<PAGE>
California Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 7.1%
- --------------------------------------------------------------------------------
NR BBB- $ 4,985 Central Valley Financing
Authority, (Carson Ice),
6.20%, 7/1/20 $ 5,211,917
NR BBB- 10,900 Sacramento Cogeneration
Authority, (Procter &
Gamble), 6.50%, 7/1/21 11,747,257
NR BBB- 6,000 Sacramento Power
Authority, Cogeneration
Project, 6.00%, 7/1/22 6,235,560
- --------------------------------------------------------------------------------
$ 23,194,734
- --------------------------------------------------------------------------------
Electric Utilities -- 1.4%
- --------------------------------------------------------------------------------
A2 A $ 4,100 California Pollution
Control Financing
Authority, (San Diego Gas
& Electric), 5.90%, 6/1/14 $ 4,443,334
- --------------------------------------------------------------------------------
$ 4,443,334
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 15.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 3,000 City and County of San
Francisco Sewer, (AMBAC)
Variable Rate, 10/1/21/(1)/ $ 3,408,750
Aaa AAA 8,000 County of Sacramento,
Single Family, (AMT)
(GNMA), 8.125%, 7/1/16/(2)/ 10,655,040
Aaa AAA 6,000 County of Sacramento,
Single Family, (AMT)
(GNMA), 8.25%, 1/1/21 8,238,540
Aaa NR 14,285 County of Sacramento,
Single Family, (AMT)
(GNMA), 8.50%, 11/1/16 19,698,730
NR BBB 3,910 Fontana Public Financing
Authority, 7.00%, 9/1/21 4,213,142
Aaa AAA 6,400 Port Oakland, CA,
0.00%, 11/1/05 3,861,056
- --------------------------------------------------------------------------------
$ 50,075,258
- --------------------------------------------------------------------------------
General Obligations -- 1.8%
- --------------------------------------------------------------------------------
Aa3 AA $ 5,000 East Bay Municipal
Utilities District,
5.00%, 4/1/15 $ 4,819,200
NR NR 1,000 Eastern Plumas, CA,
Health Care, (District
Hospital), 7.50%, 8/1/07 1,004,470
- --------------------------------------------------------------------------------
$ 5,823,670
- --------------------------------------------------------------------------------
Hospitals -- 2.6%
- --------------------------------------------------------------------------------
NR BBB+ $ 2,700 City of Stockton, Dameron
Hospital Association,
8.30%, 12/1/14 $ 2,773,899
NR BBB- 1,500 City of Woodland,
(Woodland Memorial
Hospital), 8.20%, 8/1/15 1,567,785
Ba2 NR 1,000 San Bernadino, CA, San
Bernadino Community
Hospital, 7.875%, 12/1/08 1,051,530
Ba2 NR 3,000 San Bernadino, CA, San
Bernadino Community
Hospital, 7.875%, 12/1/19 3,154,590
- --------------------------------------------------------------------------------
$ 8,547,804
- --------------------------------------------------------------------------------
Housing -- 6.8%
- --------------------------------------------------------------------------------
Aa AA- $ 2,730 California Housing
Finance Agency, 7.375%,
8/1/11 $ 2,842,039
Aa AA- 3,665 California Housing
Finance Agency, 7.40%,
8/1/26 3,985,614
Aa AA- 3,610 California Housing
Finance Agency, 7.50%,
8/1/25 3,938,654
Aa AA- 5,630 California Housing
Finance Agency, 7.65%,
8/1/23 5,859,591
Aa AA- 1,220 California Housing
Finance Agency, 8.60%,
8/1/19 1,263,444
NR A+ 1,585 City of Oakland, Housing
Finance Agency, 7.10%,
1/1/10 1,671,208
NR NR 2,000 Los Angeles County
Housing Authority, CA,
Multifamily Housing,
Corporate Fund for
Housing Projects, 10.50%,
12/1/29 1,810,640
A1 NR 770 Los Angeles County,
Single Family, 7.875%,
8/1/16 820,959
- --------------------------------------------------------------------------------
$ 22,192,149
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 3.6%
- --------------------------------------------------------------------------------
A3 A $ 5,000 California Pollution
Control Financing
Authority, (Browning
Ferris Industries, Inc.),
Series A, 5.80%, 12/1/16 $ 5,100,500
NR NR 3,000 California Pollution
Control, (Laidlaw
Environmental),
(AMT), 6.70%, 7/1/07 3,077,940
</TABLE>
See notes to financial statements
33
<PAGE>
California Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Industrial Development Revenue /
Pollution Control Revenue (continued)
- --------------------------------------------------------------------------------
Baa3 BB+ $ 3,600 California Statewide
Community Development
Authority,
(United Airlines), (AMT),
5.70%, 10/1/33 $ 3,573,828
- --------------------------------------------------------------------------------
$ 11,752,268
- --------------------------------------------------------------------------------
Insured-Education -- 0.9%
- --------------------------------------------------------------------------------
Aaa AAA $ 3,330 University of California,
Multiple Purpose Project,
(MBIA), 4.75%, 9/1/21 $ 3,020,343
- --------------------------------------------------------------------------------
$ 3,020,343
- --------------------------------------------------------------------------------
Insured-Electric Utilities -- 6.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 8,000 Northern California Power
Agency (MBIA) Variable
Rate, 8/1/25/(1)/ $ 9,520,000
Aaa AAA 2,000 Southern California
Public
Power Authority, (FGIC)
Variable Rate, 7/1/12/(1)/ 2,072,500
Aaa AAA 7,070 Southern California
Public Power
Authority, (MBIA),
0.00%, 7/1/15 2,769,248
Aaa AAA 6,915 Southern California
Public Power
Authority, (MBIA),
5.00%, 1/1/20 6,584,463
- --------------------------------------------------------------------------------
$ 20,946,211
- --------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of
Participation -- 5.9%
- --------------------------------------------------------------------------------
Aaa AAA $ 3,300 California Statewide
Community Development
Authority, (AMBAC),
5.68%, 1/1/24 $ 3,213,507
Aaa AAA 4,350 City of Stockton,
Wastewater Treatment
Plant, (FGIC),
6.80%, 9/1/24 4,908,540
Aaa AAA 7,700 Moulton Niguel Water
District (AMBAC),
4.80%, 9/1/17 7,117,110
Aaa AAA 13,985 Visalia Unified School
District, (MBIA),
0.00%, 12/1/17 3,869,090
- --------------------------------------------------------------------------------
$ 19,108,247
- --------------------------------------------------------------------------------
Insured-Solid Waste -- 0.5%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,500 Inland Empire Solid Waste
Finance Authority, (FSA),
6.25%, 8/1/11 $ 1,673,565
- --------------------------------------------------------------------------------
$ 1,673,565
- --------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 1.3%
- --------------------------------------------------------------------------------
Aaa AAA $ 4,850 City of San Jose
Redevelopment Agency,
(MBIA), 4.75%, 8/1/24 $ 4,373,876
- --------------------------------------------------------------------------------
$ 4,373,876
