<PAGE> 1
EATON VANCE MUNICIPALS TRUST
For the Marathon & Traditional Combined Alabama, Arkansas, Georgia, Kentucky,
Louisiana, Maryland, Missouri, North Carolina, Oregon, South Carolina,
Tennessee, Virginia Municipals Semi-Annual Report
[LOGO}
August 31, 1996
Portfolio Investment Adviser
Boston Management and Research
24 Federal Street
Boston, MA 02110
Fund Administrator
Eaton Vance Management
24 Federal Street
Boston, MA 02110
(617) 482-8260
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
89 South Street
P.O. Box 1537
Boston, MA 02205-1537
Transfer Agent
First Data Services Group
Attn: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
Independent Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
<PAGE> 2
Alabama Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
ELECTRIC
UTILITIES - 1.6%
Baa1 BBB+ $ 180 Puerto Rico Electric
Power Authority, 7.00%,
7/1/07 $ 191,696
Baa1 BBB+ 500 Puerto Rico Electric
Power Authority, 6.375%,
7/1/24 511,845
Baa1 BBB+ 1,000 Puerto Rico Electric
Power Authority, 6.00%,
7/1/10 1,003,750
------------
$ 1,707,291
------------
ESCROWED - 5.5%
NR AA $ 500 Birmingham, Alabama
Improvement Warrants,
6.60%, 7/1/17 $ 546,590
NR BBB 2,000 Gadsen East, Alabama
Medical Clinic Board
(Baptist Hospital),
7.80%, 11/1/21 2,300,300
NR BBB 350 Gadsen East, Alabama
Medical Clinic Board
(Baptist Hospital),
7.60%, 11/1/08 399,392
A NR 250 Montgomery, Alabama
(Jackson Hospital),
7.00%, 3/1/15 277,197
Baa1 A- 320 Puerto Rico Electric
Power, 7.00%, 7/1/07 346,784
Aaa AAA 250 Tuscaloosa, Alabama
Limited
Obligation-Capital
Outlay Warrants (AMBAC),
6.50%, 2/1/15 264,235
Aa NR 1,600 University of Alabama-
Birmingham Medical &
Educational Foundation
Housing, 7.00%, 12/1/19 1,743,312
------------
$ 5,877,810
------------
GENERAL OBLIGATIONS - 2.2%
A1 AA $1,000 Birmingham, Alabama
U.T.G.O., 5.75%, 6/1/16 $ 979,110
Baa1 A 1,000 Puerto Rico General
Obligation, 6.50%,
7/1/23 1,055,580
NR NR 250 Virgin Islands, 7.25%,
10/1/18 263,378
------------
$ 2,298,068
------------
HOSPITALS - 14.0%
Aa AA $2,250 Alabama Special Care
(Daughters of Charity),
5.00%, 11/1/25 $ 1,922,558
NR BBB 3,000 Alexander, Alabama
Special Care (Russell
Hospital),
6.00%, 12/1/22 2,762,550
Baa BBB- 1,000 Baldwin, Alabama (Thomas
Hospital), 6.75%, 4/1/21 986,950
Baa NR 1,000 Cullman, Alabama Medical
Clinic Board (Cullman
Regional Medical
Center), 6.50%, 2/15/23 971,700
Baa1 NR 2,000 Jasper, Alabama Medical
Clinic Board (Walker
Regional Medical
Center), 6.40%, 7/1/11 1,988,420
Baa1 NR 3,550 Jasper, Alabama Medical
Clinic Board (Walker
Regional Medical
Center), 6.375%, 7/1/18
(2) 3,453,901
Baa BBB 2,000 Marshall, Alabama (Boaz-
Albertville Medical
Center), 7.00%, 1/1/20 2,004,080
A A 745 Montgomery, Alabama
Medical Clinic Board
(Jackson Hospital),
7.00%, 3/1/15 773,630
------------
$ 14,863,789
------------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION
CONTROL REVENUE - 12.9%
Baa1 BBB $1,200 Courtland, Alabama
(Champion International
Corporation), 7.20%,
12/1/13 $ 1,290,228
Baa1 BBB 800 Courtland, Alabama
(Champion International
Corporation) (AMT),
7.00%, 6/1/22 830,800
Baa1 BBB 2,000 Courtland, Alabama
(Champion International
Corporation) (AMT),
6.50%, 9/1/25 1,951,600
Baa3 BBB- 2,000 Mobile, Alabama (Mobile
Energy), 6.95%, 1/1/20 2,057,560
A2 NR 1,000 PR IM&E (American Home
Products), 5.10%,
12/1/18 894,690
Baa3 BB+ 1,000 Puerto Rico Port
Authority (American
Airlines) (AMT), 6.30%,
6/1/23 999,870
Baa3 BB+ 2,780 Puerto Rico Port
Authority (American
Airlines) (AMT), 6.25%,
6/1/26 2,761,068
A3 A- 1,000 Selma, Alabama
(International Paper
Oil) (AMT), 6.00%,
12/1/17 959,370
A2 A+ 2,000 Tallahasse, Alabama
(United Tech), 6.10%,
8/1/14 1,989,080
------------
$ 13,734,266
------------
</TABLE>
42
<PAGE> 3
- --------------------------------------------------------------------------------
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 - 8.7%
Aaa AAA $1,000 Alabama A&M University
(MBIA), 6.375%, 11/1/09 $ 1,059,930
Aaa AAA 1,770 Alabama A&M University
(MBIA), 5.75%, 11/1/14 1,756,052
Aaa Aaa 2,000 Alabama State University
Tuition & Fee (MBIA),
5.80%, 12/1/20 1,939,080
Aaa AAA 4,000 University of Alabama
Student Housing (MBIA),
5.00%, 6/1/16 3,587,400
Aaa AAA 1,000 University of South
Alabama Tuition (AMBAC),
5.00%, 11/15/15 903,720
------------
$ 9,246,182
------------
INSURED ELECTRIC UTILITIES - 8.8%
Aaa AAA $1,500 Athens, Alabama Electric
(MBIA), 6.00%, 6/1/25 $ 1,506,900
Aaa AAA 3,000 Columbia, Alabama IDB
(AL Power) (AMBAC),
6.50%, 9/1/23 3,109,470
Aaa AAA 2,500 Dekalb & Cherokee,
Alabama Gas District
(AMBAC), 5.50%, 3/1/21 2,380,600
Aaa AAA 250 Puerto Rico Electric
Power Authority
(STRIPES) (FSA),
Variable, 7/1/03 (1) 268,683
Aaa AAA 2,000 Wilsonville, Alabama PCR
(MBIA), 6.75%, 2/1/15 2,120,720
------------
$ 9,386,373
------------
INSURED GENERAL
OBLIGATIONS - 8.2%
Aaa AAA $ 500 Fairfield City, Alabama
(AMBAC), 6.30%, 6/1/22 $ 518,505
Aaa AAA 2,065 Hoover, Alabama Warrants
(AMBAC), 5.00%, 3/1/20 1,825,584
Aaa AAA 1,000 Huntsville, Alabama
Public Building
Authority (MBIA), 6.00%,
10/1/25 1,004,760
Aaa AAA 3,250 Madison, Alabama School
Warrants (MBIA), 6.00%,
2/1/24 3,301,090
Aaa AAA 1,535 North Port, Alabama
(AMBAC), 5.70%, 3/1/21 1,483,915
Aaa AAA 500 Troy City, Alabama
(CAPG), 6.60%, 6/1/12 534,835
------------
$ 8,668,689
------------
INSURED HEALTH CARE - 2.0%
Aaa AAA $2,000 Huntsville, Alabama
Health Care Facilities
(MBIA), 6.50%, 6/1/13 $ 2,110,440
------------
INSURED HOSPITAL - 1.3%
Aaa AAA $1,500 University of Alabama
Hospital Revenue-
Birmingham (MBIA),
5.00%, 10/1/14 $ 1,360,410
------------
INSURED MISCELLANEOUS - 0.5%
Aaa AAA $1,950 Jefferson, Alabama
Birmingham-Jefferson
Civic Center (MBIA), 0%,
9/1/18 $ 514,722
------------
INSURED PORT AUTHORITY - 4.3%
Aaa AAA $4,500 Alabama State Docks
Department (MBIA) (AMT),
6.30%, 10/1/21 $ 4,552,830
------------
INSURED SOLID WASTE - 4.4%
Aaa AAA $4,000 Huntsville, Alabama
Solid Waste Disposal
(FGIC) (AMT), 7.00%,
10/1/14 $ 4,257,520
Aaa AAA 350 Huntsville, Alabama
Solid Waste Disposal
(FGIC) (AMT), 7.00%,
10/1/08 375,841
------------
$ 4,633,361
------------
INSURED WATER & SEWER - 21.0%
Aaa AAA $2,500 Alabama Water Pollution
Control Authority
(AMBAC), 5.00%, 8/15/15 $ 2,247,925
Aaa AAA 2,000 Bessemer, Alabama Water
(AMBAC), 5.75%, 7/1/26 1,944,260
Aaa AAA 2,000 Chilton, Alabama Water
(AMBAC), 5.50%, 4/1/21 1,894,300
Aaa AAA 1,000 Fort Payne, Alabama
Water (MBIA), 5.35%,
7/1/16 937,240
Aaa AAA 1,000 Fort Payne, Alabama
Water (MBIA), 5.25%,
7/1/26 897,620
Aaa AAA 1,100 Gulf Shores, Alabama
Water and Sewer (AMBAC),
6.50%, 2/1/15 1,155,066
Aaa AAA 500 Northeast, Alabama
Water, Sewer and Fire
Protection (AMBAC),
5.70%, 5/1/23 485,950
Aaa AAA 3,075 Prichard, Alabama Water
and Sewer (AMBAC),
6.125%, 11/15/14 3,162,699
Aaa AAA 1,400 Satsuma Alabama
Waterworks and Sewer
(MBIA), 6.00%, 7/1/25 1,406,482
Aaa AAA 6,000 Scottsboro, Alabama
Water, Sewer and Gas
(AMBAC), 6.50%, 12/1/14 6,372,660
</TABLE>
43
<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>
INSURED WATER & SEWER - (CONTINUED)
Aaa AAA 750 West Morgan-East
Lawrence, Alabama Water
Authority (FGIC), 6.00%,
5/1/22 757,493
Aaa AAA 1,000 West Morgan-East
Lawrence, Alabama Water
Authority (FSA), 6.85%,
8/15/25 1,078,460
------------
$ 22,340,155
------------
LEASE - 0.4%
NR BBB $ 500 PR ITEM Guaynabo Lease,
5.625%, 7/1/22 $ 451,885
------------
MISCELLANEOUS - 0.1%
A A $ 100 Tennessee Valley,
Alabama Exhibit
Commission, 6.70%,
6/1/10 $ 106,933
------------
NURSING HOMES - 0.9%
NR NR $ 325 Fairhope Alabama Midtown
Medical Clinic Board
(Beverly Enterprises),
6.375%, 6/1/09 $ 308,802
NR NR 670 Mobile Alabama Midtown
Medical Clinic Board
(Beverly Enterprises),
7.00%, 4/1/07 666,496
------------
$ 975,298
------------
TRANSPORTATION - 1.9%
NR BBB $2,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 2,020,140
------------
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
WATER & SEWER - 1.3%
NR NR $1,500 Moulton City, Alabama
Water, 6.30%, 1/1/18 $ 1,424,250
------------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$103,574,803) $106,272,892
============
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Alabama
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specified industry or
municipality. In order to reduce the risk associated with such economic
developments, at August 31, 1996, 55.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 0.5% to 26.4% of total investments.
See notes to financial statements
44
<PAGE> 5
Arkansas Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 4.9%
A1 NR $1,750 University of Arkansas
Board of Trustees, 7.20%,
12/1/10 (2) $ 1,943,515
A NR 610 Arkansas State Student
Loan Authority (AMT),
7.25%, 6/1/09 666,889
A NR 1,000 Arkansas State Student
Loan Authority (AMT),
6.25%, 6/1/10 994,420
------------
$ 3,604,824
------------
ELECTRIC UTILITIES - 9.6%
A NR $1,750 Conway, Arkansas
Electric, 5.70%, 8/1/09 $ 1,741,985
NR BBB 1,250 Guam Power Authority,
5.25%, 10/1/13 1,119,875
NR BBB 1,250 Guam Power Authority,
5.25%, 10/1/23 1,073,250
Baa2 BBB 1,250 Independence, Arkansas
PCR (AR P & L), 6.25%,
1/1/21 1,231,425
Baa2 BBB- 750 Jefferson, Arkansas PCR
(AR P & L), 6.125%,
10/1/07 750,135
Baa2 BBB 550 Jefferson, Arkansas PCR
(AR P & L), 6.30%, 6/1/18 555,511
Baa2 BBB 500 Pope, Arkansas PCR (AR P
& L), 6.30%, 12/1/16 498,240
Baa1 BBB+ 500 Puerto Rico Electric
Power Authority, 0%,
7/1/17 138,810
------------
$ 7,109,231
------------
ESCROWED - 3.6%
Aaa AAA $ 500 Arkansas DFA Wastewater
System (MBIA), 7.00%,
6/1/14 $ 551,860
Aaa AAA 650 Arkansas State Waste
Disposal and Pollution
Abatement U.T.G.O.,
6.25%, 7/1/22 696,644
Aaa AAA 500 Harrison, Arkansas Single
Family Mortgage (FGIC),
7.40%, 9/1/11 571,240
Aaa AAA 750 Puerto Rico Public
Buildings Authority
6.875%, 7/1/21 839,948
------------
$ 2,659,692
------------
GENERAL OBLIGATIONS - 4.5%
Aa AA $ 750 Arkansas State College
Savings, 0%, 6/1/13 $ 279,255
Aa AA 2,750 Arkansas State College
Savings, 0%, 6/1/14 965,250
Aa AA 1,000 Arkansas State College
Savings, 0%, 6/1/14 351,000
Baa1 A 1,000 Puerto Rico, 5.25%,
7/1/18 914,990
NR NR 750 Virgin Island, 7.25%,
10/1/18 790,133
------------
$ 3,300,628
------------
HOSPITALS - 15.2%
Aa AA $2,750 Arkansas DFA (Sisters of
Mercy), 5.00%, 6/1/19 $ 2,438,920
Baa NR 700 Baxter, Arkansas Hospital
Improvement, 7.25%,
9/1/07 738,094
Baa NR 750 Baxter, Arkansas Hospital
Improvement, 7.50%,
9/1/21 795,195
NR A+ 1,125 Little Rock, Arkansas
(Baptist Medical Center),
6.80%, 11/1/05 1,240,898
NR A+ 1,750 Little Rock, Arkansas
(Baptist Medical Center),
5.50%, 9/1/15 1,659,193
NR A 1,000 Little Rock, Arkansas
(Baptist Medical Center-
Parkway Village), 7.00%,
10/1/17 1,057,190
NR A- 2,250 Pulaski, Arkansas
(Children's Hospital),
6.20%, 3/1/22 2,247,098
A1 AA 1,000 Sebastian, Arkansas
(Sparks Regional Medical
Center), 5.60%, 4/1/06 1,019,710
------------
$11,196,298
------------
HOUSING - 11.2%
NR AAA $1,830 Arkansas DFA Single
Family Mortgage (GNMA)
(AMT), 5.80%, 6/1/25 $ 1,789,758
NR AAA 725 Arkansas DFA Single
Family Mortgage (GNMA)
(AMT), 7.85%, 12/1/21 761,373
NR AAA 3,550 Arkansas DFA Single
Family Mortgage
(GNMA/FNMA) (AMT), 6.70%,
7/1/27 3,609,640
NR AAA 1,000 Arkansas DFA Single
Family Mortgage (GNMA)
(AMT), 7.45%, 1/1/27 1,074,270
A NR 3,000 Arkansas DFA Compound
Accretion, 0%, 12/1/11 1,028,430
------------
$ 8,263,471
------------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION
CONTROL REVENUE - 15.4%
Baa2 BBB $2,350 Baxter, Arkansas IDR
(Aeroquip Corporation),
5.80%, 10/1/13 $ 2,266,082
A1 AA- 2,500 Blytheville, Arkansas
(Nucor Corporation)
(AMT), 6.90%, 12/1/21 2,622,400
</TABLE>
45
<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>
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION
CONTROL REVENUE - (CONTINUED)
A1 AA- 300 Blytheville, Arkansas
(Nucor Corporation)
(AMT), 6.375%, 1/1/23 304,116
A3 A- 745 Gurdon, Arkansas
(International Paper),
5.75%, 2/1/08 745,410
A1 AA- 1,000 Jonesboro, Arkansas
(Anheuser-Busch), 6.50%,
11/15/12 1,072,630
NR A- 975 Pine Bluff, Arkansas
(International Paper)
(AMT), 5.55%, 10/1/17 914,014
A2 NR 750 Puerto Rico IM&E
(American Home Products),
5.10%, 12/1/18 671,018
Baa3 BB+ 2,740 Puerto Rico Ports
Authority (American
Airlines) (AMT), 6.30%,
6/1/23 2,739,644
------------
$11,335,314
------------
INSURED EDUCATION - 0.7%
Aaa AAA $ 500 University of Central
Arkansas (AMBAC), 6.125%,
4/1/26 $ 504,300
------------
INSURED ELECTRIC UTILITIES - 7.5%
Aaa AAA $ 250 North Little Rock,
Arkansas Electric System
(MBIA), 6.50%, 7/1/10 $ 275,233
Aaa AAA 3,390 North Little Rock,
Arkansas Electric System
(MBIA), 6.50%, 7/1/15 3,696,117
Aaa AAA 450 Puerto Rico Electric
Power Authority (STRIPES)
(FSA), Variable, 7/1/03
(1) 483,629
Aaa AAA 1,000 West Memphis, Arkansas
Public Utilities (MBIA),
6.60%, 1/1/09 1,064,560
------------
$ 5,519,539
------------
INSURED GENERAL OBLIGATIONS - 5.9%
Aaa AAA $1,610 Jonesboro, Arkansas
School District (AMBAC),
6.125%, 2/1/15 $ 1,627,324
Aaa AAA 1,090 Lincoln, Arkansas School
District #48 (MBIA),
5.00%, 2/1/18 992,510
Aaa AAA 500 Springdale, Arkansas
School District (AMBAC),
5.125%, 6/1/16 463,355
Aaa AAA 680 White Hall, Arkansas
School District (AMBAC),
4.75%, 4/1/12 615,828
Aaa AAA 710 White Hall, Arkansas
School District (AMBAC),
4.75%, 4/1/13 639,667
------------
$ 4,338,684
------------
INSURED HEALTH CARE - 1.2%
Aaa AAA $ 400 Saline, Arkansas
Healthcare (Evan Lutheran
Good Samaritan) (AMBAC),
5.80%, 6/1/11 $ 395,667
Aaa AAA 500 Saline, Arkansas
Healthcare (Evan Lutheran
Good Samaritan) (AMBAC),
6.00%, 6/1/18 517,109
------------
$ 912,776
------------
INSURED TRANSPORTATION - 0.7%
Aaa AAA $ 500 Little Rock, Arkansas
Airport (MBIA), 6.00%,
11/1/14 $ 510,769
------------
INSURED WATER & SEWER - 7.4%
Aaa AAA $1,250 Arkansas DFA Wastewater
System (MBIA), 5.40%,
12/1/15 $ 1,209,237
Aaa AAA 1,680 Arkansas DFA Wastewater
System (MBIA), 5.00%,
12/1/08 1,591,413
Aaa AAA 2,000 Arkansas DFA Wastewater
System (MBIA), 5.00%,
6/1/15 1,833,419
Aaa AAA 300 Beaver, Arkansas Water
District (MBIA), 5.85%,
11/15/08 307,616
Aaa AAA 500 Jonesboro, Arkansas Water
and Light (AMBAC), 5.25%,
12/1/13 477,570
------------
$ 5,419,255
------------
LEASE/CERTIFICATE OF
PARTICIPATION - 0.3%
NR BBB $ 250 Puerto Rico IM&E Guaynabo
Lease, 5.625%, 7/1/22 $ 225,943
------------
SPECIAL TAX REVENUE - 3.1%
A NR $2,000 Little Rock, Arkansas
Hotel & Restaurant Tax,
7.375%, 8/1/15 $ 2,315,720
------------
</TABLE>
46
<PAGE> 7
- --------------------------------------------------------------------------------
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 - 8.8%
NR NR $ 500 Conway, Arkansas Water,
5.40%, 5/1/11 $ 485,670
NR NR 1,250 Cross, Arkansas Rural
Water, 5.75%, 4/1/18 1,215,338
A1 NR 3,390 Little Rock, Arkansas
Sewer, 5.50%, 8/1/14 3,270,130
NR NR 1,500 South Sebastian, Arkansas
Water, 6.15%, 6/1/23 1,518,765
------------
$ 6,489,903
------------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$72,738,104) $73,706,347
============
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Arkansas
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 August 31, 1996, 24.9% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 0.7% to 16.3% of total investments.
