,383 3,940,354 (61,270) 410,963
Net change in unrealized
appreciation (depreciation) 3,990,623 2,570,827 1,425,915 669,508
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 47,402,899 $ 21,022,324 $ 3,528,800 $ 2,814,150
- --------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 21,974,717 $ 12,482,905 $ 5,483,365 $ 1,913,546
Withdrawals (110,917,114) (49,743,364) (7,158,442) (6,311,147)
- --------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $ (88,942,397) $ (37,260,459) $(1,675,077) $(4,397,601)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS $ (41,539,498) $ (16,238,135) $ 1,853,723 $(1,583,451)
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 527,603,514 $ 271,268,585 $40,217,649 $33,502,995
- --------------------------------------------------------------------------------------------------------------------------------
AT END OF YEAR $ 486,064,016 $ 255,030,450 $42,071,372 $31,919,544
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
73
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
CALIFORNIA PORTFOLIO
-------------------------------------------------------------------------------------------------
YEAR ENDED
-----------------------------------------------------------------------------
SIX MONTHS ENDED SEPTEMBER 30,
MARCH 31, 1999 ---------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994(1)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses(3) 0.56%(4) 0.55% 0.57% 0.57% 0.59% 0.57%(4)
Expenses after custodian fee
reduction 0.54%(4) 0.53% 0.56% 0.56% 0.58% --
Net investment income 5.21%(4) 5.33% 5.76% 5.93% 6.22% 6.09%(4)
Portfolio Turnover 11% 16% 12% 14% 58% 40%
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S
OMITTED) $301,148 $312,009 $327,004 $370,590 $410,763 $445,131
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
MARCH 31,
----------
1994(2)
<S> <C>
- ---------------------------------
Ratios to average daily net asset
- ---------------------------------
Expenses(3) 0.55%(4)
Expenses after custodian fee
reduction --
Net investment income 5.72%(4)
Portfolio Turnover 91%
- ---------------------------------
NET ASSETS, END OF PERIOD (000'S
OMITTED) $467,259
- ---------------------------------
</TABLE>
(1) For the six months ended September 30, 1994. The Portfolio changed its
fiscal year from March 31 to September 30, effective September 30, 1994.
(2) For the period from the start of business, May 3, 1993, to March 31, 1994.
(3) The expense ratios for the year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting guidelines.
The new reporting guidelines require the Portfolio to increase its expense
ratio by the effect of any expense offset arrangements with its service
providers. The expense ratios for each of the prior periods have not been
adjusted to reflect this change.
(4) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
74
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
FLORIDA PORTFOLIO
---------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1999 -------------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- -----------------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.52%(2) 0.51% 0.52% 0.52% 0.55% 0.48%
Expenses after custodian fee
reduction 0.48%(2) 0.47% 0.48% 0.49% 0.52% --
Net investment income 5.04%(2) 5.03% 5.53% 5.67% 5.94% 5.65%
Portfolio Turnover 18% 25% 54% 51% 61% 57%
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S
OMITTED) $409,018 $456,020 $514,201 $624,374 $712,203 $772,123
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The expense ratios for the year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting guidelines.
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 ratio for the year ended September 30, 1994 has not
been adjusted to reflect this change.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
75
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
MASSACHUSETTS PORTFOLIO
---------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1999 -------------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- -----------------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.53%(2) 0.54% 0.53% 0.55% 0.56% 0.51%
Expenses after custodian fee
reduction 0.51%(2) 0.52% 0.52% 0.54% 0.53% --
Net investment income 5.32%(2) 5.36% 5.75% 5.77% 6.00% 5.74%
Portfolio Turnover 14% 28% 35% 51% 87% 53%
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S
OMITTED) $240,218 $250,726 $253,675 $281,129 $302,170 $308,540
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The expense ratios for the year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting guidelines.