- --------------------------------------------------------------------------------
Insured-Transportation -- 2.9%
- --------------------------------------------------------------------------------
Aaa AAA $ 4,000 City and County of San
Francisco Airport,
(MBIA), 6.75%, 5/1/13 $ 4,483,360
Aaa AAA 3,125 Port Oakland, CA, (MBIA),
5.375%, 11/1/25 3,043,156
Aaa AAA 7,800 San Joaquin Hills, CA,
Transportation Corridor
Agency, (MBIA),
0.00%, 1/15/24 1,846,494
- --------------------------------------------------------------------------------
$ 9,373,010
- --------------------------------------------------------------------------------
Insured-Water and Sewer -- 4.7%
- --------------------------------------------------------------------------------
Aaa AAA $ 5,000 East Bay Municipal
Utilities District,
(MBIA) Variable Rate,
6/1/08/(1)/ $ 5,256,250
Aaa AAA 5,000 East Bay, CA, Municipal
Utility District, (FGIC),
5.00%, 6/1/26 4,751,550
Aaa AAA 2,000 Metropolitan Water
District, Southern
California Waterworks,
(MBIA), 5.00%, 7/1/27 1,901,900
Aaa AAA 3,000 San Diego County Water
Authority, (FGIC)
Variable Rate, 4/22/09/(1)/ 3,461,250
- --------------------------------------------------------------------------------
$ 15,370,950
- --------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 18.0%
- --------------------------------------------------------------------------------
A1 A $ 6,500 California Public Works,
(University of California),
5.00%, 6/1/23 $ 6,106,360
</TABLE>
See notes to financial statements
34
<PAGE>
California Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------ Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Lease Revenue / Certificates of Participation (continued)
- --------------------------------------------------------------------------------
A1 A $ 5,000 California Public Works,
(University of California),
5.25%, 6/1/20 $ 4,940,850
A1 A 8,000 California Public Works,
(University of California),
5.50%, 6/1/14 8,314,640
Aaa AAA 6,850 California Statewide
Public Works, (J. Paul Getty
Trust), 5.00%, 10/1/23 6,524,625
A1 A+ 4,000 City of Sacramento
Financing Authority,
5.40%, 11/1/20 4,052,720
NR NR 7,000 County of Los Angeles,
(Marina Del Ray), 6.50%,
7/1/08 7,529,200
Baa1 BBB 5,115 County of Los Angeles,
Disney Parking Project,
0.00%, 3/1/16 1,743,294
Baa1 BBB 1,925 County of Los Angeles,
Disney Parking Project,
0.00%, 3/1/17 613,036
Baa1 BBB 5,000 County of Los Angeles,
Disney Parking Project,
0.00%, 9/1/17 1,546,050
Baa1 BBB 5,370 County of Los Angeles,
Disney Parking Project,
0.00%, 3/1/18 1,612,289
Baa1 BBB 3,100 County of Los Angeles,
Disney Parking Project,
0.00%, 3/1/20 818,307
Baa1 BBB 6,925 County of Los Angeles,
Disney Parking Project,
0.00%, 9/1/20 1,774,531
Baa1 BBB 1,000 County of Los Angeles,
Disney Parking Project,
6.50%, 3/1/23 1,043,500
Baa3 BBB- 2,750 Inglewood, CA, 7.00%,
8/1/19 2,962,053
A1 A+ 8,000 Pasadena Parking Facility
Project, 6.25%, 1/1/18 8,925,440
- --------------------------------------------------------------------------------
$ 58,506,895
- --------------------------------------------------------------------------------
Nursing Homes -- 1.0%
- --------------------------------------------------------------------------------
NR NR $ 3,105 Banning, CA, 9.50%,
12/1/11 $ 3,185,326
- --------------------------------------------------------------------------------
$ 3,185,326
- --------------------------------------------------------------------------------
Special Tax Revenue -- 9.8%
- --------------------------------------------------------------------------------
NR NR $ 2,880 City of Commerce, Joint
Power Financing Authority,
8.00%, 3/1/22 $ 3,109,968
NR NR 1,960 City of Fairfield, North
Cordelia District,
7.375%, 9/2/18 2,028,502
NR NR 830 City of Fairfield, North
Cordelia District, 8.00%,
9/2/11 861,424
NR BBB 600 City of Rancho Mirage,
Joint Power Financing
Authority, 7.50%, 4/1/17 655,314
NR NR 1,400 City of Simi Valley
Community Development,
Sycamore Plaza II, 8.20%,
9/1/12 1,411,886
NR BBB 5,000 Contra Costa County,
Public Financing Authority,
7.10%, 8/1/22 5,461,150
NR BBB+ 8,220 Fontana Redevelopment
Agency, Jurupa Hills,
7.00%, 10/1/14 8,961,197
NR NR 3,000 Riverside County
Community Facilities
District, 7.55%, 9/1/17 3,179,730
NR BBB 2,500 Riverside County
Redevelopment Agency,
7.50%, 10/1/26 2,859,850
Baa BBB+ 3,000 Westminster Redevelopment
Agency, Community
Redevelopment Project,
7.30%, 8/1/21 3,271,020
- --------------------------------------------------------------------------------
$ 31,800,041
- --------------------------------------------------------------------------------
Transportation -- 8.6%
- --------------------------------------------------------------------------------
NR BBB $ 3,050 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 3,306,749
Aa3 AA- 2,000 Long Beach, CA (AMT),
7.25%, 5/15/19 2,078,880
Baa3 NR 35,975 San Joaquin Hills
Transportation Corridor
Agency, Toll Road Revenue
Bonds, 0.00%, 1/1/27 7,494,312
Baa3 NR 4,940 San Joaquin Hills
Transportation Corridor
Agency, Toll Road Revenue
Bonds, 7.00%, 1/1/30 5,531,516
Baa3 NR 12,000 San Joaquin Hills, CA,
Transportation Corridor
Agency, Toll Road Revenue
Bonds, 0.00%, 1/1/14 5,181,120
Baa3 NR 5,765 San Joaquin Hills, CA,
Transportation Corridor
Agency, Toll Road Revenue
Bonds, 0.00%, 1/1/26 1,267,147
Baa2 NR 1,500 Stockton Port District,
7.95%, 1/1/05 1,545,255
Baa2 NR 1,500 Stockton Port District,
8.10%, 1/1/14 1,545,810
- --------------------------------------------------------------------------------
$ 27,950,789
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
35
<PAGE>
California Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Water and Sewer -- 1.3%
- --------------------------------------------------------------------------------
Aa AA $ 4,425 Orange County Water
District, 5.00%, 8/15/18 $ 4,194,104
- --------------------------------------------------------------------------------
$ 4,194,104
- --------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $288,296,835) $325,532,574
- --------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by California
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with
such economic developments, at September 30, 1997, 23.7% of securities in
the portfolio of investments are backed by bond insurance of various
financial institutions and financial guaranty assurance agencies. The
aggregate percentage by financial institution ranged from 0.5% to 14.3% of total
investments.
/(1)/ Security has been issued as an inverse floater bond.
/(2)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes to financial statements
36
<PAGE>
Florida Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 1.4%
- --------------------------------------------------------------------------------
NR NR $ 3,100 Palm Beach County, FL,
Okeelanta Power L.P.