See notes to financial statements
47
<PAGE> 8
Georgia Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 1.4%
NR NR $1,500 De Kalb County Private
Hospital Authority,
Atlanta Inc., 8.50%,
3/1/25 $ 1,514,175
-----------
EDUCATION - 3.0%
Aa1 AA $1,000 De Kalb County, Emory
University 1994A, 6.00%,
10/1/14 $ 1,010,480
Aa1 AA 1,000 De Kalb County, Emory
University 1995A, 5.375%
11/1/25 928,570
Aa1 AA 310 Private Colleges and
Universities Authority,
Emory University, 6.40%,
10/1/23 322,447
Aa AA- 1,000 Private Colleges and
Universities Authority,
Agnes Scott College,
5.625%, 6/1/23 965,730
-----------
$ 3,227,227
-----------
GENERAL OBLIGATIONS - 13.3%
Aa AA- $ 300 City of Alpharetta,
6.50%, 5/1/10 (2) $ 328,818
Aa AA 3,350 City of Atlanta, 6.10%,
12/1/19 3,418,608
Aa AA 2,000 City of Atlanta, 6.125%,
12/1/23 2,037,060
Aa1 AA+ 1,480 Gwinnett County, Water &
Sewer, 6.50%, 8/1/06 (4) 1,492,284
A A 450 Paulding County School
District, 6.625%, 2/1/08 500,927
Aaa AA+ 500 State of Georgia, 6.30%,
3/1/08 (2) 544,405
Baa1 A 1,000 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 918,100
Baa1 A 1,000 Commonwealth of Puerto
Rico, Aqueduct & Sewer
Authority, 6.25%, 7/1/12 1,064,270
Baa1 A 1,875 Commonwealth of Puerto
Rico, Aqueduct & Sewer
Authority, 5.00%, 7/1/19 1,658,269
Baa1 A 1,000 Commonwealth of Puerto
Rico, Public Building
Authority, 5.75%, 7/1/15 967,550
NR NR 1,400 Virgin Islands, 7.25%,
10/1/18 1,474,913
-----------
$ 14,405,204
-----------
HOSPITALS - 11.8%
Baa1 NR $3,500 Fulco County, Georgia
Baptist Health, 6.375%,
9/1/22 (4) $ 3,394,265
A NR 5,040 City of Savannah, St.
Joseph's Hospital
Project, 6.20%, 7/1/23 4,898,426
NR BBB 1,785 Toombs County, Dr. John
M. Meadows Memorial,
7.00%, 12/1/17 1,804,724
NR BBB+ 2,750 Tri City Hospital
Authority, 6.375%,
7/1/16 2,658,233
-----------
$ 12,755,648
-----------
HOUSING - 10.8%
Aa NR $1,450 Georgia Housing Finance
Authority, (AMT),
6.875%, 12/1/20 $ 1,513,771
Aa AA 2,395 Georgia Housing Finance
Authority, SFMR, (FHA),
(AMT), 6.70%, 12/1/25 2,435,020
Aa AA+ 1,500 Georgia Housing Finance
Authority, SFMR, (FHA),
(AMT), 7.05%, 12/1/20 1,569,900
Aa AA+ 1,555 Georgia Housing Finance
Authority, SFMR, (FHA),
(AMT), 7.125%, 12/1/26 1,630,169
Aa AA+ 3,985 Georgia Housing Finance
Authority, SFMR, (AMT),
6.55%, 12/1/27 4,091,320
Aa AA+ 395 Georgia Residential
Finance Authority, Home
Ownership, (FHA), 7.50%,
6/1/17 417,231
-----------
$ 11,657,411
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 8.5%
A1 AA- $1,000 Cartersville Development
Authority,
Anheuser-Busch, (AMT),
7.375%, 5/1/09 $ 1,156,330
A2 NR 1,245 Commonwealth of Puerto
Rico, American Home
Products, 5.10%, 12/1/18 1,113,889
Baa3 BB+ 2,250 Commonwealth of Puerto
Rico, Port Authority
American Airlines,
6.25%, 6/1/26 2,234,678
NR AA- 500 Savannah Economic
Development Authority,
Hershey Foods, 6.60%,
6/1/12 529,385
</TABLE>
48
<PAGE> 9
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT
REVENUE - (CONTINUED)
NR NR 1,250 Savannah Economic
Development Authority,
Intercat Inc., (AMT),
9.00%, 1/1/15 1,315,988
A1 A- 750 Savannah Economic
Development Authority,
Union Camp Corp., 6.80%,
2/1/12 802,552
NR AA- 2,000 Vienna Water & Sewer,
Cargill Project, (AMT),
6.00%, 9/1/14 2,013,780
-----------
$ 9,166,602
-----------
INSURED GENERAL
OBLIGATIONS - 0.5%
Aaa AAA $ 500 Commonwealth of Puerto
Rico, (AMBAC),
7/1/15 (1) $ 495,820
-----------
INSURED HOSPITAL - 15.7%
Aaa AAA $ 675 Chatham County, Memorial
Medical Center, (MBIA),
7.00%, 1/1/21 $ 721,123
Aaa AAA 305 Chatham County, Memorial
Medical Center, (MBIA),
6.85%, 1/1/21 325,075
Aaa AAA 1,300 Cobb County, Kennestone
Hospital, (MBIA), 5.00%,
4/1/24 1,128,855
Aaa AAA 2,500 Fulco County, Northside,
(MBIA), 5.125%, 10/1/16 2,281,925
Aaa AAA 2,225 Gainsville and Hall
County, NE Healthcare,
(MBIA), 6.00%, 10/1/25 2,230,229
Aaa AAA 1,500 Gwinnett County,
Gwinnett Hospital,
(AMBAC), 5.00%, 9/1/13
(4) 1,348,935
Aaa AAA 2,500 Macon-Bibb County,
Medical Center of
Central Georgia, (FGIC),
5.00%, 8/1/14 2,258,250
Aaa AAA 2,000 Medical Center, Columbus
Regional Healthcare,
(MBIA), 6.40%, 8/1/06 2,141,660
Aaa AAA 1,500 Medical Center Hospital
Authority Floats,
(MBIA), 8/1/10 (1) 1,623,945
Aaa AAA 1,500 Smyrna Hospital
Authority - Emory
Adventist Hosp (AMBAC),
5.5%, 8/1/26 (3) 1,426,170
Aaa AAA 1,375 Walker, Dade and Catoosa
Counties Hospital,
(FGIC), 7.00%, 10/1/10 1,513,641
-----------
$ 16,999,808
-----------
INSURED LEASE/COP - 2.5%
Aaa AAA $1,000 East Point Building
Authority, (FGIC),
6.00%, 2/1/10 $ 1,033,300
Aaa AAA 1,750 Glynn-Brunswick Mem
Hosp, S.E. Georgia
Health, (MBIA), 5.25%,
8/1/13 1,634,553
-----------
$ 2,667,853
-----------
INSURED SPECIAL TAX - 3.8%
Aaa AAA $1,000 Metropolitan Atlanta
Rapid Transit Authority,
(AMBAC), 6.25%, 7/1/11 $ 1,074,190
Aaa AAA 1,000 Metropolitan Atlanta
Rapid Transit Authority,
(AMBAC), 6.25%, 7/1/20 1,060,280
Aaa AAA 1,750 Metropolitan Atlanta
Rapid Transit Authority,
(AMBAC), 5.125%, 7/1/19 1,576,890
Aaa AAA 500 Metropolitan Atlanta
Rapid Transit Authority,
(AMBAC), 5.125%, 7/1/18 451,605
-----------
$ 4,162,965
-----------
INSURED UTILITIES - 3.6%
Aaa AAA $1,480 Cordele Public Utility
Authority, (MBIA),
6.50%, 11/1/19 $ 1,558,514
Aaa AAA 750 Municipal Electric
Authority of Georgia,
(MBIA), 0%, 1/1/07 423,248
Aaa AAA 1,000 Municipal Electric
Authority of Georgia,
(FGIC), 5.50%, 1/1/12 982,650
Aaa AAA 900 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA), 7/1/03
(1) 967,257
-----------
$ 3,931,669
-----------
</TABLE>
49
<PAGE> 10
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
INSURED WATER & SEWER - 4.2%
<S> <C> <C> <C> <C>
Aaa AAA $2,700 City of Atlanta, (FGIC),
5.00%, 1/1/15 $ 2,413,125
Aaa AAA 1,975 Cherokee County, (MBIA),
6.875%, 8/1/13 2,132,013
-----------
$ 4,545,138
-----------
LEASE/COP - 1.0%
Aa AA $2,300 Fulton County Building
Authority, Judicial
Center, 0%, 1/1/10 $ 1,075,181
-----------
MISCELLANEOUS - 0.9%
NR NR $1,000 Atlanta Downtown
Development Auth,
Central Atlanta Hosp,
8.00%, 1/1/26 $ 948,160
-----------
SOLID WASTE - 1.0%
A1 A+ $1,000 Savannah Resource
Recovery, Savannah
Energy Systems Co.,
6.30%, 12/1/06 $ 1,044,790
-----------
SPECIAL TAX - 2.4%
Baa1 A $ 750 Commonwealth of Puerto
Rico, Highway and
Transportation
Authority, 5.5%, 7/1/36 $ 695,490
Baa1 A 2,250 Commonwealth of Puerto
Rico, Highway and
Transportation
Authority, 5.0%, 7/1/36 1,916,370
-----------
$ 2,611,860
-----------
UTILITIES - 15.6%
A1 A $2,000 Burke County Pollution
Control, Georgia Power,
6.375%, 8/1/24 $ 2,025,400
A1 A+ 1,000 Monroe County Pollution
Control, Gulf Power
Scherer, 6.30%, 9/1/24 1,014,040
A A 1,500 Georgia Municipal
Electric Power
Authority, 5.70%, 1/1/23 1,416,090
A A 2,000 Georgia Municipal
Electric Power
Authority, 8.25%, 1/1/11 2,454,340
A A 1,000 Georgia Municipal
Electric Power
Authority, 0%, 1/1/12 396,470
A A 3,000 Georgia Municipal
Electric Power
Authority, 5.50%, 1/1/20 2,819,850
A3 A+ 4,000 Monroe County Pollution
Control, Ogelthorpe
Power, 6.55%, 1/1/06 4,314,840
A3 A+ 1,000 Monroe County Pollution
Control, Ogelthorpe
Power, 6.70%, 1/1/09 1,086,630
A3 A+ 1,000 Monroe County Pollution
Control, Oglethorpe
Power, 6.80%, 1/1/12 1,100,500
Baa1 A- 665 Commonwealth of Puerto
Rico, Electrical Power
Authority, 0%, 7/1/17 184,616
Baa1 A- 90 Commonwealth of Puerto
Rico, Electrical Power
Authority, 7.00%, 7/1/07 95,847
-----------
$ 16,908,623
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$105,076,413) $108,118,134
===========
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
(3) When-issued security.
(4) Security has been segregated to cover when-issued securities.
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Georgia
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 August 31, 1996, 30.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 0.9% to 14.9% of total investments.
See notes to financial statements
50
<PAGE> 11
Kentucky Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 4.4%
Aa1 NR $2,460 City of Berea, KY
Educational Development,
Berea College, 5.45%,
3/1/14 $ 2,392,448
A1 AA- 500 University of KY
Consolidated Educational
Buildings, 6.40%, 5/1/09 527,190
A1 AA- 785 University of KY
Consolidated Educational
Buildings, 6.40%, 5/1/11 825,789
A1 AA- 1,000 University of Louisville
Consolidated Educational
Buildings, 5.40%, 5/1/08 988,850
A1 AA- 1,000 University of Louisville
Consolidated Educational
Buildings, 5.40%, 5/1/11 967,480
-----------
$ 5,701,757
-----------
ESCROWED - 4.9%
NR NR $ 190 KY Development Finance
Authority, St. Claire
Medical Center, 7.125%,
9/1/21 $ 210,868
Aaa NR 510 Lexington-Fayette
County, KY Government
Public Facilities,
6.40%, 4/1/12 555,456
Baa1 A 4,155 Commonwealth of Puerto
Rico, Highway and
Transportation
Authority, 6.625%,
7/1/18 4,578,644
Aaa A 1,000 University of Puerto
Rico Revenue, 6.50%,
6/1/13 1,041,170
-----------
$ 6,386,138
-----------
GENERAL OBLIGATIONS - 3.3%
NR A+ $1,030 KY League of Cities
Funding Trust Floating
Indebtedness COP, 6.15%,
8/1/13 $ 1,043,390
NR A 1,415 KY League of Cities
Funding Trust Floating
Indebtedness COP, 5.90%,
8/1/16 1,382,526
A NR 1,400 Meade County, School
District, 5.70%, 7/1/15 1,345,246
NR NR 500 Virgin Islands, 7.25%,
10/1/18 526,755
-----------
$ 4,297,917
-----------
HOSPITALS - 1.8%
Baa1 BBB $ 975 Russell County, KY
Franciscan Sisters of
the Poor Health System,
8.10%, 7/1/15 $ 1,092,663
-----------
HOUSING - 0.8%
NR AAA $1,480 Boone County, Kentucky
Multi-Family, Walnut
Creek Apartments, (FHA),
7.00%, 1/1/27 $ 1,529,328
Aaa AAA 740 KY Housing, Single
Family Mortgage, (FHA),
(AMT), 7.45%, 1/1/23 758,914
-----------
$ 2,288,242
-----------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION
CONTROL REVENUE - 19.7%
Baa1 NR $2,425 Ashland County, Solid
Waste Disposal, Ashland
Oil, (AMT), 7.125%,
2/1/22 $ 2,543,728
Baa1 BBB 2,355 Ashland County, Solid
Waste Disposal, Ashland
Oil, (AMT), 7.20%,
10/1/20 2,478,402
NR NR 1,000 City of Elsmere,
Courtaulds Package
Corporation, 6.75%,
4/1/10 1,009,700
NR NR 3,075 Fulton County,
H.I.S.-Chic Jeans,
(AMT), 7.50%, 2/1/10 3,059,287
NR NR 1,500 Hancock County, Solid
Waste Disposal,
Southwire Corporation,
(AMT), 7.75%, 7/1/25 1,531,170
NR A- 2,370 Hancock County, Solid
Waste Disposal,
Williamette Corporation,
6.60%, 5/1/26 2,402,422
Baa2 BBB- 3,000 Henderson County, Solid
Waste Disposal,
MacMillan Bloedel,
(AMT), 7.00%, 3/1/25 3,108,120
Aa3 AA 1,000 Jefferson County, E.I.
du Pont de Nemours,
6.30%, 7/1/12 1,067,990
</TABLE>
51
<PAGE> 12
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION
CONTROL REVENUE - (CONTINUED)
NR BB- 985 Owensboro County, KMART
Corporation, 6.80%,
12/1/07 938,833
NR NR 1,500 Perry County, TJI
International, 6.80%,
5/1/26 1,513,020
NR BB- 915 Powderly, KMART
Corporation, 6.90%,
3/1/07 880,724
A2 NR 1,190 Commonwealth of Puerto
Rico, IM&E, American
Home Products, 5.10%,
12/1/18 1,064,681
Baa3 BB+ 500 Commonwealth of Puerto
Rico, Port Authority,
American Airlines,
(AMT), 6.30%, 6/1/23 499,935
A1 A 2,820 Wickliffe County, Solid
Waste Disposal, Westvaco
Corporation, (AMT),
6.375%, 4/1/26 2,820,958
Ba2 NR 500 Winchester County,
Kentucky, Kroger
Corporation, 6.90%,
7/1/99 517,355
-----------
$ 25,436,325
-----------
INSURED EDUCATION - 0.6%
Aaa AAA $ 700 Northern KY University
Educational Buildings
(AMBAC), 6.25%, 5/1/12 $ 735,805
-----------
INSURED GENERAL
OBLIGATIONS - 0.7%
Aaa AAA $1,000 Jefferson County,
Kentucky School District
U.T.G.O. (MBIA), 4.875%,
1/1/13 $ 899,250
-----------
INSURED HOSPITAL - 11.6%
Aaa AAA $2,500 Daviess County, ODCH
Inc., (MBIA), 6.25%,
8/1/22 $ 2,570,350
Aaa AAA 2,000 Hopkins County, Trover
Clinic Foundation,
(MBIA), 6.625%, 11/15/11 2,145,460
Aaa AAA 2,500 Jefferson County, Jewish
Hospital (AMBAC), 6.50%,
5/1/15 2,620,850
Aaa AAA 1,750 Jefferson County, Jewish
Hospital (AMBAC), 6.55%,
5/1/22 1,839,968
Aaa AAA 4,000 KY Development Finance
Authority St. Luke's
Hospital (MBIA), 7.00%,
10/1/21 4,311,880
Aaa AAA 1,750 KY EDA Baptist
Healthcare (MBIA),
5.00%, 8/15/24 1,505,735
-----------
$ 14,994,243
-----------
INSURED
LEASE/CERTIFICATE OF
PARTICIPATION - 1.1%
Aaa AAA $1,000 City of Danville, Multi-
City Lease, Madisonville
Project, (MBIA), 5.875%,
9/1/10 $ 1,023,110
Aaa AAA 400 Lexington-Fayette County
Government Public
Facilities (FSA), 4.50%,
2/1/10 347,588
-----------
$ 1,370,698
-----------
INSURED TRANSPORTATION - 4.6%
Aaa AAA $1,000 Kenton County,
Cincinnati/Northern
Kentucky Airport, (FSA),
(AMT), 6.30%, 3/1/15 $ 1,021,490
Aaa AAA 1,170 Louisville and Jefferson
County, Kyregl Airport,
(MBIA), 5.30%, 7/1/23 1,064,232
Aaa AAA 1,650 Louisville and Jefferson
County, Kyregl Airport,
(MBIA), (AMT), 5.50%,
7/1/23 1,515,855
Aaa AAA 1,000 Louisville and Jefferson
County, Kyregl Airport,
(MBIA), (AMT), 5.625%,
7/1/25 938,380
Aaa AAA 1,000 KY EDA Turnpike,
Revitalization Project,
(FGIC), 0%, 1/1/10 463,860
Aaa AAA 1,000 KY EDA Turnpike,
Revitalization Project,
(AMBAC), 5.50%, 7/1/11 984,980
-----------
$ 5,988,797
-----------
</TABLE>
52
<PAGE> 13
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
INSURED UTILITIES - 1.8%
<S> <C> <C> <C> <C>
Aaa AAA $1,000 Boone County, Kentucky
Collateralized PCR,
(MBIA), 5.50%, 1/1/24
(2) $ 940,790
Aaa AAA 1,600 Commonwealth of Puerto
Rico, Telephone
Authority, (MBIA),
Variable, 1/16/15 (1) 1,446,400
-----------
$ 2,387,190
-----------
INSURED WATER AND SEWER - 6.7%
Aaa AAA $1,000 Hardin County, Water
System, (MBIA), 5.90%,
1/1/25 $ 999,900
Aaa AAA 800 Kenton County, Water
District, (FGIC),
6.375%, 2/1/17 842,472
Aaa AAA 2,000 Kenton County, Water
District, (FGIC), 6.00%,
2/1/17 2,055,300
Aaa AAA 500 Lexington-Fayette
County, Government
Sewer, (MBIA), 6.375%,
7/1/12 528,530
Aaa AAA 1,000 Louisville and Jefferson
County, Sewer District,
(AMBAC), 6.75%, 5/15/19 1,097,760
Aaa AAA 2,000 Louisville and Jefferson
County, Sewer District,
(AMBAC), 6.75%, 5/15/25 2,188,560
Aaa AAA 1,000 Louisville and Jefferson
County, Sewer District,
(FGIC), 5.20%, 5/15/26 901,080
-----------
$ 8,613,602
-----------
LEASE REVENUE BONDS - 19.7%
A A $1,300 Boone County School
District, 6.75%, 9/1/11 $ 1,391,520
A NR 3,000 Boone County School
District, 5.70%, 5/1/18 2,930,460
A1 A+ 905 Jefferson County School
District, 4.875%, 1/1/11 822,591
A1 A+ 1,250 Jefferson County School
District, 4.875%, 1/1/12 1,114,863
A1 A+ 4,990 Jefferson County Capital
Projects Corporation
Lease, 0%, 8/15/15 1,552,189
A NR 2,500 Jessamine County School
District, 5.375%, 1/1/17 2,309,400
A A+ 3,825 KY State Property and
Buildings, 5.00%, 9/1/13 3,432,248
A A+ 2,500 KY State Property and
Buildings, 6.00%, 9/1/14 2,511,150
A A- 1,000 City of Louisville,
Public Properties
Corporation, 6.80%,
12/1/22 1,063,980
Aa NR 2,000 City of Mount Sterling,
League of Cities Trust
Lease Program, 6.15%,
3/1/13 2,009,140
Aa NR 4,500 City of Mount Sterling,
League of Cities Trust
Lease Program, 6.20%,
3/1/18 4,489,335
A NR 2,000 Owensboro County,
Airport Lease, (AMT),
5.875%, 6/1/15 1,902,820
-----------
$ 25,529,696
-----------
NURSING HOMES - 0.7%
NR NR $ 835 Jefferson County, Health
Facilities, Beverly
Enterprises, 9.75%,
8/1/07 $ 909,766
-----------
TRANSPORTATION - 6.7%
Baa3 BB+ $ 250 Kenton County Airport,
Delta Airlines, (AMT),
7.50%, 2/1/12 $ 265,693
Baa3 BB+ 500 Kenton County Airport,
Delta Airlines, (AMT),
7.50%, 2/1/20 531,385
Baa3 BB+ 3,400 Kenton County Airport,
Delta Airlines, (AMT),
6.125%, 2/1/22 3,230,068
Baa3 BB+ 1,500 Kenton County Airport,
Delta Airlines, (AMT),
7.125%, 2/1/21 1,562,325
NR BBB 3,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 3,030,210
-----------
$ 8,619,681
-----------
UTILITIES - 8.5%
Aa2 AA- $3,450 Carroll County, Kentucky
PCR, KY Utilities
Company, (AMT), 5.75%,
12/1/23 $ 3,281,398
Aa2 AA 2,670 Jefferson County,
Kentucky PCR, Louisville
G&E Company, 5.90%,
4/15/23 2,631,018
Aa2 AA- 1,000 Muhlenburg County,
Kentucky PCR, KY
Utilities Company,
6.25%, 2/1/18 1,031,560
NR BBB 400 Guam Power Authority,
5.25%, 10/1/23 343,440
Baa1 BBB+ 3,500 Commonwealth of Puerto
Rico, Electric Power
Authority, 0%, 7/1/17 971,670
</TABLE>
53
<PAGE> 14
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - (CONTINUED)
Baa1 BBB+ 2,250 Commonwealth of Puerto
Rico, Electric Power
Authority, 6.375%,
7/1/24 2,303,303
Baa1 BBB+ 500 Commonwealth of Puerto
Rico, Electric Power
Authority, 5.50%, 7/1/25 453,210
-----------
$ 11,015,599
-----------
WATER AND SEWER REVENUE - 2.4%
A A- $1,000 Boone County Sewer
Systems. 5.15%, 12/01/15 $ 906,840
NR A 1,500 Cambell County Water
District, 6.60%, 12/1/11 1,578,240
A NR 650 Harden County Water
District, 6.50%, 9/1/12 682,123
-----------
$ 3,167,203
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$126,102,002) $129,434,572
===========
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Kentucky
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 August 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 insured by
financial institutions ranged from 1.1% to 15.4% of total investments.