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 ratio for the year ended September 30, 1994 has not
been adjusted to reflect this change.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
76
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
MISSISSIPPI PORTFOLIO
---------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1999 -------------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- -----------------------------------------------------------------------------------------------------------------------------
Net expenses(1) 0.43%(2) 0.37% 0.38% 0.29% 0.27% 0.05%
Net expenses after custodian fee
reduction 0.41%(2) 0.35% 0.37% 0.26% 0.23% --
Net investment income 5.18%(2) 5.21% 5.59% 5.77% 5.97% 5.67%
Portfolio Turnover 8% 17% 6% 12% 52% 38%
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S
OMITTED) $ 19,884 $ 20,740 $ 22,127 $ 25,280 $ 28,993 $ 29,477
- -----------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio may reflect a reduction of the investment adviser fee, an allocation of expenses to
the Investment Adviser, or both. Had such action not been taken, the ratios would have been as follows:
Expenses(1) 0.40% 0.39% 0.32%
Expenses after custodian fee
reduction 0.37% 0.35% --
Net investment income 5.66% 5.85% 5.40%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The expense ratios for the year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting guidelines.
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 year ended September 30, 1994 have
not been adjusted to reflect this change.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
77
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
NEW YORK PORTFOLIO
---------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1999 -------------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- -----------------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.52%(2) 0.53% 0.57% 0.52% 0.54% 0.48%
Expenses after custodian fee
reduction 0.52%(2) 0.51% 0.57% 0.49% 0.51% --
Net investment income 5.16%(2) 5.28% 5.60% 5.64% 5.97% 5.70%
Portfolio Turnover 15% 55% 44% 47% 55% 47%
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S
OMITTED) $460,305 $486,064 $527,604 $604,530 $652,736 $655,647
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The expense ratios for the year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting guidelines.
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 ratio for the year ended September 30, 1994 has not
been adjusted to reflect this change.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
78
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
OHIO PORTFOLIO
---------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1999 -------------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- -----------------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.55%(2) 0.56% 0.56% 0.57% 0.57% 0.51%
Expenses after custodian fee
reduction 0.55%(2) 0.54% 0.55% 0.56% 0.55% --
Net investment income 5.46%(2) 5.50% 5.70% 5.69% 5.80% 5.61%
Portfolio Turnover 26% 17% 30% 35% 51% 31%
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S
OMITTED) $239,437 $255,030 $271,269 $292,671 $319,017 $324,412
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The expense ratios for the year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting guidelines.
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 ratio for the year ended September 30, 1994 has not
been adjusted to reflect this change.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
79
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
RHODE ISLAND PORTFOLIO
---------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1999 -------------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- -----------------------------------------------------------------------------------------------------------------------------
Net expenses(1) 0.43%(2) 0.39% 0.27% 0.27% 0.29% 0.12%
Net expenses after custodian fee
reduction 0.40%(2) 0.36% 0.23% 0.24% 0.25% --
Net investment income 5.10%(2) 5.28% 5.54% 5.69% 5.96% 5.64%
Portfolio Turnover 7% 24% 39% 25% 42% 42%
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S
OMITTED) $ 44,049 $ 42,071 $ 40,218 $ 42,167 $ 42,906 $ 38,120
- -----------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio may reflect a reduction of the investment adviser fee, an allocation of expenses to
the Investment Adviser, or both. Had such action not been taken, the ratios would have been as follows:
Expenses(1) 0.39% 0.40% 0.41% 0.33%
Expenses after custodian fee
reduction 0.35% 0.37% 0.37% --
Net investment income 5.42% 5.56% 5.84% 5.43%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The expense ratios for the year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting guidelines.