(AMT), 6.85%, 2/15/21 $ 1,550,000
NR NR 11,000 Palm Beach County, FL,
Osceola Power (AMT),
6.95%, 1/1/22 5,390,000
- --------------------------------------------------------------------------------
$ 6,940,000
- --------------------------------------------------------------------------------
Education -- 1.2%
- --------------------------------------------------------------------------------
NR AAA $ 5,500 Volusia County
Educational Facilities,
(Embry-Riddle
Aeronautical University)
(CLEE), 6.625%, 10/15/22 $ 6,047,855
- --------------------------------------------------------------------------------
$ 6,047,855
- --------------------------------------------------------------------------------
Electric Utilities -- 7.4%
- --------------------------------------------------------------------------------
Aa1 AA $14,000 Jacksonville Electric
Authority, Bulk Power
Supply System Scherer 4,
5.25%, 10/1/21 $ 13,645,799
Aa1 AA 2,850 Orlando Utilities
Commission Water and
Electric, 5.125%, 10/1/19 2,753,357
Aa AA- 10,000 Orlando Utilities
Commission Water and
Electric, 5.60%, 10/6/17 10,064,000
Baa1 BBB+ 5,000 Puerto Rico Electric
Power Authority, 6.25%,
7/1/17 5,322,500
Baa1 BBB+ 185 Puerto Rico Electric
Power Authority, 7.125%,
7/1/14 197,560
Aa3 AA- 2,515 St. Lucie County Solid
Waste Disposal, (Florida
Power & Light Co.) (AMT),
6.70%, 5/1/27 2,716,955
NR NR 1,925 Virgin Islands Water and
Sewer Authority, 7.40%,
7/1/11 2,081,406
- --------------------------------------------------------------------------------
$ 36,781,577
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 8.7%
- --------------------------------------------------------------------------------
Aaa AAA $ 9,225 Dade County, (Baptist
Hospital of Miami),
5.75%, 5/1/21 $ 9,595,661
NR NR 1,675 Florida Mid-Bay Bridge
Authority, 6.875%, 10/1/22 1,983,083
Aaa AAA 5,000 Florida Municipal Power
Agency Stanton II (AMBAC)
Variable
Rate, 10/1/20/(1)/ 6,112,500
A3 A 7,255 Hillsborough Capital
Improvement - Museum of
Science, 6.45%, 1/1/22 7,754,217
NR AAA 15,135 Illinois Development
Finance Authority,
(Regency Park at
Lincolnwood), 0.00%,
7/15/25 3,131,583
Aaa AAA 2,000 Orlando and Orange
County, Expressway
Authority (FGIC), 8.25%,
7/1/14 2,726,360
Aaa NR 20,755 Savannah, GA, Economic
Development Authority,
0.00%, 12/1/21 5,411,244
Aaa AAA 5,600 St. Lucie Utility System,
6.00%, 10/1/20 6,027,224
- --------------------------------------------------------------------------------
$ 42,741,872
- --------------------------------------------------------------------------------
General Obligations -- 13.0%
- --------------------------------------------------------------------------------
Aa2 AA+ $32,000 Florida Board of
Education,
4.75%, 6/1/22 $ 29,180,479
Aa2 AA+ 15,235 Florida Board of
Education,
5.00%, 6/1/20 14,519,106
Aa2 AA+ 8,000 Florida Board of General
Services, 6.60%, 7/1/17 8,868,000
NR BBB 5,700 Government of Guam,
5.40%, 11/15/18 5,594,037
Baa1 A 3,000 Puerto Rico Commonwealth,
6.50%, 7/1/23 3,312,600
Baa1 A 2,500 Puerto Rico Public
Building Authority,
6.00%, 7/1/12 2,538,300
- --------------------------------------------------------------------------------
$ 64,012,522
- --------------------------------------------------------------------------------
Hospitals -- 1.8%
- --------------------------------------------------------------------------------
NR BBB+ $ 3,600 Escambia County, Health
Facilities Authority
(Baptist Hospital, Inc.
and The Baptist Manor,
Inc.), 6.75%, 10/1/14 $ 3,870,036
NR AA+ 4,750 Jacksonville Health
Facilities Finance
Authority, St. Luke's
Hospital Association,
6.75%, 11/15/13 5,189,375
- --------------------------------------------------------------------------------
$ 9,059,411
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
37
<PAGE>
Florida Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Housing -- 11.7%
- ------------------------------------------------------------------------------
Aaa NR $ 2,000 Broward County, FL,
Housing Finance
Authority, SFMR,
(AMT), (GNMA/FNMA),
6.10%, 10/1/19 $ 2,087,420
NR AAA 610 Broward County, Housing
Finance Authority, Single
Family, (GNMA) (AMT),
7.35%, 3/1/23 646,795
Aaa NR 2,005 Clay County, FL, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.55%, 3/1/28 2,118,804
NR AAA 1,300 Clay County, Health
Facilities Authority,
Multifamily (GNMA),
7.40%, 12/1/25 1,374,776
Aaa NR 1,015 Dade County, Health
Facilities Authority,
Single Family (AMT),
7.75%, 9/1/22 1,071,942
Aaa NR 290 Dade County, Health
Facilities Authority,
Single Family (GNMA),
7.10%, 9/1/13 305,924
NR AAA 5,850 Dade County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.70%, 10/1/28 6,204,218
Aaa NR 1,160 Dade County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 7.25%, 9/1/19 1,224,948
Aaa NR 2,500 Escambia County, FL,
Housing Finance
Authority, SF, (AMT),
5.80%, 10/1/19 2,524,300
Aaa AAA 4,535 Escambia County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.85%, 10/1/17 4,801,023
Aaa AAA 1,640 Escambia County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.90%, 10/1/21 1,755,538
Aaa AAA 1,920 Escambia County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.95%, 10/1/27 2,056,397
Aaa NR 2,540 Escambia County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 7.40%, 10/1/23 2,685,542
NR AAA 1,125 Florida Health Facilities
Authority, 6.35%, 6/1/14 1,180,485
Aa3 AA 2,500 Florida Health Facilities
Authority (AMT),
6.35%, 7/1/28 2,631,225
Aaa NR 800 Hillsborough County,
Health Facilities
Authority, Single
Family (GNMA), (AMT),
7.875%, 5/1/23 849,224
NR NR 3,405 North Miami, FL, Health
Care Facilities (The
Imperial Club),
9.25%, 1/1/13 3,867,331
NR AAA 6,205 Orange County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.60%, 4/1/28 6,559,119
NR AAA 7,295 Orange County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 6.85%, 10/1/27 7,595,408
NR AAA 1,695 Orange County, Health
Facilities Authority,
Single Family (GNMA),
(AMT), 7.375%, 9/1/24 1,801,005
Aaa NR 845 Palm Beach County, Health
Facilities Authority,
Single Family (GNMA),
7.60%, 3/1/23 898,700
Aaa NR 1,455 Polk County, Health
Facilities Authority,
Single Family (GNMA),
7.15%, 9/1/23 1,535,723
Baa BBB 1,400 Puerto Rico Commonwealth
Urban Renewal and Housing
Corp., 7.875%, 10/1/04 1,507,996