See notes to financial statements
54
<PAGE> 15
Louisiana Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 9.3%
NR NR $ 500 Louisiana Housing Finance
Agency, HCC Assisted
Living Group, (AMT),
9.00%, 3/1/25 $ 512,240
NR AAA 500 Louisiana Housing Finance
Agency, St Dominic
Assisted Care Facility,
(GNMA), 6.85%, 9/1/25 524,610
NR AAA 2,000 Louisiana Housing Finance
Agency, St Joseph Manor
Retirement Center,
(GNMA), 7.80%, 12/1/35 2,200,660
-----------
$ 3,237,510
-----------
EDUCATION - 0.8%
Aaa NR $ 150 Louisiana Public
Facilities Authority,
Guaranteed Student Loan
Revenue Bonds, (AMT),
6.75%, 9/1/06 $ 157,638
A NR 100 Louisiana Public
Facilities Authority,
Student Loan Revenue
Bonds, (AMT), 7.00%,
9/1/06 104,022
-----------
$ 261,660
-----------
HOSPITALS - 10.2%
Baa1 NR $1,000 Lafourche Parish Hospital
Service District No. 3,
Hospital Revenue Bonds,
6.00%, 10/1/23 $ 914,160
NR BBB 750 Louisiana Public Health
Facilities, General
Health System, 6.80%,
11/1/16 744,218
Aa AA 1,000 Louisiana Public Health
Facilities, Sisters of
Mercy Health System,
5.00%, 6/1/19 867,770
NR A- 750 St. Tammany Parish
Hospital Service District
No. 1, Hospital Revenue
Bonds, 6.50%, 7/1/17 759,060
NR A- 250 St. Tammany Parish
Hospital Service District
No. 1, Hospital Revenue
Bonds, 6.50%, 7/1/22 252,252
-----------
$ 3,537,460
-----------
HOUSING - 29.9%
Aaa NR $ 820 East Baton Rouge Mortgage
Finance Authority SF,
(GNMA/FNMA), 7.00%,
4/1/32 $ 850,594
Aaa NR 235 East Baton Rouge Mortgage
Finance Authority SF,
(AMT), (GNMA/FNMA),
7.10%, 10/1/24 247,467
Aaa AAA 95 East Baton Rouge Mortgage
Finance Authority SF,
(AMT), (GNMA), 7.875%,
12/1/21 100,747
NR AAA 1,850 Parish of Jefferson, Home
Mortgage Authority,
(AMT), (GNMA/FNMA),
7.35%, 12/1/16 2,074,757
NR AAA 620 Louisiana Housing Finance
Authority, MFMB, (FHA),
6.95%, 7/1/16 636,120
Aaa NR 1,220 Louisiana Housing Finance
Authority, SFMB, (AMT),
(GNMA), 8.00%, 3/1/25 1,326,457
Aaa NR 600 Louisiana Housing Finance
Authority, SFMB, (AMT),
(GNMA), 6.30%, 12/1/27 602,394
Aaa NR 465 Louisiana Housing Finance
Authority, SFMB, (AMT),
(GNMA/FNMA), 6.55%,
12/1/26 470,654
NR AAA 150 Louisiana Housing Finance
Authority, Multifamily
Housing - Westview
Apartment II, (AMT),
(FHA), 7.95%, 1/1/32 158,382
NR A 1,000 Louisiana Public
Facilities Authority,
Multifamily
Housing - Windsor
Housing, 6.25%, 1/1/26
(2) 969,860
Aaa NR 1,900 New Orleans Home Mortgage
Authority, (AMT),
(GNMA/FNMA), 6.30%,
6/1/28 1,904,161
</TABLE>
55
<PAGE> 16
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
A NR 350 Shreveport Housing
Finance Authority,
MFMB - U.S., Goodman
Plaza-Section 8 Assisted,
6.10%, 8/1/19 337,036
NR AAA 750 Shreveport Home Mortgage
Authority, (AMT),
(GNMA/FNMA), 6.00%,
8/1/28 720,157
-----------
$10,398,786
-----------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION
CONTROL - 11.6%
A3 A- $1,750 City of Bastrop,
International Paper
Company, (AMT), 6.60%,
3/1/19 $ 1,781,763
A3 A- 750 De Soto Parish,
International Paper
Company, (AMT), 7.70%,
11/1/18 839,423
A3 A- 250 De Soto Parish,
International Paper
Company, (AMT), 6.55%,
4/1/19 254,013
Baa3 BB+ 1,000 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.25%,
6/1/26 993,190
Baa1 BBB+ 150 South Louisiana Port
Commission, GATX
Terminals Corporation,
7.00%, 3/1/23 155,721
-----------
$ 4,024,110
-----------
INSURED EDUCATION - 6.2%
Aaa AAA $ 500 Louisiana Public
Facilities Authority,
Tulane University,
(AMBAC), 6.05%, 10/1/25 $ 500,395
Aaa AAA 625 Louisiana State
University, (MBIA),
5.50%, 7/1/26 578,538
Aaa AAA 1,100 Louisiana State
University and
Agricultural and
Mechanical College,
(FGIC), 5.75%, 7/1/14 1,077,098
-----------
$ 2,156,031
-----------
INSURED GENERAL
OBLIGATIONS - 4.8%
Aaa AAA $ 500 East Baton Rouge Parish,
Public Improvement Sales
Tax Bonds, (FGIC), 5.90%,
2/1/17 $ 495,865
Aaa AAA 3,000 New Orleans, (AMBAC),
0%, 9/1/15 944,460
Aaa AAA 250 Commonwealth of Puerto
Rico, Public Improvement
Bonds, (AMBAC), Variable,
7/1/15 (1) 247,910
-----------
$ 1,688,235
-----------
INSURED HOSPITALS - 4.4%
Aaa AAA $ 100 Louisiana Public
Facilities Authority, Our
Lady of the
Lake Regional Medical
Center, (MBIA), Variable,
12/1/14 (1) $ 102,840
Aaa AAA 1,500 Ouachita Parish, Glenwood
Medical Center, (FSA),
5.75%, 5/15/21 1,436,970
-----------
$ 1,539,810
-----------
INSURED SPECIAL
TAX - 8.3%
Aaa AAA $2,000 Orleans Levee District,
(FSA), 5.95%, 11/1/14 $ 1,991,020
Aaa AAA 1,000 Jefferson Parish School
Board, (AMBAC), 5.00%,
2/1/15 897,640
-----------
$ 2,888,660
-----------
INSURED UTILITY - 0.5%
Aaa AAA $ 150 City of Alexandria,
Utility Revenue Bonds,
(FGIC),
6.00%, 5/1/06 $ 157,217
-----------
LIFE CARE - 4.0%
NR BBB $1,150 Louisiana Public
Facilities Authority,
Glen Retirement System,
6.70%, 12/1/25 $ 1,076,090
NR NR 300 St. Tammany Public
Facilities Authority,
Christwood Project,
9.00%, 11/15/25 316,149
-----------
$ 1,392,239
-----------
SPECIAL TAX - 6.2%
Baa1 A $1,500 Puerto Rico Highway and
Transportation Authority,
5.00%, 7/1/22 $ 1,305,960
Baa1 A 1,000 Puerto Rico Highway and
Transportation Authority,
5.00%, 7/1/36 851,720
-----------
$ 2,157,680
-----------
TRANSPORTATION - 1.5%
A A- $ 500 Mississippi River Bridge
Authority, Bridge Revenue
Bonds, Series 1992,
6.75%, 11/1/12 (2) $ 535,010
-----------
</TABLE>
56
<PAGE> 17
- --------------------------------------------------------------------------------
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 - 2.3%
Aa3 NR $ 150 De Soto Parish,
Southwestern Electric
Power Company,
7.60%, 1/1/19 $ 169,947
Ba1 BB+ 150 Pointe Coupe Parish, Gulf
States Utilities Co.,
6.70%, 3/1/13 150,549
Baa2 BBB 500 St Charles Parish,
Louisiana Power and
Light, (AMT),
6.20%, 5/1/23 483,514
-----------
$ 804,010
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$34,274,641) $34,778,418
===========
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio primarily invests in debt securities issued by Louisiana
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 August 31, 1996, 24.2% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 2.0% to 9.9% of total investments.
See notes to financial statements
57
<PAGE> 18
Maryland Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
COGENERATION - 1.2%
NR NR $1,250 Maryland Energy
Cogeneration (AES
Warrior Run Project)
(AMT), 7.40%, 9/1/19 $ 1,299,525
-----------
EDUCATION - 1.0%
Aa AA+ $1,000 University of Maryland
Auxiliary Facilities &
Tuition, 6.30%, 2/1/10 $ 1,057,510
-----------
ELECTRIC
UTILITIES - 7.6%
A2 A $3,000 Calvert, Maryland PCR
(Baltimore Gas &
Electric Company),
5.55%, 7/15/14 $ 2,891,190
NR BBB 2,500 Guam Power Authority,
5.25%, 10/1/13 2,239,750
NR BBB 750 Guam Power Authority,
6.625%, 10/1/14 770,737
A1 A 2,225 Prince Georges, Maryland
PCR (Potomac Electric),
6.375%, 1/15/23 2,322,077
-----------
$ 8,223,754
-----------
ESCROWED - 5.8%
Aaa NR $1,125 Baltimore, Maryland
Single Family Mortgage
(Inner Harbor), 8.00%,
12/1/10 $ 1,349,692
Aaa AAA 500 Maryland Health & Higher
Educational (University
of Maryland) (FGIC),
6.50%, 7/1/21 537,940
NR AAA 1,000 Commonwealth of Puerto
Rico Public Improvement,
6.80%, 7/1/21 1,116,150
Aaa AAA 1,500 Puerto Rico Public
Buildings Authority,
6.875%, 7/1/21 1,679,895
NR AAA 1,000 University of Maryland
System Auxiliary
Facility and Tuition,
6.50%, 4/1/11 1,078,200
NR AAA 175 University of Maryland
System Auxiliary
Facility and Tuition,
6.50%, 4/1/12 192,931
Aa NR 310 Worcester, Maryland
Sanitary District,
6.55%, 8/15/17 341,245
-----------
$ 6,296,053
-----------
GENERAL OBLIGATIONS - 4.4%
Aa AA- $1,000 Hartford, Maryland,
4.90%, 12/1/10 $ 929,990
A1 AA- 230 Prince Georges,
Maryland, 5.00%, 1/15/11
(2) 214,981
Baa1 A 2,000 Puerto Rico, 6.50%,
7/1/23 2,111,160
NR NR 750 Virgin Islands Public
Finance Authority, 7.25%
10/1/18 790,133
Aa1 AA 500 Washington, Maryland
Suburban Sanitary
District, 6.20%, 6/1/11 524,330
Aa NR 190 Worcester, Maryland
Sanitary District,
6.55%, 8/15/17 200,070
-----------
$ 4,770,664
-----------
HOSPITALS - 20.9%
NR NR $ 485 Berlin, Maryland
(Atlantic General
Hospital), 8.375%,
6/1/22 $ 510,351
A1 A 3,500 Maryland Health & Higher
Educational (Good
Samaritan Hospital),
5.75%, 7/1/19 3,404,345
A A 1,500 Maryland Health & Higher
Educational (Memorial
Hospital of Cumberland),
6.50%, 7/1/17 1,540,455
A1 A 3,550 Maryland Health & Higher
Educational (Suburban
Hospital), 5.125%,
7/1/21 3,151,299
Baa1 NR 2,500 Maryland Health & Higher
Educational (Union
Hospital of Cecil),
6.70%, 7/1/22 2,548,350
A A 700 Maryland Health & Higher
Educational (Penninsula
Regional Medical
Center), 5.00%, 7/1/23 596,449
Baa1 BBB 1,250 Maryland Health & Higher
Educational (Howard
County General
Hospital), 5.50%, 7/1/25 1,079,313
Baa NR 1,355 Prince Georges, Maryland
(Greater Southeast
Healthcare System),
6.375%, 1/1/13 1,275,705
Baa NR 4,500 Prince Georges, Maryland
(Greater Southeast
Healthcare System),
6.375%, 1/1/23 4,123,080
A NR 5,000 Prince Georges, Maryland
(Dimensions Health),
5.30%, 7/1/24 4,424,500
-----------
$ 22,653,847
-----------
</TABLE>
58
<PAGE> 19
- --------------------------------------------------------------------------------
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 - 7.6%
Aa NR $3,000 Maryland CDA Single
Family (AMT), 6.75%,
4/1/26 $ 3,091,380
Aa NR 245 Maryland CDA Single
Family 6.85%, 4/1/11 256,564
Aa NR 960 Maryland CDA Single
Family (AMT), 6.80%,
4/1/22 984,969
Aa NR 750 Maryland CDA Single
Family (AMT), 6.80%,
4/1/24 769,508
Aa NR 1,810 Maryland CDA Multi
Family (FHA), 6.70%,
5/15/27 1,858,924
Aa NR 1,000 Maryland CDA Multi
Family (FHA) (AMT),
6.70%, 5/15/36 1,024,400
NR AAA 300 Prince Georges, Maryland
(Antoinette Gardens
Apartments) (FHA),
7.00%, 3/1/28 314,019
-----------
$ 8,299,764
-----------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL
REVENUE - 13.7%
A1 A $1,350 Allegany, Maryland
(Westvaco Corporation
Project), 6.20%, 1/1/08 $ 1,429,245
A2 A 400 Anne Arundel, Maryland
(Bethlehem Steel),
6.00%, 4/1/24 400,552
NR NR 1,350 Baltimore, Maryland
(Bethlehem Steel
Corporation Project),
7.50%, 6/1/15 1,399,761
Aa3 AA- 2,000 Baltimore, Maryland
(Consolidated Coal Sales
Company-E.I. Dupont),
6.50%, 12/1/10 2,139,940
Aa3 AA 2,000 Baltimore, Maryland
(Consolidated Coal Sales
Company-E.I. Dupont),
6.50%, 10/1/11 2,140,760
NR AA- 1,425 Frederick, Maryland EDA
(Cargill, Inc. Project),
6.30%, 11/1/09 (2) 1,517,525
A2 NR 2,600 Puerto Rico IM&E
(American Home), 5.10%,
12/1/18 2,326,194
Baa3 BB+ 1,500 Puerto Rico Port
Authority (American
Airlines) (AMT), 6.30%,
6/1/23 1,499,805
Baa3 BB+ 2,000 Puerto Rico Port
Authority (American
Airlines) (AMT), 6.25%,
6/1/26 1,986,380
-----------
$ 14,840,162
-----------
INSURED EDUCATION - 1.1%
Aaa AAA $1,200 Morgan State University,
Maryland Academic and
Facilities (MBIA),
6.10%, 7/1/20 $ 1,262,016
-----------
INSURED ELECTRIC UTILITIES - 3.7%
Aaa AAA $4,000 Montgomery, Maryland
PCR - Potomac Electric
(2nd MBIA), 5.375%,
2/15/24 $ 3,716,040
Aaa AAA 250 Puerto Rico Electric
Power Authority
(STRIPES) (FSA),
Variable, 7/1/03 (1) 268,683
-----------
$ 3,984,723
-----------
INSURED HOSPITALS - 6.1%
Aaa AAA $1,365 Maryland Health & Higher
Educational (Washington
Community Hospital)
(AMBAC), 6.375%, 7/1/22 $ 1,438,191
Aaa AAA 3,500 Maryland Health & Higher
Educational (Anne
Arundel Hospital)
(AMBAC), 5.00%, 7/1/23 3,015,040
Aaa AAA 2,150 Puerto Rico IM&E
Hospital (MBIA), 6.25%,
7/1/24 2,212,350
-----------
$ 6,665,581
-----------
INSURED HOUSING - 0.7%
Aaa AAA $ 235 Maryland CDA Housing and
Community Development
(AMBAC), 6.625%, 6/1/12 $ 250,797
Aaa AAA 500 Prince Georges, Maryland
(Keystone Apartments)
(FHA) (MBIA), 6.80%,
7/1/25 515,015
-----------
$ 765,812
-----------
</TABLE>
59
<PAGE> 20
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED MISCELLANEOUS - 3.8%
Aaa AAA $3,370 Maryland Health & Higher
Educational (Johns
Hopkins Parking)
(AMBAC), 5.50%, 7/1/26 $ 3,181,550
Aaa AAA 1,000 Maryland State Stadium
Authority (AMBAC),
5.80%, 3/1/26 964,460
-----------
$ 4,146,010
-----------
INSURED SOLID WASTE - 4.8%
Aaa AAA $5,000 NE Maryland Solid Waste
Disposal (2nd MBIA)
(AMT), 6.30%, 7/1/16 $ 5,180,700
-----------
INSURED TRANSPORTATION - 4.5%
Aaa AAA $2,000 Baltimore, Maryland
International Airport
(AMT) (FGIC), 6.25%,
7/1/14 $ 2,057,420
Aaa AAA 3,000 Washington, D.C. Metro
Area Transportation
(FGIC), 5.25%, 7/1/14 2,824,290
-----------
$ 4,881,710
-----------
INSURED WATER & SEWER - 8.6%
Aaa AAA $ 500 Baltimore, Maryland
Water (FGIC), 5.00%,
7/1/24 $ 443,160
Aaa AAA 2,000 Baltimore, Maryland
Wastewater (MBIA),
5.65%, 7/1/20 1,941,240
Aaa AAA 2,550 Baltimore, Maryland
Wastewater (FGIC),
5.00%, 7/1/22 2,253,588
Aaa AAA 3,000 Baltimore, Maryland
Water (FGIC), 5.50%,
7/1/26 2,852,370
Aaa AAA 2,000 Baltimore, Maryland
Sewer (FGIC), 5.50%,
7/1/26 1,904,300
-----------
$ 9,394,658
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 1.0%
NR BBB $1,250 PR IM&E Guaynabo Lease,
5.625%, 7/1/22 $ 1,129,712
-----------
MISCELLANEOUS - 0.9%
A NR $1,000 Baltimore, Maryland
Revenue Authority,
5.375%, 7/1/18 $ 920,990
-----------
TRANSPORTATION - 1.6%
NR BBB $1,700 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 1,717,119
-----------
WATER & SEWER - 1.0%
Aa AA $1,000 Maryland Water Quality
Financing Administration
Revolving Loan Fund,
6.55%, 9/1/14 $ 1,063,330
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$107,316,217) $108,553,640
===========
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Maryland
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 August 31, 1996, 37.30% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 0.3% to 13.7% of total investments.
See notes to financial statements
60
<PAGE> 21
Missouri Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 3.0%
A NR $2,750 Missouri Higher
Education Loan
Authority, Student Loan,
(AMT), 5.45%, 2/15/09 $ 2,539,158
-----------
ESCROWED - 6.0%
Aaa AAA $ 240 Missouri Health &
Education Authority, St.