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 year ended September 30, 1994 have
not been adjusted to reflect this change.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
80
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
WEST VIRGINIA PORTFOLIO
---------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1999 -------------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- -----------------------------------------------------------------------------------------------------------------------------
Net expenses(1) 0.45%(2) 0.37% 0.38% 0.42% 0.31% 0.10%
Net expenses after custodian fee
reduction 0.43%(2) 0.34% 0.36% 0.38% 0.29% --
Net investment income 4.98%(2) 5.34% 5.44% 5.41% 5.81% 5.52%
Portfolio Turnover 15% 16% 24% 43% 19% 39%
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S
OMITTED) $ 31,159 $ 31,920 $ 33,503 $ 39,501 $ 40,835 $ 40,473
- -----------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio may reflect a reduction of the investment adviser fee, an allocation of expenses to
the Investment Adviser, or both. Had such action not been taken, the ratios would have been as follows:
Expenses(1) 0.39% 0.33%
Expenses after custodian fee
reduction 0.37% --
Net investment income 5.73% 5.29%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The expense ratios for the year ended September 30, 1995 and periods
thereafter have been adjusted to reflect a change in reporting guidelines.
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 year ended September 30, 1994 have
not been adjusted to reflect this change.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
81
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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
management investment companies. The Portfolios were organized as trusts
under the laws of the State of New York on May 1, 1992. The Declarations of
Trust permit the trustees to issue interests in the Portfolios. The following
is a summary of significant accounting policies consistently followed by the
Portfolios in the preparation of their financial statements. The policies are
in conformity with generally accepted accounting principles.
A Investment Valuations -- Municipal bonds are normally valued on the basis of
valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the mean
between the latest bid and asked prices. Futures contracts and options on
futures contracts listed on commodity exchanges are valued at closing
settlement prices. Over-the-counter options on futures contracts are normally
valued at the mean between the latest bid and asked prices. Short-term
obligations, maturing in sixty days or less, are valued at amortized cost,
which approximates value. Investments for which valuations or market
quotations are unavailable are valued at fair value using methods determined
in good faith by or at the direction of the Trustees.
B Income -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for Federal
income tax purposes.
C Income Taxes -- The Portfolios are treated as partnerships for Federal tax
purposes. No provision is made by the Portfolios for Federal or state taxes
on any taxable income of the Portfolios because each investor in the
Portfolios is ultimately responsible for the payment of any taxes. Since some
of the Portfolios' investors are regulated investment companies that invest
all or substantially all of their assets in the Portfolios, the Portfolios
normally must satisfy the applicable source of income and diversification
requirements (under the Internal Revenue Code) in order for their respective
investors to satisfy them. The Portfolios will allocate at least annually,
among their respective investors, each investor's distributive share of the
Portfolios' net taxable (if any) and tax-exempt investment income, net
realized capital gains, and any other items of income, gain, loss, 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 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 for both
hedging against anticipated future changes in interest rates and investment
purposes. Should interest rates move unexpectedly, a Portfolio may not
achieve the anticipated benefits of the financial futures contracts and may
realize a loss.
E Options on Financial Futures Contracts -- Upon the purchase of a put option
on a financial futures contract by a Portfolio, the premium paid is recorded
as an investment, the value of which is marked-to-market daily. When a
purchased option expires, a Portfolio will realize a loss in the amount of
the cost of the option. When a Portfolio enters into a closing sales
transaction, the Portfolio will realize a gain or loss depending on whether
the sales proceeds from the closing 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.
82
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
F 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.
G Legal Fees -- Legal fees and other related expenses incurred as part of
negotiations of the terms and requirements of capital infusions, or that are
expected to result in the restructuring of or a plan of reorganization for an
investment are recorded as realized losses. Ongoing expenditures to protect
or enhance an investment are treated as operating expenses.
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 balance each Portfolio maintains with IBT. All significant credit
balances used to reduce the Portfolios' custodian fees are reflected as a
reduction of operating expenses in the Statements of Operations.