Aaa AAA 635 Puerto Rico Housing
Financial Corp. Single
Family (GNMA), 7.65%,
10/15/22 672,509
- ------------------------------------------------------------------------------
$ 57,956,352
- ------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 2.1%
- ------------------------------------------------------------------------------
NR NR $ 5,000 Osceola County, IDA,
Community Pooled Loan-93,
7.75%, 7/1/17 $ 5,289,800
Baa3 BBB- 4,500 Puerto Rico Port
Authority (American
Airlines) (AMT),
6.25%, 6/1/26 4,816,170
- ------------------------------------------------------------------------------
$ 10,105,970
- ------------------------------------------------------------------------------
Insured-Electric Utilities -- 2.7%
- ------------------------------------------------------------------------------
Aaa AAA $ 2,200 Commonwealth of Puerto
Rico Electric Power
Authority STRIPES
(FSA), Variable
Rate, 7/1/03/(1)/ $ 2,491,500
Aaa AAA 3,925 Commonwealth of Puerto
Rico, Electric Power
Authority, (MBIA),
0.00%, 7/1/17 1,441,496
Aaa AAA 1,540 Manatee County, Public
Utility (FGIC),
0.00%, 10/1/12 712,912
</TABLE>
See notes to financial statements
38
<PAGE>
Florida Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Electric Utilities (continued)
- --------------------------------------------------------------------------------
Aaa AAA $ 6,500 Port Saint Lucie, FL,
(MBIA), 5.00%, 9/1/17 $ 6,284,850
Aaa AAA 2,200 Puerto Rico Electric
Power Authority, (FSA)
Variable Rate,
7/1/02/(1)/ 2,436,500
- --------------------------------------------------------------------------------
$ 13,367,258
- --------------------------------------------------------------------------------
Insured-General Obligations -- 1.4%
- --------------------------------------------------------------------------------
Aaa NR $ 7,000 Massachusetts State
Turnpike Authority,
(FGIC), 5.125%, 1/1/23 $ 6,981,730
- --------------------------------------------------------------------------------
$ 6,981,730
- --------------------------------------------------------------------------------
Insured-Hospitals -- 7.6%
- --------------------------------------------------------------------------------
Aaa AAA $ 8,000 Charlotte County, Health
Care, Bon-Secours Health
System (FSA) Variable
Rate, 8/26/27/(1)/ $ 8,780,000
Aaa AAA 23,355 Jacksonville Health
Authority, Daughters of
Charity (MBIA), 5.00%,
11/15/15 22,702,694
Aaa AAA 2,000 Lee County, (Memorial
Hospital) (MBIA) Variable
Rate, 4/1/20/(1)/ 2,387,500
Aaa AAA 3,000 Orange County, Health
Facilities Authority
(MBIA) Variable
Rate, 10/29/21/(1)/ 3,607,500
- --------------------------------------------------------------------------------
$ 37,477,694
- --------------------------------------------------------------------------------
Insured-Housing -- 3.9%
- --------------------------------------------------------------------------------
Aaa AAA $ 970 Brevard County, Housing
Finance Authority, Single
Family (FSA), 7.00%,
3/1/13 $ 1,029,587
Aaa AAA 1,720 Duval County, Health
Facilities Authority,
Single Family (FGIC),
7.35%, 7/1/24 1,836,908
Aaa AAA 6,530 Florida Health Facilities
Authority, (Maitland Club
Apartments), (AMBAC),
(AMT), 6.875%, 8/1/26 7,054,228
Aaa AAA 3,000 Florida Health Facilities
Authority, Brittany of
Rosemont (AMBAC) (AMT),
6.875%, 8/1/26 3,240,840
Aaa AAA 3,000 Florida HFA, (MBIA),
(AMT), 5.90%, 7/1/29 3,058,290
Aaa AAA 2,675 Lee County, SCA
Multifamily (FSA) (AMT),
7.05%, 1/1/30 2,894,698
- --------------------------------------------------------------------------------
$ 19,114,551
- --------------------------------------------------------------------------------
Insured-Life Care -- 0.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 Alachua County Health
Facility, Mental Health
Services (CGIC), 7.75%,
7/1/10 $ 552,905
- --------------------------------------------------------------------------------
$ 552,905
- --------------------------------------------------------------------------------
Insured-Miscellaneous -- 0.6%
- --------------------------------------------------------------------------------
Aaa AAA $ 2,000 Escambia County (MBIA),
7.20%, 1/1/15 $ 2,110,780
Aaa AAA 799 Osceola County,
Industrial Development
Authority, Community
Provider Pooled Loan
Program (CGIC), 7.75%,
7/1/10 859,133
- --------------------------------------------------------------------------------
$ 2,969,913
- --------------------------------------------------------------------------------
Insured-Solid Waste -- 0.3%
- --------------------------------------------------------------------------------
AAA AAA $ 1,500 St. John's County Solid
Waste Disposal (FGIC),
7.25%, 11/1/10 $ 1,645,650
- --------------------------------------------------------------------------------
$ 1,645,650
- --------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 8.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,000 City of Jacksonville
(FGIC) (AMT), 0.00%,
10/1/10 $ 514,290
Aaa AAA 1,000 City of Jacksonville
(FGIC) (AMT), 0.00%,
10/1/11 484,000
Aaa AAA 2,000 City of Jacksonville
(FGIC) (AMT), 0.00%,
10/1/12 912,420
Aaa AAA 1,185 City of Opa-Locka (FGIC),
7.00%, 1/1/14 1,346,030
Aaa AAA 1,160 Dade County, FL,
Professional Sports
Franchise, (MBIA),
0.00%, 10/1/19 356,097
Aaa AAA 3,835 Dade, Professional Sports
Franchise (MBIA), 0.00%,
10/1/23 937,888
Aaa AAA 4,250 Lakeland, FL, Capital
Improvement Revenue,
(MBIA), 5.00%, 10/1/17 4,134,783
</TABLE>
See notes to financial statements
39
<PAGE>
Florida Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Special Tax Revenue (continued)
- --------------------------------------------------------------------------------
Aaa AAA $ 1,840 St. Petersburg, FL,
Excise Tax Revenue,
(FGIC), 5.00%, 10/1/16 $ 1,807,892
Aaa AAA 3,160 St. Petersburg, FL,
Excise Tax Revenue,
(FGIC), 5.00%, 10/1/16 3,047,314
Aaa AAA 2,000 Sunrise Public Facilities
(MBIA), 0.00%, 10/1/10 1,041,700
Aaa AAA 1,760 Sunrise Public Facilities
(MBIA), 0.00%, 10/1/12 814,757
Aaa AAA 2,840 Sunrise Public Facilities
(MBIA), 0.00%, 10/1/14 1,166,956
Aaa AAA 4,140 Sunrise Public Facilities
(MBIA), 0.00%, 10/1/16 1,512,425
Aaa AAA 2,525 Sunrise Public Facilities
(MBIA), 0.00%, 10/1/17 874,812
Aaa AAA 4,000 Sunrise, FL, Public
Facilities Revenue,
(MBIA), 0.00%, 10/1/15 1,554,360
Aaa AAA 2,770 Tampa, FL, Sports