Louis Children's, (MBIA)
6.25%, 5/15/12 $ 260,446
Aaa AAA 350 State of Missouri,
Regional Convention &
Sports Complex
Authority, 6.80%,
8/15/11 389,382
Aaa AAA 425 Missouri Health &
Education Authority,
Christian Health, (FGIC)
6.875%, 2/15/21 469,128
NR AAA 1,000 St. Louis County,
Mortgage Revenue,
(GNMA), 5.40%, 1/1/16 953,790
Aaa AAA 250 St. Louis County,
Regional Convention &
Sports Complex
Authority, 7.00%,
8/15/11 281,048
Aaa AAA 600 St. Louis County,
Pattonville School
District, (FGIC) 6.25%,
2/1/10 641,837
Aaa AAA 2,000 City of Sikeston,
Electric System, (MBIA)
6.25%,
6/1/22 (2) 2,182,680
-----------
$ 5,178,311
-----------
GENERAL OBLIGATIONS - 4.0%
Baa1 A $1,750 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 $ 1,606,675
Baa1 A 700 Commonwealth of Puerto
Rico, 5.00%, 7/1/21 614,250
Baa1 A 500 Commonwealth of Puerto
Rico, Aqueduct and
Sewer, 5.00%, 7/1/19 442,205
NR NR 650 Virgin Islands Public
Finance Authority,
7.25%, 10/1/18 684,782
-----------
$ 3,347,912
-----------
HEALTHCARE - 0.4%
Baa1 NR $ 300 Cass County, Fox Springs
Living Center, 7.375%,
10/1/22 $ 316,842
-----------
HOSPITALS - 9.5%
Baa NR $2,000 Missouri Health &
Education Authority,
Jefferson Memorial,
6.00%, 8/15/23 $ 1,783,180
Aa AA 3,250 Missouri Health &
Education Authority,
Barnes Jewish Christian,
5.25%, 5/15/14 3,053,570
Baa NR 1,900 Missouri Health &
Education Authority,
Jefferson Memorial,
6.80%, 5/15/25 1,878,473
Aa AA 1,000 Missouri Health &
Education Authority,
Sisters of Mercy, 6.25%,
6/1/15 1,040,260
NR BBB+ 500 Missouri Health &
Education Authority,
Lake of the Ozarks,
6.50%, 2/15/21 493,945
-----------
$ 8,249,428
-----------
HOUSING - 3.0%
NR AAA $ 915 Missouri Housing
Development Authority
SFMR, (AMT), (GNMA)
7.25%, 9/1/26 $ 1,001,367
NR AAA 1,000 Missouri Housing
Development Authority
SFMR, (GNMA), 6.45%,
9/1/27 1,007,450
NR AAA 535 Missouri Housing
Development Authority
SFMR, (AMT), (GNMA)
6.75%, 6/1/24 554,795
-----------
$ 2,563,612
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 11.7%
NR BBB- $1,065 Jefferson County, Kmart
Corporation, 6.40%,
8/1/08 $ 979,992
NR NR 1,300 Kansas City, AFCO CARGO
MCI, (AMT), 8.50%,
1/1/17 1,408,095
A3 NR 1,200 Missouri Environmental
Improvement & Energy
Resources Authority,
American Cyanamid
Company, 5.80%, 9/1/09 1,220,820
A2 NR 1,000 Commonwealth of Puerto
Rico, American Home
Products, 5.10%, 12/1/18 894,690
</TABLE>
61
<PAGE> 22
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT
REVENUE - (CONTINUED)
Baa3 BB+ 2,000 Commonwealth of Puerto
Rico, Port Authority,
American Airlines (AMT),
6.25%, 6/1/26 1,986,380
A1 AA- 3,750 St Louis IDA, Anheuser-
Busch Project (AMT),
5.875%, 11/1/26 3,603,975
-----------
$ 10,093,952
-----------
INSURED TRANSPORTATION - 0.6%
Aaa AAA $ 500 City of St. Louis, St.
Louis-Lambert
International Airport,
(AMT), (FGIC) 6.125%,
7/1/15 $ 507,225
-----------
INSURED EDUCATION - 2.6%
Aaa AAA $2,500 Missouri Health and
Education, St Louis
University, (AMBAC)
5.20%, 10/1/26 $ 2,238,775
-----------
INSURED GENERAL
OBLIGATIONS - 2.5%
Aaa AAA $1,250 Kansas City School
District, (FGIC) 5.00%,
2/1/14 $ 1,138,688
Aaa AAA 500 Commonwealth of Puerto
Rico, (AMBAC), 7/1/15
(1) 495,820
Aaa AAA 500 Commonwealth of Puerto
Rico, (FSA), 7/1/22 (1) 503,790
-----------
$ 2,138,298
-----------
INSURED
HOSPITALS - 15.4%
Aaa AAA $1,000 Jackson County,
Carondelet Health
System, St. Mary's,
(MBIA) 5.75%, 7/1/24 (4) $ 979,520
Aaa AAA 800 Jackson County, St.
Joseph's Health System,
(MBIA) 6.50%, 7/1/19 839,856
Aaa AAA 1,000 Jackson County, St.
Joseph's Health System,
(MBIA) 6.50%, 7/1/12 1,056,270
Aaa AAA 500 Missouri Health &
Education Authority,
Sisters of St. Mary,
(MBIA) 6.25%, 6/1/07 528,805
Aaa AAA 1,000 Missouri Health &
Education Authority,
Sisters of St. Mary,
(MBIA) 6.25%, 6/1/16 1,031,400
Aaa AAA 1,500 Missouri Health &
Education Authority,
Heartland Health System,
(AMBAC) 6.35%, 11/15/17 1,558,980
Aaa AAA 2,900 Missouri Health &
Education Authority,
Lester Cox Medical
Center, (MBIA) 5.35%,
6/1/10 2,849,946
Aaa AAA 2,000 Missouri Health &
Education Authority, St.
Luke's Health System,
(MBIA) 5.125%, 11/15/19 1,814,660
Aaa AAA 575 Missouri Health &
Education Authority, St.
Louis Children's, (MBIA)
0%, 5/15/08 304,859
Aaa AAA 9,500 Missouri Health &
Education Authority,
Lester Cox Medical
Center, (MBIA) 0%,
9/1/20 2,216,350
-----------
$ 13,180,646
-----------
INSURED HOUSING - 1.9%
Aaa AAA $1,500 City of Springfield, SCA
Realty Multifamily
Mortgage Receipts, (FSA)
7.10%, 1/1/30 $ 1,619,430
-----------
INSURED
LEASE/CERTIFICATE OF
PARTICIPATION - 4.9%
Aaa AAA $1,750 Kansas City Municipal
Assistance Corp., Bartle
Hall Convention,
(AMBAC), 5.00%, 4/15/20 1,562,838
Aaa AAA 1,000 Kansas City Municipal
Assistance Corp., Bartle
Hall Convention,
(AMBAC), 5.60%, 4/15/16 $ 977,820
Aaa AAA 600 Kansas City School
District, Building
Corporation, (FGIC)
6.50%, 2/1/08 645,798
Aaa AAA 500 St. Charles County,
Public Facilities
Authority, (FGIC)
6.375%, 3/15/07 528,235
Aaa AAA 500 St. Louis County
Municipal Finance Corp.,
Civil Courts Building,
(FGIC) 5.75%, 8/1/13 501,090
-----------
$ 4,215,781
-----------
</TABLE>
62
<PAGE> 23
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
INSURED UTILITIES - 7.2%
<S> <C> <C> <C> <C>
Aaa AAA $5,000 Missouri Environmental
Improvement & Energy
Resources Authority,
Union Electric Project,
(AMT), (AMBAC), 5.45%,
10/1/28 $ 4,538,000
Aaa AAA 700 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA) 7/1/03
(1) 752,311
Aaa AAA 1,000 City of Sikeston,
Electric System, (MBIA)
5.00%, 6/1/22 888,760
-----------
$ 6,179,071
-----------
INSURED WATER & SEWER - 1.8%
Aaa AAA $1,500 City of St. Louis,
(FGIC) 6.00%, 7/1/14 $ 1,536,735
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 8.3%
A BBB+ $3,000 St. Louis County,
Regional Convention &
Sports Complex
Authority, 5.50%,
8/15/13 $ 2,766,750
A1 A+ 2,000 State of Missouri,
Regional Convention &
Sports Complex
Authority, 5.50%,
8/15/21 1,820,980
A BBB+ 1,000 St. Louis County,
Regional Convention &
Sports Complex
Authority, 5.75%,
8/15/21 917,170
NR NR 1,500 City of St. Louis,
Regional Convention &
Sports Complex
Authority, 7.90%,
8/15/21 1,643,805
-----------
$ 7,148,705
-----------
LIFE CARE - 3.5%
NR NR $ 950 Kansas City, Retirement
Facilities, Kingswood
United Methodist, 9.00%,
11/15/13 (4) $ 1,024,110
NR NR 2,000 Missouri Health &
Education Authority,
Lutheran Hospital,
6.375%, 2/1/27 (3) 1,970,000
-----------
$ 2,994,110
-----------
NURSING HOMES - 3.0%
NR NR $1,000 Kansas City, Encore
Nursing Center, Beverly
Enterprises, 8.00%,
12/1/02 $ 1,040,990
NR NR 500 Missouri Health &
Education Authority,
Bethesda Health Group,
6.625%, 8/15/05 493,850
NR NR 1,000 Missouri Health &
Education Authority,
Bethesda Health Group,
7.50%, 8/15/12 1,013,190
-----------
$ 2,548,030
-----------
SPECIAL TAX REVENUE - 2.3%
Baa1 A $1,000 Commonwealth of Puerto
Rico, Highway &
Transportation
Authority, 6.625%,
7/1/12 $ 1,057,520
Baa1 A 1,000 Commonwealth of Puerto
Rico, Highway &
Transportation
Authority, 5.50%, 7/1/17 947,720
-----------
$ 2,005,240
-----------
TRANSPORTATION - 1.1%
NR NR $1,000 Lake of the Ozarks
Community Board,
Missouri Bridge System,
6.40%, 12/1/25 (4) $ 948,150
-----------
UTILITIES - 3.0%
NR BBB $1,010 Guam Power Authority,
6.30%, 10/1/22 $ 1,009,929
Baa1 A- 1,500 Commonwealth of Puerto
Rico, Electric Power
Authority, 6.375%,
7/1/24 1,535,535
-----------
$ 2,545,464
-----------
WATER & SEWER - 4.3%
Aa NR $ 800 Missouri Environmental
Improvement & Energy
Resources Authority,
6.875%, 6/1/14 $ 867,141
Aa NR 475 Missouri Environmental
Improvement & Energy
Resources Authority,
6.45%, 7/1/08 514,245
Aa NR 500 Missouri Environmental
Improvement & Energy
Resources Authority,
6.55%, 7/1/14 534,385
</TABLE>
63
<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>
WATER & SEWER - (CONTINUED)
Aa NR 1,250 Missouri Environmental
Improvement & Energy
Resources Authority,
7.20%, 7/1/16 (4) 1,417,800
Aa NR 1,000 Missouri Environmental
Improvement & Energy
Resources Authority, 0%,
1/1/14 351,960
-----------
$ 3,685,531
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$83,659,501) $ 85,780,406
===========
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
(3) When-issued security
(4) Security has been segregated to cover when-issued securities.
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Missouri
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 August 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 insured by
financial institutions ranged from 3.4% to 17.4% of total investments.
See notes to financial statements
64
<PAGE> 25
North Carolina Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 2.2%
Aa1 AA+ $1,000 North Carolina
Educational Facilities
Finance Agency, Duke
University, 6.75%,
10/1/21 $ 1,079,530
NR AAA 1,000 North Carolina
Educational Facilities
Finance Agency, Elon
College, (CLEE), 6.375%,
1/1/07 1,051,440
Aa AA 2,000 University of North
Carolina at Chapel Hill,
5.25%, 2/15/19 1,837,000
-----------
$ 3,967,970
-----------
ESCROWED - 3.5%
Aa AA- $2,450 Pitt County Memorial
Hospital, Prerefunded to
12/1/01, 6.90%, 12/1/21 $ 2,721,386
NR AAA 150 Puerto Rico General
Obligation, Prerefunded
to 7/1/00, 7.30%, 7/1/20 167,003
Aaa AAA 1,500 Puerto Rico Public
Building Authority,
Prerefunded to 7/1/02,
6.875%, 7/1/12 1,679,895
Aaa A- 1,000 Puerto Rico Electric
Power Authority,
Prerefunded to 7/1/01,
7.00%, 7/1/21 1,117,790
Baa1 AAA 635 Puerto Rico Electric
Power Authority,
Prerefunded to 7/1/99,
7.125%, 7/1/14 690,232
-----------
$ 6,376,306
-----------
GENERAL OBLIGATIONS - 6.0%
A A- $ 175 Eden, Water and Sewer
Bonds, (AMT), 6.75%,
6/1/08 $ 186,757
Aaa AAA 3,550 North Carolina, 4.75%,
2/1/12 3,196,917
Baa1 A 5,500 Puerto Rico Aqueduct and
Sewer Authority, 5.00%,
7/1/19 4,864,255
NR NR 2,550 Virgin Islands, 7.25%,
10/1/18 2,686,450
-----------
$ 10,934,379
-----------
HOSPITALS - 19.2%
Aa AA $2,090 Charlotte-Mecklenberg
Hospital, 0%, 1/1/06 $ 1,264,889
Aa AA 10,380 Charlotte-Mecklenberg
Hospital, 5.875%,
1/15/26 10,200,945
Aa AA 1,700 North Carolina Medical
Care Commission,
Carolina Medicorp,
6.00%, 5/1/21 1,701,870
NR A 5,500 North Carolina Medical
Care Commission, Mercy
Hospital, 6.50%, 8/1/08 5,758,720
Aa AA 3,000 North Carolina Medical
Care Commission, North
Carolina Baptist
Hospital, 6.00%, 6/1/22 3,008,850
Aa AA 1,700 North Carolina Medical
Care Commission,
Presbyterian Health
Services, 6.00%, 10/1/24 1,695,325
A1 A+ 5,000 North Carolina Medical
Care Commission, Rex
Hospital, 6.125%, 6/1/10 5,007,750
NR BBB+ 2,500 North Carolina Medical
Care Commission,
Roanoke-Chowan Hospital,
7.75%, 10/1/19 2,616,700
Aa AA- 1,500 Pitt County Memorial
Hospital, 5.25%, 12/1/21 1,369,020
Aa AA- 2,380 University of North
Carolina at Chapel Hill
Hospital, 6.00%, 2/15/24 2,379,881
-----------
$ 35,003,950
-----------
HOUSING - 12.1%
NR AAA $1,900 Charlotte Housing
Authority, Double Oaks,
(FHA), (FNMA), 7.35%,
5/15/26 $ 2,050,328
Aa A+ 1,250 North Carolina HFA,
SFMR, (AMT), 6.20%,
9/1/27 1,249,975
Aa AA 2,000 North Carolina HFA,
MFMR, 6.45%, 9/1/27 2,004,800
Aa A+ 2,105 North Carolina HFA,
SFMR, (AMT), 6.60%,
9/1/26 2,166,971
Aa AA 2,250 North Carolina HFA,
MFMR, 6.70%, 1/1/26 2,343,330
Aa A+ 3,880 North Carolina HFA,
SFMR, (AMT), 6.70%,
9/1/26 4,009,126
Aa AA 4,395 North Carolina HFA,
MFMR, 6.85%, 7/1/13 4,644,636
Aa A+ 855 North Carolina HFA,
SFMR, 6.95%, 3/1/17 899,204
Aa A+ 880 North Carolina HFA,
SFMR, (AMT), 7.05%,
9/1/20 919,978
</TABLE>
65
<PAGE> 26
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
Aa AA 1,500 North Carolina HFA,
SFMR, (AMT), 6.30%,
3/1/26 1,490,040
Aaa AAA 130 Puerto Rico HFC, SFMR,
(GNMA), 6.85%, 10/15/23 135,621
-----------
$ 21,914,009
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 13.6%
Baa1 BBB $3,200 Haywood County IDA,
Champion International
Corporation, (AMT),
5.50%, 10/1/18 (2) $ 2,936,000
Baa1 BBB 1,500 Haywood County IDA,
Champion International
Corporation, (AMT),
5.75%, 12/1/25 1,375,320
Baa1 NR 1,000 Haywood County IDA,
Champion International
Corporation, 6.00%,
3/1/20 970,610
Baa1 NR 1,350 Haywood County IDA,
Champion International
Corporation, (AMT),
6.25%, 9/1/25 1,332,194
A2 A 3,500 Martin County IDA,
Weyerhaeuser Company
Project, (AMT), 6.00%,
11/1/25 3,405,780
A2 A 4,250 Martin County IDA,
Weyerhaeuser Company
Project, (AMT), 6.80%,
5/1/24 4,448,433
Baa2 BBB 2,500 New Hanover County IDA,
Occidental Petroleum
Corporation, 6.70%,
7/1/19 2,610,875
Baa3 BB+ 5,155 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.25%,
6/1/26 5,119,894
Baa3 BB+ 1,500 Raleigh-Durham Airport
Authority, American
Airlines, 9.40%, 11/1/00 1,681,995
NR AA 850 Robeson County IDA,
Campbell Soup Company,
6.40%, 12/1/06 918,876
-----------
$ 24,799,977
-----------
INSURED GENERAL
OBLIGATIONS - 2.5%
Aaa AAA $1,000 Puerto Rico, (AMBAC),
Variable, 7/1/15 (1) $ 991,640
Aaa AAA 3,500 Puerto Rico, (FSA),
Variable, 7/1/22 (1) 3,526,530
-----------
$ 4,518,170
-----------
INSURED HOSPITALS - 8.6%
Aaa AAA $2,000 Catawba County, Catawba
Memorial Hospital,
(AMBAC), 6.20%, 10/1/12 $ 2,052,160
Aaa AAA 500 Cumberland County
Hospital, (MBIA), 0%,
10/1/09 232,620
Aaa AAA 1,100 New Hanover County
Medical Center, 5.75%,
10/1/26 1,060,367
Aaa AAA 3,750 North Carolina Medical
Care Commission, Moore
Regional Hospital,
(FGIC), 5.00%, 10/1/18 3,311,025
Aaa AAA 1,750 North Carolina Medical
Care Commission, Moore
Regional Hospital,
(FGIC), 5.20%, 10/1/13 1,635,288
Aaa AAA 2,500 North Carolina Medical
Care Commission, Wesley-
Long Community Hospital,
(AMBAC), 5.25%, 10/1/17 2,288,450
Aaa AAA 935 North Carolina Medical
Care Commission,
Memorial Mission
Hospital, (FSA), 0%,
10/1/06 530,836
Aaa AAA 5,000 North Carolina Medical
Care Commission, St.
Joseph's Medical Center,
(AMBAC), 5.10%, 10/1/14 4,579,600
-----------
$ 15,690,346
-----------
INSURED LEASE/CERTIFICATES OF
PARTICIPATION - 8.4%
Aaa AAA $4,500 Charlotte, Convention
Facility, (AMBAC),
5.25%, 12/1/13 $ 4,232,070
Aaa AAA 1,475 Concord County, (MBIA),
5.75%, 6/1/16 1,442,521
Aaa AAA 1,750 Duplin County, (FGIC),
5.25%, 8/1/14 1,623,335
Aaa AAA 1,575 Franklin, (FGIC),
6.625%, 6/1/14 1,676,493
</TABLE>
66
<PAGE> 27
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED LEASE/CERTIFICATES OF
PARTICIPATION - (CONTINUED)
Aaa AAA 5,000 Iredell County, Iredell-
Statesville Schools,
(FGIC), 6.125%, 6/1/07 5,213,450
Aaa AAA 1,000 Mooresville School
District, (AMBAC),
6.35%, 10/1/14 1,046,130
-----------
$ 15,233,999
-----------
INSURED UTILITIES - 6.6%
Aaa AAA $5,500 North Carolina Municipal
Power Authority, Catawba
Electric, (AMBAC),
5.75%, 1/1/15 $ 5,413,870
Aaa AAA 4,000 North Carolina Municipal
Power Authority, Catawba
Electric, (MBIA), 6.72%,
1/1/12 (1) 3,651,000
Aaa AAA 1,500 North Carolina Eastern
Municipal Power
Authority, (FSA),
Variable, 1/1/19 (1) 1,397,190
Aaa AAA 1,400 Puerto Rico Electric
Power Authority,
(Stripes), (FSA),
Variable, 7/1/02 (1) 1,494,178
-----------
$ 11,956,238
-----------
LEASE/CERTIFICATES OF
PARTICIPATION - 3.7%
A1 A- $2,065 Buncombe County,
6.625%, 12/1/10 $ 2,207,133
NR AA 825 Durham County, 6.10%,
7/15/07 869,080
Aa AA 985 Durham County, 6.75%,
12/1/11 1,059,762
A1 AA 2,400 Greensboro, Greensboro
Coliseum Arena, 6.75%,
12/1/09 2,577,624
-----------
$ 6,713,599
-----------
SPECIAL TAX REVENUE - 2.9%
Baa1 BBB+ $ 200 Puerto Rico Finance
Authority, 7.90%, 7/1/07 $ 214,378
Baa1 A 4,000 Puerto Rico Highway and
Transportation
Authority, 5.25%, 7/1/20 3,626,600
Baa1 A 1,490 Puerto Rico Highway and
Transportation
Authority, 5.50%, 7/1/15 1,435,764
-----------
$ 5,276,742
-----------
TRANSPORTATION - 0.6%
NR BBB $1,000 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 1,010,070
-----------
UTILITIES - 9.1%
A2 A $1,015 Chatham County
Industrial Facilities
and Pollution, Carolina
Power & Light, 6.30%,
6/15/14 $ 1,079,960
A A- 550 North Carolina Municipal
Power Authority, Catawba
Electric, 7.00%, 1/1/16 568,062
A BBB+ 3,200 North Carolina Municipal
Power, Eastern Power,
6.00%, 1/1/26 3,096,864
A BBB+ 5,000 North Carolina Municipal
Power, Eastern Power,
6.125%, 1/1/09 5,092,600
Baa1 BBB+ 2,000 Puerto Rico Electric
Power Authority, 0%,
7/1/17 555,240
Baa1 BBB+ 1,000 Puerto Rico Electric
Power Authority, 5.25%,
7/1/21 886,100
Baa1 BBB+ 3,000 Puerto Rico Electric
Power Authority, 5.50%,
7/1/25 2,719,260
Baa1 BBB+ 2,000 Puerto Rico Electric
Power Authority, 6.00%,
7/1/16 1,965,680
Baa1 BBB+ 365 Puerto Rico Electric
Power Authority, 7.125%,
7/1/14 389,908
NR NR 250 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 263,190
-----------
$ 16,616,864
-----------
WATER AND SEWER - 1.0%
Aa AA $2,000 Orange County, Water &
Sewer, 5.20%, 7/1/16 $ 1,830,920
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$173,941,735) $181,843,539
===========
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by North Carolina
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 August 31, 1996, 25.5% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 2.9% to 11.3% of total investments.
