<PAGE> 1
EATON VANCE MUNICIPALS TRUST
For the Marathon & Classic Combined Arizona, Connecticut, Colorado, Michigan,
Minnesota, New Jersey, Pennsylvania, Texas Municipals Semi-Annual Report
[LOGO]
January 31, 1996
Portfolio Investment Adviser
Boston Management and Research
24 Federal Street
Boston, MA 02110
Fund Administrator
Eaton Vance Management
24 Federal Street
Boston, MA 02110
(617) 482-8260
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investment Bank & Trust Company
89 South Street
P.O. Box 1537
Boston, MA 02205-1537
Transfer Agent
First Data Investor Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
Independent Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
<PAGE> 2
- --------------------------------------------------------------------------------
Arizona Municipals Portfolio
Portfolio of Investments - January 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 1.2%
NR NR $1,800 Arizona Health Facilities
Authority, Mesa Project,
7.625%, 1/01/26 $ 1,699,254
------------
EDUCATION - 6.5%
A1 AA $1,000 Arizona Board of Regents,
Arizona State University,
5.90%, 7/01/09 $ 1,060,790
NR AAA 1,000 City of Glendale,
Thunderbird Graduate
School, CLEE, 7.125%,
7/01/20 1,149,480
A1 AA 1,250 Arizona Board of Regents,
University of Arizona,
6.25%, 6/01/11 1,341,413
NR NR 2,000 Arizona Educational Loan
Marketing Corporation,
(AMT) 6.30%, 12/01/08 2,021,640
NR NR 2,000 Arizona Educational Loan
Marketing Corporation,
(AMT) 6.25%, 6/01/06 2,045,560
A NR 1,500 Student Loan Acquisition
Authority of Arizona,
(AMT) 7.625%, 5/01/10 1,664,490
------------
$ 9,283,373
------------
ESCROWED - 4.8%
Aaa AA $2,500 Arizona Transportation
Board Highway, 6.50%,
7/01/11 $ 1,139,440
Aaa AAA 7,500 Maricopa County, Single
Family Mortgage, 0%,
2/01/16 2,415,075
NR AA 2,500 City of Phoenix, Street &
Highway User, 6.25%,
7/01/11 2,775,725
NR NR 500 City of Scottsdale,
Westminster Village,
Multifamily Housing,
10.00%, 6/01/17 555,215
------------
$ 6,885,455
------------
GENERAL OBLIGATIONS - 9.1%
Aa AA+ $1,500 City of Phoenix,
6.375%, 7/01/13 $ 1,609,680
Aa AA+ 3,000 City of Phoenix,
5.10%, 7/01/13 2,989,560
NR A 2,000 City of Phoenix, Tatum
Ranch Community,
6.875%, 7/01/16 2,173,760
Aa AA+ 1,000 City of Tempe,
5.25%, 7/01/15 992,730
Aa AA 1,300 Scottsdale Unified School
District No. 48 of
Maricopa County, 4.60%,
7/01/11 1,214,031
Baa1 A 1,850 Commonwealth of Puerto
Rico, 5.40%, 7/01/25 1,799,440
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 1,000 Commonwealth of Puerto
Rico, Public Building
Authority, 5.75%, 7/01/16 1,013,710
NR NR 1,000 Virgin Islands,
7.25%, 10/01/18 1,075,430
------------
$ 12,868,341
------------
HOSPITALS - 3.3%
NR BBB $1,130 Arizona Health Facilities
Authority, Phoenix
Memorial Hospital, 8.125%,
6/01/12 $ 1,233,203
NR BBB 1,250 Arizona Health Facilities
Authority, Phoenix
Memorial Hospital, 8.20%,
6/01/21 1,365,388
Baa BBB- 1,000 Maricopa County, Sun
Health Corporation,
8.125%, 4/01/12 1,124,000
NR NR 915 City of Winslow, Winslow
Memorial Hospital Project,
9.50%, 6/01/22 1,016,482
------------
$ 4,739,073
------------
HOUSING - 6.0%
NR A $2,000 Maricopa County, Laguna
Point Apartments,
Multifamily Housing,
6.75%, 7/01/09 $ 2,077,040
NR AAA 2,775 City of Phoenix, Chris
Ridge Village Project, FHA
Insured Mortgage Loan,
6.80%, 11/01/25 2,894,492
NR AA 1,000 City of Phoenix, Woodstone
and Silver Springs
Apartments, Multifamily
Housing, (Asset Guaranty),
6.25%, 4/01/23 1,022,970
Aaa NR 1,500 City of Phoenix, Meadow
Glen Apartments,
Multifamily Housing, (GNMA
Collateralized) 5.80%,
8/20/28 1,471,965
NR AAA 1,000 City of Tempe, Multifamily
Housing, Quadrangle
Village Apartments, FHA
Insured Mortgage Loan,
6.25%, 6/01/26 1,023,990
------------
$ 8,490,457
------------
INDUSTRIAL DEVELOPMENT
REVENUE - 4.0%
A1 NR $1,000 City of Casa Grande,
Pollution Control,
Frito-Lay Inc., 6.60%,
12/01/10 $ 1,102,410
A2 A 4,500 Greenlee County, Pollution
Control, Phelps Dodge
Corporation, 5.45%,
6/01/09 4,577,805
------------
$ 5,680,215
------------
</TABLE>
31
<PAGE> 3
- --------------------------------------------------------------------------------
ARIZONA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATIONS - 9.0%
Aaa AAA $1,000 Peoria Unified School
District No. 11 of
Maricopa County, (MBIA)
6.40%, 7/01/10 $ 1,079,600
Aaa AAA 1,000 Alhambra Elementary School
District No. 68 of
Maricopa County, (AMBAC)
5.625% 7/01/13 1,018,320
Aaa AAA 1,000 Alhambra Elementary School
District No. 68 of
Maricopa County, (AMBAC)
5.125%, 7/01/13 977,990
Aaa AAA 1,000 Paradise Valley Unified
School District No. 69 of
Maricopa County, (MBIA),
5.00%, 7/01/09 1,026,490
Aaa AAA 1,000 Chandler Unified School
District No. 80 of
Maricopa County, (FGIC)
6.40%, 7/01/10 1,079,600
Aaa AAA 1,000 Maricopa County, Tolleson
High School District,
(FGIC) 5.00%, 7/01/13 969,430
Aaa AAA 1,000 Pima County, School
District No. 1, Tucson
Project, (FGIC) 5.40%,
7/01/13 1,008,010
Aaa AAA 1,750 Pima County, School
District No. 1, Tucson
Project, (FGIC) 5.875%,
7/01/14 1,823,868
Aaa AAA 1,000 Commonwealth of Puerto
Rico (FSA) 7/01/20 (1) 1,073,070
Aaa AAA 1,500 Commonwealth of Puerto
Rico, (AMBAC) 7/01/15 (1) 1,613,610
Aaa AAA 1,000 Commonwealth of Puerto
Rico, (FSA) 7/01/22 (1) 1,095,850
------------
$ 12,765,838
------------
INSURED HOSPITALS - 13.2%
Aaa AAA $2,000 Maricopa County, Hospital
District No. 1, (FGIC)
6.125%, 6/01/15 $ 2,115,700
Aaa AAA 2,000 Maricopa County, Catholic
Healthcare West, (MBIA)
5.625%, 7/01/23 2,025,360
Aaa AAA 2,000 Maricopa County, Samaritan
Health, (MBIA) 7.00%,
12/01/16 2,460,220
Aaa AAA 2,000 Mohave County, Kingman
Regional Medical Center,
(FGIC) 6.50%, 6/01/15 2,149,480
Aaa AAA 1,500 Pima County, Tucson
Medical Center, (MBIA)
6.375%, 4/01/12 1,611,915
Aaa AAA 3,500 Pima County, Tucson
Medical Center, (MBIA)
5.00%, 4/01/15 3,411,345
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,000 Pima County, Carondelet
Health Care Corporation,
(MBIA) 5.25%, 7/01/11 1,017,960
Aaa AAA 1,000 Pima County, Carondelet
Health Care Corporation,
(MBIA) 5.25%, 7/01/12 1,008,720
Aaa AAA 2,000 University of Arizona
Medical Center
Corporation, (MBIA) 5.00%,
7/01/13 1,938,860
Aaa AAA 1,000 University of Arizona
Medical Center
Corporation, (MBIA) 5.00%,
7/01/21 948,970
------------
$ 18,688,530
------------
INSURED HOUSING - 1.4%
Aaa AAA $1,975 City of Sierra Vista,
Mountain View Apartments,
FHA Insured Mortgage,
(MBIA), 5.75%, 1/01/24 $ 1,979,325
------------
INSURED UTILITIES - 6.2%
Aaa AAA $4,000 Navajo County, Pollution
Control, Arizona Public
Service Co., (AMBAC)
5.50%, 8/15/28 $ 4,023,480
Aaa AAA 3,500 Pima County, Irvington
Power Project, (FSA)
7.25%, 7/15/10 3,836,525
Aaa AAA 1,000 Arizona State Power
Authority, Hoover Uprating
Project, (MBIA) 5.25%,
10/01/17 998,640
------------
$ 8,858,645
------------
INSURED SPECIAL TAX - 1.4%
Aaa AAA $1,750 City of Phoenix, Civic
Improvement Excise Tax,
(MBIA) 6.60%, 7/01/08 $ 1,972,268
------------
INSURED WATER & SEWER - 1.6%
Aaa AAA $1,000 City of Chandler, Water
and Sewer, (FGIC) 6.25%,
7/01/13 $ 1,066,500
Aaa AAA 1,200 City of Phoenix, Civic
Improvement Wastewater
Systems, (MBIA) 5.00%,
7/01/18 1,151,532
------------
$ 2,218,032
------------
SPECIAL TAX - 1.4%
Baa1 A $1,000 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/01/20 $ 957,520
Baa1 A 1,000 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/01/21 956,720
------------
$ 1,914,240
------------
</TABLE>
32
<PAGE> 4
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
TRANSPORTATION - 4.3%
Aa AA $1,000 State of Arizona,
Transportation Board &
Highway, 5.00%, 7/01/10 $ 993,860
Aa AA 2,000 State of Arizona,
Transportation Board &
Highway, 5.10%, 7/01/11 1,987,240
NR BBB 3,000 Guam Airport Authority,
(AMT) 6.70%, 10/01/23 3,092,040
------------
$ 6,073,140
------------
UTILITIES - 19.7%
Ba2 BB $2,500 Maricopa County, Pollution
Control, Public Service
Company of New Mexico,
Palo Verde Project,
6.375%, 8/15/23 $ 2,506,100
Baa1 BBB 5,300 Navajo County, Pollution
Control, Arizona Public
Service Co., 5.875%,
8/15/28 5,309,434
NR AA+ 1,000 Mohave County, Citizens
Utilities Company Project,
(AMT) 5.80%, 11/15/28 1,016,150
A A+ 1,000 Puerto Rico Telephone
Authority, Variable
1/01/20 (1) 1,091,930
A1 AA- 1,000 Central Arizona Water
Conservation District,
Central Arizona Project,
5.50%, 11/01/09 1,054,270
NR BBB 1,200 Guam Power Authority,
6.30%, 10/01/12 1,232,052
NR BBB 1,250 Guam Power Authority,
6.30%, 10/01/22 1,274,900
Baa1 A- 550 Puerto Rico Electric Power
Authority, 7.00%, 7/01/07 599,115
Baa1 A- 4,500 Puerto Rico Electric Power
Authority, 5.00%, 7/01/12 4,267,935
Baa1 A- 370 Puerto Rico Electric Power
Authority, 7.125%, 7/01/14 406,452
Aa AA 1,750 Salt River Project
Agricultural Improvement
and Power District, 5.50%
1/01/28 1,755,128
Aa AA 3,500 Salt River Project
Agricultural Improvement
and Power District, 5.25%,
1/01/25 3,510,255
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA 1,000 Salt River Project
Agricultural Improvement
and Power District, 6.25%,
1/01/27 1,064,630
Aa AA 1,000 Salt River Project
Agricultural Improvement
and Power District, 5.25%,
1/01/13 1,002,060
Aa AA 2,000 Salt River Project
Agricultural Improvement
and Power District, 5.25%,
1/01/19 1,968,460
------------
$ 28,058,871
------------
WATER & SEWER - 7.0%
Aa AA+ $2,000 State of Arizona,
Wastewater Management
Authority, 6.80%, 7/01/11 $ 2,235,960
A1 A 1,100 City of Phoenix, Water
System, 5.00%, 7/01/18 1,051,400
A1 A 5,000 City of Phoenix, Water
System, 4.75%, 7/01/23 4,577,650
A1 A+ 1,000 City of Tucson, Water
System, 6.50%, 7/01/16 1,087,520
A1 A+ 1,000 City of Tucson, Water
System, 5.50%, 7/01/10 1,041,440
------------
$ 9,993,970
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $131,097,970) $142,169,027
============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
The Portfolio primarily invests in debt securities issued by Arizona
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1996, 23.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.4% to 1.5% of total investments.
See notes to financial statements
33
<PAGE> 5
- --------------------------------------------------------------------------------
Colorado Municipals Portfolio
Portfolio of Investments - January 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ESCROWED - 3.7%
Aaa AAA $4,000 Colorado Health Facilities
Authority, Liberty Heights
Project, (FSA) 0%, 7/15/24 $ 648,440
Aaa NR 5,500 Dawson Ridge County,
Metropolitan District, 0%,
10/1/22 994,510
NR AAA 150 Puerto Rico Highway and
Transportation Authority,
6.50%, 7/1/22 172,286
-----------
$ 1,815,236
-----------
GENERAL OBLIGATIONS - 9.3%
A NR $ 500 City of Aspen, 5.625%,
4/15/14 $ 506,215
A1 AA 1,000 Boulder and Gilpin
Counties, Boulder Valley
School District, 6.30%,
12/1/13 1,074,490
NR A 750 Larimer, Weld & Boulder
Counties, Thompson School
District, 6.05%, 12/15/08 798,578
Baa1 A 1,000 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 972,670
Baa1 A 1,000 Commonwealth of Puerto
Rico, Public Building
Authority, 5.75%, 7/1/15 1,013,710
NR NR 100 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 107,543
-----------
$ 4,473,206
-----------
HOSPITALS - 12.3%
Baa1 BBB+ $1,250 Boulder County, Longmont
United Hospital, 5.875%,
12/1/20 $ 1,226,663
Baa BBB 2,050 Colorado Health Facilities
Authority, Rocky Mountain
Adventist Healthcare,
6.625%, 2/1/13 2,109,327
Baa1 NR 2,000 Colorado Health Facilities
Authority, Parkview
Memorial Hospital, 6.125%,
9/1/25 1,958,440
NR BBB- 650 Colorado Health Facilities
Authority, National Jewish
Center, 6.875%, 2/15/12 659,366
-----------
$ 5,953,796
-----------
HOUSING - 13.3%
NR NR $ 350 Lake Creek Affordable
Housing Corporation,
Multi-family, 8.00%,
12/1/23 $ 360,665
NR AAA 1,000 City of Lakewood,
Multi-family,
Mortgage Loan (FHA), (AMT)
6.65%, 10/1/25 1,042,750
Aa NR 1,915 Colorado Housing and
Finance Authority, Single
Family Access Program,
7.90%, 12/1/24 2,170,844
Aa NR 970 Colorado Housing and
Finance Authority, Single
Family Access Program,
8.00%, 12/1/24 (2) 1,106,072
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa NR 600 Colorado Housing and
Finance Authority, Single
Family, (AMT) 7.65%,
12/1/25 674,117
NR AAA 1,000 Denver County,
Multi-family, Lofts
Project, 6.15%, 12/1/16 1,021,810
-----------
$ 6,376,258
-----------
INDUSTRIAL DEVELOPMENTS
REVENUE - 3.5%
A2 NR $1,750 Puerto Rico Pollution
Control, American Home
Products Corporation,
5.10%, 12/1/18 $ 1,661,660
-----------
INSURED EDUCATION - 2.1%
Aaa AAA $1,000 Board of Trustees of the
State Colleges in Colorado,
Adams State College of
Colorado Project, (MBIA)
5.70%, 5/15/14 $ 1,032,090
-----------
INSURED GENERAL OBLIGATIONS - 13.8%
Aaa AAA $ 500 City and County of Denver
School District #1, (MBIA)
5.125%, 12/1/12 $ 488,125
Aaa AAA 1,000 Douglas and Elbert
Counties, Douglas County
School District, (MBIA)
6.40%, 12/15/11 1,095,080
Aaa AAA 1,750 Eagle, Garfield & Routt
Counties, School District
No. RE 50J, (FGIC) 6.30%,
12/1/12 1,914,745
Aaa AAA 1,100 Highlands Ranch
Metropolitan District No.