K Interim Financial Statements -- The interim financial statements relating to
March 31, 1999 and for the six months then ended have not been audited by
independent certified public accountants, but in the opinion of the
Portfolio's management, reflect all adjustments, consisting only of normal
recurring adjustments, necessary for the fair presentation of the financial
statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
- -------------------------------------------
The investment adviser fee is earned by Boston Management and Research (BMR),
a wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation
for management and investment advisory services rendered to 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, 1999, each Portfolio paid
advisory fees as follows:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT EFFECTIVE RATE*
<S> <C> <C>
- ------------------------------------------------------------------------
California $ 726,153 0.47%
Florida 966,088 0.44%
Massachusetts 531,497 0.43%
Mississippi 16,573 0.16%
New York 1,067,182 0.45%
Ohio 550,843 0.44%
Rhode Island 53,187 0.25%
West Virginia 33,197 0.21%
</TABLE>
* Advisory fees paid as a percentage of average daily net assets
(annualized).
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, 1999, no significant amounts have been deferred.
83
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
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, 1999 were as follows:
<TABLE>
<CAPTION>
CALIFORNIA PORTFOLIO
<S> <C>
- -------------------------------------------------------
Purchases $ 31,790,250
Sales 36,705,439
<CAPTION>
FLORIDA PORTFOLIO
<S> <C>
- -------------------------------------------------------
Purchases $ 75,177,111
Sales 103,218,201
<CAPTION>
MASSACHUSETTS PORTFOLIO
<S> <C>
- -------------------------------------------------------
Purchases $ 34,815,471
Sales 39,756,529
<CAPTION>
MISSISSIPPI PORTFOLIO
<S> <C>
- -------------------------------------------------------
Purchases $ 1,619,248
Sales 2,287,142
<CAPTION>
NEW YORK PORTFOLIO
<S> <C>
- -------------------------------------------------------
Purchases $ 68,156,326
Sales 81,542,641
<CAPTION>
OHIO PORTFOLIO
<S> <C>
- -------------------------------------------------------
Purchases $ 65,009,898
Sales 72,619,576
<CAPTION>
RHODE ISLAND PORTFOLIO
<S> <C>
- -------------------------------------------------------
Purchases $ 6,514,020
Sales 2,879,350
<CAPTION>
WEST VIRGINIA PORTFOLIO
<S> <C>
- -------------------------------------------------------
Purchases $ 5,061,038
Sales 4,787,065
</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, 1999, as computed on a
federal income tax basis, are as follows:
<TABLE>
<CAPTION>
CALIFORNIA PORTFOLIO
<S> <C>
- -------------------------------------------------------
AGGREGATE COST $ 261,039,666
- -------------------------------------------------------
Gross unrealized appreciation $ 37,137,334
Gross unrealized depreciation (157,542)
- -------------------------------------------------------
NET UNREALIZED APPRECIATION $ 36,979,792
- -------------------------------------------------------
<CAPTION>
FLORIDA PORTFOLIO
<S> <C>
- -------------------------------------------------------
AGGREGATE COST $ 377,650,076
- -------------------------------------------------------
Gross unrealized appreciation $ 33,863,774
Gross unrealized depreciation (3,562,442)
- -------------------------------------------------------
NET UNREALIZED APPRECIATION $ 30,301,332
- -------------------------------------------------------
<CAPTION>
MASSACHUSETTS PORTFOLIO
<S> <C>
- -------------------------------------------------------
AGGREGATE COST $ 216,982,571
- -------------------------------------------------------
Gross unrealized appreciation $ 20,885,404
Gross unrealized depreciation (613,593)
- -------------------------------------------------------
NET UNREALIZED APPRECIATION $ 20,161,811
- -------------------------------------------------------
<CAPTION>
MISSISSIPPI PORTFOLIO
<S> <C>
- -------------------------------------------------------
AGGREGATE COST $ 17,717,241
- -------------------------------------------------------
Gross unrealized appreciation $ 1,684,823
Gross unrealized depreciation (16,937)
- -------------------------------------------------------
NET UNREALIZED APPRECIATION $ 1,667,886
- -------------------------------------------------------
<CAPTION>
NEW YORK PORTFOLIO
<S> <C>