See notes to financial statements
67
<PAGE> 28
Oregon Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
COGENERATION - 1.7%
NR NR $2,000 Western Generation
Agency, Wauna
Cogeneration Project,
(AMT), 7.40%, 1/1/16 $ 2,102,220
-----------
EDUCATION - 2.8%
NR A+ $2,750 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Reed College
Project, 5.375%, 7/1/25 $ 2,491,032
A NR 1,000 City of Salem,
Educational Facilities,
Willamette University
Project, 6.10%, 4/1/14 1,006,420
-----------
$ 3,497,452
-----------
ESCROWED - 3.7%
A1 AAA $2,000 City of Medford, Rogue
Valley Memorial
Hospital, 6.25%, 12/1/07 $ 2,180,400
NR A+ 1,250 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Reed College
Project, 6.75%, 7/1/21 1,378,150
NR AAA 200 Commonwealth of Puerto
Rico, Highway &
Transportation
Authority, 6.625%,
7/1/18 221,468
Baa1 A 800 Commonwealth of Puerto
Rico, Highway &
Transportation
Authority, 6.625%,
7/1/18 881,568
-----------
$ 4,661,586
-----------
GENERAL OBLIGATIONS - 13.7%
Aa AA+ $1,000 Tri County Metropolitan
Transportation District,
Light Rail Extension,
6.00%, 7/1/12 $ 1,026,880
Aa NR 2,000 Lane County, City of
Eugene, School District,
5.375%, 7/1/13 1,942,720
Aa AA- 1,000 State of Oregon,
Veterans' Welfare Bonds,
9.00%, 4/1/04 1,248,800
Aa AA- 1,000 State of Oregon, Board
of Higher Education,
6.00%, 10/15/18 1,010,600
Aa AA- 1,250 State of Oregon, Elderly
and Disabled Housing,
6.375%, 8/1/24 1,309,487
Aa AA- 5,110 State of Oregon, Elderly
and Disabled Housing,
(AMT), 5.65%, 8/1/26 4,896,606
Aa AA- 1,500 State of Oregon,
Veterans' Welfare Bonds,
5.875%, 10/1/18 1,515,120
Aa AA- 1,225 State of Oregon,
Veterans' Welfare Bonds,
5.85%, 10/1/15 1,222,146
Baa1 A 1,000 Commonwealth of Puerto
Rico Aqueduct and Sewer
Authority, 6.25%, 7/1/12 1,064,270
Baa1 A 2,000 Commonwealth of Puerto
Rico Public Building
Authority, 5.75%, 7/1/15 1,935,100
-----------
$ 17,171,729
-----------
HOSPITALS - 1.6%
NR A $1,000 Benton County, Good
Samaritan Hospital
Corvallis, 6.25%,
10/1/09 $ 1,010,660
Aa3 AA 1,000 Clackamas County, Kaiser
Permanente, 6.25%,
4/1/21 1,039,170
-----------
$ 2,049,830
-----------
HOUSING - 15.7%
Aa NR $2,500 State of Oregon, Housing
and Community Services
Department, MFMR,
6.875%, 7/1/28 $ 2,595,200
NR A 1,750 City of Portland Housing
Authority, MFMR,
Riverwood Project,
6.00%, 1/1/19 1,716,085
Aaa NR 2,875 City of Portland Housing
Authority, MFMR, Cherry
Blossom Apartments,
(AMT), 6.20%, 12/20/36 2,879,830
Aa NR 1,055 State of Oregon, Housing
and Community Services
Department, SFMR, (AMT),
6.80%, 7/1/27 1,081,364
Aa NR 1,475 State of Oregon, Housing
and Community Services
Department, SFMR,
5.375%, 7/1/17 1,394,539
Aa NR 2,500 State of Oregon, Housing
and Community Services
Department, SFMR, (AMT),
6.45%, 7/1/26 2,519,050
Aa NR 2,000 State of Oregon, Housing
and Community Services
Department, SFMR, (AMT),
6.40%, 7/1/26 2,007,500
</TABLE>
68
<PAGE> 29
- --------------------------------------------------------------------------------
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 NR 2,000 State of Oregon Housing
and Community Services
Department, SFMR, (AMT),
6.20%, 7/1/27 1,967,380
Aa NR 3,500 State of Oregon Housing
and Community Services
Department, SFMR, (AMT),
6.375%, 7/1/27 3,515,435
-----------
$ 19,676,383
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 8.2%
Baa2 BBB- $3,500 Oregon Economic
Developments Authority,
Georgia Pacific, (AMT),
6.35%, 8/1/25 $ 3,490,515
NR BBB- 5,000 Port of Astoria, PCR,
James River Project,
6.55%,
2/1/15 (2) 4,978,400
NR NR 750 Port of Portland, Ash
Grove Cement Co., 7.25%,
10/1/09 812,948
Baa1 A 1,000 Port of Portland, North
Portland Crown
Zellerbach Corporation,
6.125%, 5/15/08 987,990
-----------
$ 10,269,853
-----------
INSURED TRANSPORTATION - 5.4%
Aaa AAA $1,000 Port of Portland,
Portland International
Airport, (AMT), (AMBAC),
6.25%, 7/1/18 $ 1,056,040
Aaa AAA 2,750 Port of Portland,
Portland International
Airport, (AMT), (FGIC)
6.00%, 7/1/23 2,849,193
Aaa AAA 1,250 Port of Portland,
Portland International
Airport, (AMT), (FGIC)
5.75%, 7/1/25 1,218,975
Aaa AAA 1,500 Oregon Department of
Transportation, Westside
Light Rail, (MBIA)
6.25%, 6/1/09 1,600,110
-----------
$ 6,724,318
-----------
INSURED EDUCATION - 2.0%
Aaa AAA $1,000 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Lewis and
Clark College, (MBIA)
6.00%, 10/1/13 $ 1,025,780
Aaa AAA 1,500 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Lewis and
Clark College, (MBIA)
6.125%, 10/1/24 1,540,155
-----------
$ 2,565,935
-----------
INSURED GENERAL
OBLIGATIONS - 3.2%
Aaa AAA $1,000 Multnomah County,
Parkrose School
District, (FGIC) 5.70%,
12/1/09 $ 1,025,430
Aaa AAA 1,000 Yamhill, Clackamas &
Washington Counties,
Newberg School Dist.,
(FSA) 5.50%, 6/1/10 1,001,770
Aaa AAA 2,000 Commonwealth of Puerto
Rico, (AMBAC), Variable,
7/1/15 (1) 1,983,280
-----------
$ 4,010,480
-----------
INSURED HOSPITALS - 2.9%
Aaa AAA $3,630 Oregon Health Science
University, Capital
Appreciation, (MBIA),
0%, 7/1/21 $ 818,819
Aaa AAA 2,000 Oregon Health Science
University, Capital
Appreciation, (MBIA),
5.25%, 7/1/28 1,795,700
Aaa AAA 1,000 Western Lane Hospital
District Authority,
Sisters of St. Joseph of
Peace, (MBIA) 5.75%,
8/1/19 978,760
-----------
$ 3,593,279
-----------
</TABLE>
69
<PAGE> 30
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED LEASE/
CERTIFICATES OF
PARTICIPATION - 4.7%
Aaa AAA $1,250 State of Oregon,
Department of General
Services, Real Property
Financing Program,
(AMBAC) 6.25%, 9/1/15 $ 1,299,825
Aaa AAA 1,500 State of Oregon,
Department of General
Services, Real Property
Financing Program,
(MBIA), 6.25%, 11/1/19 1,559,910
Aaa AAA 2,200 State of Oregon,
Department of
Administration, (MBIA),
5.50%, 11/1/20 2,095,412
Aaa AAA 1,000 State of Oregon,
Department of
Administration, (MBIA),
5.70%, 5/1/16 984,820
-----------
$ 5,939,967
-----------
INSURED UTILITIES - 3.2%
Aaa AAA $1,000 Emerald People's Utility
District, Electric
System, (AMBAC) 5.75%,
11/1/16 $ 998,720
Aaa AAA 1,000 City of Eugene, Electric
Utility Revenue, (MBIA),
5.80%, 8/1/22 1,008,930
Aaa AAA 500 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA),
Variable, 7/1/03 (1) 537,365
Aaa AAA 1,600 Commonwealth of Puerto
Rico, Telephone
Authority, (MBIA),
Variable, 1/16/15 (1) 1,446,400
-----------
$ 3,991,415
-----------
INSURED WATER & SEWER - 5.2%
Aaa AAA $1,000 City of Beaverton,
Washington County, Water
Revenue,
(FSA) 6.125%, 6/1/14 $ 1,031,320
Aaa AAA 1,500 City of Portland, Sewer
System, (FGIC) 6.00%,
10/1/12 1,546,305
Aaa AAA 1,000 South Fork Water Board,
First Lien Water
Revenue, (FSA) 6.00%,
2/1/14 1,028,140
Aaa AAA 1,375 Washington County,
Unified Sewerage Agency,
Senior Lien, (AMBAC),
6.125%, 10/1/12 1,430,344
Aaa AAA 1,500 Washington County,
Unified Sewerage Agency,
(AMBAC), 6.125%, 10/1/12 1,560,375
-----------
$ 6,596,484
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 1.9%
A A $1,000 Metro Regional Center
Project, Certificate of
Participation, 5.25%,
8/1/22 $ 889,970
Aa A 1,500 Multnomah County,
Certificates of
Participation, Juvenile
Justice Complex, 6.00%,
8/1/12 1,524,435
-----------
$ 2,414,405
-----------
POOLED LOAN - 1.1%
A1 NR $1,500 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Oregon Coast
Aquarium, 5.25%, 10/1/13 $ 1,436,340
-----------
SPECIAL TAX REVENUE - 7.2%
A NR $1,000 City of Portland, Urban
Renewal and
Redevelopment Bonds,
Downtown Waterfront
Project, 6.40%, 6/1/08 $ 1,058,780
Baa1 A 500 Commonwealth of Puerto
Rico, Highway and
Transportation
Authority, 6.375%,
7/1/08 530,300
Baa1 A 1,720 Commonwealth of Puerto
Rico Highway and
Transportation
Authority, 5.25%, 7/1/20 1,559,438
Baa1 A 2,000 Commonwealth of Puerto
Rico Highway and
Transportation
Authority, 5.50%, 7/1/17 1,895,440
</TABLE>
70
<PAGE> 31
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
SPECIAL TAX REVENUE - (CONTINUED)
Baa1 A 1,250 Commonwealth of Puerto
Rico Highway and
Transportation
Authority, 5.00%, 7/1/36 1,064,650
A1 AA 3,000 Tri-County Metropolitan
Transportation District,
Limited Tax Pledge,
5.70%, 8/1/13 2,974,110
-----------
$ 9,082,718
-----------
TRANSPORTATION - 4.0%
Ba2 BB+ $1,500 Port of Portland,
Special Obligation
Revenue Bonds, Delta
Airlines Inc. Project,
(AMT), 6.20%, 9/1/22 $ 1,465,935
NR BBB 2,000 Guam Airport Authority,
6.50%, 10/1/23 2,013,460
NR BBB 1,500 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 1,515,105
-----------
$ 4,994,500
-----------
UTILITIES - 9.0%
A1 AA $1,500 City of Eugene, Electric
Utility System, 6.00%,
8/1/11 $ 1,519,200
A1 AA 4,055 City of Eugene, Electric
Utility System, 5.75%,
8/1/16 4,021,506
Aa AA- 4,000 City of Eugene, Trojan
Nuclear Power Project,
5.90%, 9/1/09 (2) 3,942,960
Aa AA- 1,500 Northern Wasco County,
People's Utility
District, McNary Dam
Fishway Hydroelectric
Project, Bonneville
Power Administration,
5.20%, 12/1/24 1,345,005
A A+ 500 Commonwealth of Puerto
Rico, Telephone
Authority, Variable,
1/1/20 (1) 510,155
-----------
$ 11,338,826
-----------
WATER & SEWER - 2.8%
NR A+ $2,000 Clackamus County, Water
Revenue, 6.375%, 10/1/14 $ 2,094,440
A A+ 1,500 City of Gresham, Water
Revenue, 5.20%, 11/1/10 1,444,590
-----------
$ 3,539,030
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$122,520,158) $125,656,750
===========
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax
The Portfolio invests primarily in debt securities issued by Oregon
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 August 31, 1996, 25.4% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 2.9% to 11.8% of total investments.
See notes to financial statements
71
<PAGE> 32
South Carolina Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 2.8%
NR A $1,500 SC Education Authority,
Student Loan, (AMT),
6.30%, 9/1/08 $ 1,521,540
-----------
ESCROWED - 1.9%
Aaa AAA $ 955 Charleston SC COP (MBIA),
7.00%, 6/1/19 $ 1,087,936
-----------
HOSPITALS - 6.8%
Aa AA- $1,500 Greenville Hospital
System Board of Trustees,
5.25%, 5/1/17 $ 1,361,070
Baa1 NR 1,500 Horry County, Conway
Hospital, 6.75%, 7/1/12 1,522,515
NR AAA 1,000 SC Jobs Economic
Developement, Oconee
Memorial Hospital,
6.150%, 3/1/25 1,002,280
-----------
$ 3,885,865
-----------
HOUSING - 13.7%
NR AA $ 985 South Carolina HFA, MFMR,
Westbury Place, 6.05%,
7/1/27 $ 963,369
NR BBB+ 1,000 South Carolina HFA, MFMR,
Hunting Ridge, (AMT),
6.75%, 6/1/25 1,002,120
NR AA- 1,780 South Carolina HFA, MFMR,
Runaway Bay Apt. Project,
6.20%, 12/1/20 1,738,366
Aa AA 1,500 South Carolina HFA, SFMR,
6.375%, 7/1/16 1,513,440
Aa NR 1,500 South Carolina HFA, SFMR,
6.45%, 7/1/17 1,531,530
Aa NR 1,000 South Carolina HFA, SFMR,
(AMT), 6.75%, 7/1/26 1,024,370
-----------
$ 7,773,195
-----------
INDUSTRIAL DEVELOPMENT - 29.5%
Baa2 BBB $1,890 Aiken County, Beloit
Corporation, 6.00%,
12/1/11 $ 1,863,824
NR BBB+ 1,500 Chester County, 7.35%,
2/1/14 1,604,640
A1 AA- 1,500 Darlington County, Nucor
Corporation, (AMT),
5.75%, 8/1/23 1,417,695
A2 A 500 Darlington County, Sonoco
Products, (AMT), 6.125%,
6/1/25 503,655
A2 A 2,500 Darlington County, Sonoco
Products, (AMT), 6.0%,
4/1/26 2,489,550
Aa3 AA 500 Florence County,
Pollution Control, E.I.
du Pont de Nemours & Co.,
6.35%, 7/1/22 520,445
NR NR 600 Florence County, Stone
Container Project,
7.375%, 2/1/07 615,066
Baa3 BB+ 1,500 Puerto Rico Port
Authority, American
Airlines Project, (AMT),
6.25%, 6/1/26 1,489,785
A1 A- 2,665 Richland County,
Pollution Control, Union
Camp Corporation, (AMT),
6.75%, 5/1/22 2,794,279
NR NR 1,500 Spartanburg County, Solid
Waste, Bavarian Motor
Works Corp., (AMT),
7.55%, 11/1/24 1,597,200
A2 A+ 2,000 York County, Hoechst
Celanese Corporation,
(AMT), 5.70%, 1/1/24 1,876,400
-----------
$16,772,539
-----------
INSURED GENERAL
OBLIGATION - 1.8%
Aaa AAA $1,000 Berkeley County School
District, (AMBAC), 6.30%,
2/1/16 $ 1,042,410
-----------
INSURED HEALTHCARE - 4.7%
Aaa AAA $3,000 South Carolina Jobs-EDA,
Anderson Area Med Center,
(MBIA), 5.25%, 2/1/26 $ 2,675,610
-----------
INSURED HOSPITAL - 8.0%
Aaa AAA $1,000 Florence County, McLeod
Medical Center, (FGIC),
5.25%, 11/1/09 $ 931,480
Aaa AAA 1,500 Greenwood County, Self
Memorial Hospital,
(FGIC), 5.875%, 10/1/17 1,490,055
Aaa AAA 300 Lexington County Health
Services District, Inc.,
(FSA), 6.75%, 10/1/18 318,108
Aaa AAA 1,000 South Carolina Jobs-EDA,
Baptist Hospital,
(AMBAC), 5.45%, 8/1/15 943,640
Aaa AAA 1,000 South Carolina Jobs-EDA,
Baptist Hospital,
(AMBAC), Variable, 8/1/15
(1) 880,220
-----------
$ 4,563,503
-----------
</TABLE>
72
<PAGE> 33
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
INSURED LEASE/
CERTIFICATE OF
PARTICIPATION - 4.4%
<S> <C> <C> <C> <C>
Aaa AAA $ 500 Charleston County,
(MBIA), 6.10%, 6/1/11 $ 518,895
Aaa AAA 45 Charleston County,
(MBIA), 7.00%, 6/1/19 49,524
Aaa AAA 1,000 Florence County, Law
Center, (AMBAC), 6.00%,
3/1/14 1,011,910
Aaa AAA 900 North Charleston,
Coliseum Capital
Improvements, (FGIC),
6.00%, 1/1/11 909,882
-----------
$ 2,490,211
-----------
INSURED UTILITIES - 7.8%
Aaa AAA $ 300 Piedmont Municipal Power
Agency, (MBIA),
6.25%, 1/1/09 $ 321,027
Aaa AAA 1,000 Piedmont Municipal Power
Agency, (MBIA),
6.30%, 1/1/14 1,027,220
Aaa AAA 1,000 South Carolina Public
Service Authority, Santee
Cooper, (AMBAC),
5.00%, 1/1/14 905,100
Aaa AAA 1,000 South Carolina Public
Service Authority, Santee
Cooper, (MBIA),
5.125%, 1/1/32 868,230
Aaa AAA 1,250 South Carolina Public
Service Authority,
(AMBAC), 6.375%, 7/1/21 1,289,800
-----------
$ 4,411,377
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 4.6%
Baa NR $ 750 Lexington School
District, 6.90%, 7/1/08 $ 782,490
Baa1 BBB+ 1,750 Myrtle Beach Convention
Center, 6.875%, 7/1/17 1,802,483
-----------
$ 2,584,973
-----------
POOLED LOANS - 0.5%
NR A+ $ 300 SC Resource Authority,
Local Government Program,
7.00%, 4/1/13 $ 308,757
-----------
UTILITIES - 13.5%
A2 A- $1,650 Berkeley County, South
Carolina Electric & Gas
Company, 6.50%, 10/1/14 $ 1,745,914
A2 A 1,500 Darlington County,
Carolina Power & Light
Company, 6.60%, 11/1/10 1,595,700
Baa1 BBB 500 Piedmont Municipal Power
Agency, 5.75%, 1/1/24 464,310
Baa1 A- 1,400 Puerto Rico Electric
Power Authority, 6.250%,
7/1/17 1,412,754
Baa1 A- 500 Puerto Rico Electric
Power Authority, 6.375%,
7/1/24 511,845
Baa1 A- 4,000 Puerto Rico Electric
Power Authority, 0%,
7/1/17 1,110,480
Aa A+ 1,000 South Carolina Public
Service Authority,
5.125%, 1/1/32 840,380
-----------
$ 7,681,383
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$54,923,381) $56,799,299
===========
</TABLE>
(1) Security has been issued as an inverse floater bond.
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by South Carolina
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 August 31, 1996, 26.6% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 0.6% to 11.5% of total investments.