2, Douglas County, (CGIC),
6.50%, 6/15/12 (2) 1,239,249
Aaa AAA 1,000 Poudre School District R-1
of Larimer County, (MBIA)
6.50%, 12/15/11 1,094,270
Aaa AAA 750 Pueblo County School
District No.70, Pueblo
Rural, (AMBAC) 6.40%,
12/1/14 808,013
-----------
$ 6,639,482
-----------
INSURED HOSPITALS - 13.8%
Aaa AAA $2,500 Colorado Health Facilities
Authority, Sisters of
Charity, (MBIA) 5.25%,
5/15/14 $ 2,465,125
Aaa AAA 2,000 Colorado Health Facilities
Authority, Boulder
Community Hospital, (MBIA)
5.875%, 10/1/23 2,064,580
Aaa AAA 2,000 Colorado Springs Hospital,
(MBIA) 6.00% 12/15/24 (4) 2,098,560
-----------
$ 6,628,265
-----------
</TABLE>
34
<PAGE> 6
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOUSING - 2.3%
Aaa AAA $1,000 City of Thornton, SCA
Realty MFMR, (FSA) 7.10%,
1/1/30 $ 1,105,060
-----------
INSURED UTILITIES - 0.7%
Aaa AAA $ 300 Puerto Rico Electric Power
Authority, (FSA) 7/1/03 (1) $ 351,495
-----------
INSURED SPECIAL TAX - 2.2%
Aaa AAA $1,000 City of Broomfield Sales
and User Tax, (AMBAC)
6.30%, 12/1/14 $ 1,064,770
-----------
INSURED TRANSPORTATION - 4.4%
Aaa AAA $2,100 City and County of Denver,
Denver International
Airport, (MBIA) 5.60%,
11/15/20 (4) $ 2,117,829
-----------
INSURED WATER & SEWER - 2.0%
Aaa AAA $1,000 Municipal Subdistrict,
Northern Colorado Water
Conservancy District,
(AMBAC) 5.00%, 12/1/17 $ 957,650
-----------
SPECIAL TAX - 5.5%
Baa1 A $2,750 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/20 $ 2,633,180
-----------
TRANSPORTATION - 5.7%
Baa3 BB $1,500 City and County of Denver,
Colorado Special Facilities
Airport System, United
Airlines, (AMT) 6.875%,
10/1/32 (3) $ 1,551,645
Baa BBB 500 City and County of Denver,
Colorado Airport System,
(AMT) 6.75%, 11/15/22 (3) 526,285
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa BBB 500 City and County of Denver,
Colorado Airport System,
(AMT) 7.50%, 11/15/23 557,940
NR BBB 100 Guam Airport Authority,
(AMT) 6.70%, 10/1/23 103,068
-----------
$ 2,738,938
-----------
UTILITIES - 5.4%
NR BBB $ 350 Guam Power Authority,
5.25%, 10/1/13 $ 323,418
NR BBB 500 Guam Power Authority,
6.625%, 10/1/14 524,285
Aa A+ 1,750 Platte River Power
Authority, 5.50%, 6/1/18 1,752,151
-----------
$ 2,599,854
-----------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $44,485,539) $48,148,769
===========
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) When-issued security.
(3) Security has been segregated to cover when-issued securities.
(4) Security has been segregated to cover margin requirements for open financial
futures contracts.
The Portfolio primarily invests in debt securities issued by Colorado
municipalities. The ability 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 January
31, 1996, 41.3% of the securities in the portfolio of investments are backed by
bond insurance of various financial institutions and financial guaranty
assurance agencies. The aggregate percentage by financial institution ranged
from 2.6% to 25.9% of total investments.
See notes to financial statements
35
<PAGE> 7
- --------------------------------------------------------------------------------
Connecticut Municipals Portfolio
Portfolio of Investments - January 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION -- 9.1%
Baa BBB $ 1,000 Connecticut HEFA,
University of Hartford,
6.75%, 7/1/12 $ 1,040,170
Baa BBB 5,500 Connecticut HEFA,
University of Hartford,
6.80%, 7/1/22 5,709,550
NR BBB- 4,775 Connecticut HEFA,
Quinnipiac College, 6.00%,
7/1/23 4,625,065
Baa A 1,000 Connecticut HEFA, Sacred
Heart University, 6.80%,
7/1/12 1,085,710
NR BBB- 1,000 Connecticut HEFA, Sacred
Heart University, 5.80%,
7/1/23 940,010
NR A 1,125 Connecticut HEFA, Taft
School, 5.40%, 7/1/20 1,120,399
Aaa AAA 3,400 Connecticut HEFA, Yale
University, 7.791%,
6/10/30 (1) 3,620,184
------------
$ 18,141,088
------------
ESCROWED TO MATURITY - 2.9%
NR AA- $ 650 State of Connecticut
General Obligations Bonds,
6.875%, 7/15/10 $ 733,440
NR AAA 800 Connecticut Special Tax
Obligation Bonds (STO),
Transportation
Infrastructure Purposes,
6.75%, 6/1/11 919,232
Aaa AA- 645 Connecticut STO
Transportation
Infrastructure Purposes,
6.50%, 7/1/09 708,191
A1 NR 300 Amity RSD No. 5 Bonds,
6.80%, 6/15/08 324,900
NR A- 1,630 City of Stratford,
Government Obligations
Bonds, 7.30%, 3/1/12 1,885,013
NR AAA 1,000 Puerto Rico Industrial
Medical & Environmental
Pollution Control
Facilities, Dr. Pila
Hospital, 7.85%, 8/1/28 1,114,790
------------
$ 5,685,566
------------
GENERAL OBLIGATIONS - 4.5%
A AA- $ 2,000 City of Bridgeport, 6.125%,
3/1/05 $ 2,176,900
Aa AA- 1,750 State of Connecticut,
Capital Appreciation Bonds,
0%, 11/1/09 869,068
Aa AA- 1,000 State of Connecticut,
5.50%, 3/15/10 1,049,090
Aa AA- 500 State of Connecticut,
5.50%, 3/15/11 521,935
Aa AA 1,270 City of Danbury, 4.50%,
2/1/14 1,154,468
Aa1 NR 650 City of Farmington, 5.70%,
1/15/11 702,468
NR BBB 500 Government of Guam, 5.40%,
11/15/18 464,710
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa1 AA+ 925 City of Norwalk Maritime
Center Project Bonds,
6.05%, 2/1/09 996,493
NR NR 1,000 Virgin Islands PFA Revenue
Bonds, 7.25%, 10/1/18 1,075,430
------------
$ 9,010,562
------------
HEALTH CARE (NON-HOSPITAL) - 12.3%
A1 AA- $ 600 Connecticut HEFA, Nursing
Home Program (NHP) (Noble
Horizons), 6.00%, 11/1/22 $ 618,216
A1 AA- 1,000 Connecticut HEFA, (NHP)
(Jewish Home-Fairfield),
6.25%, 11/1/20 1,059,270
A1 AA- 655 Connecticut HEFA, (NHP)
(St. Camillus), 6.25%,
11/1/18 693,822
A1 AA- 3,250 Connecticut HEFA, (NHP)
(St. Joseph's Manor) 6.25%,
11/1/16 3,434,535
A1 AA- 1,365 Connecticut HEFA, (NHP)
(Sharon Healthcare) 6.25%,
11/1/14 1,449,316
A2 NR 9,000 Connecticut Development
Authority Health Care Bonds
(Duncaster), 6.75%, 9/1/15 9,671,760
A1 AA- 720 Connecticut HEFA, (NHP)
(Highland View), 7.00%,
11/1/07 824,141
A1 AA- 335 Connecticut HEFA, (NHP)
(Wadsworth Glen), 7.00%,
11/1/07 383,454
A1 AA- 2,000 Connecticut HEFA, (NHP)
(Wadsworth Glen), 7.50%,
11/1/16 2,329,660
A1 AA- 500 Connecticut HEFA (NHP)
Windsor Nursing Home
7.125%, 11/1/24 566,425
A1 AA- 3,000 Connecticut HEFA, (NHP)
(Windsor), 7.125%, 11/1/14 3,409,830
------------
$ 24,440,429
------------
HOSPITALS - 7.2%
NR A- $ 3,770 Connecticut HEFA, William
W. Backus Hospital, 6.375%,
7/1/22 $ 3,902,214
Baa1 NR 9,150 Connecticut HEFA, Griffin
Hospital, 5.75%, 7/1/23 8,337,403
NR BBB- 2,000 Connecticut HEFA, New
Britan Memorial Hospital,
7.75%, 7/1/22 2,168,800
------------
$ 14,408,417
------------
HOUSING - 10.5%
Aa AA $ 100 Connecticut HFA Mortgage
Revenue Bonds (MRB), 7.40%,
11/15/99 $ 104,177
Aa AA 250 Connecticut HFA, (MRB),
7.10%, 11/15/00 263,120
</TABLE>
36
<PAGE> 8
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
Aa AA 200 Connecticut HFA, (MRB),
7.00%, 11/15/09 213,472
Aa AA 6,200 Connecticut HFA, (MRB),
6.70%, 11/15/12 6,640,510
Aa AA 210 Connecticut HFA, (MRB),
6.55%, 11/15/13 222,020
Aa AA 3,000 Connecticut HFA, (MRB),
6.20%, 5/15/14 3,102,210
Aa AA 1,700 Connecticut HFA, (MRB),
6.35%, 5/15/17 1,784,864
Aa AA+ 140 Connecticut HFA, (MRB),
7.625%, 11/15/17 145,254
Aa AA 1,340 Connecticut HFA, (MRB),
6.90%, 5/15/20 1,398,947
Aa AA 1,750 Connecticut HFA, (MRB),
6.20%, 5/12/21 1,783,180
Aa AA 100 Connecticut HFA, (MRB),
6.70%, 11/5/22 103,606
Aa AA 2,500 Connecticut HFA, (MRB),
6.60%, 11/15/23 2,632,250
Aa AA 2,000 Connecticut HFA, (MRB),
6.75%, 11/15/23 2,126,200
NR AA 305 Puerto Rico HFC, (MRB),
7.50%, 10/1/11 319,518
------------
$ 20,839,328
------------
INDUSTRIAL DEVELOPMENT/POLLUTION CONTROL
REVENUES - 4.7%
Aaa AAA $ 1,000 Connecticut Development
Authority PCR (Pfizer
Inc.), 6.55%, 2/15/13 $ 1,104,280
Aa AA- 2,000 Connecticut Development
Authority (Economic
Development Projects),
Revenue Bonds, 6.00%,
11/15/08 2,128,880
A1 A+ 2,000 Connecticut Development
Authority (New England
Power Company Project),
7.25%, 10/15/15 2,176,120
NR BBB+ 3,065 Connecticut Development
Authority Airport Facility
(Signature flight) 6.625%,
12/1/14 3,146,805
Baa3 BB+ 700 Puerto Rico Port Authority
American Airlines, 6.30%,
6/1/23 716,758
------------
$ 9,272,843
------------
INSURED AIRPORTS - 4.9%
Aaa AAA $ 8,200 State of Connecticut
Airport Revenue Bonds,
Bradley International
Airport, (FGIC), 7.65%,
10/1/12 $ 9,787,192
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED COLLEGE AND UNIVERSITY - 3.9%
Aaa AAA $ 725 Connecticut HEFA, Fairfield
University (MBIA), 5.00%,
7/1/18 $ 700,321
Aaa AAA 1,200 Connecticut HEFA,
Connecticut College (MBIA),
6.625%, 7/1/11 1,304,904
Aaa AAA 2,000 Connecticut HEFA, Trinity
College (MBIA), 6.00%,
7/1/22 2,095,220
Aaa AAA 1,555 Connecticut HEFA, Choate
Rosemary College (MBIA),
6.80%, 7/1/15 (2) 1,751,925
Aaa AAA 750 Connecticut HEFA, Loomis
Chafee (MBIA), 6.00%,
7/1/15 790,867
Aaa AAA 1,000 Connecticut HEFA, Loomis
Chafee (MBIA), 6.00%,
7/1/25 1,047,560
------------
$ 7,690,797
------------
INSURED MISCELLANEOUS - 1.6%
Aaa AAA $ 2,160 Connecticut Municipal
Electric Energy Cooperative
Bonds (MBIA), 5.00%, 1/1/18 $ 2,087,359
Aaa AAA 1,000 South Central Connecticut
Water Authority Revenue
Bonds 5.75%, 8/1/12 1,043,820
------------
$ 3,131,179
------------
INSURED GENERAL OBLIGATIONS - 3.3%
Aaa AAA $ 1,220 Town of Bethel, (MBIA),
6.50%, 2/15/09 $ 1,412,711
Aaa AAA 740 Town of Stratford, (MBIA),
6.60%, 3/1/11 867,717
Aaa AAA 1,000 City of New Britain,
(MBIA), 6.00%, 3/1/12 1,094,400
Aaa AAA 1,000 Town of Plainfield, (MBIA),
6.375%, 8/1/11 1,089,320
Aaa AAA 2,000 Puerto Rico Public Building
Authority Bonds (AMBAC),
5.50%, 7/1/25 2,013,360
------------
$ 6,477,508
------------
INSURED HEALTHCARE - 0.8%
Aaa AAA $ 1,735 Connecticut HEFA, (NHP)
(St. Joseph's Living
Center), (AMBAC) 5.10%,
11/1/19 $ 1,686,004
------------
INSURED HOSPITAL - 11.2%
Aaa AAA $ 1,000 Connecticut HEFA,
Bridgeport Hospital (MBIA),
6.625%, 7/1/18 $ 1,103,810
NR AAA 1,600 Connecticut HEFA,
Bridgeport Hospital (CLEE),
5.25%, 7/1/15 1,561,872
Aaa AAA 6,750 Connecticut HEFA, St.
Francis Hospital (FGIC),
5.00%, 7/1/23 6,384,150
Aaa AAA 1,500 Connecticut HEFA, Lawrence
and Memorial Hospital
(MBIA), 5.00%, 7/1/13 1,464,165
</TABLE>
37
<PAGE> 9
- --------------------------------------------------------------------------------
CONNECTICUT MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITAL - (CONTINUED)
Aaa AAA 5,750 Connecticut HEFA, Lawrence
and Memorial Hospital
(MBIA), 5.00%, 7/1/22 5,498,150
Aaa AAA 1,000 Connecticut HEFA, Hospital
of St. Raphael (AMBAC),
6.50%, 7/1/11 1,160,920
Aaa AAA 1,500 Connecticut HEFA, Hospital
of St. Raphael (AMBAC),
6.625%, 7/1/14 1,627,410
Aaa AAA 2,000 Connecticut HEFA, Yale-New
Haven Hospital (MBIA),
6.50%, 7/1/12 2,191,740
Aaa AAA 1,200 Connecticut HEFA, Yale-New
Haven Hospital (MBIA),
7.10%, 7/1/25 1,340,016
------------
$ 22,332,233
------------
INSURED SOLID WASTE - 1.0%
Aaa AAA $ 2,000 Connecticut Resources
Recovery Authority Mid-
Connecticut System Bonds
(MBIA), 5.50%, 11/15/12 $ 1,997,640
------------
INSURED WATER AND SEWER - 0.8%
Aaa AAA $ 1,750 Connecticut Development
Authority Water Facilities
Bonds, Connecticut Water
Company (AMBAC), (AMT),
5.875%, 9/1/22 $ 1,786,855
------------
SOLID WASTE - 8.1%
A NR $ 2,500 Bristol Resource Recovery
Facility Operating
Committee, (Ogden Martin
Systems), 6.50%, 7/1/14 $ 2,672,350
Baa1 AA- 450 Connecticut Resources
Recovery Authority
(American REF-FUEL
Company), (AMT), 8.00%,
11/15/15 495,581
Baa1 A 1,000 Connecticut Resources
Recovery Authority
(American REF-FUEL
Company), (AMT), 8.10%,
11/15/15 1,103,850
A2 A 4,250 Connecticut Resources
Recovery Authority
(American REF-FUEL
Company), (AMT), 6.45%,
11/15/22 4,462,628
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR A- 7,970 Eastern Connecticut
Resource Recovery
Authority, (Wheelabrator
Lisbon), 5.50%, 1/1/20 7,325,068
------------
$ 16,059,477
------------
SPECIAL TAX - 4.8%
A1 AA- $ 1,000 State of Connecticut STO,
5.40%, 9/1/10 $ 1,015,640
A1 AA- 3,180 State of Connecticut STO,
6.125%, 9/1/12 3,526,429
Baa1 A 4,465 Puerto Rico Highway &
Transportation Authority,
series x, 5.50%, 7/1/15 4,475,314
Baa1 A 500 Puerto Rico Highway &
Transportation Authority
5.50%, 7/1/15 505,335
------------
$ 9,522,718
------------
STUDENT LOANS - 2.4%
A1 NR $ 440 Connecticut Higher
Education Supplemental Loan
Authority Revenue Bonds
(AMT), 7.375%, 11/15/05 $ 467,795
A1 NR 1,340 Connecticut Higher
Education Supplemental Loan
Authority Revenue Bonds
(AMT), 6.20%, 11/15/09 1,397,647
A1 NR 2,760 Connecticut Higher
Education Supplemental Loan
Authority Revenue Bonds
(AMT), 7.50%, 11/15/10 2,943,098
------------
$ 4,808,540
------------
UTILITY - 4.3%
NR BBB $ 1,100 Guam Power Authority
Revenue Bonds, 6.625%,
10/1/14 $ 1,153,427
NR BBB 3,625 Guam Power Authority
Revenue Bonds, 6.30%,
10/1/22 3,697,210
NR NR 3,500 Virgin Islands Water and
Power Authority, Electric
Revenue System Bonds 7.40%,
7/1/11 3,758,825
------------
$ 8,609,462
------------
</TABLE>
38
<PAGE> 10
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER REVENUE - 1.7%
Aa AA+ $ 1,250 State of Connecticut Clean
Water Fund Revenue Bonds,
6.00%, 10/1/12 $ 1,393,075
NR A+ 2,225 Connecticut Development
Authority Water Facilities,
Stamford Water Company,
5.30%, 9/1/28 2,151,263
------------
$ 3,544,338
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $190,611,515) $199,232,176
============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements for open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Connecticut
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1996, 27.5% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 4.3% to 14.0% of total investments.