- -------------------------------------------------------
AGGREGATE COST $ 423,756,266
- -------------------------------------------------------
Gross unrealized appreciation $ 36,395,096
Gross unrealized depreciation (438,001)
- -------------------------------------------------------
NET UNREALIZED APPRECIATION $ 35,957,095
- -------------------------------------------------------
</TABLE>
84
<PAGE>
EATON VANCE MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
OHIO PORTFOLIO
- -------------------------------------------------------
<S> <C>
AGGREGATE COST $ 224,641,868
- -------------------------------------------------------
Gross unrealized appreciation $ 14,620,578
Gross unrealized depreciation (271,214)
- -------------------------------------------------------
NET UNREALIZED APPRECIATION $ 14,349,364
- -------------------------------------------------------
<CAPTION>
RHODE ISLAND PORTFOLIO
<S> <C>
- -------------------------------------------------------
AGGREGATE COST $ 41,612,747
- -------------------------------------------------------
Gross unrealized appreciation $ 2,513,122
Gross unrealized depreciation (30,775)
- -------------------------------------------------------
NET UNREALIZED APPRECIATION $ 2,482,347
- -------------------------------------------------------
<CAPTION>
WEST VIRGINIA PORTFOLIO
<S> <C>
- -------------------------------------------------------
AGGREGATE COST $ 29,511,433
- -------------------------------------------------------
Gross unrealized appreciation $ 1,849,639
Gross unrealized depreciation (40,723)
- -------------------------------------------------------
NET UNREALIZED APPRECIATION $ 1,808,916
- -------------------------------------------------------
</TABLE>
5 Line of Credit
- -------------------------------------------
The Portfolios participate with other portfolios and funds managed by BMR and
EVM and its affiliates in a $130 million unsecured line of credit agreement
with a group of banks. The Portfolios may temporarily borrow from the line of
credit to satisfy redemption requests or settle investment transactions.
Interest is charged to each portfolio or fund based on its borrowings at an
amount above either the Eurodollar rate or federal funds rate. In addition, a
fee computed at an annual rate of 0.10% on the daily unused portion of the
line of credit is allocated among the participating portfolios and funds at
the end of each quarter. At March 31, 1999, the Florida Portfolio,
Massachusetts Portfolio, New York Portfolio, Ohio Portfolio and Rhode Island
Portfolio had a balance outstanding pursuant to this line of credit of
$3,723,000, $945,000, $861,000, $1,131,000 and $65,000, respectively. The
Portfolios did not have any significant borrowings or allocated fees during
the six months ended March 31, 1999.
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, 1999,
is as follows:
<TABLE>
<CAPTION>
FUTURES
CONTRACTS
EXPIRATION NET UNREALIZED
PORTFOLIO DATE CONTRACTS POSITION APPRECIATION
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------
Massachusetts 6/99 40 US Treasury Bonds Short 32,260
- ------------------------------------------------------------------------------------------------
Rhode Island 6/99 9 US Treasury Bonds Short 7,259
</TABLE>
At March 31, 1999 each Portfolio had sufficient cash and/or securities to
cover margin requirements on open futures contracts.
85
<PAGE>
MUNICIPALS PORTFOLIOS
Officers
Thomas J. Fetter
President and Portfolio
Manager of New York and
Ohio Municipals Portfolios
James B. Hawkes
Vice President and Trustee
Robert B. MacIntosh
Vice President and Portfolio
Manager of Massachusetts and
Rhode Island Municipals Portfolio
Timothy T. Browse
Vice President and Portfolio
Manager of West Virginia
Municipals Portfolio
Cynthia J. Clemson
Vice President and Portfolio
Manager of California, Florida and
Mississippi Municipals Portfolio
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
Trustees
Jessica M. Bibliowicz
President and Chief Executive Officer,
National Financial Partners
Donald R. Dwight
President, Dwight Partners, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking
Emeritus, Harvard University Graduate School of
Business Administration
Norton H. Reamer
Chairman and Chief Executive Officer,
United Asset Management Corporation
Lynn A. Stout
Professor of Law,
Georgetown University Law Center
John L. Thorndike
Former Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
86