See notes to financial statements
73
<PAGE> 34
Tennessee Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 1.8%
Baa NR $1,000 Nashville and Davidson
County, Belmont
University, 6.40%,
12/1/19 $ 1,008,841
-----------
ESCROWED - 2.7%
Aaa AAA $1,500 Shelby County, Lebonheur
Children's Hospital,
(MBIA) 5.50%, 8/15/12 $ 1,499,941
-----------
GENERAL OBLIGATIONS - 5.0%
Aa AA $1,000 Metro Government
Nashville & Davidson
County, 5.875%, 5/15/21 $ 991,511
Aa AA+ 1,000 Shelby County Series
1993, 5.125%, 3/1/16 921,800
Baa1 A 1,000 Commonwealth of Puerto
Rico Aqueduct and Sewer
Auth, 5.00%, 7/1/15 900,530
-----------
$ 2,813,841
-----------
HOSPITALS - 4.1%
Baa1 NR $ 500 City of Clarksville,
Clarksville Memorial,
6.25%, 7/1/08 $ 495,420
Baa1 NR 500 City of Clarksville,
Clarksville Memorial,
6.375%, 7/1/18 485,901
Baa1 BBB+ 250 Knox County, East
Tennessee Children's,
6.50%, 10/1/12 248,998
NR A- 1,000 Sumner County, Sumner
Regional Health Systems,
7.50%, 11/1/14 (4) 1,077,220
-----------
$ 2,307,539
-----------
HOUSING - 14.6%
NR AAA $ 500 Knoxville Community
Development Corp.,
Morningside Gardens,
(GNMA) 6.10%, 7/20/20 $ 496,846
NR A 750 Knoxville Community
Development Corp.,
Clinton Towers, 6.65%,
10/15/10 764,498
NR A 1,645 Nashville and Davidson
County, The Park at
Hermitage, 5.90%, 2/1/19 1,525,606
Aa A+ 445 TN HDA, Homeownership
Program, 6.80%, 7/1/17 457,968
A1 A+ 2,000 TN HDA, Mortgage Finance
Program, 5.85%, 7/1/13 2,005,260
A1 A+ 2,000 TN HDA, Mortgage Finance
Program, 5.95%, 7/1/28 1,982,860
Aa AA 1,000 TN HDA, Homeownership
Program, (AMT) 5.75%,
7/1/24 972,860
-----------
$ 8,205,898
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 24.6%
Aa3 AA $1,000 City of Chattanooga,
E.I. du Pont de Nemours
and Company, 6.35%,
7/1/22 $ 1,049,160
Aa2 AA- 1,000 Humphreys County, E.I.
du Pont de Nemours and
Company, (AMT) 6.70%,
5/1/24 1,055,880
Aa2 AA 2,000 Loudon County, Kimberly-
Clark Corp., (AMT)
6.20%, 2/1/23 (2) 2,003,740
NR A- 2,750 Maury County, Saturn
Corporation, 6.50%,
9/1/24 (4) 2,831,346
Baa1 BBB 1,500 McMinn County, Calhoun
Newsprint Company,
Bowater Incorporated
Obligor, (AMT) 7.40%,
12/1/22 1,597,636
Baa2 BBB 1,500 Memphis-Shelby County
Airport Authority,
Federal Express Corp.,
6.75%, 9/1/12 1,554,211
Baa2 BBB 1,000 Memphis-Shelby County
Airport Authority,
Federal Express Corp.,
(AMT) 6.20%, 7/1/14 993,501
NR BBB+ 500 Nashville and Davidson
County, Osco Treatment
Systems, (AMT) 6.00%,
5/1/03 501,310
Baa3 BB+ 1,250 Commonwealth of Puerto
Rico Port Authority,
American Airlines (AMT),
6.25%, 6/1/26 1,241,488
A3 NR 1,000 South Fulton County,
Tyson Foods Co., 6.40%,
10/1/20 998,710
-----------
$ 13,826,982
-----------
</TABLE>
74
<PAGE> 35
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
INSURED EDUCATION - 6.4%
<S> <C> <C> <C> <C>
Aaa AAA $1,500 Jackson Health,
Education and Housing,
Lambuth Univ (FSA),
5.90%, 9/1/20 $ 1,455,090
Aaa AAA 1,230 Metro Nashville Health
and Education, Meharry
Medical College (AMBAC),
6.00%, 12/1/19 (3) 1,254,712
Aaa AAA 1,000 Metro Nashville Health
and Education, Meharry
Medical College (AMBAC),
5.00%, 12/1/24 (3) 878,130
-----------
$ 3,587,932
-----------
INSURED GENERAL
OBLIGATION - 0.5%
Aaa AAA $ 300 Commonwealth of Puerto
Rico, (AMBAC) 7/1/15,
(1) $ 297,492
-----------
INSURED HOUSING - 1.9%
Aaa AAA $1,000 Knox County, SCA Realty
Multifamily Mortgage
Receipts, (FSA) 7.125%,
1/1/30 $ 1,077,540
-----------
INSURED
HOSPITALS - 12.2%
Aaa AAA $ 500 City of Bristol, Bristol
Memorial, (FGIC) 6.75%,
9/1/10 $ 556,286
Aaa AAA 1,000 City of Bristol, Bristol
Memorial, (FGIC) 5.125%,
9/1/13 920,570
Aaa AAA 250 City of Chattanooga,
Memorial Hospital
Project, (MBIA) 6.625%,
9/1/09 275,126
Aaa AAA 2,000 City of Jackson,
Jackson-Madison County
General Hospital,
(AMBAC) 5.625%, 4/1/15 1,933,961
Aaa AAA 1,500 City of Johnson, Johnson
City Medical Center,
(MBIA) 5.00%, 7/1/13 1,352,640
Aaa AAA 2,000 Knox County, Fort
Sanders Alliance
Obligated Group, (MBIA)
5.25%, 1/1/23 1,807,440
-----------
$ 6,846,023
-----------
INSURED SPECIAL TAX - 3.7%
Aaa AAA $1,000 City of Johnson, School
District Sales Tax,
(AMBAC) 6.70%, 5/1/21 $ 1,076,450
Aaa AAA 1,000 Nashville Sports
Authority Stadium
Project-1996 (AMBAC),
5.875%, 7/1/21 991,510
-----------
$ 2,067,960
-----------
INSURED TRANSPORTATION - 1.9%
Aaa AAA $1,000 Memphis-Shelby County
Airport Authority,
(MBIA), (AMT) 6.50%,
2/15/09 $ 1,064,130
-----------
INSURED UTILITIES - 7.2%
Aaa AAA $ 750 City of Dickson,
Electric System
Revenues-1996 (MBIA),
5.50%, 9/1/16 $ 715,890
Aaa AAA 1,000 City of Lawrenceburg
Electric Revenues
(MBIA), 6.625, 7/1/18 1,102,600
Aaa AAA 1,000 City of Lawrenceburg
Electric Revenues
(MBIA), 5.50%, 6/1/26 940,081
Aaa AAA 1,000 Madison County Suburban
Utility District, (MBIA)
5.00%, 2/1/19 894,560
Aaa AAA 400 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA) 7/1/03
(1) 429,892
-----------
$ 4,083,023
-----------
INSURED WATER & SEWER - 2.3%
Aaa AAA $ 350 Nashville and Davidson
Counties, Water System,
(AMBAC) 1/1/22 (1) $ 349,018
Aaa AAA 1,000 Nashville and Davidson
Counties, Water System,
(FGIC) 5.20%, 1/1/13 953,370
-----------
$ 1,302,388
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 0.9%
A NR $ 500 Wilson County
Educational Facilities
Corporation, 6.125%,
6/30/10 $ 511,230
-----------
</TABLE>
75
<PAGE> 36
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
POOLED LOANS - 3.3%
<S> <C> <C> <C> <C>
A AA- $ 700 Tennessee Local
Development Authority,
State Loan Program,
5.00%, 3/1/15 $ 631,113
NR A- 1,200 Tennessee Local
Development Authority,
Community Provider,
6.55%, 10/1/23 1,223,832
-----------
$ 1,854,945
-----------
NURSING HOMES - 1.8%
NR A+ $1,000 Tennessee State
Veterans' Homes Board,
Humboldt Project, 6.65%,
2/1/14 (4) $ 1,021,560
-----------
SPECIAL TAX - 2.4%
Baa1 A $1,575 Commonwealth of Puerto
Rico Highway and Trans
Auth, 5.00%, 7/1/36 $ 1,341,452
-----------
TRANSPORTATION - 1.8%
NR BBB $1,000 Guam Airport Authority,
(AMT) 6.70%, 10/1/23 $ 1,010,061
-----------
WATER & SEWER - 0.9%
NR BBB+ $ 250 Hamilton County,
Eastside Utility
District, 6.50%, 11/1/05 $ 263,845
NR BBB+ 250 Hamilton County,
Eastside Utility
District, 6.75%, 11/1/11 261,195
-----------
$ 525,040
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$55,475,532) $ 56,253,836
===========
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
(3) When-issued security.
(4) Security has been segregated to cover when-issued securities.
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Tennessee
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 August 31, 1996, 38.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregated percentage insured by
financial institutions ranged from 4.3% to 17.2% of total investments.
See notes to financial statements
76
<PAGE> 37
Virginia Municipals Portfolio
Portfolio of Investments - August 31, 1996
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 6.1%
NR A- $2,000 City of Lynchburgh, IDA,
Randolph-Macon Woman's
College, 5.875%, 9/1/23 $ 1,979,940
Baa NR 2,220 Rockingham County, IDA,
Bridgewater College,
5.95%, 10/1/13 2,161,903
NR A- 1,570 VA College Building
Authority, Hampden-
Sydney College, 6.60%,
9/1/16 1,636,756
NR A+ 400 VA College Building
Authority, Hampton
University, 6.50%,
4/1/08 420,192
NR BBB- 1,150 VA College Building
Authority, Marymount
University, 7.00%,
7/1/12 1,214,964
NR BBB- 2,200 VA College Building
Authority, Marymount
University, 7.00%,
7/1/22 2,306,150
NR A+ 1,000 VA College Building
Authority, Hampton
University, 5.75%,
4/1/14 982,600
-----------
$ 10,702,505
-----------
ESCROWED - 2.4%
Aaa NR $1,000 Arlington County, IDA,
Arlington Hospital,
7.125%, 9/1/21 $ 1,121,630
A NR 500 Augusta County, IDA,
Augusta Hospital, 7.00%,
9/1/21 556,885
NR NR 600 Prince William County,
IDA, Virginia Commuter
Parking Facilities
Lease, 7.25%, 3/1/11 659,514
NR A+ 1,700 City of VA Beach, VA
Water and Sewer System,
6.625%, 2/1/17 1,866,413
-----------
$ 4,204,442
-----------
GENERAL OBLIGATIONS - 3.9%
Aaa AAA $1,000 Fairfax County, 5.625%,
6/1/14 $ 991,590
A1 AA 500 City of Richmond, 6.25%,
1/15/18 516,070
Aa AA 1,000 Roanoke County, 5.00%,
6/1/21 888,310
Baa1 A 350 Commonwealth of Puerto
Rico, 0%, 7/1/04 231,581
NR NR 4000 Virgin Island, 7.25%,
10/1/18 4,214,040
-----------
$ 6,841,591
-----------
HOSPITALS - 18.3%
A NR $3,800 Albermarle County, IDA,
Martha Jefferson
Hospital, 5.50%, 10/1/20 $ 3,500,522
A NR 315 Chesapeake Hospital
Authority, Chesapeake
General Hospital, 7.60%,
7/1/00 339,283
Aa AA 2,500 Fairfax County, IDA,
Inova Health System
Hospitals, 5.00%,
8/15/23 2,164,975
Aa AA 2,910 Fairfax County, IDA,
Inova Health System
Hospitals, 5.00%,
8/15/14 2,634,307
Aa AA 2,000 Fairfax County, IDA,
Inova Health System
Hospitals, 5.00%,
8/15/15 1,794,120
Aa AA 1,000 Fairfax County, IDA,
Inova Health System
Hospitals, 6.00%,
8/15/26 991,710
NR A- 2,000 Medical College of
Hampton Roads, 6.875%,
11/15/11 2,127,540
A A 1,250 City of Martinsville,
IDA, Memorial Hospital
of Martinsville and
Henry County, 7.00%,
1/1/06 1,303,087
Aa AA 3,000 Norfolk County, IDA,
Sentara Health System,
5.00%, 11/1/20 2,609,310
Aa AA 2,000 Norfolk County, IDA,
Sentara Health System,
5.50%, 11/1/17 1,878,600
Aa AA- 3,500 Peninsula Ports
Authority of Virginia,
Riverside Health System,
6.625%, 7/1/10 3,670,170
A NR 2,400 Prince William County,
IDA, Potomac Hospital,
6.85%, 10/1/25 2,498,088
Aa AA 3,000 Virginia Beach
Development Authority,
Sentara Bayside
Hospital, 6.60%, 11/1/09 3,169,140
A NR 1,060 Washington County, IDA,
Johnston Memorial
Hospital, 7.00%, 7/1/22 1,125,275
A NR 1,000 Washington County, IDA,
Johnston Memorial
Hospital, 6.25%, 7/1/06 1,046,960
A NR 1,000 Washington County, IDA,
Johnston Memorial
Hospital, 6.00%, 7/1/14 994,490
-----------
$ 31,847,577
-----------
</TABLE>
77
<PAGE> 38
- --------------------------------------------------------------------------------
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 - 13.3%
NR AAA $1,250 Fairfax County
Redevelopment and
Housing Authority, Multi
Family Mortgage Revenue,
(FHA), 7.00%, 5/1/26 $ 1,335,363
NR AAA 1,000 Hampton Redevelopment
and Housing Authority,
Senior Living, (GNMA),
6.00%, 1/20/26 994,440
NR AAA 1,800 Suffolk Redevelopment
and Housing Authority,
Prince Williams Commons,
(FNMA), 6.45%, 6/1/19 1,814,922
Aa1 AA+ 5,000 VA HDA, Multi Family
Mortgage Revenue, (AMT),
6.75%, 7/1/21 5,201,000
Aa AA+ 3,500 VA HDA, Multi Family
Mortgage Revenue, 7.05%,
5/1/18 3,683,085
Aa1 AA+ 3,000 VA HDA, Single Family
Mortgage Revenue, 7.10%,
1/1/22 3,151,200
Aa1 AA+ 2,350 VA HDA, Single Family
Mortgage Revenue, 7.10%,
1/1/17 2,475,490
Aa1 NR 2,500 VA HDA, Single Family
Mortgage Revenue, 6.85%,
1/1/15 2,612,100
Aa NR 1,900 VA HDA, Single Family
Mortgage Revenue,
Variable, 7/1/04 (1) 1,863,520
-----------
$ 23,131,120
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 11.9%
Aa NR $2,190 City of Chesapeake,
Cargill Inc., 5.875%,
3/1/13 $ 2,208,987
A2 A+ 3,000 City of Giles, Hoechst
Celanese Corporation,
(AMT), 5.95%, 12/1/25 2,856,300
A2 A+ 2,000 City of Giles, Hoechst
Celanese Corporation,
6.45%, 5/1/26 2,024,280
A2 A+ 1,000 City of Giles, Hoechst
Celanese Corporation,
(AMT), 6.625%, 12/1/22 1,029,560
A2 A 2,000 Henrico County, Browning
Ferris Inc., (AMT),
5.45%, 1/1/14 (2) 1,900,900
A1 A- 4,000 Isle of Wright County,
Union Camp Corporation,
(AMT), 6.55%, 4/1/24 4,114,200
Baa3 BBB 5,520 West Point, Chesapeake
Corporation, (AMT),
6.375%, 3/1/19 5,545,226
Baa3 BBB 980 West Point, Chesapeake
Corporation, 6.25%,
3/1/19 986,252
-----------
$ 20,665,705
-----------
INSURED GENERAL OBLIGATION - 2.5%
Aaa AAA $2,000 Loudon County, (MBIA),
5.25%, 1/1/30 $ 1,795,220
Aaa AAA 3,000 City of Richmond,
(FGIC), 5.00%, 1/15/21 2,642,580
-----------
$ 4,437,800
-----------
INSURED HOSPITALS - 8.6%
Aaa AAA $1,665 Arlington County, IDA,
The Arlington Hospital,
(AMBAC), 5.00% , 9/1/21 $ 1,433,532
Aaa AAA 5,000 Augusta County, IDA,
Augusta Hospital
Corporation, (AMBAC),
5.125%, 9/1/21 4,514,850
Aaa AAA 2,500 Chesapeake Hospital
Authority, Chesapeake
General Hospital,
(MBIA), 5.25%, 7/1/18 2,278,950
Aaa AAA 1,500 Henrico County, Bon
Secour Health Systems,
(MBIA), 6.25%, 8/15/20 1,578,690
Aaa AAA 1,000 City of Roanoke, IDA,
Franklin Memorial
Hospital and St. Albans
Psychiatric Hospital,
(MBIA), 5.25%, 7/1/25 901,440
Aaa AAA 2,250 City of VA Beach, IDA,
Virginia Beach Memorial
Hospital, (AMBAC),
5.125%, 2/15/18 2,029,185
Aaa AAA 2,000 City of Winchester, IDA,
Winchester Medical
Center, (AMBAC),
Variable,
1/21/14 (1) 2,169,600
-----------
$ 14,906,247
-----------
</TABLE>
78
<PAGE> 39
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
INSURED TRANSPORTATION - 5.8%
<S> <C> <C> <C> <C>
Aaa AAA $6,500 Metropolitan Washington
Airports Authority,
(MBIA), (AMT), 5.75%,
10/1/20 $ 6,206,590
Aaa AAA 3,000 Northern Virginia
Transportation District
Commission, (FGIC),
5.25%, 7/1/10 2,852,520
Aaa AAA 1,000 Richmond Metropolitan
Authority Expressway,
(FGIC), 6.375%, 7/15/16 1,040,270
-----------
$ 10,099,380
-----------
INSURED UTILITIES - 0.5%
Aaa AAA $ 900 Commonwealth of Puerto
Rico, Telephone
Authority, (MBIA),
Variable, 1/16/15 (1) $ 813,600
-----------
INSURED WATER & SEWER - 4.4%
Aaa AAA $2,000 Loudon County Sanitation
Authority, (MBIA),
5.25%, 1/1/25 $ 1,819,380
Aaa AAA 1,000 Norfolk County Water and
Sewer Authority,
(AMBAC), 5.25%, 11/1/13 941,680
Aaa AAA 1,000 Roanoke County Water and
Sewer Authority, (FGIC),
5.00%, 7/1/21 881,030
Aaa AAA 1,750 Upper Occoquan Sewage
Authority, (FGIC),
5.00%, 7/1/15 1,581,475
Aaa AAA 2,700 Upper Occoquan Sewage
Authority, (MBIA),
5.15%, 7/1/20 2,474,685
-----------
$ 7,698,250
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 7.7%
Aa AA $2,250 Fairfax County Economic
Development Authority,
Lease, Government Center
Properties, 5.25%,
11/15/18 $ 2,046,825
Aa AA 2,250 Fairfax County Economic
Development Authority,
Lease, Government Center
Properties, 5.50%,
5/15/14 2,163,690
A NR 3,000 Rockingham and
Harrisonburg Counties,
Harrisonburg
Redevelopment and
Housing Authority,
Lease, 6.50%, 9/1/14 3,080,670
Aa AA 2,000 Henrico County, IDA,
Lease, 7.00%, 8/1/13 2,230,520
Aa AA 2,250 Henrico County, IDA,
Lease, 7.125%, 8/1/21 2,503,620
NR NR 1,250 King George County,
Lease, 7.00%, 12/15/12 1,284,525
-----------
$ 13,309,850
-----------
LIFE CARE - 1.2%
NR NR $2,000 Loudon County, IDA,
Falcons Landing, 8.75%,
11/1/24 $ 2,029,420
-----------
NURSING HOMES - 0.2%
NR NR $ 325 Covington-Allegheny
County, IDA, Beverly
Enterprises, 9.375%,
9/1/01 $ 363,243
-----------
SOLID WASTE - 1.8%
A1 A+ $ 915 Fairfax County Economic
Development Authority,
Ogden Martin Systems of
Fairfax Incorporated,
(AMT), 7.75%, 2/1/11 $ 986,754
Baa1 A- 2,250 Southeastern Public
Service Authority, Solid
Waste Systems, (AMT),
6.00%, 7/1/13 2,196,270
-----------
$ 3,183,024
-----------
SPECIAL TAX REVENUE - 4.5%
Baa1 A $2,200 Commonwealth of Puerto
Rico Highway &
Transportation
Authority, 5.25%, 7/1/20 $ 1,994,630
Baa1 A 500 Commonwealth of Puerto
Rico Highway &
Transportation
Authority, 5.00%, 7/1/22 435,320
Baa1 A 2,100 Commonwealth of Puerto
Rico Highway &
Transportation
Authority, 5.00%, 7/1/36 1,788,612
Aa AA 1,000 VA State Transportation
Board Revenue, Route 28,
Variable, 4/1/18 (1) 1,067,430
Aa AA 2,800 VA State Transportation
Board Revenue, US Route
28, 5.25%, 5/15/19 2,557,380
-----------
$ 7,843,372
-----------
TRANSPORTATION - 0.2%
NR BBB $ 400 Charlotesville-Albermarle
VA Airport Authority,
(AMT), 6.125%, 12/1/13 $ 384,932
-----------
</TABLE>
79
<PAGE> 40
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------
UTILITIES - 1.1%
<S> <C> <C> <C> <C>
Baa1 BBB+ $3,000 Commonwealth of Puerto
Rico Electric Authority
Power, 0%, 7/1/17 $ 832,860
NR NR 1,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,052,760
-----------
$ 1,885,620
-----------
WATER & SEWER REVENUE - 5.6%
Aa AA- $2,000 Fairfax County, VA Water
Authority, 5.75%, 4/1/29 $ 1,914,940
Aa AA- 1,000 Fairfax County, VA Water
Authority, Variable,
4/1/29 (1) 922,180
Aa AA- 4,095 Fairfax County, VA Water
Authority, 5.00%, 4/1/16 3,679,071
NR AA 1,655 VA Resource Authority,
Hopewell Waste Water,
(AMT), 6.00%, 10/1/25 1,645,881
NR AA 1,880 VA Resource Authority,
Campbell Utilities,
5.125%, 10/1/19 1,669,402
-----------
$ 9,831,474
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$166,591,098) $174,179,152
===========
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Virginia
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at August 31, 1996, 21.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 1.6% to 10.3% of total investments.