See notes to financial statements
39
<PAGE> 11
- --------------------------------------------------------------------------------
Michigan Municipals Portfolio
Portfolio of Investments - January 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 1.1%
NR BBB- $2,000 Puerto Rico Polytechnic
University, 6.50%, 8/1/24 $ 2,078,560
------------
ELECTRIC UTILITIES - 3.5%
NR BBB $1,000 Guam Power Authority,
6.625%, 10/1/14 $ 1,048,570
A1 AA- 2,000 MI Pub Power Agency Belle
River Project, 5.00%,
1/1/19 1,877,960
Baa1 BBB+ 500 MI South Central Power
Agency Supply System,
6.75%, 11/1/10 534,350
Baa1 BBB 1,790 Monroe County, MI PCR
Detroit Edison Project,
7.75%, 12/1/19 1,977,126
Baa1 A- 1,000 Puerto Rico Electric Power
Authority, 5.00%, 7/1/12 948,430
Baa1 A- 365 Puerto Rico Electric Power
Authority, 7.125%, 7/1/14 400,960
------------
$ 6,787,396
------------
ESCROWED - 7.6%
Aa NR $2,550 Clintondale, MI Community
Schools, 6.75%, 5/1/24 $ 2,937,141
Ba1 AAA 500 Detroit, MI General
Obligation, 8.00%, 4/1/11 595,280
NR AA 940 Detroit City School
District, MI School
Building and Site, 7.15%,
5/1/11 1,084,224
Aaa AAA 1,000 Lake Orion, MI School
District General
Obligation, 7.00%, 5/1/20 1,189,620
Aaa AAA 750 MI HFA, Oakwood Hospital,
7.20%, 11/1/15 858,608
Aaa AAA 3,500 Monroe County, MI EDC
Mercy Memorial Hospital,
7.00%, 9/1/21 4,047,225
NR AA 955 Okemos Public Schools,
MI School Building and
Site, 6.90%, 5/1/11 1,090,400
NR NR 2,400 Wyandotte School District,
MI School Building and
Site, 6.90%, 5/1/16 2,740,272
------------
$ 14,542,770
------------
GENERAL OBLIGATIONS - 5.2%
Aa AA $ 500 Avondale School District,
Michigan School Building
and Site, 6.75%, 5/1/14 $ 544,180
Ba1 BBB 500 Detroit City, Michigan,
6.70%, 4/1/10 534,530
Ba1 BBB 5,630 Detroit City, Michigan,
6.35%, 4/1/14 5,786,627
A AA 500 East Lancing, Michigan
Building Authority, 7.00%,
10/1/16 536,295
Aa AA 1,350 Martin, Michigan Public
School Building and Site,
6.60%, 5/1/20 1,434,415
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA 1,000 Mattawan, Michigan
Consolidated Schools,
6.40%, 5/1/09 1,084,910
------------
$ 9,920,957
------------
HOSPITALS - 13.5%
A A $ 450 Michigan HFA Detroit
Medical Center Obligated
Group, 7.50%, 8/15/11 $ 496,787
A A 4,550 Michigan HFA Detroit
Medical Center Obligated
Group, 5.50%, 8/15/23 4,309,578
A A 5,500 Michigan HFA Detroit
Medical Center Obligated
Group, 6.25%, 8/15/13 5,650,700
Aa AA 250 Michigan HFA Henry Ford
Continuing Care
Corporation, 6.75%, 7/1/11 270,350
A1 NR 2,970 Michigan HFA McLaren
Obligated Group, 5.375%,
10/15/13 2,888,800
A1 NR 6,000 Michigan HFA McLaren
Obligated Group, 4.50%,
10/15/21 5,020,260
A A 4,130 Michigan HFA MidMichigan
Obligated Group, 6.625%,
6/1/10 4,286,857
NR NR 1,000 Michigan HFA Presbyterian
Villages, 6.50%, 1/1/25 989,630
Aa AA 1,750 Royal Oak, Michigan
William Beaumont Hospital,
6.75%, 1/1/20 1,867,303
------------
$ 25,780,265
------------
HOUSING - 1.7%
NR A+ $1,210 Michigan HDA Rental
Housing (AMT), 7.15%,
4/1/10 $ 1,312,305
NR A+ 1,000 Michigan HDA Rental
Housing, 7.10%, 4/1/21 1,069,080
NR AA+ 895 Michigan HDA Single Family
Mortgage, 6.95%, 12/1/20 957,516
------------
$ 3,338,901
------------
INDUSTRIAL DEVELOPMENT REVENUE/
POLLUTION CONTROL REVENUE - 9.3%
Baa1 BBB $6,970 Dickinson, Michigan PCR-
Champion International,
5.85%, 10/1/18 $ 6,874,720
A3 A- 6,970 Michigan Strategic Fund-
General Motors, 6.20%,
9/1/20 7,243,991
NR BBB+ 110 Michigan Strategic
Fund-KMart
Corporation, 6.80%,
6/15/07 92,777
NR NR 3,000 Michigan Strategic Fund-
SD Warren Company, 7.375%,
(AMT) 1/15/22 3,146,850
NR BB 530 Richmond, Michigan EDC
KMart Corporation, 6.625%,
1/1/07 442,656
------------
$ 17,800,994
------------
</TABLE>
40
<PAGE> 12
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED EDUCATION - 5.4%
Aaa AAA $ 500 Eastern Michigan
University, (AMBAC),
6.375%, 6/1/14 $ 530,995
Aaa AAA 1,500 Ferris State University,
Michigan (MBIA), 5.25%,
10/1/15 1,490,790
Aaa AAA 1,100 Ferris State University,
Michigan (MBIA), 5.25%,
10/1/20 1,092,399
Aaa AAA 500 Michigan Higher Education
Student Loan (AMBAC),
6.875%, 10/1/07 535,405
Aaa AAA 3,510 Wayne State University,
Michigan (AMBAC), 5.65%,
11/15/15 3,585,114
Aaa AAA 2,600 Western Michigan
University (FGIC), 5.00%,
7/15/21 2,463,838
Aaa AAA 500 Western Michigan
University (AMBAC), 6.50%,
7/15/21 534,820
------------
$ 10,233,361
------------
INSURED ELECTRIC UTILITIES - 2.8%
Aaa AAA $ 300 Michigan Strategic Fund,
Detroit Edison Company
(FGIC), 6.95%, 5/1/11 $ 355,452
Aaa AAA 4,000 Michigan Strategic Fund,
Detroit Edison Company
(FGIC), 6.95%, 9/1/21 4,382,520
Aaa AAA 550 Monroe County, Michigan
PCR Detroit Edison Company
(FGIC) (AMT), 7.65%,
9/1/20 619,108
------------
$ 5,357,080
------------
INSURED GENERAL OBLIGATIONS - 14.2%
Aaa AAA $2,000 Chippewa Valley, Michigan
School District (FGIC),
5.00%, 5/1/21 $ 1,895,560
Aaa AAA 1,000 Dearborn, Michigan School
District (MBIA), 5.00%,
5/1/10 988,880
Aaa AAA 545 Goodrich, Michigan School
District (AMBAC), 5.70%,
5/1/15 559,514
Aaa AAA 2,000 Grand Ledge, Michigan
School District (MBIA),
7.875%, 5/1/11 2,503,700
Aaa AAA 2,000 Grand Ledge, Michigan
School
District (MBIA), 5.375%,
5/1/24 1,972,640
Aaa AAA 2,000 Holland City, Michigan
School
District (AMBAC), 0%,
5/1/17 615,020
Aaa AAA 1,000 Holly, Michigan School
District (FGIC), 5.625%,
5/1/25 1,007,770
Aaa AAA 1,500 Iron Mountain, Michigan
School District (AMBAC),
5.125%, 5/1/21 (1) 1,435,425
Aaa AAA 4,500 Livonia, Michigan School
District (FGIC), 5.125%,
5/1/22 4,260,690
Aaa AAA 2,000 Lowell, Michigan Schools
(FGIC), 0%, 5/1/16 656,560
Aaa AAA 2,000 Napoleon, Michigan School
District (FGIC) 5.50%,
5/1/20 2,004,460
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,000 Napoleon, Michigan School
District (FGIC) 5.50%,
5/1/24 997,060
Aaa AAA 2,610 Okemos, Michigan Public
Schools (MBIA), 0%, 5/1/16 861,900
Aaa AAA 500 Pellston, Michigan Public
Schools (MBIA), 6.625%,
5/1/12 546,435
Aaa AAA 4,000 Riverview Community School
District, Michigan
(AMBAC), 5.25%, 5/1/21 3,853,480
Aaa AAA 1,245 Traverse, Michigan Public
Schools (MBIA), 5.70%,
5/1/16 1,268,680
Aaa AAA 1,400 Vicksburg Community
Schools, Michigan (MBIA),
0%, 5/1/16 452,410
Aaa AAA 1,000 Vicksburg Community
Schools, Michigan (MBIA),
0%, 5/1/17 305,610
Aaa AAA 1,000 Western, Michigan School
District (MBIA), 5.70%,
5/1/15 1,023,260
------------
$ 27,209,054
------------
INSURED HEALTHCARE - 0.7%
Aaa AAA $1,250 Farmington Hills, Michigan
EDC-Botsford Continuing
Care (MBIA), 5.75%,
2/15/25 $ 1,272,450
------------
INSURED HOSPITAL - 10.1%
Aaa AAA $3,000 Dearborn City, Michigan
EDC Oakwood Obligated
Group (MBIA), 5.25%,
8/15/14 $ 2,944,200
Aaa AAA 1,000 Dearborn City, Michigan
EDC Oakwood Obligated
Group (MBIA), 5.25%,
8/15/21 969,900
Aaa AAA 3,500 Jackson County, Michigan
HFA W.A. Foote Memorial
(FGIC), 4.75%, 6/1/15 3,232,845
Aaa AAA 5,735 Kalamazoo City, Michigan
HFA Borgess Medical Center
(FGIC), 5.25%, 6/1/17 5,619,268
Aaa AAA 3,200 Michigan HFA Linked Bulls
& Bears (FSA), 6.10%,
8/15/22 3,408,288
Aaa AAA 2,215 Michigan HFA Mercy
Memorial Hospital (MBIA),
5.25%, 6/1/21 2,157,321
Aaa AAA 1,000 Michigan HFA Foote
Memorial Hospital (FGIC),
5.25%, 6/1/23 967,520
------------
$ 19,299,342
------------
INSURED HOUSING - 0.3%
Aaa AAA $ 500 Michigan HDA Parkway
Meadows Projects (FSA),
6.85%, 10/15/18 $ 535,390
------------
INSURED SPECIAL TAX - 0.2%
Aaa AAA $ 400 Grand Rapids, Michigan
Downtown Development
Authority Tax Increment
(MBIA), 6.875%, 6/1/24 $ 446,800
------------
</TABLE>
41
<PAGE> 13
- --------------------------------------------------------------------------------
MICHIGAN TAX FREE PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED TRANSPORTATION - 3.7%
Aaa AAA $4,000 Michigan State Trunk Line
(FGIC), 5.80%, 11/15/24 $ 4,092,920
Aaa AAA 1,000 Wayne County, Michigan
Airport (MBIA), 5.25%,
12/1/13 973,960
Aaa AAA 2,000 Wayne County, Michigan
Airport (MBIA), 5.25%,
(AMT) 12/1/21 1,950,160
------------
$ 7,017,040
------------
INSURED WATER & SEWER - 8.9%
Aaa AAA $ 300 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/09 $ 287,067
Aaa AAA 400 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/10 378,008
Aaa AAA 400 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/11 375,008
Aaa AAA 400 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/12 374,816
Aaa AAA 4,425 Detroit City, Michigan
Water Supply System
(FGIC), 6.25%, 7/1/12 4,997,418
Aaa AAA 7,180 Detroit City, Michigan
Water Supply System
(FGIC), 4.75%, 7/1/19 (2) 6,626,422
Aaa AAA 4,035 Detroit City, Michigan
Water Supply System
(FGIC), 5.50%, 7/1/25 4,017,246
------------
$ 17,055,985
------------
MISCELLANEOUS - 3.4%
A1 AA $ 590 Michigan Municipal Bond
Authority Local Government
Loan, 6.90%, 5/1/21 $ 667,438
A1 AA 2,550 Michigan Municipal Bond
Authority Local Government
Loan-Qualified School,
6.50%, 5/1/07 2,852,685
A1 AA 760 Michigan Municipal Bond
Authority Local Government
Loan, 6.50%, 5/1/08 847,871
NR A- 2,000 Michigan Strategic
Environmental Research
Institute, 6.375%, 8/15/12 2,122,420
------------
$ 6,490,414
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
SOLID WASTE - 1.6%
NR BBB- $1,915 Greater Detroit, Michigan
Resource Recovery
Authority, 9.25%, 12/13/08 $ 1,982,025
NR BBB- 1,000 Greater Detroit, Michigan
Resource Recovery
Authority, 9.25%, 12/13/08 1,035,000
------------
$ 3,017,025
------------
SPECIAL TAX REVENUE - 5.8%
NR BBB+ $ 250 Battle Creek, Michigan
Downtown Development
Authority Tax Increment,
7.60%, 5/1/16 $ 285,958
NR BBB+ 1,315 Battle Creek, Michigan
Downtown Development
Authority Tax Increment,
7.65%, 5/1/22 1,508,423
NR A 7,650 Detroit City Convention
Facility, Michigan Cobo
Hall Expansion Project,
5.25%, 9/30/12 (2) 7,219,458
NR A 1,825 Michigan Muni Bond
Authority Local Government
Loan Project, 6.75%,
5/1/12 2,017,410
------------
$ 11,031,249
------------
WATER AND SEWER - 1.0%
Aa AA $1,895 Lansing City, Michigan
Water and Electric Utility
System, 4.90%, 7/1/10 $ 1,837,751
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $177,452,450) $191,052,784
============
</TABLE>
(1) When-issued security.
(2) Security has been segregated to cover when-issued securities.
The Portfolio primarily invests in debt securities issued by Michigan
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1996, 46.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 2.4% to 23.6% of total investments.
See notes to financial statements
42
<PAGE> 14
- --------------------------------------------------------------------------------
Minnesota Municipals Portfolio
Portfolio of Investments - January 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 3.3%
A NR $ 100 Minnesota Higher Education
Facilities Authority, St.
Olaf College, 6.25%, 4/1/10 $ 100,144
Baa NR 1,000 Minnesota Higher Education
Facilities Authority, St.
Mary's College, 6.15%,
10/1/23 1,043,490
Aa NR 250 Minnesota Higher Education
Facilities Authority,
MacAlister College, 5.55%,
3/1/16 253,725
Aa AA 1,250 University of Minnesota,
Variable, 8/15/03 (1) 1,299,763
-----------
$ 2,697,122
-----------
ESCROWED - 6.1%
Aaa AAA $ 565 Duluth MN Economic
Development Authority, The
Duluth Clinic, (AMBAC)
6.30%, 11/1/22 $ 639,947
Aa1 AA+ 1,700 State of Minnesota,
Variable, 8/1/11 (1) 2,094,162
Aaa AAA 1,960 Western Minnesota Municipal
Power Agency, 6.375%,
1/1/16 2,168,309
-----------
$ 4,902,418
-----------
GENERAL OBLIGATIONS - 5.7%
Aaa AAA $ 700 City of Minneapolis, 6.25%,
4/1/12 $ 756,917
Aaa AAA 1,000 City of Minneapolis, Sports
Arena Project, 5.20%,
10/1/24 988,170
Aaa AAA 200 Cities of Minneapolis & St.
Paul, (AMT), 6.60%, 1/1/09 216,814
Aaa AAA 300 Cities of Minneapolis & St.