Authority Revenue,
(MBIA), 5.25%, 1/1/17 2,766,427
Aaa AAA 11,500 Tampa, FL, Sports
Authority Revenue,
(MBIA), 5.25%, 1/1/17 11,485,164
Aaa AAA 2,000 Tampa, FL, Utility Tax
Revenue, (AMBAC),
0.00%, 10/1/18 650,480
Aaa AAA 6,800 Tampa, FL, Utility Tax
Revenue, (AMBAC),
0.00%, 4/1/19 2,144,244
Aaa AAA 5,000 Tampa, FL, Utility Tax
Revenue, (AMBAC),
0.00%, 10/1/19 1,534,900
Aaa AAA 4,000 Tampa, FL, Utility Tax
Revenue, (AMBAC),
0.00%, 10/1/20 1,155,960
- --------------------------------------------------------------------------------
$ 40,242,899
- --------------------------------------------------------------------------------
Insured-Transportation -- 9.0%
- --------------------------------------------------------------------------------
Aaa AAA $ 3,475 Dade County Aviation
Facilities (MBIA) (AMT),
6.00%, 10/1/24 $ 3,607,293
Aaa AAA 4,000 Dade County Aviation
Facilities (MBIA) (AMT),
6.55%, 10/1/13 4,355,280
Aaa AAA 4,150 Dade County Aviation
Facilities (MBIA) (AMT),
6.60%, 10/1/22 4,518,064
Aaa AAA 1,710 Dade County Seaport,
(MBIA), 5.125%, 10/1/26 1,658,529
Aaa AAA 8,455 Florida State Turnpike
Authority (FGIC),
6.35%, 7/1/22 9,110,093
Aaa AAA 8,650 Greater Orlando, FL,
Aviation Authority,
(FGIC) (AMT),
6.375%, 10/1/21 9,313,801
Aaa AAA 9,100 Massachusetts State
Turnpike Authority
(MBIA),
5.00%, 1/1/20 8,907,899
Aaa AAA 2,910 State of Florida,
Department of
Transportation, (Right of
Way), (FGIC),
5.00%, 7/1/21 2,792,582
- --------------------------------------------------------------------------------
$ 44,263,541
- --------------------------------------------------------------------------------
Insured-Water and Sewer -- 4.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 2,500 Broward County, (AMBAC),
5.125%, 10/1/15 $ 2,469,050
Aaa AAA 2,000 City of Fort Myers
Utility (FGIC),
5.00%, 10/1/16 1,928,680
Aaa AAA 12,005 Dade County, FL,
Water and
Sewer System, (FGIC),
5.50%, 10/1/25 12,069,226
Aaa AAA 4,155 Sanford, FL, Water and
Sewer Revenue, (AMBAC),
4.50%, 10/1/21 3,635,002
- --------------------------------------------------------------------------------
$ 20,101,958
- --------------------------------------------------------------------------------
Life Care -- 1.5%
- --------------------------------------------------------------------------------
NR NR $ 6,895 Atlantic Beach, Fixed
Rate Improvement, (Fleet
Landing Project), 8.00%,
10/1/24 $ 7,489,142
- --------------------------------------------------------------------------------
$ 7,489,142
- --------------------------------------------------------------------------------
Nursing Homes -- 5.3%
- --------------------------------------------------------------------------------
NR NR $ 300 Broward County,
Industrial Development
Authority (Beverly
Enterprises - Florida,
Inc.), 9.80%, 11/1/10 $ 338,181
NR NR 430 Charlotte County,
Industrial Development
Authority (Beverly
Enterprises), 10.00%,
6/1/11 491,499
NR NR 6,520 Citrus County, Industrial
Development Authority
(Beverly Enterprises),
7.25%, 4/1/03 6,662,723
</TABLE>
See notes to financial statements
40
<PAGE>
Florida Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Nursing Homes (continued)
- -----------------------------------------------------------------------------
NR AAA $ 4,285 Dade County, Industrial
Development Authority -
Club Care Center (GNMA),
6.60%, 1/20/18 $ 4,591,206
NR AAA 5,075 Dade County, Industrial
Development Authority -
Gramercy Park Nursing
Care (FHA), 6.60%, 8/1/23 5,492,571
NR NR 1,955 Highlands County,
Industrial Development
Authority,(Beverly
Enterprises - Florida,
Inc.), 9.25%, 7/1/07 2,194,233
Baa1 NR 3,750 Jacksonville Health -
(Cypress Village), 7.00%,
12/1/22 4,043,213
NR NR 360 Okaloosa County, FL,
(Beverly Enterprises),
10.75%, 10/1/03 371,974
NR NR 655 Orange County, Industrial
Development Authority,
(Beverly Enterprises),
9.25%, 8/1/10 736,364
NR NR 1,000 Winter Garden, (Beverly
Enterprises), 8.75%,
7/1/12 1,129,110
- -----------------------------------------------------------------------------
$ 26,051,074
- -----------------------------------------------------------------------------
Solid Waste -- 0.8%
- -----------------------------------------------------------------------------
A A- $ 3,605 Broward County, (Waste
Energy Co., L.P. North),
7.95%, 12/1/08 $ 3,929,594
- -----------------------------------------------------------------------------
$ 3,929,594
- -----------------------------------------------------------------------------
Special Tax Revenue -- 2.5%
- -----------------------------------------------------------------------------
A1 AA- $ 3,000 City of Orlando, 6.00%,
10/1/22 $ 3,111,450
Baa1 A 9,250 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.00%, 7/1/36 8,636,818
Baa1 A 700 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.50%, 7/1/36 704,011
- -----------------------------------------------------------------------------
$ 12,452,279
- -----------------------------------------------------------------------------
Transportation -- 4.3%
- -----------------------------------------------------------------------------
NR NR $10,140 Mid-Bay Bridge Authority,
6.125%, 10/1/22 $ 10,426,962
Aa2 AA+ 10,800 State of Florida,
Jacksonville
Transportation, 5.25%,
7/1/22 10,622,772
- -----------------------------------------------------------------------------
$ 21,049,734
- -----------------------------------------------------------------------------
Water and Sewer -- 0.5%
- -----------------------------------------------------------------------------
Baa1 BBB+ $ 2,500 Hillsborough County
Utility, 6.625%, 8/1/11 $ 2,687,725
- -----------------------------------------------------------------------------
$ 2,687,725
- -----------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $462,068,417) $494,023,206
- -----------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The portfolio invests primarily in debt securities issued by Florida
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by the economic developments in a
specific industry or municipality. In order to reduce the risk associated
with such economic developments, at September 30, 1997, 37.4% 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 2.3% to 12.7% of total investments.
/(1)/ Security has been issued as an inverse floater bond.