See notes to financial statements
80
<PAGE> 41
Municipals Portfolios
Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
August 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $103,574,803 $72,738,104 $105,076,413 $126,102,002
Unrealized appreciation 2,698,089 968,243 3,041,721 3,332,570
------------ ----------- ------------ ------------
Total investments, at value (Note 1A) $106,272,892 $73,706,347 $108,118,134 $129,434,572
Cash 428,829 201 496 1,336,192
Receivable for daily variation margin on open
financial futures contracts (Note 1E) 49,688 33,125 75,938 29,250
Receivable for investments sold -- -- 857,431 --
Interest receivable 1,830,350 1,113,212 1,564,546 2,224,354
Deferred organization expenses (Note 1D) 2,185 3,669 3,312 1,832
------------ ----------- ------------ ------------
Total assets $108,583,944 $74,856,554 $110,619,857 $133,026,200
------------ ----------- ------------ ------------
LIABILITIES:
Demand note payable (Note 5) $ -- $ 744,000 $ 200,000 $ --
Payable for when-issued securities (Note 1G) -- -- 1,435,337 --
Payable to affiliates --
Trustees' fees (Note 2) 1,459 1,129 1,459 1,460
Accrued expenses 38,935 8,208 8,766 7,287
------------ ----------- ------------ ------------
Total liabilities $ 40,394 $ 753,337 $ 1,645,562 $ 8,747
------------ ----------- ------------ ------------
NET ASSETS applicable to investors' interest in
Portfolio $108,543,550 $74,103,217 $108,974,295 $133,017,453
============== ============ ============== ==============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $105,743,761 $73,067,176 $105,778,342 $129,717,960
Unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 2,799,789 1,036,041 3,195,953 3,299,493
------------ ----------- ------------ ------------
Total $108,543,550 $74,103,217 $108,974,295 $133,017,453
============== ============ ============== ==============
</TABLE>
See notes to financial statements
81
<PAGE> 42
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
August 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- --------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $34,274,641 $107,316,217 $83,659,501 $173,941,735
Unrealized appreciation 503,777 1,237,423 2,120,905 7,901,804
----------- ------------ ----------- ------------
Total investments, at value (Note 1A) $34,778,418 $108,553,640 $85,780,406 $181,843,539
Cash 206,137 514,620 159,141 2,315,367
Receivable for daily variation margin on open
financial futures contracts (Note 1E) 17,719 49,688 63,281 67,500
Receivable for investments sold 30,000 -- -- --
Interest receivable 617,777 1,485,090 1,145,605 2,831,296
Deferred organization expenses (Note 1D) 3,340 2,342 1,954 4,948
----------- ------------ ----------- ------------
Total assets $35,653,391 $110,605,380 $87,150,387 $187,062,650
----------- ------------ ----------- ------------
LIABILITIES:
Payable for investments purchased $ 601,734 $ -- $ -- $ --
Payable for when-issued securities (Note 1G) -- -- 1,981,688 --
Payable to affiliates --
Trustees' fees (Note 2) 273 1,460 1,121 1,899
Accrued expenses 2,713 15,575 5,215 16,366
----------- ------------ ----------- ------------
Total liabilities $ 604,720 $ 17,035 $ 1,988,024 $ 18,265
----------- ------------ ----------- ------------
NET ASSETS applicable to investors' interest in
Portfolio $35,048,671 $110,588,345 $85,162,363 $187,044,385
=========== ============ =========== ============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $34,512,856 $109,249,224 $82,912,932 $179,020,532
Unrealized appreciation of investments and
financial futures contracts (computed on
the basis of
identified cost) 535,815 1,339,121 2,249,431 8,023,853
----------- ------------ ----------- ------------
Total $35,048,671 $110,588,345 $85,162,363 $187,044,385
=========== ============ =========== ============
</TABLE>
See notes to financial statements
82
<PAGE> 43
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
August 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $122,520,158 $ 54,923,381 $55,475,532 $166,591,098
Unrealized appreciation 3,136,592 1,875,918 778,304 7,588,054
----------- ------------ ----------- ------------
Total investments, at value (Note 1A) $125,656,750 $ 56,799,299 $56,253,836 $174,179,152
Cash 2,285,772 547 1,082,279 393,973
Receivable for daily variation margin on open
financial futures contracts (Note 1E) 30,063 -- 37,969 39,813
Receivable for investments sold 25,280 1,855,388 -- 1,000,918
Interest receivable 1,766,214 834,686 881,135 2,992,467
Deferred organization expenses (Note 1D) 2,940 3,532 3,442 4,020
----------- ------------ ----------- ------------
Total assets $129,767,019 $ 59,493,452 $58,258,661 $178,610,343
----------- ------------ ----------- ------------
LIABILITIES:
Demand note payable (Note 5) $ -- $ 1,167,000 $ -- $ --
Payable for investments purchased -- -- 2,187,897 959,222
Payable for when-issued securities (Note 1G) -- -- -- --
Payable to affiliates --
Trustees' fees (Note 2) 1,449 1,129 1,121 1,899
Accrued expenses 6,915 7,176 4,290 4,901
----------- ------------ ----------- ------------
Total liabilities $ 8,364 $ 1,175,305 $ 2,193,308 $ 966,022
----------- ------------ ----------- ------------
NET ASSETS applicable to investors' interest in
Portfolio $129,758,655 $ 58,318,147 $56,065,353 $177,644,321
=========== ============ =========== ============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $126,656,060 $ 56,442,229 $55,209,934 $170,101,289
Unrealized appreciation of investments and
financial futures contracts (computed on
the basis of
identified cost) 3,102,595 1,875,918 855,419 7,543,032
----------- ------------ ----------- ------------
Total $129,758,655 $ 58,318,147 $56,065,353 $177,644,321
=========== ============ =========== ============
</TABLE>
See notes to financial statements
83
<PAGE> 44
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Year Ended August 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $ 6,851,010 $ 4,621,168 $ 7,145,924 $ 8,382,372
----------- ----------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 455,711 $ 280,071 $ 473,056 $ 577,479
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 8,405 7,036 8,405 8,406
Custodian fee (Note 1J) 53,149 43,150 67,566 74,670
Legal and accounting services 26,282 23,682 26,265 26,282
Amortization of organization expenses (Note 1D) 1,574 1,508 2,199 1,325
Miscellaneous 19,385 23,642 11,289 16,549
----------- ----------- ----------- -----------
Total expenses $ 564,506 $ 379,089 $ 588,780 $ 704,711
Deduct reduction of custodian fee (Note 1J) 46,364 13,624 56,585 43,044
----------- ----------- ----------- -----------
Net expenses $ 518,142 $ 365,465 $ 532,195 $ 661,667
----------- ----------- ----------- -----------
Net investment income $ 6,332,868 $ 4,255,703 $ 6,613,729 $ 7,720,705
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 1,661,053 $ 409,550 $ 857,232 $ (616,659)
Financial futures contracts (173,308) (123,307) (97,162) (601,899)
----------- ----------- ----------- -----------
Net realized gain (loss) on investments $ 1,487,745 $ 286,243 $ 760,070 $(1,218,558)
----------- ----------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments $(1,171,352) $ (576,414) $ (387,654) $ 1,324,853
Financial futures contracts 164,734 112,821 154,232 45,714
----------- ----------- ----------- -----------
Net unrealized appreciation (depreciation) $(1,006,618) $ (463,593) $ (233,422) $ 1,370,567
----------- ----------- ----------- -----------
Net realized and unrealized gain (loss) on
investments $ 481,127 $ (177,350) $ 526,648 $ 152,009
----------- ----------- ----------- -----------
Net increase in net assets from operations $ 6,813,995 $ 4,078,353 $ 7,140,377 $ 7,872,714
=========== =========== =========== ===========
</TABLE>
See notes to financial statements
84
<PAGE> 45
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Year Ended August 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- --------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $ 2,163,506 $ 6,871,539 $ 5,435,654 $ 11,592,850
----------- ----------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 81,468 $ 454,842 $ 339,243 $ 832,564
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 2,044 8,406 5,318 11,016
Custodian fee (Note 1J) 24,746 67,183 49,585 97,155
Legal and accounting services 23,582 23,482 24,182 30,882
Bond pricing 6,326 9,185 -- --
Amortization of organization expenses (Note
1D) 1,357 1,523 1,409 3,375
Miscellaneous 6,517 22,009 21,537 35,447
----------- ----------- ----------- -----------
Total expenses $ 146,040 $ 586,630 $ 441,274 $ 1,010,439
----------- ----------- ----------- -----------
Deduct --
Reduction of investment adviser fee (Note 2) $ 40,000 $ -- $ -- $ --
Reduction of custodian fee (Note 1J) 23,317 30,707 13,158 80,694
----------- ----------- ----------- -----------
Total $ 63,317 $ 30,707 $ 13,158 $ 80,694
----------- ----------- ----------- -----------
Net expenses $ 82,723 $ 555,923 $ 428,116 $ 929,745
----------- ----------- ----------- -----------
Net investment income $ 2,080,783 $ 6,315,616 $ 5,007,538 $ 10,663,105
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost
basis) $ (101,512) $ 1,707,109 $ 1,192,422 $ (206,784)
Financial futures contracts (251,973) (173,349) (90,509) 68,035
----------- ----------- ----------- -----------
Net realized gain (loss) on investments $ (353,485) $ 1,533,760 $ 1,101,913 $ (138,749)
----------- ----------- ----------- -----------
Change in unrealized appreciation
(depreciation) --
Investments $ 242,866 $ (735,475) $(1,154,555) $ 620,646
Financial futures contracts 47,289 164,731 128,526 122,050
----------- ----------- ----------- -----------
Net unrealized appreciation (depreciation) $ 290,155 $ (570,744) $(1,026,029) $ 742,696
----------- ----------- ----------- -----------
Net realized and unrealized gain (loss)
on investments $ (63,330) $ 963,016 $ 75,884 $ 603,947
----------- ----------- ----------- -----------
Net increase in net assets from
operations $ 2,017,453 $ 7,278,632 $ 5,083,422 $ 11,267,052
=========== =========== =========== ===========
</TABLE>
See notes to financial statements
85
<PAGE> 46
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Year Ended August 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- -------------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $ 8,221,218 $ 3,785,352 $ 3,443,711 $11,381,552
----------- -------------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 574,189 $ 201,026 $ 181,502 $ 811,731
Compensation of Trustees not members of the
Investment Adviser's organization (Note
2) 9,090 6,447 6,439 11,016
Custodian fee (Note 1J) 75,912 34,304 35,778 94,070
Interest expense (Note 5) -- 52,147 -- --
Legal and accounting services 26,182 23,682 23,582 30,173
Amortization of organization expenses (Note
1D) 2,097 1,446 2,365 2,771
Miscellaneous 17,748 9,651 10,122 18,362
----------- -------------- ----------- -----------
Total expenses $ 705,218 $ 328,703 $ 259,788 $ 968,123
Deduct reduction of custodian fee (Note 1J) 43,303 17,420 13,320 70,033
----------- -------------- ----------- -----------
Net expenses $ 661,915 $ 311,283 $ 246,468 $ 898,090
----------- -------------- ----------- -----------
Net investment income $ 7,559,303 $ 3,474,069 $ 3,197,243 $10,483,462
----------- -------------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost
basis) $ (429,494) $ 767,038 $ 212,502 $ 613,287
Financial futures contracts (539,638) (107,652) (171,136) (434,540)
----------- -------------- ----------- -----------
Net realized gain (loss) on investments $ (969,132) $ 659,386 $ 41,366 $ 178,747
----------- -------------- ----------- -----------
Change in unrealized appreciation
(depreciation) --
Investments $ 487,222 $ (468,193) $ 249,315 $ 193,892
Financial futures contracts 4,861 -- 111,655 (45,022)
----------- -------------- ----------- -----------
Net unrealized appreciation
(depreciation) $ 492,083 $ (468,193) $ 360,970 $ 148,870
----------- -------------- ----------- -----------
Net realized and unrealized gain
(loss) on investments $ (477,049) $ 191,193 $ 402,336 $ 327,617
----------- -------------- ----------- -----------
Net increase in net assets from
operations $ 7,082,254 $ 3,665,262 $ 3,599,579 $10,811,079
============ ================== ============ ============
</TABLE>
See notes to financial statements
86
<PAGE> 47
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended August 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 6,332,868 $ 4,255,703 $ 6,613,729 $ 7,720,705
Net realized gain (loss) on investment
transactions 1,487,745 286,243 760,070 (1,218,558)
Change in unrealized appreciation
(depreciation)
of investments (1,006,618) (463,593) (233,422) 1,370,567
------------ ----------- ------------ ------------
Net increase in net assets from
operations $ 6,813,995 $ 4,078,353 $ 7,140,377 $ 7,872,714
------------ ----------- ------------ ------------
Capital transactions --
Contributions $ 5,435,768 $ 3,573,437 $ 4,580,164 $ 6,532,846
Withdrawals (22,192,266) (15,083,575) (25,694,913) (26,656,733)
------------ ----------- ------------ ------------
Decrease in net assets resulting from
capital transactions $(16,756,498) $(11,510,138) $(21,114,749) $(20,123,887)
------------ ----------- ------------ ------------
Net decrease in net assets $ (9,942,503) $ (7,431,785) $(13,974,372) $(12,251,173)
NET ASSETS:
At beginning of year 118,486,053 81,535,002 122,948,667 145,268,626
------------ ----------- ------------ ------------
At end of year $108,543,550 $ 74,103,217 $108,974,295 $133,017,453
============ =========== ============ ============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 2,080,783 $ 6,315,616 $ 5,007,538 $ 10,663,105
Net realized gain (loss) on investment
transactions (353,485) 1,533,760 1,101,913 (138,749)
Change in unrealized appreciation
(depreciation)
of investments 290,155 (570,744) (1,026,029) 742,696
----------- ------------ ----------- ------------
Net increase in net assets from
operations $ 2,017,453 $ 7,278,632 $ 5,083,422 $ 11,267,052
----------- ------------ ----------- ------------
Capital transactions --
Contributions $ 4,634,958 $ 9,198,950 $ 4,159,884 $ 19,433,725
Withdrawals (5,912,419) (20,893,413) (17,243,046) (38,835,116)
----------- ------------ ----------- ------------
Decrease in net assets resulting from
capital transactions $(1,277,461) $(11,694,463) $(13,083,162) $(19,401,391)
----------- ------------ ----------- ------------
Net increase (decrease) in net
assets $ 739,992 $ (4,415,831) $ (7,999,740) $ (8,134,339)
NET ASSETS:
At beginning of year 34,308,679 115,004,176 93,162,103 195,178,724
----------- ------------ ----------- ------------
At end of year $35,048,671 $110,588,345 $ 85,162,363 $187,044,385
=========== ============ =========== ============
</TABLE>
See notes to financial statements
87
<PAGE> 48
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended August 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 7,559,303 $ 3,474,069 $ 3,197,243 $ 10,483,462
Net realized gain (loss) on investment
transactions (969,132) 659,386 41,366 178,747
Change in unrealized appreciation
(depreciation)
of investments 492,083 (468,193) 360,970 148,870
------------ ----------- ----------- ------------
Net increase in net assets from
operations $ 7,082,254 $ 3,665,262 $ 3,599,579 $ 10,811,079
------------ ----------- ----------- ------------
Capital transactions --
Contributions $ 5,697,262 $ 5,386,887 $ 4,078,787 $ 9,068,306
Withdrawals (29,411,782) (12,145,670) (10,286,316) (33,982,986)
------------ ----------- ----------- ------------
Decrease in net assets resulting from
capital transactions $(23,714,520) $ (6,758,783) $(6,207,529) $(24,914,680)
------------ ----------- ----------- ------------
Net decrease in net assets $(16,632,266) $ (3,093,521) $(2,607,950) $(14,103,601)
NET ASSETS:
At beginning of year 146,390,921 61,411,668 58,673,303 191,747,922
------------ ----------- ----------- ------------
At end of year $129,758,655 $ 58,318,147 $56,065,353 $177,644,321
============ =========== =========== ============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 6,676,427 $ 4,614,351 $ 7,291,242 $ 8,179,915
Net realized loss on investment
transactions (3,373,448) (2,517,820) (7,312,379) (2,715,132)
Change in unrealized appreciation of
investments 5,884,230 3,464,139 6,679,653 4,942,400
------------ ------------ ------------ ------------
Net increase in net assets from
operations $ 9,187,209 $ 5,560,670 $ 6,658,516 $ 10,407,183
------------ ------------ ------------ ------------
Capital transactions --
Contributions $ 15,271,028 $ 7,773,910 $ 12,224,959 $ 13,579,954
Withdrawals (23,135,575) (14,716,313) (33,658,605) (23,928,447)
------------ ------------ ------------ ------------
Decrease in net assets resulting from
capital transactions $ (7,864,547) $ (6,942,403) $(21,433,646) $(10,348,493)
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets $ 1,322,662 $ (1,381,733) $(14,775,130) $ 58,690
NET ASSETS:
At beginning of year 117,163,391 82,916,735 137,723,797 145,209,936
------------ ------------ ------------ ------------
At end of year $118,486,053 $ 81,535,002 $122,948,667 $145,268,626
============== ============= ============== ==============
</TABLE>
See notes to financial statements
88
<PAGE> 49
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended August 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- --------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 1,975,712 $ 6,659,328 $ 5,326,719 $ 11,250,399
Net realized loss on investment
transactions (1,669,621) (3,315,017) (3,038,940) (9,105,062)
Change in unrealized appreciation of
investments 1,664,246 4,913,566 5,471,264 9,060,016
----------- ------------ ----------- --------------
Net increase in net assets from
operations $ 1,970,337 $ 8,257,877 $ 7,759,043 $ 11,205,353
----------- ------------ ----------- --------------
Capital transactions --
Contributions $ 6,817,148 $ 14,770,279 $ 8,450,749 $ 18,834,488
Withdrawals (5,902,141) (25,879,697) (18,215,122) (34,633,470)
----------- ------------ ----------- --------------
Increase (decrease) in net assets
resulting from
capital transactions $ 915,007 $(11,109,418) $(9,764,373) $(15,798,982)
----------- ------------ ----------- --------------
Total increase (decrease) in net
assets $ 2,885,344 $ (2,851,541) $(2,005,330) $ (4,593,629)
NET ASSETS:
At beginning of year 31,423,335 117,855,717 95,167,433 199,772,353
----------- ------------ ----------- --------------
At end of year $34,308,679 $115,004,176 $93,162,103 $195,178,724
============ ============== ============ ==================
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 8,186,774 $ 3,526,297 $ 3,284,148 $ 11,081,732
Net realized loss on investment
transactions (4,370,692) (4,027,763) (1,911,797) (7,610,652)
Change in unrealized appreciation of
investments 7,371,961 4,266,658 2,627,149 10,279,680
------------ -------------- ----------- ------------
Net increase in net assets from
operations $ 11,188,043 $ 3,765,192 $ 3,999,500 $ 13,750,760
------------ -------------- ----------- ------------
Capital transactions --
Contributions $ 12,298,876 $ 9,608,721 $ 7,946,656 $ 24,173,920
Withdrawals (30,215,219) (14,226,934) (9,768,536) (40,695,946)
------------ -------------- ----------- ------------
Decrease in net assets resulting from
capital transactions $(17,916,343) $ (4,618,213) $(1,821,880) $(16,522,026)
------------ -------------- ----------- ------------
Net increase (decrease) in net
assets $ (6,728,300) $ (853,021) $ 2,177,620 $ (2,771,266)
NET ASSETS:
At beginning of year 153,119,221 62,264,689 56,495,683 194,519,188
------------ -------------- ----------- ------------
At end of year $146,390,921 $ 61,411,668 $58,673,303 $191,747,922
============== ================= ============ ==============
</TABLE>
See notes to financial statements
89
<PAGE> 50
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA PORTFOLIO ARKANSAS PORTFOLIO
-------------------------------------------------- ---------------------------
YEAR ENDED AUGUST 31, YEAR ENDED YEAR ENDED AUGUST 31,
------------------------------ ----------------- ---------------------------
1996 1995 1994* SEPT. 30, 1993** 1996 1995 1994***
-------- -------- -------- ----------------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of average
daily net assets)++:
Net expenses (1) 0.49% 0.47% 0.44%+ 0.25%+ 0.48% 0.46% 0.24%+
Net expenses after custodian
fee reduction 0.45% -- -- -- 0.46% -- --
Net investment income 5.50% 5.77% 5.37%+ 5.52%+ 5.40% 5.69% 5.60%+
Portfolio Turnover 52% 51% 26% 10% 11% 23% 16%
NET ASSETS, end of year
(000 omitted) $108,544 $118,486 $117,163 $83,628 $74,103 $81,535 $82,917
++The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee and/or an allocation of expenses
to the Investment Adviser. Had such actions not been taken, the ratios would have been as follows:
RATIOS (As a percentage of average daily net assets):
Expenses (1) 0.35%+ 0.43%+
Net investment income 5.42%+ 5.41%+
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GEORGIA PORTFOLIO KENTUCKY PORTFOLIO
-------------------------------------------------- --------------------------------------------------
YEAR ENDED AUGUST 31, YEAR ENDED YEAR ENDED AUGUST 31, YEAR ENDED
------------------------------ ----------------- ------------------------------ -----------------
1996 1995 1994* SEPT. 30, 1993** 1996 1995 1994* SEPT. 30,1993**
-------- -------- -------- ----------------- -------- -------- -------- -----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average daily net
assets):
Net expenses (1) 0.50% 0.46% 0.44%+ 0.40%+ 0.53% 0.49% 0.46%+ 0.40%+
Net expenses after
custodian
fee reduction 0.45% -- -- -- 0.50% -- -- --
Net investment
income 5.59% 5.73% 5.37%+ 5.37%+ 5.49% 5.75% 5.39%+ 5.40%+
Portfolio Turnover 21% 48% 45% 35% 28% 30% 21% 11%
NET ASSETS, end of
year
(000 omitted) $108,974 $122,949 $137,724 $ 119,311 $133,017 $145,269 $145,210 $ 117,936
</TABLE>
(1) The expense ratios for the year ended August 31, 1996 have been adjusted to
reflect a change in reporting requirements. The new reporting guidelines
require each Portfolio to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios
for each of the periods ended on or before August 31, 1995 have not been
adjusted to reflect this change.