Paul, (AMT), 6.60%, 1/1/10 325,221
Aa1 AA+ 1,000 State of Minnesota, 5.40%,
8/1/13 1,005,490
Aa1 AA+ 1,000 State of Minnesota, Duluth
Airport, (AMT), 6.25%,
8/1/14 1,063,980
A AA- 200 City of Saint Cloud,
Variable, 8/1/13 (1) 218,080
-----------
$ 4,574,672
-----------
HEALTHCARE (NON-HOSPITAL) - 6.0%
A A- $1,250 St. Paul Minnesota Housing
and Redevelopment
Authority, Group Health
Plan, Inc., 6.75%, 12/1/13 $ 1,346,125
A A- 250 St. Paul Minnesota Housing
and Redevelopment
Authority, Group Health
Plan, Inc., 6.90%, 10/15/22 271,770
NR BBB+ 2,120 City of Red Wing, Minnesota
Health Care Facilities
Revenue, River Region
Obligated Group, 6.50%,
9/1/22 2,169,862
NR NR 1,000 St. Paul Minnesota Housing
and Redevelopment
Authority, Elder Care
Facility-Care Institute,
Inc., 8.75%, 11/1/24 1,025,520
-----------
$ 4,813,277
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 7.3%
NR AA+ $2,200 City of Rochester,
Minnesota Health Care
Facilities, Mayo
Foundation/Medical Center,
Variable 11/15/15 (1) $ 2,370,588
Baa BBB- 1,000 St. Paul Housing and
Redevelopment Authority,
Healtheast Project, 6.625%,
11/1/17 1,017,440
Baa BBB- 2,500 St. Paul Housing and
Redevelopment Authority,
Healtheast Project, 6.625%,
11/1/17 2,543,600
-----------
$ 5,931,628
-----------
HOUSING - 19.2%
NR AAA $ 300 City of Coon Rapids, Multi-
Family, Browns Meadow
Manor, (FHA), (AMT), 6.85%,
8/1/33 $ 309,282
NR AAA 1,395 County of Dakota, Housing
and Redevelopment
Authority, Multi-Family
(GNMA),
7.375%, 12/1/29 1,527,190
Aa NR 1,200 City of Maplewood, Multi-
Family, Beaver Creek
Apartments, (FHA),
6.50%, 9/1/24 1,261,752
NR AAA 90 Minneapolis and St. Paul
Housing Finance Board,
(GNMA), (AMT),
7.30%, 8/1/31 95,527
Aa AA+ 385 Minnesota Housing Finance
Agency, Single Family
Mortgage, 7.70%, 7/1/14 413,740
Aa AA+ 380 Minnesota Housing Finance
Agency, Single-Family,
(AMT), 7.05%, 7/1/22 402,895
Aa AA+ 445 Minnesota Housing Finance
Agency, Single-Family,
6.95%, 7/1/16 477,289
Aa AA+ 1,000 Minnesota Housing Finance
Agency, Single-Family,
(AMT), 6.75%, 7/1/12 1,064,470
Aa AA+ 1,235 Minnesota Housing Finance
Agency, Single-Family,
(AMT), 6.85%, 1/1/24 1,305,914
Aa AA+ 4,200 Minnesota Housing Finance
Agency, Single-Family,
(AMT), 6.50%, 1/1/26 4,351,704
</TABLE>
43
<PAGE> 15
- --------------------------------------------------------------------------------
MINNESOTA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
Aa AA 690 Minnesota Housing Finance
Agency, Single-Family,
(AMT), 6.75%, 1/1/26 726,708
Aa NR 1,250 St. Louis Park,
Multi-Family Mortgage,
6.25%, 12/1/28 1,291,025
Aaa NR 1,685 St. Paul, Multi-Family
Mortgage, Sun Cliffe
Project, 6.00%, 7/1/31 1,686,299
NR AAA 225 St. Paul, Minnesota Housing
and Redevelopment
Authority, Single-Family
(FNMA), 6.95%, 12/1/31 238,019
NR AAA 355 St. Paul, Minnesota Housing
and Redevelopment
Authority, Single-Family
(FNMA), 6.90%, 12/1/21 375,578
-----------
$15,527,392
-----------
INDUSTRIAL DEVELOPMENT/POLLUTION
CONTROL - 8.3%
NR AA- $ 300 City of Minneapolis,
Minnesota Community
Development Agency, 6.40%,
12/1/04 $ 318,816
NR BBB+ 100 City of Minneapolis,
Minnesota Community
Development Agency, 7.35%,
12/1/09 106,988
NR BBB+ 1,250 City of Minneapolis,
Minnesota Community
Development Agency, 7.40%,
12/1/21 1,326,613
NR BBB+ 1,605 City of Minneapolis,
Minnesota Community
Development Agency, (AMT),
6.80%, 12/1/24 1,640,518
Aa3 NR 3,000 Seaway Port Authority of
Duluth, Minnesota, Cargill,
Inc., 6.80%, 5/1/12 3,276,000
-----------
$ 6,668,935
-----------
INSURED GENERAL OBLIGATION - 1.8%
Aaa AAA $1,330 St. Francis, Minnesota
Independent School District
No. 15, (CGIC), 6.35%,
2/1/12 $ 1,463,226
-----------
INSURED HOSPITALS - 19.2%
Aaa AAA $1,435 Duluth Economic Development
Authority, The Duluth
Clinic, (AMBAC), 6.30%,
11/1/22 $ 1,537,301
Aaa AAA 100 Minneapolis and St. Paul
Health Care Systems, Health
One Obligated Group,
(MBIA), 7.40%, 8/15/11 112,865
Aaa AAA 3,345 Minneapolis and St. Paul
Health Care Systems,
Healthspan, (AMBAC), 4.75%,
11/15/18 3,082,284
Aaa AAA 250 City of Minneapolis,
Minnesota Hospital Revenue,
Fairview Hospital and
Healthcare, (MBIA), 6.50%,
1/1/11 276,348
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 450 Plymouth, Minnesota Health
Facilities, Westhealth
Project, (CGIC), 6.25%,
6/1/16 481,761
Aaa AAA 1,000 City of Saint Cloud,
Minnesota Hospital
Facilities, The Saint Cloud
Hospital, (AMBAC), 6.75%,
7/1/15 1,098,750
Aaa AAA 1,000 City of Saint Cloud,
Minnesota Hospital
Facilities, The Saint Cloud
Hospital, (AMBAC), 5.30%,
10/1/20 985,040
Aaa AAA 2,650 City of St. Louis Park,
Minnesota, Health Care
Facilities Health System
Minnesota Obligated Group,
(AMBAC), 5.20%, 7/1/23 2,593,025
Aaa AAA 5,250 St. Paul Housing and
Redevelopment Authority,
St. Paul-Ramsey Medical
Center Project, (AMBAC),
5.55%, 5/15/23 5,283,547
-----------
$15,450,921
-----------
INSURED HOUSING - 2.1%
Aaa AAA $1,500 SCA Tax Exempt Trust,
Burnsville, Minnesota
Multi-Family, (FSA), 7.10%,
1/1/30 $ 1,657,590
-----------
INSURED SPECIAL TAX - 3.8%
Aaa AAA $3,000 St. Paul Housing and
Redevelopment Authority,
Civic Center Project,
(MBIA), 5.45%, 11/1/13 $ 3,038,160
-----------
INSURED UTILITIES - 5.8%
Aaa AAA $ 300 Northern Municipal Power
Agency, (AMBAC), 6.00%,
1/1/19 $ 305,487
Aaa AAA 450 Southern Minnesota
Municipal Power Agency,
(MBIA), 5.00%, 1/1/12 439,844
Aaa AAA 300 Southern Minnesota
Municipal Power Agency,
(MBIA), Variable, 1/1/18
(1) 313,110
Aaa AAA 6,950 Southern Minnesota
Municipal Power Agency,
(MBIA), 0%, 1/1/21 1,834,592
Aaa AAA 6,000 Southern Minnesota
Municipal Power Agency,
(MBIA), 0%, 1/1/25 1,278,780
</TABLE>
44
<PAGE> 16
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES - (CONTINUED)
Aaa AAA 510 Western Minnesota Municipal
Power Agency, (MBIA),
5.50%, 1/1/15 511,483
-----------
$ 4,683,296
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 2.8%
Baa1 NR $ 350 City of Cambridge,
Minnesota Economic
Development Authority,
6.25%, 2/1/14 $ 361,435
Aa AA 1,770 Hennepin County, Minnesota
Lease Revenue Certificates
of Participation, 6.80%,
5/15/17 1,913,246
-----------
$ 2,274,681
-----------
SOLID WASTE - 0.6%
Aa3 AA- $ 450 Anoka County, Minnesota
Solid Waste Disposal,
National Rural Utility,
(AMT), 6.95%, 12/1/08 $ 492,800
-----------
UTILITIES - 5.2%
A3 A- $1,000 Bass Brook, Minnesota
Pollution Control Revenue,
Minnesota Power & Light
Company, 6.00%, 7/1/22 $ 1,011,760
A A 1,500 Northern Municipal Power
Agency, Minnesota Electric,
7.25%, 1/1/16 1,614,420
A A+ 1,100 Southern Minnesota
Municipal Power Agency,
5.00%,
1/1/12 1,061,335
A1 A 450 Western Minnesota Municipal
Power Agency, 7.00%, 1/1/13 469,436
-----------
$ 4,156,951
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER - 2.8%
Aa1 AAA $ 100 Minnesota Public Facilities
Authority Water Pollution
Control, 7.00%, 3/1/09 $ 109,140
Aa1 AAA 150 Minnesota Public Facilities
Authority Water Pollution
Control, 6.70%, 3/1/13 165,690
Aa1 AAA 1,835 Minnesota Public Facilities
Authority Water Pollution
Control, 6.50%, 3/1/14 2,024,042
-----------
$ 2,298,872
-----------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $74,342,228) $80,631,939
---------
---------
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
The Portfolio primarily invests in debt securities issued by Minnesota
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1996, 32.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 2.1% to 19.3% of total investments.
See notes to financial statements
45
<PAGE> 17
- --------------------------------------------------------------------------------
New Jersey Municipals Portfolio
Portfolio of Investments - January 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
COGENERATION - 3.4%
NR BB+ $12,750 New Jersey Economic
Development Authority,
Vineland Cogeneration
Limited Partnership,
(AMT), 7.875%, 6/1/19 $ 13,815,390
------------
EDUCATION - 3.1%
Baa1 BBB $ 2,480 New Jersey Educational
Facilities Authority,
Seton Hall University,
7.00%, 7/1/21 $ 2,718,030
Aa1 AA+ 1,000 New Jersey Educational
Facilities Authority,
Princeton Theological
Seminary, 6.375%, 7/1/22 1,084,500
NR NR 8,800 New Jersey Higher
Educational Student Loan
Bonds, (AMT), 0%, 7/1/10 3,377,088
NR BBB- 750 Puerto Rico Industrial,
Tourist, Educational,
Medical and Environmental
Authority, Polytechnic
University, 5.50%, 8/1/24 679,260
NR BBB- 1,000 Puerto Rico Industrial,
Tourist, Educational,
Medical and Environmental
Authority, Polytechnic
University, 6.50%, 8/1/24 1,039,280
A1 AA 2,500 Rutgers, The State
University of New Jersey,
6.85%, 5/1/21 2,740,700
A AA 1,000 University of Medicine and
Dentistry of New Jersey,
7.20%, 12/1/19 1,112,870
------------
$ 12,751,728
------------
ESCROWED/PREREFUNDED - 2.6%
Aaa AAA $ 870 The City of Newark,
(AMBAC), Prerefunded to
10/1/99, 7.375%, 10/1/07 $ 985,519
NR NR 2,000 County of Passaic,
Prerefunded to 9/1/99,
6.70%, 9/1/13 2,212,740
Baa1 AAA 5,645 Puerto Rico Aqueduct and
Sewer Authority,
Prerefunded to 7/1/98,
7.875%, 7/1/17 6,285,708
Aa AAA 1,205 New Jersey Health Care
Facilities Financing
Authority, Barnett
Hospital, (FHA),
Prerefunded to 8/1/01,
6.80%, 8/1/19 1,367,192
------------
$ 10,851,159
------------
GENERAL OBLIGATIONS - 13.5%
NR BBB $ 9,745 Government of Guam, 5.40%,
11/15/18 $ 9,057,198
NR A+ 5,000 The Hudson County
Improvement Authority,
6.625%, 8/1/25 5,349,400
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa1 NR 3,000 Mercer County Improvement
Authority Solid Waste, 0%,
4/1/10 1,436,580
Baa1 A 2,000 Commonwealth of Puerto
Rico, 5.50%, 7/1/17 1,980,020
Baa1 A 1,990 Commonwealth of Puerto
Rico, 6.45%, 7/1/17 2,143,031
Baa1 A 5,000 Commonwealth of Puerto
Rico, 6.50%, 7/1/23 5,401,150
Baa1 A 4,925 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 4,790,400
Baa1 A 4,000 Puerto Rico Public
Buildings Authority,
Public Education and
Health Facilities, 5.75%,
7/1/15 4,054,840
Baa1 A 2,075 Puerto Rico Public
Buildings Authority,
Public Education and
Health Facilities, 5.75%,
7/1/16 2,103,448
Baa1 A 5,125 Puerto Rico Public
Buildings Authority,
Public Education and
Health Facilities, 5.50%,
7/1/21 5,048,843
NR NR 13,350 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 14,356,990
------------
$ 55,721,900
------------
HEALTHCARE (NON-HOSPITAL) - 1.9%
NR NR $ 1,400 New Jersey Economic
Development Authority,
Claremont Health System,
8.75%, 9/1/22 $ 1,495,200
NR NR 2,500 New Jersey Economic
Development Authority,
Victoria Health, 7.65%,
1/1/14 2,452,300
NR NR 3,630 New Jersey Economic
Development Authority,
Forsgate, 8.625% 6/1/25 3,733,310
------------
$ 7,680,810
------------
HOSPITALS - 7.4%
Aa AAA $ 9,585 New Jersey Health Care
Facilities Financing
Authority, Barnett
Hospital, (FHA), 6.80%,
8/1/19 $ 10,360,043
A A- 2,300 New Jersey Health Care
Facilities Financing
Authority, Atlantic City
Medical Center, 6.80%,
7/1/11 2,485,449
Baa1 NR 5,875 New Jersey Health Care
Facilities Financing
Authority, Deborah Heart
and Lung Center, 6.30%,
7/1/23 6,063,764
</TABLE>
46
<PAGE> 18
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - (CONTINUED)
Baa NR 2,000 New Jersey Health Care
Facilities Financing
Authority, Southern Ocean
County Hospital, 6.25%,
7/1/23 1,984,280
A A- 10,425 New Jersey Health Care
Facilities Financing
Authority, Chilton
Memorial Hospital, 5.00%,
7/1/13 9,734,552
------------
$ 30,628,088
------------
HOUSING - 3.8%
NR AAA $ 2,000 New Jersey Housing and
Mortgage Finance Agency,
Presidential Plaza, (FHA),
6.95%, 5/1/13 $ 2,138,460
NR AAA 3,700 New Jersey Housing and
Mortgage Finance Agency,
Presidential Plaza, (FHA),
7.00%, 5/1/30 3,935,320
NR AA+ 1,975 New Jersey Housing and
Mortgage Finance Agency,
Section 8, 7.10%, 11/1/11 2,114,001
NR AA+ 1,000 New Jersey Housing and
Mortgage Finance Agency,
Section 8, 7.10%, 11/1/12 1,070,380
NR A+ 3,715 New Jersey Housing and
Mortgage Finance Agency,
Section 8, 6.60%, 11/1/14 3,890,125
NR A+ 1,000 New Jersey Housing and
Mortgage Finance Agency,
Rental Housing, (AMT),
7.10%, 5/1/22 1,061,880
NR AA+ 1,250 New Jersey Housing and
Mortgage Finance Agency,
Rental Housing, (AMT),
7.25%, 11/1/22 1,323,213
Aaa AAA 300 Puerto Rico Housing
Finance Corporation
Mortgage Revenue (GNMA),
6.85%, 10/15/23 207,043
------------
$ 15,740,422
------------
INDUSTRIAL DEVELOPMENT/POLLUTION
CONTROL - 8.3%
NR NR $ 2,000 Middlesex County Pollution
Control Financing
Authority, Amerada Hess
Corporation, 7.875%,
6/1/22 $ 2,278,380
NR NR 4,000 Middlesex County Pollution
Control Financing
Authority, Amerada Hess
Corporation, 6.875%,
12/1/22 4,259,120
Aa1 NR 3,000 New Jersey Economic
Development Authority,
Garden State Paper
Company, (AMT), 7.125%,
4/1/22 3,134,610
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR NR 2,000 New Jersey Economic
Development Authority, The
Seeing Eye, Inc., 7.30%,
4/1/11 2,150,480
NR NR 5,640 New Jersey Economic
Development Authority,
Holt Hauling, (AMT),
8.95%, 12/15/19 5,982,968
NR NR 1,160 New Jersey Economic
Development Authority,
National Association of
Accountants, Inc. 7.65%,
7/1/09 1,256,732
NR AA- 3,300 New Jersey Economic
Development Authority, Oak
Grove Associates, 6.125%,
12/1/06 3,497,274
Baa1 A- 2,135 New Jersey Economic
Development Authority,
GATX Terminals
Corporation, 7.30%, 9/1/19 2,437,316
Aa3 AA- 1,300 Puerto Rico Industrial,
Medical and Environmental
Pollution Control
Authority, Motorola, Inc.,
6.75%, 1/1/14 1,417,507
Baa3 BB+ 7,750 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.30%,
6/1/23 7,935,536
------------
$ 34,349,923
------------
INSURED EDUCATION - 0.5%
Aaa AAA $ 2,000 New Jersey State
Educational Facilities
Authority, Seton Hall
University, (BIGI), 6.85%,
7/1/19 $ 2,189,120
------------
INSURED HEALTHCARE - 0.6%
Aaa AAA $ 2,500 New Jersey Economic
Development Authority,
Clara Maass Health System,
(FSA), 5.00%, 7/1/25 $ 2,378,025
------------
INSURED HOSPITALS - 0.9%
Aaa AAA $ 2,000 New Jersey Health Care
Facilities Financing
Authority, Hackensack
Medical Center, (FGIC),
6.25%, 7/1/21 $ 2,086,260
Aaa AAA 1,570 New Jersey Health Care
Facilities Financing
Authority, Cathedral
Health Services, (MBIA),
7.25%, 2/15/21 1,777,538
------------
$ 3,863,798
------------
INSURED HOUSING - 1.3%
Aaa AAA $ 1,410 New Jersey Housing and
Mortgage Finance Agency,
(MBIA), 7.375%, 10/1/17 $ 1,483,940
</TABLE>
47
<PAGE> 19
- --------------------------------------------------------------------------------
NEW JERSEY MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOUSING - (CONTINUED)
Aaa AAA 1,740 New Jersey Housing and
Mortgage Finance Agency,
(AMT), (MBIA), 7.70%,
10/1/29 1,840,694
Aaa AAA 1,745 Pennsauken Township
Housing Finance
Corporation, (MBIA),
8.00%, 4/1/11 1,829,371
------------
$ 5,154,005
------------
INSURED LEASE REVENUE - 4.9%
Aaa AAA $ 3,900 County of Atlantic, Public
Facilities Lease
Agreement, (FGIC), 6.00%,
3/1/13 $ 4,329,819
Aaa AAA 1,750 County of Hudson, New
Jersey Correctional
Facility, (MBIA), 6.50%,
12/1/11 1,925,840
Aaa AAA 6,240 County of Hudson, New
Jersey Correctional
Facility, (MBIA), 6.60%,
12/1/21 6,762,101
Aaa AAA 2,500 County of Hudson, New
Jersey Improvement
Authority, Secondary Yield
Curve Notes, (FGIC),
Variable, 12/1/25 (1) 2,712,825
Aaa AAA 1,800 County of Middlesex,
New Jersey Certificates of
Participation, (MBIA),
6.125%, 2/15/19 1,922,454
Aaa AAA 2,225 University of Medicine and
Dentistry Certificates of
Participation, (MBIA),
6.75%, 12/1/09 2,445,431
------------
$ 20,098,470
------------
INSURED SOLID WASTE - 0.4%
Aaa AAA $ 1,500 The Mercer County
Improvement Authority,
Solid Waste Revenue,
(AMT), (FGIC), 6.70%,
4/1/13 $ 1,570,710
------------
INSURED SPECIAL TAX - 0.6%
Aaa AAA 2,375 New Jersey Economic
Development Authority,
Market Transition
Facility, (MBIA), 5.875%,
7/1/11 $ 2,522,060
------------
INSURED TRANSPORTATION - 5.5%
Aaa AAA $ 8,000 Delaware River Port
Authority, (FGIC), 5.50%,
1/1/26 $ 8,048,160
Aaa AAA 5,000 New Jersey Turnpike
Authority "RITES", (MBIA),
Variable, 1/1/16 (1) 6,593,200
Aaa AAA 6,950 New Jersey Turnpike
Authority, (MBIA), 6.50%,
1/1/16 8,109,260
------------
$ 22,750,620
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES - 3.5%
Aaa AAA $ 2,750 New Jersey Economic
Development Authority, New
Jersey American Water Co.,
(AMT), (FGIC), 6.875%,
11/1/34 $ 3,072,025
Aaa AAA 11,500 Salem County, New Jersey,
Public Service Electric
and Gas, (MBIA), 5.55%,
11/1/33 11,507,475
------------
$ 14,579,500
------------
INSURED WATER & SEWER - 1.4%
Aaa AAA $ 2,500 Middlesex County Utilities
Authority, Sewer Revenue
(MBIA), Variable, 8/15/10
(1) $ 2,841,625
Aaa AAA 2,935 New Jersey Economic
Development Authority,
Middlesex Water, (MBIA),
5.25%, 2/1/29 2,836,824
------------
$ 5,678,449
------------
LEASE/CERTIFICATE OF
PARTICIPATION - 3.1%
Baa1 A- $ 720 County of Atlantic, New
Jersey Public Facilities
Lease Agreement, 8.875%,
1/15/14 $ 995,918
Baa1 A- 785 County of Atlantic, New
Jersey Public Facilities
Lease Agreement, 8.875%,
1/15/15 1,089,682
A1 NR 1,000 Township of Bedminster,
New Jersey Board of
Education, 7.125%, 9/1/10 1,132,310
Aa AA- 1,000 Mercer County Improvement
Authority, Richard J.