See notes to financial statements
41
<PAGE>
Massachusetts Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living -- 0.7%
- --------------------------------------------------------------------------
NR AAA $ 1,500 Massachusetts IFA
(Briscoe House) (FHA),
7.125%, 2/1/36 $ 1,709,655
- --------------------------------------------------------------------------
$ 1,709,655
- --------------------------------------------------------------------------
Education -- 3.6%
- --------------------------------------------------------------------------
Aa1 AA+ $ 1,625 Massachusetts Health and
Educational Facilities
Authority (HEFA) (Amherst
College), 6.80%, 11/1/21 $ 1,770,974
NR AAA 3,400 Massachusetts HEFA
(Merrimack College),
7.125%, 7/1/12 3,853,934
A1 A+ 250 Massachusetts HEFA (Tufts
University), 7.75%, 8/1/13 262,558
Baa3 BBB- 1,250 Massachusetts IFA, (Dana
Hall), 5.90%, 7/1/27 1,274,513
A1 NR 2,000 New England Educational
Loan Marketing Corp.,
(AMT), 6.90%, 11/1/09 2,216,680
- --------------------------------------------------------------------------
$ 9,378,659
- --------------------------------------------------------------------------
Electric Utilities -- 6.2%
- --------------------------------------------------------------------------
NR BBB $ 1,545 Guam Power Authority,
5.25%, 10/1/23 $ 1,475,475
Baa2 BBB+ 5,060 Massachusetts Municipal
Wholesale Electric Co.,
6.625%, 7/1/18 5,412,429
Baa2 BBB+ 3,500 Massachusetts Municipal
Wholesale Electric Co.,
6.75%, 7/1/11 3,769,570
Baa1 BBB+ 3,000 Puerto Rico Electric
Power Authority, 0.00%,
7/1/17 1,061,370
Baa1 BBB+ 13,055 Puerto Rico Electric
Power Authority, 0.00%,
7/1/17 4,618,728
- --------------------------------------------------------------------------
$ 16,337,572
- --------------------------------------------------------------------------
Escrowed / Prerefunded -- 2.0%
- --------------------------------------------------------------------------
NR AAA $11,825 Massachusetts General
Obligations Federal
Assisted Housing, Section
8, 0.00%, 2/1/23 $ 2,432,284
NR NR 2,400 Massachusetts HEFA
(Fairview Care
Facilities), 10.25%,
1/1/21 2,894,424
- --------------------------------------------------------------------------
$ 5,326,708
- --------------------------------------------------------------------------
General Obligations -- 4.5%
- --------------------------------------------------------------------------
A1 A+ $ 3,400 Commonwealth of
Massachusetts, 5.00%,
1/1/12 $ 3,352,060
NR BBB 200 Government of Guam,
5.375%, 11/15/13 197,126
NR BBB 2,145 Government of Guam,
5.40%, 11/15/18 2,105,124
A1 A+ 3,015 Massachusetts Bay Transit
Authority, (MBTA),
5.50%, 3/1/21 3,020,427
A1 A+ 1,000 Massachusetts Bay Transit
Authority, (MBTA),
5.90%, 3/1/12 1,052,060
Aaa NR 1,700 Town of Nantucket,
6.80%, 12/1/11 1,896,945
A1 A+ 250 University of
Massachusetts Building
Authority, 7.20%, 5/1/04 285,083
- --------------------------------------------------------------------------
$ 11,908,825
- --------------------------------------------------------------------------
Hospitals -- 16.4%
- --------------------------------------------------------------------------
A1 A $ 3,000 Massachusetts HEFA
(Charlton Memorial
Hospital), 7.25%, 7/1/13 $ 3,285,480
Aa2 AA+ 2,000 Massachusetts HEFA
(Daughters of Charity
Health System),
6.10%, 7/1/14 2,119,320
NR A- 1,020 Massachusetts HEFA
(Jordan Hospital),
6.875%, 10/1/15 1,107,842
NR A- 2,870 Massachusetts HEFA
(Jordan Hospital),
6.875%, 10/1/22 3,110,563
Baa3 BB+ 5,500 Massachusetts HEFA
(Milford-Whitinsville
Hospital), 7.75%, 7/15/17 6,014,635
Baa1 BBB+ 2,000 Massachusetts HEFA (New
England Baptist
Hospital), 7.35%, 7/1/17 2,162,340
NR BBB- 2,600 Massachusetts HEFA (North
Adams Regional Hospital),
6.625%, 7/1/18 2,733,406
Baa2 BBB 5,255 Massachusetts HEFA
(Sisters of Providence
Health System), 6.50%,
11/15/08 5,538,770
Baa2 BBB 2,085 Massachusetts HEFA
(Sisters of Providence
Health System), 6.625%,
11/15/22 2,203,470
A1 AA- 530 Massachusetts HEFA
(Spaulding Rehabilitation
Hospital), 7.625%, 7/1/21 552,965
</TABLE>
See notes to financial statements
42
<PAGE>
Massachusetts Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospitals (continued)
- --------------------------------------------------------------------------
NR AA $ 1,475 Massachusetts HEFA,
(FHA), (Deutsches
Altenheim), 7.70%, 11/1/31 $ 1,594,696
NR NR 8,000 Massachusetts IFA,
0.00%, 8/1/08 4,574,640
NR NR 9,000 Massachusetts IFA
(Biomedical Research
Corp.), 0.00%, 8/1/09 4,831,650
NR NR 6,000 Massachusetts IFA
(Biomedical Research
Corp.), 0.00%, 8/1/10 3,018,240
- --------------------------------------------------------------------------
$ 42,848,017
- --------------------------------------------------------------------------
Housing -- 10.4%
- --------------------------------------------------------------------------
NR AAA $ 2,750 Framingham Housing
Authority, (GNMA), 6.65%,
2/20/32 $ 2,880,323
A1 A+ 5,000 Massachusetts HFA,
6.375%, 4/1/21 5,244,100
Aa A+ 7,160 Massachusetts HFA, (AMT),
6.60%, 12/1/26 7,562,177
Aa A+ 6,365 Massachusetts HFA, (AMT),
6.60%, 12/1/26 6,722,522
Aa A+ 2,195 Massachusetts HFA, (AMT),
8.10%, 6/1/20 2,258,304
Aa A+ 1,500 Massachusetts HFA, (AMT),
8.10%, 12/1/21 1,548,750
Aaa AAA 1,000 Massachusetts HFA,
(FNMA), 6.875%, 11/15/11 1,084,630
- --------------------------------------------------------------------------
$ 27,300,806
- --------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 3.6%
- --------------------------------------------------------------------------
NR NR $ 2,075 Massachusetts IFA
(Hingham Water Co.),
(AMT), 6.60%, 12/1/15 $ 2,227,865
NR NR 3,000 Massachusetts IFA
(Hingham Water Co.),
(AMT), 6.90%, 12/1/29 3,261,060
Baa3 BBB- 3,750 Puerto Rico Port
Authority (American
Airlines), (AMT), 6.25%,
6/1/26 4,013,475
- --------------------------------------------------------------------------
$ 9,502,400
- --------------------------------------------------------------------------
Insured-Colleges and Universities -- 0.4%
- --------------------------------------------------------------------------
Aaa AAA $ 1,000 Massachusetts HEFA,
(Berklee College of
Music), (MBIA),
5.10%, 10/1/27 $ 958,540
- --------------------------------------------------------------------------
$ 958,540
- --------------------------------------------------------------------------
Insured-Education -- 1.2%
- --------------------------------------------------------------------------
Aaa AAA $ 1,950 Massachusetts Educational
Finance Authority,
(AMBAC), (AMT), 7.30%,
1/1/12 $ 2,109,647
Aaa AAA 290 Massachusetts Educational
Finance Authority,
(MBIA), (AMT),
7.25%, 1/1/09 312,095
Aaa AAA 400 Massachusetts HEFA
(Boston University)
"RIBS", (MBIA), Variable
Rate, 10/1/31/(1)/ 468,500
Aaa AAA 250 Massachusetts HEFA
(Northeastern
University), (AMBAC),
7.50%, 10/1/08 263,398
- --------------------------------------------------------------------------
$ 3,153,640
- --------------------------------------------------------------------------
Insured-Electric Utilities -- 0.7%
- --------------------------------------------------------------------------
Aaa AAA $ 2,000 Massachusetts Municipal
Wholesale Electric Co.,
(MBIA), 4.75%, 7/1/10 $ 1,940,280
- --------------------------------------------------------------------------
$ 1,940,280
- --------------------------------------------------------------------------
Insured-General Obligations -- 1.4%
- --------------------------------------------------------------------------
Aaa AAA $ 1,795 City of Boston, (FSA),
4.875%, 9/1/09 $ 1,796,687
NR AAA 1,000 Commonwealth of Puerto
Rico "RIBS" (AMBAC),
Variable Rate 7/1/15/(1)/ 1,090,000
Aaa AAA 600 Town of Tyngsborough,
(AMBAC), 6.90%, 5/15/08 669,714
- --------------------------------------------------------------------------
$ 3,556,401
- --------------------------------------------------------------------------
Insured-Hospitals -- 8.5%
- --------------------------------------------------------------------------
Aaa AAA $ 300 Massachusetts HEFA
(Berkshire Health
Systems), (MBIA),
7.60%, 10/1/14 $ 316,827
</TABLE>
See notes to financial statements
43
<PAGE>
Massachusetts Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
Insured-Hospitals (continued)
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA $ 3,750 Massachusetts HEFA (Beth
Israel Hospital),
(AMBAC), (AMT), Variable
Rate 7/1/25/(1)/ $ 4,082,813
Aaa AAA 1,040 Massachusetts HEFA
(Beverly Hospital),
(MBIA), 7.30%, 7/1/13 1,111,708
Aaa AAA 1,500 Massachusetts HEFA
(Capital Assist Program),
(MBIA), 7.20%, 7/1/09 1,602,240
Aaa AAA 1,885 Massachusetts HEFA
(Fallon Healthcare
System), (FSA),
6.75%, 6/1/20 /(2)/ 2,078,778
Aaa AAA 2,000 Massachusetts HEFA (St.