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
See notes to financial statements
90
<PAGE> 51
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA PORTFOLIO MARYLAND PORTFOLIO
------------------------------------ ------------------------------------------------------------
YEAR ENDED AUGUST 31, YEAR ENDED AUGUST 31, YEAR ENDED
------------------------------------ ----------------------------------------- ----------------
1996 1995 1994*** 1996 1995 1994* SEPT. 30, 1993**
---------- ---------- ---------- ----------- ----------- ----------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of
average
daily net assets)++:
Net expenses (1) 0.30% 0.22% 0.14%+ 0.51% 0.47% 0.44%+ 0.36%+
Net expenses after
custodian
fee reduction 0.23% -- -- 0.48% -- -- --
Net investment income 5.90% 6.06% 5.86%+ 5.50% 5.79% 5.44%+ 5.41%+
Portfolio Turnover 99% 46% 21% 33% 30% 41% 34%
NET ASSETS, end of year (000
omitted) $ 35,049 $ 34,309 $ 31,423 $ 110,588 $ 115,004 $ 117,856 $ 94,213
</TABLE>
++The operating expenses of the Portfolios may reflect a reduction of the
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Expenses (1) 0.41% 0.33% 0.33%+ 0.38%+
Expenses after custodian
fee reduction 0.35% -- -- --
Net investment income 5.79% 5.95% 5.67%+ 5.39%+
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MISSOURI PORTFOLIO NORTH CAROLINA PORTFOLIO
-------------------------------------------------------- ----------------------------------------------------------
YEAR ENDED AUGUST 31, YEAR ENDED YEAR ENDED AUGUST 31, YEAR ENDED
------------------------------------ ----------------- --------------------------------------- ----------------
1996 1995 1994* SEPT. 30, 1993** 1996 1995 1994* SEPT. 30, 1993**
---------- ---------- ---------- ----------------- ---------- ----------- ------------ ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS
(As a
percentage
of
average
daily
net
assets):
Net
expenses
(1) 0.49% 0.48% 0.45%+ 0.40%+ 0.52% 0.48% 0.46%+ 0.43%+
Net
expenses
after
custodian
fee
reduction 0.47% -- -- -- 0.48% -- -- --
Net
investment
income 5.52% 5.76% 5.36%+ 5.36%+ 5.51% 5.78% 5.40%+ 5.43%+
Portfolio
Turnover 36% 24% 28% 6% 54% 33% 37% 21%
NET
ASSETS,
end of
year
(000
omitted) $ 85,162 $ 93,162 $ 95,167 $75,273 $187,044 $ 195,179 $199,772 $172,534
</TABLE>
(1) The expense ratios for the year ended August 31, 1996 have been adjusted to
reflect a change in reporting requirements. The new reporting guidelines
require each Portfolio to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios
for each of the periods ended on or before August 31, 1995 have not been
adjusted to reflect this change.
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
See notes to financial statements
91
<PAGE> 52
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON PORTFOLIO SOUTH CAROLINA PORTFOLIO
------------------------------------------------------- -----------------------------------------
YEAR ENDED AUGUST 31, YEAR ENDED YEAR ENDED AUGUST 31,
------------------------------------ ---------------- -----------------------------------------
1996 1995 1994* SEPT. 30, 1993** 1996 1995 1994***
---------- ---------- ---------- ---------------- ---------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.50% 0.50% 0.46%+ 0.43%+ 0.53% 0.44% 0.37%+
Net expenses after
custodian fee reduction 0.47% -- -- -- 0.51% -- --
Net investment income 5.37% 5.60% 5.26%+ 5.30%+ 5.65% 5.81% 5.47%+
Portfolio Turnover 28% 22% 15% 32% 36% 75% 23%
NET ASSETS, end of year
(000 omitted) $129,759 $146,391 $153,119 $127,497 $ 58,318 $61,412 $ 62,265
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TENNESSEE PORTFOLIO VIRGINIA PORTFOLIO
------------------------------------------------ ----------------------------------------------
YEAR ENDED AUGUST 31, YEAR ENDED YEAR ENDED AUGUST 31, YEAR ENDED
------------------------- ---------------- ----------------------- ----------------
1996 1995 1994* SEPT. 30, 1993** 1996 1995 1994* SEPT. 30, 1993**
---- ---- ----- ---------------- ---- ---- ----- ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.45% 0.41% 0.36%+ 0.08%+ 0.51% 0.48% 0.46%+ 0.43%+
Net expenses after
custodian fee reduction 0.43% -- -- -- 0.48% -- --
Net investment income 5.52% 5.81% 5.49%+ 5.60%+ 5.55% 5.81% 5.49%+ 5.49%+
Portfolio Turnover 39% 20% 10% 69% 30% 38% 48% 29%
NET ASSETS, end of year
(000 omitted) $56,065 $58,673 $56,496 $39,266 $177,644 $191,748 $194,519 $174,260
++The operating expenses of the Tennessee Portfolio reflect a reduction of the investment adviser fee and/or an allocation of
expenses to the Investment Adviser. Had such actions not been taken, the ratios would have been as follows:
RATIOS (As a percentage of average daily net assets):
Expenses(1) 0.31%+
Net investment income 5.37%+
</TABLE>
(1) The expense ratios for the year ended August 31, 1996 have been adjusted to
reflect a change in reporting requirements. The new reporting guidelines
require each Portfolio to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios
for each of the periods ended on or before August 31, 1995 have not been
adjusted to reflect this change.
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
See notes to financial statements
92
<PAGE> 53
Notes to Financial Statements
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
Alabama Municipals Portfolio (Alabama Portfolio), Arkansas Municipals Portfolio
(Arkansas Portfolio), Georgia Municipals Portfolio (Georgia Portfolio), Kentucky
Municipals Portfolio (Kentucky Portfolio), Louisiana Municipals Portfolio
(Louisiana Portfolio), Maryland Municipals Portfolio (Maryland Portfolio),
Missouri Municipals Portfolio (Missouri Portfolio), North Carolina Municipals
Portfolio (North Carolina Portfolio), Oregon Municipals Portfolio (Oregon
Portfolio), South Carolina Municipals Portfolio (South Carolina Portfolio),
Tennessee Municipals Portfolio (Tennessee Portfolio) and Virginia Municipals
Portfolio (Virginia 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 consistently followed by the Portfolios in the preparation
of their financial statements. The policies are in conformity with generally
accepted accounting principles.
A. INVESTMENT VALUATIONS--Municipal bonds are normally valued on the basis of
valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the mean
between the latest bid and asked prices. Futures contracts and options on
financial futures contracts listed on commodity exchanges are valued at closing
settlement prices. Over-the-counter options on financial futures are normally
valued at the mean between the latest bid and asked prices. Short-term
obligations, maturing in sixty days or less, are valued at amortized cost, which
approximates value. Investments for which valuations or market quotations are
unavailable are valued at fair value using methods determined in good faith by
or at the direction of the Trustees.
B. INCOME--Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for federal
income tax purposes.
C. INCOME TAXES--The Portfolios are treated as partnerships for Federal tax
purposes. No provision is made by the Portfolios for federal or state taxes on
any taxable income of the Portfolios because each investor in the Portfolios is
ultimately responsible for the payment of any taxes. Since some of the
Portfolios' investors are regulated investment companies that invest all or
substantially all of their assets in the Portfolios, the Portfolios normally
must satisfy the applicable source of income and diversification requirements
(under the Internal Revenue Code) in order for their respective investors to
satisfy them. The Portfolios will allocate at least annually among their
respective investors each investor's distributive share of the Portfolios' net
taxable (if any) and tax-exempt investment income, net realized capital gains,
and any other items of income, gain, loss, deductions or credit. Interest income
received by the Portfolios on investments in municipal bonds, which is
excludable from gross income under the Internal Revenue Code, will retain its
status as income exempt from federal income tax when allocated to each
Portfolio's investors. The portion of such interest, if any, earned on private
activity bonds issued after August 7, 1986, may be considered a tax preference
item for investors.
D. DEFERRED ORGANIZATION EXPENSES--Costs incurred by a Portfolio in connection
with its organization are being amortized on the straight-line basis over five
years.
E. FINANCIAL FUTURES CONTRACTS--Upon the entering of a financial futures
contract, a Portfolio is required to deposit ("initial margin") either in cash
or securities an amount equal to a certain percentage of the purchase price
indicated in the financial futures contract. Subsequent payments are made or
received by a Portfolio ("margin maintenance") each day, dependent on the daily
fluctuations in the value of the underlying security, and are recorded for book
purposes as unrealized gains or losses by a Portfolio. A Portfolio's investment
in financial futures contracts is designed only to hedge against anticipated
future changes in interest rates. Should interest rates move unexpectedly, a
Portfolio may not achieve the anticipated benefits of the financial futures
contract and may realize a loss.
F. PUT OPTIONS ON FINANCIAL FUTURES CONTRACTS--Upon the purchase of a put option
on a financial futures contract by a Portfolio, the premium paid is recorded as
an investment, the value of which is marked-to-market daily. When a purchased
option expires, a Portfolio will realize a loss in the amount of the cost of the
option. When a Portfolio enters into a closing sale transaction, the Portfolio
will realize a gain or loss depending on whether the sales proceeds from the
closing sale transaction are greater or less than the cost of the option. When a
Portfolio exercises a put option, settlement is made in cash. The risk
associated with purchasing options is limited to the premium originally paid.
G. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS-- The Portfolios may engage in
when-issued or delayed delivery transactions. The Portfolios record when-issued
securities on trade date and maintain security positions such that sufficient
liquid assets will be available to make payment for the securities purchased.
Securities purchased on a
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<PAGE> 54
- --------------------------------------------------------------------------------
when-issued or delayed delivery basis are marked-to-market daily and begin
accruing interest on settlement date.
H. USE OF ESTIMATES--The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities at
the date of the financial statements and the reported amounts of revenue and
expense during the reporting period. Actual results could differ from those
estimates.
I. OTHER--Investment transactions are accounted for on a trade date basis.
J. EXPENSE REDUCTION--Investors Bank & Trust Company (IBT), serves as custodian
of the Portfolios. Prior to November 10, 1995, IBT was an affiliate of BMR and
EVM. Pursuant to the respective custodian agreements, IBT receives a fee reduced
by credits which are determined based on the average daily cash balances each
Portfolio maintains with IBT. All significant credit balances used to reduce
each Portfolio's custodian fees are reflected as a reduction of operating
expense on the statements of operations.
- --------------------------------------------------------------------------------
(2) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The investment adviser fee is earned by Boston Management and Research (BMR), a
wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation for
management and investment advisory services rendered to each Portfolio.
The fee is based upon a percentage of average daily net assets plus a percentage
of gross income (i.e., income other than gains from the sale of securities).
For the year ended August 31, 1996, each Portfolio paid advisory fees as
follows:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT EFFECTIVE RATE*
------------------------------- -------- ---------------
<S> <C> <C>
Alabama $455,711 0.40%
Arkansas 280,071 0.36%
Georgia 473,056 0.40%
Kentucky 577,479 0.41%
Louisiana 81,468 0.23%
Maryland 454,842 0.40%
Missouri 339,243 0.37%
North Carolina 832,564 0.43%
Oregon 574,189 0.41%
South Carolina 201,026 0.33%
Tennessee 181,502 0.31%
Virginia 811,731 0.43%
</TABLE>
* Advisory fees paid as a percentage of average daily net assets.
To enhance the net income of the Louisiana Portfolio, BMR made a reduction of
its fee in the amount of $40,000 for the year ended August 31, 1996.
Except as to Trustees of the Portfolios who are not members of EVM's or BMR's
organization, officers and Trustees receive remuneration for their services to
the Portfolios out of such investment adviser fee.
Trustees of the Portfolios that are not affiliated with the Investment Adviser
may elect to defer receipt of all or a percentage of their annual fees in
accordance with the terms of the Trustees Deferred Compensation Plan. For the
year ended August 31, 1996, no significant amounts have been deferred.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations.
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(3) INVESTMENTS
Purchases and sales of investments, other than U.S. Government securities, put
option transactions and short-term obligations, for the year ended August 31,
1996, were as follows:
<TABLE>
<CAPTION>
ALABAMA PORTFOLIO ARKANSAS PORTFOLIO GEORGIA PORTFOLIO KENTUCKY PORTFOLIO
------------------- ------------------------ ------------------- ------------------------
<S> <C> <C> <C> <C>
Purchases $58,516,396 $ 8,677,659 $24,488,625 $ 38,215,680
Sales 69,323,963 15,815,010 36,265,111 52,724,448
</TABLE>
<TABLE>
<CAPTION>
LOUISIANA PORTFOLIO MARYLAND PORTFOLIO MISSOURI PORTFOLIO NORTH CAROLINA PORTFOLIO
------------------- ------------------------ ------------------- ------------------------
<S> <C> <C> <C> <C>
Purchases $35,368,398 $ 37,590,785 $32,502,501 $103,584,501
Sales 34,380,628 44,321,106 38,605,067 113,325,903
</TABLE>
<TABLE>
<CAPTION>
OREGON PORTFOLIO SOUTH CAROLINA PORTFOLIO TENNESSEE PORTFOLIO VIRGINIA PORTFOLIO
------------------- ------------------------ ------------------- ------------------------
<S> <C> <C> <C> <C>
Purchases $38,780,050 $ 22,348,475 $21,979,715 $ 54,834,409
Sales 59,102,501 28,749,687 23,829,135 68,236,868
</TABLE>
- --------------------------------------------------------------------------------
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the investments
owned by each Portfolio at August 31, 1996, as computed on a federal income tax
basis, are as follows:
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ --------------
<S> <C> <C> <C> <C>
Aggregate Cost $103,574,803 $ 72,738,104 $105,076,413 $126,102,002
------------ -------------- ------------ --------------
Gross unrealized
appreciation $ 3,446,091 $ 1,681,892 $ 3,659,100 $ 4,103,780
Gross unrealized
depreciation 748,002 713,649 617,379 771,210
------------ -------------- ------------ --------------
Net unrealized
appreciation $ 2,698,089 $ 968,243 $ 3,041,721 $ 3,332,570
============== ================= ============== ==================
</TABLE>
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ --------------
<S> <C> <C> <C> <C>
Aggregate Cost $ 34,274,641 $107,316,217 $ 83,659,501 $173,941,735
------------ -------------- ------------ --------------
Gross unrealized
appreciation $ 770,992 $ 2,709,795 $ 3,057,213 $ 8,295,425
Gross unrealized
depreciation 267,215 1,472,372 936,308 393,621
------------ -------------- ------------ --------------
Net unrealized
appreciation $ 503,777 $ 1,237,423 $ 2,120,905 $ 7,901,804
============== ================= ============== ==================
</TABLE>
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ --------------
<S> <C> <C> <C> <C>
Aggregate Cost $122,520,158 $ 54,923,381 $ 55,475,532 $166,591,098
------------ -------------- ------------ --------------
Gross unrealized
appreciation $ 4,105,957 $ 2,085,490 $ 1,169,546 $ 7,996,957
Gross unrealized
depreciation 969,365 209,572 391,242 408,903
------------ -------------- ------------ --------------
Net unrealized
appreciation $ 3,136,592 $ 1,875,918 $ 778,304 $ 7,588,054
============== ================= ============== ==================
</TABLE>
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<PAGE> 56
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(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 transactions. Interest is
charged to each Portfolio or Fund based on its borrowings at an amount above
either the bank's adjusted certificate of deposit rate, a variable adjusted
certificate of deposit rate, or a federal funds effective rate. In addition, a
fee computed at an annual rate of 1/4 of 1% on the $20 million committed
facility and on the daily unused portion of the $100 million discretionary
facility is allocated among the participating portfolios and funds at the end of
each quarter. At August 31, 1996, the Arkansas Portfolio, Georgia Portfolio and
South Carolina Portfolio had a balance outstanding pursuant to this line of
credit of $744,000, $200,000 and $1,167,000, respectively. For the South
Carolina Portfolio, the average daily balance outstanding was $750,000, and the
average interest rate was 6.96%. For the South Carolina Portfolio, the maximum
borrowing during the year ended August 31, 1996 was $6,564,000. The Portfolios,
exclusive of the South Carolina Portfolio, did not have any significant
borrowings or allocated fees during the year ended August 31, 1996.
- --------------------------------------------------------------------------------
(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 August 31, 1996 is
as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
FUTURES CONTRACTS APPRECIATION
PORTFOLIO EXPIRATION DATE CONTRACTS POSITION (DEPRECIATION)
- ---------------- ----------------- ------------------------ -------- --------------
<S> <C> <C> <C> <C>
Alabama 9/96 30 U.S. Treasury Bonds Short $ 51,247
12/96 30 U.S. Treasury Bonds Short 50,453
--------------
$101,700
=================
Arkansas 9/96 20 U.S. Treasury Bonds Short $ 34,164
12/96 20 U.S. Treasury Bonds Short 33,634
--------------
$ 67,798
=================
Georgia 12/96 90 U.S. Treasury Bonds Short $154,232
Kentucky 9/96 36 U.S. Treasury Bonds Short $(33,078)
Louisiana 12/96 21 U.S. Treasury Bonds Short $ 32,038
Maryland 9/96 30 U.S. Treasury Bonds Short $ 51,245
12/96 30 U.S. Treasury Bonds Short 50,453
--------------
$101,698
=================
Missouri 12/96 75 U.S. Treasury Bonds Short $128,526
North Carolina 12/96 80 U.S. Treasury Bonds Short $122,049
Oregon 9/96 37 U.S. Treasury Bonds Short $(33,997)
Tennessee 12/96 45 U.S. Treasury Bonds Short $ 77,115
Virginia 9/96 49 U.S. Treasury Bonds Short $(45,022)
</TABLE>
At August 31, 1996, each Portfolio had sufficient cash and/or securities to
cover margin requirements on open futures contracts.
96
<PAGE> 57
Independent Auditors Report
- --------------------------------------------------------------------------------
TO THE TRUSTEES AND INVESTORS OF:
ALABAMA MUNICIPALS PORTFOLIO
ARKANSAS MUNICIPALS PORTFOLIO
GEORGIA MUNICIPALS PORTFOLIO
KENTUCKY MUNICIPALS PORTFOLIO
LOUISIANA MUNICIPALS PORTFOLIO
MARYLAND MUNICIPALS PORTFOLIO
MISSOURI MUNICIPALS PORTFOLIO
NORTH CAROLINA MUNICIPALS PORTFOLIO
OREGON MUNICIPALS PORTFOLIO
SOUTH CAROLINA MUNICIPALS PORTFOLIO
TENNESSEE MUNICIPALS PORTFOLIO
VIRGINIA MUNICIPALS PORTFOLIO
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of Alabama Municipals Portfolio, Arkansas
Municipals Portfolio, Georgia Municipals Portfolio, Kentucky Municipals
Portfolio, Louisiana Municipals Portfolio, Maryland Municipals Portfolio,
Missouri Municipals Portfolio, North Carolina Municipals Portfolio, Oregon
Municipals Portfolio, South Carolina Municipals Portfolio, Tennessee Municipals
Portfolio and Virginia Municipals Portfolio as of August 31, 1996, the related
statements of operations for the year then ended, the statements of changes in
net assets for the years ended August 31, 1996 and 1995 and supplementary data
for each of the years in the three year period ended August 31, 1996, and for
the period from the start of business to September 30, 1993 for the Alabama
Municipals Portfolio, Georgia Municipals Portfolio, Kentucky Municipals
Portfolio, Maryland Municipals Portfolio, Missouri Municipals Portfolio, North
Carolina Municipals Portfolio, Tennessee Municipals Portfolio and Virginia
Municipals Portfolio. These financial statements and supplementary data are the
responsibility of the Trusts' management. Our responsibility is to express an
opinion on the financial statements and supplementary data based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and supplementary
data are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at August
31, 1996, by correspondence with the custodian and brokers; where replies were
not received from brokers, we performed other audit procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion such financial statements and supplementary data present fairly,
in all material respects, the financial position of Alabama Municipals
Portfolio, Arkansas Municipals Portfolio, Georgia Municipals Portfolio, Kentucky
Municipals Portfolio, Louisiana Municipals Portfolio, Maryland Municipals
Portfolio, Missouri Municipals Portfolio, North Carolina Municipals Portfolio,
Oregon Municipals Portfolio, South Carolina Municipals Portfolio, Tennessee
Municipals Portfolio, and Virginia Municipals Portfolio at August 31, 1996, the
results of their operations, the changes in their net assets and their
supplementary data for the respective stated periods in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
BOSTON, MASSACHUSETTS
OCTOBER 1, 1996
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<PAGE> 58
INVESTMENT MANAGEMENT FOR PORTFOLIOS
PORTFOLIOS OFFICERS
THOMAS J. FETTER
President
Portfolio Manager of South Carolina Municipals Portfolio
JAMES B. HAWKES
Vice President, Trustee
ROBERT B. MACINTOSH
Vice President and Portfolio Manager of Louisiana and North Carolina Municipals
Portfolio.
TIMOTHY T. BROWSE
Vice President and Portfolio Manager of Alabama, Arkansas and Maryland
Municipals Portfolios.
CYNTHIA J. CLEMSON
Vice President and Portfolio Manager of Georgia, Missouri and Tennessee
Municipals Portfolio.
DAVID C. REILLY
Vice President and Portfolio Manager of Kentucky, Oregon and Virginia
Municipals Portfolio.
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