Hughes Justice Complex,
6.05%, 1/1/14 1,003,250
Aa AA- 2,000 Mercer County Improvement
Authority, Richard J.
Hughes Justice Complex,
6.05%, 1/1/15 2,006,500
Aa AA- 1,500 Mercer County Improvement
Authority, Richard J.
Hughes Justice Complex,
6.05%, 1/1/16 1,504,575
Aa AA- 1,500 Mercer County Improvement
Authority, Richard J.
Hughes Justice Complex,
6.05%, 1/1/17 1,504,575
Aa AA- 1,250 New Jersey Building
Authority, 7.20%, 6/15/13 1,358,413
Aa AA- 2,590 New Jersey Building
Authority, Garden State
Savings Bonds, 0%, 6/15/10 1,236,140
NR A+ 1,000 New Jersey Economic
Development Authority,
Performing Arts Center
Site Acquisition, 6.75%,
6/15/12 1,083,870
------------
$ 12,915,233
------------
</TABLE>
48
<PAGE> 20
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
LIFE CARE - 1.3%
NR NR $ 300 New Jersey Economic
Development Authority,
Cadbury Corporation,
8.70%, 7/1/07 $ 329,001
NR NR 615 New Jersey Economic
Development Authority,
Cadbury Corporation,
7.50%, 7/1/21 628,751
NR NR 4,000 New Jersey Economic
Development Authority,
Keswick Pines, 8.75%,
1/1/24 4,235,960
------------
$ 5,193,712
------------
MISCELLANEOUS - 3.0%
A1 A+ $ 1,650 New Jersey Economic
Development Authority,
Economic Recovery Fund,
0%, 9/15/09 $ 818,219
A1 A+ 5,500 New Jersey Economic
Development Authority,
Economic Recovery Fund,
0%, 3/15/13 2,232,175
NR NR 7,600 New Jersey Sports and
Exposition Authority,
Monmouth Park, 8.00%,
1/1/25 8,490,796
Aa A+ 1,000 New Jersey Sports and
Exposition Authority,
5.50%, 9/1/23 1,011,820
------------
$ 12,553,010
------------
SOLID WASTE - 6.9%
Ba NR $ 3,655 The Atlantic County
Utilities Authority, Solid
Waste Revenue, 7.125%,
3/1/16 $ 3,754,928
Ba BBB+ 6,125 Pollution Control
Financing Authority of
Camden County, (AMT),
7.50%, 12/1/09 6,475,901
Ba NR 5,975 Mercer County Improvement
Authority, Solid Waste
System Revenue (AMT), 0%,
4/1/14 1,614,146
Ba NR 6,000 Mercer County Improvement
Authority, Solid Waste
System Revenue (AMT), 0%,
4/1/15 1,508,160
Ba NR 3,000 Mercer County Improvement
Authority, Solid Waste
System Revenue (AMT), 0%,
4/1/16 701,640
Ba NR 1,500 Passaic County Utilities
Authority Solid Waste
System Revenue, 7.00%,
11/15/07 1,523,565
NR A- 11,930 Union County, New Jersey
Utilities Authority, Solid
Waste Revenue, (AMT),
7.20%, 6/15/14 12,746,012
------------
$ 28,324,352
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
SPECIAL TAX - 2.1%
Baa1 A $ 2,285 Puerto Rico Highway and
Transportation Authority,
6.625%, 7/1/12 $ 2,525,793
Baa1 A 1,000 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 1,010,670
Baa1 A 4,100 Puerto Rico Highway and
Transportation Authority,
6.625%, 7/1/18 4,532,058
Baa1 BBB+ 550 Puerto Rico Infrastructure
Financing Authority,
7.90%, 7/1/07 602,426
------------
$ 8,670,947
------------
TRANSPORTATION - 12.0%
NR BBB $ 1,250 Guam Airport Authority,
(AMT), 6.60%, 10/1/10 $ 1,293,125
NR BBB 2,000 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 2,061,360
NR BBB 1,400 Guam Airport Authority,
6.50%, 10/1/23 1,433,082
A1 AA- 5,000 The Port Authority of New
York and New Jersey,
(AMT), 6.25%, 1/15/27 5,203,350
A1 AA- 9,500 The Port Authority of New
York and New Jersey,
7.35%, 10/1/27 (2) 11,262,725
A1 AA- 2,645 The Port Authority of New
York and New Jersey,
6.75%, 8/1/26 2,870,380
A1 AA- 5,950 The Port Authority of New
York and New Jersey,
5.375%, 3/1/28 5,999,802
A1 AA- 9,000 The Port Authority of New
York and New Jersey,
6.125%, 6/1/2094 9,801,810
Ba1 BB 5,100 The Port Authority of New
York and New Jersey, Delta
Air Lines Inc., 6.95%,
6/1/08 5,539,416
Baa2 BB+ 3,900 New Jersey Economic
Development Authority,
American Airlines, (AMT),
7.10%, 11/1/31 4,160,754
------------
$ 49,625,804
------------
UTILITIES - 5.8%
NR BBB $ 100 Guam Power Authority,
5.25%, 10/1/13 $ 92,405
NR BBB 750 Guam Power Authority,
5.25%, 10/1/23 674,460
NR BBB 5,000 Guam Power Authority,
6.75%, 10/1/24 5,291,550
Baa2 BBB 625 New Jersey Economic
Development Authority,
Elizabethtown Gas Co.,
(AMT), 6.75%, 10/1/21 641,050
</TABLE>
49
<PAGE> 21
- --------------------------------------------------------------------------------
NEW JERSEY MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - (CONTINUED)
A2 A 1,455 New Jersey Economic
Development Authority,
Natural Gas Facilities,
7.05%, 3/1/16 1,550,506
Baa1 A- 460 Puerto Rico Electric Power
Authority, 7.125%, 7/1/14 505,319
Baa1 A- 3,000 Puerto Rico Electric Power
Authority, 6.00%, 7/1/14 3,107,820
Baa1 A- 1,000 Puerto Rico Electric Power
Authority, 5.25%, 7/1/21 965,940
Baa1 A- 5,340 Puerto Rico Electric Power
Authority, 5.50%, 7/1/25 5,270,687
NR NR 5,105 Virgin Islands Water and
Power Authority, Electric
System Revenue, 7.40%,
7/1/11 5,482,515
------------
$ 23,582,252
------------
WATER & SEWER - 2.2%
A1 AA- $ 2,000 Gloucester County
Utilities Authority,
6.50%, 1/1/21 $ 2,131,180
A3 A 3,250 New Jersey Economic
Development Authority,
Elizabethtown Water
Revenue, (AMT), 6.70%,
8/1/21 3,504,930
Aa AA 1,400 New Jersey Wastewater
Treatment Trust, 7.25%,
5/15/08 1,520,372
Aa AA 1,000 New Jersey Wastewater
Treatment Trust, 6.875%,
6/15/09 1,117,940
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA 250 New Jersey Wastewater
Treatment Trust, 7.00%,
6/15/10 280,185
A1 AA 500 The Somerset Raritan
Valley Sewerage Authority
6.75%, 07/1/10 546,805
------------
$ 9,101,412
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $381,677,960) $412,290,899
============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
The Portfolio primarily invests in debt securities issued by New Jersey
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1996, 19.6% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.2% to 13.3% of total investments.
See notes to financial statements
50
<PAGE> 22
- --------------------------------------------------------------------------------
Pennsylvania Municipals Portfolio
Portfolio of Investments - January 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 2.7%
NR NR $ 2,680 Chester County IDA Senior
Lifechoice of Paoli,
8.05%, 1/1/24 $ 2,715,992
NR NR 5,000 Chester County IDA Senior
Lifechoice of Kimberton,
8.50%, 9/1/25 5,096,100
NR NR 5,000 Delaware County IDA Senior
Quarters Project, 5.625%,
9/1/25 5,144,450
------------
$ 12,956,542
------------
COGENERATION - 5.6%
NR NR $12,000 PA EDA, Northampton
Generation Project (AMT),
6.50%, 1/1/13 $ 12,051,120
NR BBB- 9,000 PA EDA, Colver Project,
(AMT), 7.125%, 12/1/15 9,729,270
NR BBB- 5,000 PA EDA, Colver Project,
(AMT), 7.15%, 12/1/18 5,394,400
------------
$ 27,174,790
------------
EDUCATION - 4.8%
NR BBB $ 4,865 Erie Higher Education
Building Authority,
Mercyhurst College, 5.75%,
3/15/20 $ 4,864,611
Baa1 NR 1,500 Latrobe, Saint Vincent
College, 6.75%, 5/1/24 1,631,460
NR AAA 2,000 Lehigh County, Allentown
College of St. Francis,
6.75%, 12/15/12 2,190,820
NR A- 4,225 Scranton-Lackawanna,
Pennsylvania University,
University of Scranton,
6.40%, 3/1/07 4,536,298
NR AA 9,700 Swarthmore Borough,
Swarthmore College, 6.00%,
9/15/20 10,232,530
------------
$ 23,455,719
------------
ESCROWED - 6.3%
Aaa AAA $ 5,600 Berks County, GO, (FGIC),
Variable, 11/15/20, (1) $ 6,667,192
Aaa A- 1,750 Chester County, HEFA, Bryn
Mar Hospitals, 6.75%,
7/1/14 2,014,390
Aaa AAA 2,000 Doylestown Hospital
Authority, (AMBAC), 6.90%,
7/1/19 2,217,800
Aaa AAA 1,405 Lycoming County, GO,
(FGIC), 6.40%, 8/15/11 1,556,038
Aaa AAA 945 Lycoming County, GO,
(FGIC), 6.40%, 8/15/11 1,046,588
NR A- 1,000 PA HEFA, Elizabeth
College, 7.25%, 6/15/11 1,158,360
NR A- 6,900 PA IDA, Economic
Development, 7.00%, 1/1/11 7,917,405
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR A- 5,155 Philadelphia, Hospital and
Higher Education Facility
Authority, Presbyterian
Medical Center, 6.50%,
12/1/11 5,962,272
Baa1 A 1,000 Puerto Rico Aqueduct &
Sewer, 7.90%, 7/1/07 1,114,070
Aaa AAA 500 York County Hospital
Authority, (AMBAC), 7.00%,
7/1/21 569,610
------------
$ 30,223,725
------------
GENERAL OBLIGATIONS - 6.2%
NR A $ 3,000 Chester Upland School
District, 6.375%, 9/1/21 $ 3,170,040
NR A 3,000 Dauphin County, GO, 6.90%,
6/2/26 3,307,260
A1 A+ 2,050 Lower Providence Township
Sewer Authority
Guaranteed, 6.75%, 5/1/22 2,310,166
NR A 1,950 McKeesport Area School
District, GO, 5.00%,
4/1/13 1,871,727
A1 AA- 465 Pennsylvania, 6.75%,
1/1/07 509,073
A1 AA- 500 Pennsylvania, 6.75%,
1/1/08 545,100
A1 AA- 5,435 Pennsylvania, 6.50%,
11/1/09 5,872,789
A1 AA- 2,000 Pennsylvania, 6.375%,
9/15/12 2,134,800
Baa1 A 5,100 Puerto Rico, 5.40%, 7/1/25 4,960,617
Baa1 A 2,000 Puerto Rico Aqueduct &
Sewer, 6.25%, 7/1/12 2,208,700
Baa1 A 3,375 Puerto Rico Aqueduct &
Sewer, 5.00%, 7/1/19 3,196,631
------------
$ 30,086,903
------------
HOSPITALS - 18.8%
NR AAA $ 2,440 Allegheny County, IDA,
Presbyterian Medical
Center, 6.75%, 2/1/26 $ 2,610,507
Baa BBB 2,000 Dauphin County, Community
General Osteopathic
Hospital, 7.375%, 6/1/16 2,154,840
NR A- 10,250 Delaware County, Riddle
Memorial Hospital, 6.50%,
1/1/22 10,394,320
NR NR 4,755 Hazelton Luzerne County,
Saint Joseph Medical
Center, 8.375%, 7/1/12 4,992,890
Baa NR 2,670 Indiana County, Indiana
Hospital, 7.125%, 7/1/23 2,788,815
NR BBB+ 3,500 Lebanon County, Good
Samaritan Hospital, 6.00%,
11/15/18 3,377,570
A A 3,250 Lehigh County, Muhlenberg
Hospital, 6.60%, 7/15/22 3,364,498
NR BBB- 5,405 McKean County, Bradford
Hospital, 6.10%, 10/1/20 4,925,036
Baa1 BBB+ 2,550 Monroeville, Forbes Health
System, 6.25%, 10/1/15 2,589,806
</TABLE>
51
<PAGE> 23
- --------------------------------------------------------------------------------
PENNSYLVANIA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - (CONTINUED)
NR BBB+ 2,615 Montgomery County,
Pottstown Medical Center,
6.875%, 11/15/20 2,697,896
A1 A+ 500 PA Hospital and Higher
Education, Allegheny