Elizabeth Hospital Issue)
"LEVRRS", (FSA), Variable
Rate 8/12/21/(1)/ 2,340,000
Aaa AAA 2,600 Massachusetts HEFA (St.
Luke's Hospital) "Yield
Curve Notes", (MBIA),
Variable Rate 8/15/13/(1)/ 2,756,000
Aaa AAA 2,600 Massachusetts HEFA (St.
Luke's Hospital) "Yield
Curve Notes", Variable
Rate, (MBIA), 8/15/23/(1)/ 2,700,750
Aaa AAA 3,000 Massachusetts HEFA (The
Medical Center of Central
Massachusetts) (AMBAC),
"CARS", Variable
Rate 6/23/22/(1)/ 3,618,750
Aaa AAA 700 Massachusetts HEFA
(University Hospital),
(MBIA), 7.25%, 7/1/19 763,546
Aaa AAA 1,000 Massachusetts HEFA,
(Lowell General
Hospital), Series B,
(FSA), 5.25%, 6/1/16 983,570
- --------------------------------------------------------------------------
$ 22,354,982
- --------------------------------------------------------------------------
Insured-Housing -- 0.6%
- --------------------------------------------------------------------------
Aaa AAA $ 1,500 Massachusetts HFA,
(AMBAC), 6.45%, 1/1/36 $ 1,586,565
- --------------------------------------------------------------------------
$ 1,586,565
- --------------------------------------------------------------------------
Insured-Life Care -- 0.9%
- --------------------------------------------------------------------------
Aaa AAA $ 2,465 Massachusetts HEFA,
(Partners Healthcare),
(MBIA), 5.375%, 7/1/17 $ 2,448,485
- --------------------------------------------------------------------------
$ 2,448,485
- --------------------------------------------------------------------------
Insured-Transportation -- 5.5%
- --------------------------------------------------------------------------
Aaa AAA $ 5,860 Massachusetts Port
Authority, (AMT), (FGIC),
7.50%, 7/1/20 $ 6,397,538
Aaa NR 26,970 Massachusetts Turnpike
Authority, (MBIA),
0.00%, 1/1/28 5,162,867
Aaa NR 2,970 Massachusetts Turnpike
Authority, (MBIA),
5.00%, 1/1/37 2,749,775
- --------------------------------------------------------------------------
$ 14,310,180
- --------------------------------------------------------------------------
Insured-Water and Sewer -- 0.9%
- --------------------------------------------------------------------------
Aaa AAA $ 2,500 Massachusetts Water
Resources Authority,
(MBIA), 4.75%, 12/1/21 $ 2,266,275
- --------------------------------------------------------------------------
$ 2,266,275
- --------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 3.8%
- --------------------------------------------------------------------------
NR A- $ 7,800 Plymouth County, MA
(Plymouth County
Correctional Facility),
7.00%, 4/1/22 $ 8,733,738
NR BBB 1,200 Puerto Rico Industrial,
Tourist, Educational,
Medical and
Environmental Control
Authority (Guaynabo
Municipal Government
Center Lease),
5.625%, 7/1/22 1,201,320
- --------------------------------------------------------------------------
$ 9,935,058
- --------------------------------------------------------------------------
Life Care -- 0.8%
- --------------------------------------------------------------------------
NR AAA $ 2,000 Boston, MA, Industrial
Development Financing
Authority, 6.00%, 2/1/37 $ 2,056,140
- --------------------------------------------------------------------------
$ 2,056,140
- --------------------------------------------------------------------------
Nursing Homes -- 1.3%
- --------------------------------------------------------------------------
NR NR $ 3,225 Massachusetts IFA (Age
Institute
of Massachusetts),
8.05%, 11/1/25 $ 3,405,439
- --------------------------------------------------------------------------
$ 3,405,439
- --------------------------------------------------------------------------
Solid Waste -- 0.5%
- --------------------------------------------------------------------------
NR NR $ 1,145 City of Pittsfield,
Vicon Recovery
Associates,
7.95%, 11/1/04 $ 1,193,285
- --------------------------------------------------------------------------
$ 1,193,285
- --------------------------------------------------------------------------
</TABLE>
See notes to financial statements
44
<PAGE>
Massachusetts Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Special Tax Revenue -- 3.5%
- --------------------------------------------------------------------------
Baa1 A $ 3,300 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.00%, 7/1/36 $ 3,081,243
Aa3 AA 3,500 State of Massachusetts,
5.00%, 6/1/17 3,372,425
NR NR 2,350 Virgin Islands Public
Finance Authority,
7.25%, 10/1/18 2,624,856
- --------------------------------------------------------------------------
$ 9,078,524
- --------------------------------------------------------------------------
Transportation -- 12.0%
- --------------------------------------------------------------------------
NR BBB $ 5,950 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 6,450,871
Aa3 AA- 3,000 Massachusetts Port
Authority, (AMT),
5.375%, 7/1/27 2,915,190
A1 NR 22,535 Massachusetts Turnpike
Authority, 5.00%, 1/1/20 22,059,285
- --------------------------------------------------------------------------
$ 31,425,346
- --------------------------------------------------------------------------
Water and Sewer -- 10.6%
- --------------------------------------------------------------------------
Baa1 BBB $12,185 City of Boston (Harbor
Electric Energy Co.),
(AMT), 7.375%, 5/15/15 $ 13,281,283
A2 A 7,175 Massachusetts Water
Resources Authority,
5.00%, 3/1/22 6,704,894
A2 A 1,500 Massachusetts Water
Resources Authority,
5.25%, 3/1/13 1,495,230
A2 A 4,165 Massachusetts Water
Resources Authority,
5.25%, 12/1/15 4,174,371
NR NR 2,000 Virgin Islands Water and
Power Authority,
7.60%, 1/1/12 2,238,140
- --------------------------------------------------------------------------
$ 27,893,918
- --------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $238,584,146) $261,875,700
- --------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The portfolio invests primarily in debt securities issued by Massachusetts
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by the economic developments in a specific industry
or municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1997, 20.1% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 2.4% to 9.8% of total investments.
/(1)/ Security has been issued as an inverse floater bond.