General Hospital, 7.25%,
9/1/17 549,120
A BBB+ 8,500 PA Hospital and Higher
Education, Albert Einstein
Medical Center, 7.625%,
4/1/11 9,179,575
Baa1 BBB+ 12,800 PA Hospital and Higher
Education, Graduate Health
System, 6.625%, 7/1/21 12,995,328
Baa1 A- 10,515 PA Hospital and Higher
Education, Temple
University Hospital,
6.625%, 11/15/23 11,034,231
Aa AA 1,000 PA Hospital and Higher
Education, Children's
Hospital, 5.00%, 2/15/21 915,960
Aa NR 4,750 Pottsville, Hospital
Authority, Daughters of
Charity, 5.00%, 8/15/12 4,523,948
Baa NR 4,115 Somerset County, Community
Hospital Project, 6.75%,
3/1/11 4,099,322
A NR 7,000 Washington County,
Monongahela Valley
Hospital 6.75%, 12/1/08 7,554,820
------------
$ 90,748,482
------------
HOUSING - 7.2%
Aaa NR $ 2,175 Allegheny County SFMR,
(GNMA), 7.15%, 6/1/17 $ 2,231,876
NR AAA 2,900 Allegheny County SFMR,
Ladies Grand Army Project,
(FHA), 6.35%, 10/1/36 2,958,377
NR AAA 1,000 Bucks County, Mortgage
Revenue Bonds, Warminster
Heights Project, (FHA),
Section 8-A, 6.80%, 8/1/12 1,051,520
Aa AA 3,730 Pennsylvania HFA SFMR,
6.90%, 4/1/17 3,943,617
Aa AA 4,000 Pennsylvania HFA SFMR,
6.85%, 4/1/16 4,216,320
Aa AA 1,000 Pennsylvania HFA SFMR,
(AMT), Variable, 10/1/23,
(1) 1,129,190
Aa AA 8,350 Pennsylvania HFA SFMR,
(AMT), 7.50%, 10/1/25 9,177,903
Aaa NR 3,000 Philadelphia Redevelopment
Authority, MF, 6.95%,
5/15/24 3,186,180
A1 A 4,235 Urban Redevelopment
Authority of Pittsburgh
Mortgage, (AMT), 7.10%,
4/1/24 4,421,213
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 A 265 Urban Redevelopment
Authority of Pittsburgh,
7.45%, 4/1/10 282,416
A1 A 1,000 Urban Redevelopment
Authority of Pittsburgh
Mortgage, 7.125%, 4/1/15 1,067,560
A1 A 1,055 Urban Redevelopment
Authority of Pittsburgh
Mortgage, (AMT), 7.40%,
4/1/24 1,113,447
------------
$ 34,779,619
------------
INDUSTRIAL DEVELOPMENT
AUTHORITY - 9.5%
A3 A $ 6,950 Butler County IDA, Witco
Corporation Project,
5.85%, 12/1/23 $ 7,058,212
NR BB 1,005 Clearfield County IDA,
KMart Corporation, 6.80%,
5/15/07 848,280
NR A+ 4,000 Franklin County IDA,
Corning Incorporated,
6.25%, 8/1/05 4,399,480
NR AAA 8,265 Mercer County IDA,
Hillcrest Nursing Center,
0%, 1/15/13 2,424,207
A2 A 12,000 New Morgan IDA, New Morgan
Landfill, (AMT), 6.50%,
4/1/19 12,750,240
Baa2 BBB- 5,000 Pennsylvania IDA,
Macmilliam Project, (AMT),
7.60%, 12/1/20 5,658,600
Baa1 BBB+ 4,450 Pennsylvania IDA, Sun
Company Project, (AMT),
7.60%, 12/1/24 5,004,114
NR NR 6,500 Philadelphia IDA
Refrigerated Enterprises
Project, (AMT), 9.05%,
12/1/19 6,938,685
NR BB 1,105 Shamokin IDA, KMart
Corporation, 6.70%, 7/1/07 923,868
------------
$ 46,005,686
------------
INSURED EDUCATION - 2.0%
Aaa AAA $ 5,000 Cumberland County Messiah
College Project, (AMBAC),
5.125%, 10/1/15 $ 4,840,200
Aaa AAA 2,500 PA Higher Education
Student Loan, (AMBAC),
(AMT), 7.15%, 9/1/21 2,698,675
Aaa AAA 1,500 PA Higher Education
Student Loan, (AMBAC),
(AMT), Variable, 3/1/22,
(1) 1,541,235
Aaa AAA 700 PA Higher Education
Student Loan, (AMBAC),
(AMT), Variable, 9/1/26,
(1) 773,283
------------
$ 9,853,393
------------
</TABLE>
52
<PAGE> 24
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATIONS - 4.4%
Aaa AAA $ 1,750 Deer Lakes School
District, (MBIA), 6.45%,
1/15/19 $ 1,854,615
Aaa AAA 2,170 Elizabeth Forward School
District, (MBIA), 0%,
9/1/20 572,055
Aaa AAA 2,170 Elizabeth Forward School
District, (MBIA), 0%,
9/1/21 541,849
Aaa AAA 2,170 Elizabeth Forward School
District, (MBIA), 0%,
9/1/22 513,227
Aaa AAA 2,170 Elizabeth Forward School
District, (MBIA), 0%,
9/1/23 486,123
Aaa AAA 4,345 Elizabeth Forward School
District, (MBIA), 0%,
9/1/24 921,966
Aaa AAA 1,460 Haverford School District,
(FGIC), 6.125%, 6/1/14 1,532,066
Aaa AAA 7,500 Keystone Oaks School
District, (AMBAC),
Variable, 9/1/16 (1) 7,951,350
Aaa AAA 1,430 Mars Area School District,
(MBIA), 0%, 3/1/14 535,449
Aaa AAA 3,200 Philadelphia General
Obligation, (MBIA), 5.00%,
5/15/20 3,036,000
Aaa AAA 655 Rochester Area School
District, (AMBAC), 0%,
5/1/10 312,297
Aaa AAA 2,795 Venango County General
Obligation, (AMBAC),
6.30%, 12/1/19 2,930,194
------------
$ 21,187,191
------------
INSURED HOSPITALS - 8.7%
Aaa AAA $ 1,170 Allegheny County
Children's Hospital of
Pittsburgh, (MBIA), 6.75%,
7/1/08 $ 1,252,848
Aaa AAA 3,750 Allegheny County Magee-
Womens Hospital, (FGIC),
0%, 10/1/15 1,285,913
Aaa AAA 5,000 Allegheny County
University of Pittsburgh
Medical Center, (MBIA),
5.375%, 12/1/25 4,930,100
Aaa AAA 1,400 Armstrong County Saint
Francis Health Care,
(AMBAC), 6.25%, 6/1/13 1,487,472
Aaa AAA 2,500 Armstrong County Saint
Francis Health Care,
(AMBAC), 6.00%, 8/15/08 2,645,550
Aaa AAA 4,400 Bucks County, IDA, Grand
View Hospital, (AMBAC),
5.25%, 7/1/21 4,244,284
Aaa AAA 775 Carbon County, Gnaden
Memorial Hospital,
(AMBAC), 7.00%, 11/15/14 843,324
Aaa AAA 750 Erie County, Harlot
Medical Center, (AMBAC),
7.10%, 2/15/10 824,258
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 230 Lehigh County Health East,
Incorporated, (MBIA),
7.00%, 7/1/15 249,672
Aaa AAA 5,000 Lehigh County, St. Luke's
Hospital, (AMBAC), 6.25%,
7/1/22 5,294,200
Aaa AAA 1,000 Montgomery County,
Abington Memorial
Hospital, (AMBAC),
Variable, 6/1/11 (1) 1,175,740
Aaa AAA 5,000 Philadelphia Hospital &
Higher Education, PA
Hospital, (FGIC),
Variable, 2/15/12 (1) 5,011,450
Aaa AAA 3,500 Sayre Health Care
Facilities Authority,
Guthrie Healthcare System,
(AMBAC), 6.00%, 3/1/21 3,591,910
Aaa AAA 1,500 Scranton-Lackawanna, Mercy
Health Systems, (MBIA),
6.90%, 1/1/23 1,608,015
Aaa AAA 7,500 Washington County,
Shadyside Hospital,
(AMBAC), 5.75%, 12/15/14 7,687,650
------------
$ 42,132,385
------------
INSURED LEASE - 3.3%
Aaa AAA $ 4,595 Harrisburg Authority,
Dauphin County, Lease
Revenue, (CGIC), 6.25%,
6/1/10 $ 5,007,723
Aaa AAA 3,000 Northumberland County,
Lease Revenue, (MBIA), 0%,
10/15/12 1,248,660
Aaa AAA 10,000 Commonwealth of
Pennsylvania, Lease
Revenue, (AMBAC), 5.00%,
7/1/15 9,499,000
------------
$ 15,755,383
------------
INSURED SPECIAL TAX - 0.9%
Aaa AAA $ 4,895 PA Intergovernmental
Special Tax, (MBIA),
5.00%, 6/15/22 $ 4,594,937
------------
INSURED TRANSPORTATION - 0.5%
Aaa AAA $ 2,500 Delaware River Port
Authority (FGIC), 5.50%,
1/1/26 $ 2,515,050
------------
INSURED UTILITIES - 5.5%
Aaa AAA $ 4,000 Beaver County IDA, Ohio
Edison Company, (FGIC),
7.00%, 6/1/21 $ 4,375,800
Aaa AAA 10,000 Beaver County IDA, Ohio
Edison Company, (FGIC),
7.05%, 10/1/20 11,194,400
</TABLE>
53
<PAGE> 25
- --------------------------------------------------------------------------------
PENNSYLVANIA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES - (CONTINUED)
Aaa AAA 3,800 Puerto Rico Electric Power
Authority, (FSA),
Variable, 7/1/02 (1) 4,377,258
Aaa AAA 6,050 Lehigh County IDA, PA
Power & Light Company,
(MBIA), 6.15%, 8/1/29 6,413,363
------------
$ 26,360,821
------------
INSURED WATER & SEWER - 3.5%
Aaa AAA $ 2,750 Allegheny County, Sewer
Revenue, (FGIC), 0%,
12/1/08 $ 1,420,292
Aaa AAA 2,500 Philadelphia Water and
Wastewater, (FGIC),
Variable, 6/15/12 (1) 2,613,975
Aaa AAA 9,000 Philadelphia Water and
Wastewater, (CGIC), 5.50%,
6/15/15 9,025,380
Aaa AAA 3,960 Philadelphia Water and
Wastewater, (CGIC), 5.00%,
6/15/16 3,774,910
------------
$ 16,834,557
------------
MISCELLANEOUS - 4.1%
NR AA $ 870 Pennsylvania
Infrastructure Investment
Authority, Pennvest,
6.80%, 9/1/10 $ 983,996
NR A 16,950 Pennsylvania Finance
Authority, Beaver County,
6.60%, 11/1/09 18,649,238
------------
$ 19,633,234
------------
NURSING HOMES - 2.0%
NR NR $ 3,500 Montgomery County IDA,
Geriatric Health Care
Institute, 8.375%, 7/1/23 $ 3,689,665
NR NR 1,460 Westmoreland County IDA,
Highland Health System,
9.250%, 6/1/22 1,552,389
NR NR 1,190 Philadelphia Hospital &
Higher Education
Facilities, Protestant
Home, 8.625%, 7/1/21 1,224,795
NR NR 2,750 Wilkens Area IDA, Fairview
Extended Care, 10.25%,
1/1/21 3,158,980
------------
$ 9,625,829
------------
SPECIAL TAX REVENUE - 0.4%
Baa1 A $ 1,500 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/13 $ 1,537,185
Baa1 BBB+ 500 Puerto Rico Special Tax
Revenue, 7.50%, 7/1/09 543,150
------------
$ 2,080,335
------------
UTILITIES - 3.6%
Baa3 BB+ $ 500 Beaver County, IDA, Ohio
Edison Company, 7.75%,
9/1/24 $ 538,665
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 BBB+ 3,250 Delaware County, IDA,
Philadelphia Electric
Company, 7.375%, 4/1/21 3,547,668
Baa1 BBB+ 4,070 Montgomery County, IDA,
Philadelphia Electric
Company, (AMT), 7.60%,
4/1/21 4,443,055
Baa1 A- 3,370 Puerto Rico Electric Power
Authority Power Revenue,
0%, 7/1/17 1,003,519
NR NR 1,500 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,610,925
A2 A 6,025 Washington County IDA West
Penn Power Company, 6.05%,
4/1/14 6,297,993
------------
$ 17,441,825
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $449,367,988) $483,446,406
----------
----------
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
The Portfolio primarily invests in debt securities issued by Pennsylvania
municipalities. The ability of the issuers of 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 January 31, 1996, 28.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.9% to 15.0% of total investments.
See notes to financial statements
54
<PAGE> 26
- --------------------------------------------------------------------------------
Texas Municipals Portfolio
Portfolio of Investments - January 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 3.7%
Aa1 AA $ 250 University of Texas,
6.75%, 8/15/13 (1) $ 278,688
A NR 700 Brazo Texas Higher
Education Authority,
6.50%, 6/1/04 749,546
------------
$ 1,028,234
------------
ELECTRIC UTILITIES - 1.6%
NR BBB $ 500 Guam Power Authority,
5.25%, 10/1/23 $ 449,640
------------
ESCROWED - 3.8%
NR NR $ 200 Bexar County, Texas, St.
Luke's
Lutheran Hospital, 7.00%,
5/1/21 $ 243,792
Aaa NR 1,000 Central Texas Housing
Corporation Single Family,
0%, 9/1/16 308,440
Aaa AAA 85 Harris County, Texas, Toll
Road Unlimited Tax and
Subordinate Lien, 6.625%,
8/15/17 90,463
Aaa AAA 200 Montgomery County, Texas
Hospital District (FSA),
6.625%, 4/1/17 227,978
Aaa AAA 150 Texas National Research
Lab Super Collider, 6.95%,
12/1/12 177,312
------------
$ 1,047,985
------------
GENERAL OBLIGATIONS - 17.2%
Aaa AAA $ 1,000 Bastrop, Texas,
Independent School
District U.T.G.O. (PSF),
0%, 2/15/13 $ 396,310
Aaa NR 500 Crandall, Texas,
Independent School
District U.T.G.O. (PSF),
6.00%, 2/15/24 516,365
Aaa AAA 1,000 Cypress-Fairbanks, Texas,
Independent School
District U.T.G.O. (PSF),
5.25%, 2/15/19 975,200
Aaa AAA 550 Grand Prairie, Texas,
Independent School
District U.T.G.O. (PSF),
0%, 2/15/12 230,148
NR NR 500 Leander, Texas L.T.G.O
6.75%, 8/15/16 519,890
Aaa AAA 1,000 Round Rock, Texas
Independent School
District U.T.G.O. (PSF),
5.50%, 8/1/15 1,009,550
Aa AA 690 Texas Veterans' Housing
Assistance U.T.G.O. (AMT),
6.70%, 12/1/24 (1) 716,468
Aa AA 390 Texas Veterans' Housing
Assistance U.T.G.O. (AMT),
6.80%, 12/1/23 407,265
------------
$ 4,771,196
------------
HEALTH CARE - 2.0%
NR NR $ 500 Bell County, Texas HFC
Elder Care Facilities,
9.00%, 11/1/24 $ 542,670
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 13.6%
NR BBB $ 500 Denison, Texas, Texoma
Medical Center, 7.10%,
8/15/24 $ 524,155
A A- 100 Ector County, Texas,
Hospital District, 7.30%,
4/15/12 108,396
A A- 100 Harris County, Texas,
Hospital District, 7.125%,
6/1/15 108,422
A A- 1,100 Harris County, Texas,
Hospital District,
Memorial Hospital System,
6.625%, 6/1/24 1,163,492
NR BBB 600 Lufkin Texas, Memorial
Health Systems of East
Texas, 6.875%, 2/15/26 593,592
Aa AA 250 McAllen Health Facilities,
Texas, Sisters of Mercy,
5.00%, 6/1/15 232,965
A NR 1,000 Tarrant County, Texas,
Methodist Health System,
6.00%, 9/1/24 1,020,340
------------
$ 3,751,362
------------
HOUSING - 2.8%
NR A $ 750 Travis County, Texas, HFC
Multifamily Travis Station
Apartments, 6.75%, 4/1/19 $ 788,738
------------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION CONTROL REVENUE -
8.1%
Baa1 BBB $ 450 Gulf Coast, Texas, Waste
Disposal Authority,
Champion International
(AMT), 7.25%, 4/1/17 $ 484,799
A2 A+ 1,000 Port Corpus Christi,
Texas, Hoechst Celanese
Corporation, 6.875%,
4/1/17 1,085,750
Baa3 BB+ 250 Puerto Rico Port
Authority, American Air
Lines, 6.30%, 6/1/23 255,985
Baa2 BBB 400 West Side Calhoun County
Navigation District,
Texas, Union Carbide
(AMT), 6.40%, 5/1/23 407,200
------------
$ 2,233,734
------------
INSURED EDUCATION - 0.4%
Aaa AAA $ 100 Southwest, Texas, Southern
Methodist University
(FGIC), 6.375%, 10/1/13 $ 108,423
------------
INSURED ELECTRIC UTILITIES - 15.5%
Aaa AAA $ 1,000 Austin, Texas, Utility
System (FGIC), 6.25%,
5/15/16 $ 1,070,350
</TABLE>
55
<PAGE> 27
- --------------------------------------------------------------------------------
TEXAS MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED ELECTRIC UTILITIES -
(CONTINUED)
Aaa AAA 1,050 Corpus Christi, Texas,
Utility System (MBIA),
5.20%, 7/15/13 1,039,280
Aaa AAA 500 Lower Colorado River
Authority Junior Lien,
Texas, (FGIC), 0%, 1/1/12 214,240
Aaa AAA 605 Montgomery County, Texas,
MUD #47 Water & Sewer
(AMBAC), 6.125%, 10/1/20 635,752
Aaa AAA 100 Sabine River Authority,
Texas, Utilities Electric
Company (FGIC), 6.55%,
10/1/22 108,043
Aaa AAA 1,395 Texas Municipal Power
Agency (MBIA), 0%, 9/1/13 542,278
Aaa AAA 1,000 Texas Municipal Power
Agency (MBIA), 0%, 9/1/17 306,980
Aaa AAA 250 Brazos River Authority,
Texas, Huston Light &
Power (FGIC), 7.20%,
12/1/18 275,890
Aaa AAA 75 Brazos River Authority,
Texas, Huston Light &
Power (FGIC), 6.70%,
3/1/17 83,048
------------
$ 4,275,861
------------
INSURED GENERAL OBLIGATIONS - 4.8%
Aaa AAA $ 100 Brownsville, Texas,
Navigation District
(MBIA), 6.25%,
3/1/14 $ 108,065
Aaa AAA 500 Ector County, Texas
(AMBAC), 4.25%, 2/15/10 455,430
Aaa AAA 250 Port Arthur, Texas (MBIA),
5.50%, 2/15/14 252,472
Aaa AAA 500 Puerto Rico Public
Buildings Authority,
Government Facilities
(AMBAC), 5.50%, 7/1/21 504,185
------------
$ 1,320,152
------------
INSURED HOSPITALS - 10.3%
Aaa AAA $ 250 Coastal Bend, Texas, HFC
Incarnate Word Health
Services (AMBAC), 6.30%,
1/1/17 $ 265,000
Aaa AAA 500 Harris County, Texas, HFC
Hermann Hospital (MBIA),
6.375%, 10/1/24, (2) 533,955
Aaa AAA 1,000 Tarrant County, Texas, HFC
Harris Methodist (AMBAC),
5.125%, 9/1/12 977,580
Aaa AAA 1,000 Tyler County, Texas, HFC
Mother Frances Hospital
(FGIC), 6.50%, 7/1/22 1,073,050
------------
$ 2,849,585
------------
INSURED LEASE / CERTIFICATES OF
PARTICIPATION - 1.8%
Aaa AAA $ 500 East Texas Jails, Angelina
County Project (MBIA),
5.25%, 5/1/14 $ 493,030
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED TRANSPORTATION - 8.2%
Aaa AAA $ 500 Dallas-Fort Worth
International Airport,
Texas (MBIA), 6.00%,
11/1/12 $ 528,475
Aaa AAA 1,750 Harris County, Texas, Toll
Road Subordinate Lien
(FGIC), 5.375%, 8/15/20 1,732,308
------------
$ 2,260,783
------------
LEASE / CERTIFICATES OF
PARTICIPATION - 0.9%
NR BBB- $ 250 Rio Grande, Texas,
Independent School
District Lease, 6.75%,
7/15/10 $ 249,528
------------
MISCELLANEOUS - 0.3%
NR NR $ 250 Retama Development, Texas,
Retama Racetrack, 8.75%,
12/15/18 $ 87,500
------------
TRANSPORTATION - 5.0%
Baa2 BB+ $ 505 Alliance Airport
Authority, American
Airlines, 7.50%, 12/1/29 $ 543,622
Ba1 BB 300 Dallas-Fort Worth Texas
Airport, Delta Airlines
(AMT), 7.125%, 11/1/26 315,684
Baa2 BB+ 225 Dallas-Fort Worth Texas
Airport, American Airlines
(AMT), 7.50%, 11/1/25 242,789
NR BBB 255 Guam Airport Authority
(AMT), 6.70%, 10/1/23 262,823
Aa AA 25 Harris County, Texas, Toll
Road, Subordinate Lien,
6.75%, 8/1/14 27,535
------------
$ 1,392,453
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $25,889,003) $ 27,650,871
============
</TABLE>
(1) Security has been segregated to cover margin requirements for open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Texas
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1996, 41.0% 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 by financial
institution ranged from 0.8% to 16.6% of total investments.
See notes to financial statements
56
<PAGE> 28
- --------------------------------------------------------------------------------
Municipals Portfolios
Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
January 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $131,097,970 $44,485,539 $190,611,515 $177,452,450
Unrealized appreciation 11,071,057 3,663,230 8,620,661 13,600,334
------------ ----------- ------------ ------------
Total investments, at value (Note 1A) $142,169,027 $48,148,769 $199,232,176 $191,052,784
Cash 266,116 1,151,814 212,390 466,127
Receivable for daily variation margin on open
financial futures contracts (Note 1E) -- 187 -- --
Receivable for investments sold 2,526,830 743,298 1,469,160 1,356,926
Interest receivable 1,388,883 563,026 2,443,198 2,888,007
Deferred organization expenses (Note 1D) 3,573 1,153 5,501 5,244
------------ ----------- ------------ ------------
Total assets $146,354,429 $50,608,247 $203,362,425 $195,769,088
------------ ----------- ------------ ------------
LIABILITIES:
Payable for investments purchased $ 1,779,497 $ 1,186,832 $ 1,906,920 $ 1,861,851
Payable for when issued securities (Note 1F) -- 1,001,708 -- 1,435,436
Payable for daily variation margin on open financial
futures contracts (Note 1E) -- -- 13,500 --
Payable to affiliate --
Trustees' fees 672 128 876 876
Accrued expenses 5,233 4,247 7,556 5,862
------------ ----------- ------------ ------------
Total liabilities $ 1,785,402 $ 2,192,915 $ 1,928,852 $ 3,304,025
------------ ----------- ------------ ------------
Net Assets applicable to investors' interest in
Portfolio $144,569,027 $48,415,332 $201,433,573 $192,465,063
============ =========== ============ ============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $133,497,970 $44,751,915 $192,906,345 $178,864,729
Unrealized appreciation of investments and financial
futures contracts (computed on the basis of
identified cost) 11,071,057 3,663,417 8,527,228 13,600,334
------------ ----------- ------------ ------------
Total $144,569,027 $48,415,332 $201,433,573 $192,465,063
============ =========== ============ ============
</TABLE>
See notes to financial statements
57
<PAGE> 29
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Continued)
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
January 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $74,342,228 $381,677,960 $449,367,988 $25,889,003
Unrealized appreciation 6,289,711 30,612,939 34,078,418 1,761,868
----------- ------------ ------------ -----------
Total investments, at value (Note 1A) $80,631,939 $412,290,899 $483,446,406 $27,650,871
Cash 457,740 1,829,108 7,471,474 883,093
Receivable for daily variation margin on open
financial futures contracts (Note 1E) 318 -- -- --
Receivable for investments sold 984,806 3,717,284 30,000 --
Interest receivable 1,066,296 5,272,325 6,525,251 458,919
Deferred organization expenses (Note 1D) 1,836 9,020 10,898 1,111
----------- ------------ ------------ -----------
Total assets $83,142,935 $423,118,636 $497,484,029 $28,993,994
----------- ------------ ------------ -----------
LIABILITIES:
Payable for investments purchased $ 983,241 $ 8,708,966 $ 4,905,639 $ 956,538
Payable for daily variation margin on open financial
futures contracts (Note 1E) -- -- -- 2,000
Payable to affiliate --
Trustees' fees 519 1,488 1,488 128
Accrued expenses 4,779 13,914 3,607 1,632
----------- ------------ ------------ -----------
Total liabilities $ 988,539 $ 8,724,368 $ 4,910,734 $ 960,298
----------- ------------ ------------ -----------
Net Assets applicable to investors' interest in
Portfolio $82,154,396 $414,394,268 $492,573,295 $28,033,696
=========== ============ ============ ===========
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $75,864,369 $383,781,329 $458,494,877 $26,278,428
Unrealized appreciation of investments and financial
futures contracts (computed on the basis of
identified cost) 6,290,027 30,612,939 34,078,418 1,755,268
----------- ------------ ------------ -----------
Total $82,154,396 $414,394,268 $492,573,295 $28,033,696
=========== ============ ============ ===========
</TABLE>
See notes to financial statements
58
<PAGE> 30
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
Six Months Ended January 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income $ 4,329,290 $1,431,313 $5,910,733 $ 5,748,886
----------- ---------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 298,571 $ 65,521 $ 427,474 $ 411,573
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 3,927 555 5,176 5,205
Custodian fees (Note 2) 43,445 16,022 51,966 32,626
Legal and accounting services 25,671 23,062 30,242 33,071
Amortization of organization expenses (Note 1D) 903 311 1,322 1,257
Miscellaneous 16,765 6,522 14,534 27,294
----------- ---------- ----------- -----------
Total expenses $ 389,282 $ 111,993 $ 530,714 $ 511,026
----------- ---------- ----------- -----------
Deduct --
Preliminary reduction of investment adviser fee (Note
2) $ -- $ 7,886 $ -- $ --
Reduction of custodian fee (Note 2) 10,717 7,544 15,526 --
----------- ---------- ----------- -----------
Total $ 10,717 $ 15,430 $ 15,526 $ --
----------- ---------- ----------- -----------
Net expenses $ 378,565 $ 96,563 $ 515,188 $ 511,026
----------- ---------- ----------- -----------
Net investment income $ 3,950,725 $1,334,750 $5,395,545 $ 5,237,860
----------- ---------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 732,439 $ 189,675 $ 496,039 $ 2,007,915
Financial futures contracts (178,231) (101,890) (851,688 ) (235,929)
----------- ---------- ----------- -----------
Net realized gain (loss) on investments $ 554,208 $ 87,785 $ (355,649 ) $ 1,771,986
----------- ---------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments $ 7,242,435 $2,503,804 $10,174,997 $ 9,140,119
Financial futures contracts (48,427) (29,791) (204,892 ) (135,699)
----------- ---------- ----------- -----------
Net unrealized appreciation of investments $ 7,194,008 $2,474,013 $9,970,105 $ 9,004,420
----------- ---------- ----------- -----------
Net realized and unrealized gain on
investments $ 7,748,216 $2,561,798 $9,614,456 $10,776,406
----------- ---------- ----------- -----------
Net increase in net assets from operations $11,698,941 $3,896,548 $15,010,001 $16,014,266
=========== ========== =========== ===========
</TABLE>
See notes to financial statements
59
<PAGE> 31
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Continued)
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
Six Months Ended January 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ----------- ------------ ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income $2,561,226 $12,989,241 $15,739,768 $ 842,231
---------- ----------- ----------- ----------
Expenses --
Investment adviser fee (Note 2) $ 153,853 $ 957,368 $ 1,168,263 $ 29,100
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 2,932 9,183 9,388 800
Custodian fees (Note 2) 24,023 91,853 102,662 9,826
Legal and accounting services 20,771 38,571 40,671 18,871
Amortization of organization expenses (Note 1D) 672 2,250 2,660 304
Miscellaneous 13,567 27,309 18,833 7,019
---------- ----------- ----------- ----------
Total expenses $ 215,818 $1,126,534 $ 1,342,477 $ 65,920
---------- ----------- ----------- ----------
Deduct --
Preliminary reduction of investment adviser fee (Note
2) $ -- $ -- $ -- $ 14,459
Reduction of custodian fee (Note 2) 4,507 53,489 102,662 9,555
---------- ----------- ----------- ----------
Total $ 4,507 $ 53,489 $ 102,662 $ 24,014
---------- ----------- ----------- ----------
Net expenses $ 211,311 $1,073,045 $ 1,239,815 $ 41,906
---------- ----------- ----------- ----------
Net investment income $2,349,915 $11,916,196 $14,499,953 $ 800,325
---------- ----------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 609,784 $1,942,528 $ 2,172,378 $ 140,381
Financial futures contracts (214,250 ) (788,971 ) 612 (27,835)
---------- ----------- ----------- ----------
Net realized gain on investments $ 395,534 $1,153,557 $ 2,172,990 $ 112,546
---------- ----------- ----------- ----------
Change in unrealized appreciation (depreciation) --
Investments $3,719,646 $16,970,282 $20,097,215 $1,340,370
Financial futures contracts (14,180 ) (45,304 ) -- (40,373)
---------- ----------- ----------- ----------
Net unrealized appreciation of investments $3,705,466 $16,924,978 $20,097,215 $1,299,997
---------- ----------- ----------- ----------
Net realized and unrealized gain on
investments $4,101,000 $18,078,535 $22,270,205 $1,412,543
---------- ----------- ----------- ----------
Net increase in net assets from operations $6,450,915 $29,994,731 $36,770,158 $2,212,868
========== =========== =========== ==========
</TABLE>
See notes to financial statements
60
<PAGE> 32
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Six Months Ended January 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 3,950,725 $ 1,334,750 $ 5,395,545 $ 5,237,860
Net realized gain (loss) on investment transactions 554,208 87,785 (355,649 ) 1,771,986
Change in unrealized appreciation of investments 7,194,008 2,474,013 9,970,105 9,004,420
------------ ----------- ------------ ------------
Net increase in net assets from operations $ 11,698,941 $ 3,896,548 $15,010,001 $ 16,014,266
------------ ----------- ------------ ------------
Capital transactions --
Contributions $ 5,189,026 $ 3,116,343 $ 7,108,028 $ 4,650,492
Withdrawals (16,839,955) (4,674,725) (15,960,245 ) (19,462,676)
------------ ----------- ------------ ------------
Decrease in net assets resulting from capital
transactions $(11,650,929) (1,558,382) $(8,852,217 ) $(14,812,184)
------------ ----------- ------------ ------------
Total increase in net assets $ 48,012 $ 2,338,166 $ 6,157,784 $ 1,202,082
NET ASSETS:
At beginning of period 144,521,015 46,077,166 195,275,789 191,262,981
------------ ----------- ------------ ------------
At end of period $144,569,027 $48,415,332 $201,433,573 $192,465,063
============== ============ ============== ==============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 2,349,915 $ 11,916,196 $14,499,953 $ 800,325
Net realized gain on investment transactions 395,534 1,153,557 2,172,990 112,546
Change in unrealized appreciation of investments 3,705,466 16,924,978 20,097,215 1,299,997
----------- ------------ ------------ -----------
Net increase in net assets from operations $ 6,450,915 $ 29,994,731 $36,770,158 $ 2,212,868
----------- ------------ ------------ -----------
Capital transactions --
Contributions $ 2,525,348 $ 13,522,474 $11,313,722 $ 417,877
Withdrawals (9,789,563) (40,161,359) (57,760,889 ) (2,824,070)
----------- ------------ ------------ -----------
Decrease in net assets resulting from capital
transactions $(7,264,215) $(26,638,885) $(46,447,167) $(2,406,193)
----------- ------------ ------------ -----------
Total increase (decrease) in net assets $ (813,300) $ 3,355,846 $(9,677,009 ) $ (193,325)
NET ASSETS:
At beginning of period 82,967,696 411,038,422 502,250,304 28,227,021
----------- ------------ ------------ -----------
At end of period $82,154,396 $414,394,268 $492,573,295 $28,033,696
============ ============== =============== ============
</TABLE>
See notes to financial statements
61
<PAGE> 33
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Continued)
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Year Ended July 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 8,611,581 $ 2,800,174 $11,005,611 $ 11,377,793
Net realized loss on investment transactions (5,872,496) (2,521,981) (5,335,034 ) (6,232,336)
Change in unrealized appreciation of investments 7,857,458 2,823,551 4,533,624 6,947,077
------------ ------------ ------------ ------------
Net increase in net assets from operations $ 10,596,543 $ 3,101,744 $10,204,201 $ 12,092,534
------------ ------------ ------------ ------------
Capital transactions --
Contributions $ 21,272,707 $ 10,355,365 $25,911,862 $ 14,779,804
Withdrawals (41,416,595) (11,778,902) (32,878,239 ) (39,641,020)
------------ ------------ ------------ ------------
Decrease in net assets resulting from capital
transactions $(20,143,888) $ (1,423,537) $(6,966,377 ) $(24,861,216)
------------ ------------ ------------ ------------
Total increase (decrease) in net assets $ (9,547,345) $ 1,678,207 $ 3,237,824 $(12,768,682)
NET ASSETS:
At beginning of year 154,068,360 44,398,959 192,037,965 204,031,663
------------ ------------ ------------ ------------
At end of year $144,521,015 $ 46,077,166 $195,275,789 $191,262,981
============== ============= ============== ==============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 4,867,333 $ 24,622,808 $ 30,623,550 $ 1,690,403
Net realized loss on investment transactions (5,215,244) (17,774,510) (20,294,984 ) (1,003,751)
Change in unrealized appreciation of investments 4,768,674 16,631,954 19,002,225 1,220,058
------------ ------------ ------------- -----------
Net increase in net assets from operations $ 4,420,763 $ 23,480,252 $ 29,330,791 $ 1,906,710
------------ ------------ ------------- -----------
Capital transactions --
Contributions $ 11,350,380 $ 43,487,001 $ 38,709,755 $ 4,736,724
Withdrawals (16,808,817) (79,782,847) (102,576,381 ) (6,005,420)
------------ ------------ ------------- -----------
Decrease in net assets resulting from capital
transactions $ (5,458,437) $(36,295,846) $(63,866,626 ) $(1,268,696)
------------ ------------ ------------- -----------
Total increase (decrease) in net assets $ (1,037,674) $(12,815,594) $(34,535,835 ) $ 638,014
NET ASSETS:
At beginning of year 84,005,370 423,854,016 536,786,139 27,589,007
------------ ------------ ------------- -----------
At end of year $ 82,967,696 $411,038,422 $502,250,304 $28,227,021
============= ============== =============== ============
</TABLE>
See notes to financial statements
62
<PAGE> 34
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA PORTFOLIO COLORADO PORTFOLIO
-------------------------------------------------- ---------------------------------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED ------------------------------- ENDED -------------------------------
JANUARY 31, 1996 JULY 31, JULY 31, SEPT. 30, JANUARY 31, 1996 JULY 31, JULY 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993** (UNAUDITED) 1995 1994* 1993**
---------------- -------- -------- --------- ----------------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (AS A
PERCENTAGE OF
AVERAGE DAILY
NET ASSETS)++:
Net expenses (1) 0.53%+ 0.52% 0.46%+ 0.42% + 0.44%+ 0.25% 0.02% + 0.06%+
Net investment
income 5.43%+ 5.81% 5.43%+ 5.46% + 5.61%+ 6.05% 5.73% + 5.60%+
PORTFOLIO TURNOVER 7% 22% 23% 107% 19% 52% 23% 10%
NET ASSETS, end of
period (000
omitted) $144,569 $144,521 $154,068 $133,539 $48,415 $46,077 $44,399 $24,346
</TABLE>
++The operating expenses of the Portfolios may reflect a reduction of the
investment adviser fee and/or allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET ASSETS):
Expenses (1) 0.47%+ 0.40% 0.35% + 0.35%+
Net investment income 5.58%+ 5.90% 5.40% + 5.31%+
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONNECTICUT PORTFOLIO MICHIGAN PORTFOLIO
-------------------------------------------------- --------------------------------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED ------------------------------- ENDED -------------------------------
JANUARY 31, 1996 JULY 31, JULY 31, SEPT. 30, JANUARY 31, 1996 JULY 31, JULY 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993** (UNAUDITED) 1995 1994* 1993**
---------------- -------- -------- --------- ---------------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (AS A PERCENTAGE
OF AVERAGE DAILY
NET ASSETS):
Net expenses (1) 0.53%+ 0.53% 0.47%+ 0.46% + 0.53%+ 0.48% 0.47%+ 0.44% +
Net investment
income 5.39%+ 5.77% 5.40%+ 5.45% + 5.43%+ 5.85% 5.48%+ 5.46% +
PORTFOLIO TURNOVER 15% 29% 10% 10% 26% 54% 45% 20%
NET ASSETS, end of
period
(000 omitted) $201,434 $195,276 $192,038 $159,848 $192,465 $191,263 $204,032 $187,665
+ Annualized.
* For the ten months ended July 31, 1994.
** For the period from the start of business, February 1, 1993, to September 30, 1993.
(1) The annualized expense ratios for the six months ended January 31, 1996 have been adjusted to reflect a
change in reporting requirements. The new reporting guidelines require each Portfolio to increase its
expense ratio by the effect of any expense offset arrangements with its service providers. The expense
ratios for each of the three periods ended July 31, 1995 and 1994 and September 30, 1993 have not been
adjusted to reflect this change.
</TABLE>
See notes to financial statements
63
<PAGE> 35
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Continued)
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA PORTFOLIO NEW JERSEY PORTFOLIO
-------------------------------------------------- --------------------------------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED ------------------------------- ENDED -------------------------------
JANUARY 31, 1996 JULY 31, JULY 31, SEPT. 30, JANUARY 31, 1996 JULY 31, JULY 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993** (UNAUDITED) 1995 1994* 1993**
---------------- -------- -------- --------- ---------------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (AS A
PERCENTAGE OF
AVERAGE DAILY
NET ASSETS):
Net expenses (1) 0.51%+ 0.47% 0.45% + 0.40%+ 0.54%+ 0.52% 0.50%+ 0.50% +
Net investment
income 5.58%+ 5.83% 5.50% + 5.58%+ 5.74%+ 5.96% 5.62%+ 5.67% +
PORTFOLIO TURNOVER 33% 76% 20% 10% 21% 54% 25% 12%
NET ASSETS, end of
period (000 omitted) $ 82,154 $82,968 $84,005 $67,019 $414,394 $411,038 $423,854 $393,677
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PENNSYLVANIA PORTFOLIO TEXAS PORTFOLIO
-------------------------------------------------- --------------------------------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED ------------------------------- ENDED -------------------------------
JANUARY 31, 1996 JULY 31, JULY 31, SEPT. 30, JANUARY 31, 1996 JULY 31, JULY 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993** (UNAUDITED) 1995 1994* 1993**
---------------- -------- -------- --------- ---------------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (AS A
PERCENTAGE OF
AVERAGE DAILY
NET ASSETS)++ :
Net expenses (1) 0.54%+ 0.49% 0.48%+ 0.50% + 0.36%+ 0.08% 0.00% + 0.03%+
Net investment
income 5.82%+ 6.02% 5.66%+ 5.71% + 5.63%+ 6.20% 5.69% + 5.82%+
PORTFOLIO TURNOVER 15% 44% 21% 17% 13% 49% 27% 8%
NET ASSETS, end of
period (000 omitted) $492,573 $502,250 $536,786 $497,001 $ 28,034 $28,227 $27,589 $16,029
</TABLE>
++The operating expenses of the Portfolios may reflect a reduction of the
investment adviser fee and/or allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
<TABLE>
<S> <C> <C> <C> <C>
RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET ASSETS):
Expenses (1) 0.47%+ 0.35% 0.37% + 0.42%+
Net investment income 0.52%+ 5.93% 5.32% + 5.43%+
</TABLE>
+ Annualized.
* For the ten months ended July 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
(1) The annualized expense ratios for the six months ended January 31, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Portfolio to increase its expense ratio
by the effect of any expense offset arrangements with its service
providers. The expense ratios for each of the three periods ended July 31,
1995 and 1994 and September 30, 1993 have not been adjusted to reflect this
change.
See notes to financial statements
64
<PAGE> 36
- --------------------------------------------------------------------------------
Notes to Financial Statements
(Unaudited)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
Arizona Municipals Portfolio (Arizona Portfolio), Colorado Municipals Portfolio
(Colorado Portfolio), Connecticut Municipals Portfolio (Connecticut Portfolio),
Michigan Municipals Portfolio (Michigan Portfolio), Minnesota Municipals
Portfolio (Minnesota Portfolio), New Jersey Municipals Portfolio (New Jersey
Portfolio), Pennsylvania Municipals Portfolio (Pennsylvania Portfolio) and Texas
Municipals Portfolio (Texas Portfolio), collectively the Portfolios, are
registered under the Investment Company Act of 1940 as non-diversified open-end
management investment companies which were organized as trusts under the laws of
the State of New York on May 1, 1992. The Declarations of Trust permit the
Trustees to issue interests in the Portfolios. The following is a summary of
significant accounting policies of the Portfolios. The policies are in
conformity with generally accepted accounting principles.
A. INVESTMENT VALUATIONS -- Municipal bonds are normally valued on the basis of
valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the mean
between the latest bid and asked prices. Futures contracts listed on commodity
exchanges are valued at closing settlement 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 are
ultimately responsible for the payment of any taxes. Since some of the
Portfolios' investors are regulated investment companies that invest all or
substantially all of their assets in the Portfolios, the Portfolios normally
must satisfy the applicable source of income and diversification requirements
(under the Internal Revenue Code) in order for their respective investors to
satisfy them. The Portfolios will allocate at least annually among their
respective investors each investor's distributive share of the Portfolios' net
taxable (if any) and tax-exempt investment income, net realized capital
gains, and any other items of income, gain, loss, deductions or credit. Interest
income received by the Portfolios on investments in municipal bonds, which is
excludable from gross income under the Internal Revenue Code, will retain its
status as income exempt from federal income tax when allocated to each
Portfolio's investors. The portion of such interest, if any, earned on private
activity bonds issued after August 7, 1986, may be considered a tax preference
item for investors.
D. DEFERRED ORGANIZATION EXPENSES -- Costs incurred by a Portfolio in connection
with its organization are being amortized on the straight-line basis over five
years.
E. FINANCIAL FUTURES CONTRACTS -- Upon the entering of a financial futures
contract, a Portfolio is required to deposit ("initial margin") either in cash
or securities an amount equal to a certain percentage of the purchase price
indicated in the financial futures contract. Subsequent payments are made or
received by a Portfolio ("margin maintenance") each day, dependent on the daily
fluctuations in the value of the underlying security, and are recorded for book
purposes as unrealized gains or losses by a Portfolio. A Portfolio's investment
in financial futures contracts is designed only to hedge against anticipated
future changes in interest rates. Should interest rates move unexpectedly, the
Portfolio may not achieve the anticipated benefits of the financial futures
contracts and may realize a loss.
F. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- The Portfolios may engage in
when-issued and delayed delivery transactions. The Portfolio records when-issued
securities on trade date and maintains security positions such that sufficient
liquid assets will be available to make payments for the securities purchased.
Securities purchased on a when-issued or delayed delivery basis are
marked-to-market daily and begin accruing interest on settlement date.
G. OTHER -- Investment transactions are accounted for on a trade date basis.
H. INTERIM FINANCIAL INFORMATION -- The interim financial statements relating to
January 31, 1996 and for the six month period then ended have not been audited
by independent certified public accountants, but in the opinion of the Fund's
management, reflect all adjustments, consisting of normal recurring adjustments,
necessary for the fair presentation of the financial statements.
65
<PAGE> 37
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Continued)
- --------------------------------------------------------------------------------
(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 January 31, 1996, each Portfolio paid advisory fees as
follows:
<TABLE>
<CAPTION>
AMOUNT EFFECTIVE RATE*
---------- ----------------
<S> <C> <C>
Arizona $ 298,571 0.41%
Colorado 65,521 0.28%
Connecticut 427,474 0.43%
Michigan 411,573 0.43%
Minnesota 153,853 0.39%
New Jersey 957,368 0.46%
Pennsylvania 1,168,263 0.47%
Texas 29,100 0.20%
</TABLE>
* Advisory fees paid as a percentage of average daily net assets (annualized).
To enhance the net income of the Colorado Portfolio and the Texas Portfolio, BMR
made a preliminary reduction in its fee in the amount of $7,886 and $14,459,
respectively. Except as to Trustees of the Portfolios who are not members of
EVM's or BMR's organization, officers and Trustees receive remuneration for
their services to the Portfolios out of such investment adviser fee.
Investors Bank & Trust Company (IBT), serves as custodian of the Portfolios.
Prior to November 10, 1995, IBT was an affiliate of EVM and BMR. Pursuant to the
custodian agreements, IBT receives a fee reduced by credits which are determined
based on the average daily cash balances each Portfolio maintains with IBT. All
significant credit balances used to reduce the Portfolio's custody fees are
reported as a reduction of expenses in the Statement of Operations. 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 January 31, 1996, no significant amounts have been deferred.
- --------------------------------------------------------------------------------
(3) INVESTMENTS
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, for the six months ended January 31, 1996, were as
follows:
<TABLE>
<CAPTION>
ARIZONA PORTFOLIO COLORADO PORTFOLIO CONNECTICUT PORTFOLIO MICHIGAN PORTFOLIO
------------------- -------------------- ---------------------- ------------------
<S> <C> <C> <C> <C>
Purchases $ 9,425,943 $ 9,027,980 $ 29,516,260 $ 49,103,849
Sales 19,400,775 9,073,787 32,117,333 55,895,435
</TABLE>
<TABLE>
<CAPTION>
MINNESOTA PORTFOLIO NEW JERSEY PORTFOLIO PENNSYLVANIA PORTFOLIO TEXAS PORTFOLIO
------------------- -------------------- ---------------------- ------------------
<S> <C> <C> <C> <C>
Purchases $27,318,336 $ 84,966,403 $ 72,937,855 $ 3,454,546
Sales 32,514,971 96,415,333 103,247,490 4,514,789
</TABLE>
66
<PAGE> 38
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation/depreciation in value of the investments
owned by each Portfolio at January 31, 1996, as computed on a federal income tax
basis, were as follows:
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Aggregate Cost $131,097,970 $ 44,485,539 $190,611,515 $177,452,450
------------ ------------ ------------ ------------
Gross unrealized appreciation $ 11,266,775 $ 3,678,667 $ 8,948,596 $ 13,871,894
Gross unrealized depreciation 195,718 15,437 687,935 271,560
------------ ------------ ------------ ------------
Net unrealized appreciation $ 11,071,057 $ 3,663,230 $ 8,260,661 $ 13,600,334
============== ============== =============== ==============
</TABLE>
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Aggregate Cost $ 74,342,228 $381,677,960 $449,367,988 $ 25,889,003
------------ ------------ ------------ ------------
Gross unrealized appreciation $ 6,289,711 $ 30,730,423 $34,849,073 $ 1,918,342
Gross unrealized depreciation -- 117,484 770,655 156,474
------------ ------------ ------------ ------------
Net unrealized appreciation $ 6,289,711 $ 30,612,939 $34,078,418 $ 1,761,868
============== ============== =============== ==============
</TABLE>
- --------------------------------------------------------------------------------
(5) LINE OF CREDIT
The Portfolios participate with other portfolios and funds managed by BMR and
EVM in a $120 million unsecured line of credit agreement with a bank. The line
of credit consists of a $20 million committed facility and a $100 million
discretionary facility. Each Portfolio may temporarily borrow up to 5% of its
total assets to satisfy redemption requests or settle investment transactions.
Interest is charged to each portfolio or fund based on its borrowings at an
amount above either the bank's adjusted certificate of deposit rate, a variable
adjusted certificate of deposit rate, or a federal funds effective rate. In
addition, a fee computed at an annual rate of 1/4 of 1% on the $20 million
committed facility and on the daily unused portion of the $100 million
discretionary facility is allocated among the participating funds and portfolios
at the end of each quarter. The Portfolios did not have any significant
borrowings or allocated fees during the period.
67
<PAGE> 39
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Continued)
- --------------------------------------------------------------------------------
(6) FINANCIAL INSTRUMENTS
The Portfolios regularly trade in financial instruments with off-balance sheet
risk in the normal course of their investing activities to assist in managing
exposure to various market risks. These financial instruments include written
options and futures contracts and may involve, to a varying degree, elements of
risk in excess of the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at January 31, 1996
is as follows:
<TABLE>
<CAPTION>
FUTURES
CONTRACTS NET UNREALIZED
PORTFOLIO EXPIRATION DATE CONTRACTS POSITION APPRECIATION (DEPRECIATION)
- -------------- ---------------- ---------------------- --------
<S> <C> <C> <C> <C>
Colorado 3/96 10 U.S. Treasury Bonds Short $ 187
Connecticut 3/96 54 U.S. Treasury Bonds Short (93,433)
Minnesota 3/96 17 U.S. Treasury Bonds Short 317
Texas 3/96 8 U.S. Treasury Bonds Short (6,600)
</TABLE>
At January 31, 1996, the Colorado, Connecticut, Minnesota, and Texas Portfolios
had sufficient cash and/or securities to cover margin requirements on open
financial futures contracts. The Arizona, Michigan, New Jersey and Pennsylvania
Portfolios had no obligations outstanding under these financial instruments at
January 31, 1996.
68
<PAGE> 40
INVESTMENT MANAGEMENT FOR PORTFOLIO
OFFICERS
THOMAS J. FETTER
President
JAMES B. HAWKES
Vice President, Trustee
ROBERT B. MACINTOSH
Vice President of Arizona, Connecticut, Michigan, Minnesota, New Jersey,
Pennsylvania, and Texas Portfolio and Portfolio Manager of New Jersey
Municipals Portfolio.
NICOLE ANDERES
Vice President and Portfolio Manager of Connecticut and Texas Municipals
Portfolio.
TIMOTHY T. BROWSE
Vice President and Portfolio Manager of Michigan and Pennsylvania Municipals
Portfolios.
CYNTHIA J. CLEMSON
Vice President and Portfolio Manager of Arizona Municipal Portfolio.
DAVID C. REILLY
Vice President and Portfolio Manager of Colorado and Minnesota Municipals
Portfolio.
JAMES L. O'CONNOR
Treasurer
THOMAS OTIS
Secretary
INDEPENDENT TRUSTEES
DONALD R. DWIGHT
President, Dwight Partners, Inc.
Chairman, Newspaper of New England, Inc.
SAMUEL L. HAYES, III
Jacob H. Schiff Professor of Investment Banking
Harvard University Graduate School of Business
Administration
NORTON H. REAMER
President and Director, United Asset Management Corporation
JOHN L. THORNDIKE
Director, Fiduciary Company Incorporated
JACK L. TREYNOR
Investment Advisor and Consultant