/(2)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes to financial statements
45
<PAGE>
Mississippi Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 2.3%
- --------------------------------------------------------------------------------
NR A $ 470 University of Mississippi
Educational Building
Athletic Facility,
6.20%, 6/1/16 $ 503,699
- --------------------------------------------------------------------------------
$ 503,699
- --------------------------------------------------------------------------------
Electric Utilities -- 9.1%
- --------------------------------------------------------------------------------
NR BBB $ 810 Guam Power Authority,
6.625%, 10/1/14 $ 878,874
Baa3 NR 1,000 Warren County (Mississippi
Power & Light Co.), 7.00%,
4/1/22 1,099,630
- --------------------------------------------------------------------------------
$ 1,978,504
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 5.6%
- --------------------------------------------------------------------------------
A NR $ 600 Mississippi Hospital
Equipment and Facilities
Authority, (Rankin Medical
Center), 5.60%, 3/1/19 $ 646,158
Aaa NR 1,500 Mississippi Housing Finance
Corp., Single Family,
(AMT), 0.00%, 6/1/15 577,560
- --------------------------------------------------------------------------------
$ 1,223,718
- --------------------------------------------------------------------------------
General Obligations -- 3.6%
- --------------------------------------------------------------------------------
Aa3 AA $ 200 State of Mississippi,
5.10%, 11/15/12 $ 203,776
Aa3 NR 500 State of Mississippi,
6.75%, 12/1/14 570,450
- --------------------------------------------------------------------------------
$ 774,226
- --------------------------------------------------------------------------------
Hospitals -- 2.1%
- --------------------------------------------------------------------------------
Baa3 BBB $ 450 Mississippi Hospital
Equipment and Facilities
Authority, (Rush Medical
Foundation Project), 6.00%,
1/1/22 $ 450,500
- --------------------------------------------------------------------------------
$ 450,500
- --------------------------------------------------------------------------------
Housing -- 14.0%
- --------------------------------------------------------------------------------
Aa NR $ 500 Hinds County, Woodridge
Apartments, (FHA), 6.25%,
11/1/27 $ 523,490
Aaa NR 500 Mississippi Home Corp.,
Single Family, (AMT),
(GNMA), 6.625%, 4/1/27 530,560
Aaa NR 415 Mississippi Home Corp.,
Single Family, Access
Program, (AMT), (GNMA),
8.10%, 12/1/24 463,480
Aaa NR 870 Mississippi Home Corp.,
Single Family, Access
Program, (AMT), (GNMA),
8.125%, 12/1/24 969,650
Aaa NR 500 Mississippi Home Corp.,
Single Family, Access
Program, (GNMA), (AMT),
6.00%, 12/1/27 565,535
- --------------------------------------------------------------------------------
$ 3,052,715
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution Control
Revenue -- 13.3%
- --------------------------------------------------------------------------------
A2 A $1,000 Lowndes County
(Weyerhaeuser Co.), 6.80%,
4/1/22 $ 1,180,610
NR AA- 500 Mississippi Business
Finance Corp., (AMT),
7.15%, 5/1/16/(1)/ 547,950
Baa3 BBB- 490 Puerto Rico Port Authority
(American Airlines), (AMT),
6.25%, 6/1/26 524,427
A3 A- 600 Warren County
(International Paper Co.),
(AMT), 6.60%, 3/1/19 653,706
- --------------------------------------------------------------------------------
$ 2,906,693
- --------------------------------------------------------------------------------
Insured-Education -- 5.1%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Mississippi Educational
Facilities Authority,
(Milsaps College), (MBIA),
6.50%, 11/1/19 $ 1,119,190
- --------------------------------------------------------------------------------
$ 1,119,190
- --------------------------------------------------------------------------------
Insured-Electric Utilities -- 5.3%
- --------------------------------------------------------------------------------
Aaa AAA $ 750 Jackson County, Gautier
Utility District, (MBIA),
6.375%, 3/1/12 $ 813,983
Aaa AAA 300 Puerto Rico, Electric Power
Authority (FSA) Variable
Rate, 7/1/03/(2)/ 339,750
- --------------------------------------------------------------------------------
$ 1,153,733
- --------------------------------------------------------------------------------
Insured-General Obligations -- 7.0%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Desoto County School
District, (MBIA), 4.75%,
2/1/13 $ 953,790
Aaa AAA 500 Hinds County, (MBIA),
6.25%, 3/1/11 566,845
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
46
<PAGE>
Mississippi Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-General Obligations (continued)
- --------------------------------------------------------------------------------
$ 1,520,635
- --------------------------------------------------------------------------------
Insured-Hospitals -- 14.6%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 City of Gulfport (Gulfport
Memorial Hospital), (MBIA),
6.20%, 7/1/18 $ 1,066,610
Aaa AAA 1,275 Hinds County (Mississippi
Methodist Hospital),
(AMBAC), 5.60%, 5/1/12 1,362,376
Aaa AAA 200 Mississippi Development
Bank (Adams County
Hospital), 5.75%, 7/1/16 208,286
Aaa AAA 500 Mississippi Hospital
Equipment and Facilities
Authority (Mississippi
Baptist Medical Center),
(MBIA), 6.00%, 5/1/13 533,370
- --------------------------------------------------------------------------------
$ 3,170,642
- --------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of Participation -- 3.6%
- --------------------------------------------------------------------------------
Aaa AAA $ 750 Medical Center Building
Corp., (University of
Mississippi Medical
Center), (MBIA), 5.80%,
12/1/14 $ 786,105
- --------------------------------------------------------------------------------
$ 786,105
- --------------------------------------------------------------------------------
Insured-Water and Sewer -- 2.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 City of Natchez, Combined
Water and Sewer System,
(MBIA), 5.70%, 8/1/17 $ 514,460
- --------------------------------------------------------------------------------
$ 514,460
- --------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 9.6%
- --------------------------------------------------------------------------------
NR A $1,000 Mississippi Development
Bank, Golden Triangle Solid
Waste, 6.00%, 7/1/15 $ 1,037,500
A2 NR 1,000 Mississippi University
Educational Building Corp.,
Facilities Renovation,
6.15%, 6/15/15 1,058,960
- --------------------------------------------------------------------------------
$ 2,096,460
- --------------------------------------------------------------------------------
Life Care -- 1.0%
- --------------------------------------------------------------------------------
NR NR $ 200 Ridgeland, MS, Urban
Renewal, The Orchard
Project Series 1993A,
7.75%, 12/1/15 $ 214,032
- --------------------------------------------------------------------------------
$ 214,032
- --------------------------------------------------------------------------------
Nursing Homes -- 1.4%
- --------------------------------------------------------------------------------
NR NR $ 300 Mississippi Business
Finance Corp. (Magnolia
Healthcare), 7.99%, 7/1/25 $ 314,145
- --------------------------------------------------------------------------------
$ 314,145
- --------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $19,751,773) $21,779,457
- --------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The portfolio invests primarily in debt securities issued by Mississippi
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by the economic developments in a
specific industry or municipality. In order to reduce the risk associated
with such economic developments, at September 30, 1997, 38.0% of the
securities in the portfolio of investments are backed by bond insurance
of various financial institutions and financial guaranty assurance
agencies. The aggregate percentage insured by financial institutions
ranged from 2.5% to 25.4% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
See notes to financial statements
47
<PAGE>
New York Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Airlines -- 0.6%
- --------------------------------------------------------------------------------
Baa3 BBB- $ 2,800 Port Authority of New York and
New Jersey, (Delta Airlines),
6.95%, 6/1/08 $ 3,053,176
- --------------------------------------------------------------------------------
$ 3,053,176
- --------------------------------------------------------------------------------
Assisted Living -- 1.2%
- --------------------------------------------------------------------------------
NR NR $ 4,000 Glen Cove, IDA, 9.50%, 7/1/12 $ 4,000,000
NR NR 1,970 Village of North Syracuse, NY,
Housing Authority (AJM Senior
Housing, Inc., Janus Park),
8.00%, 6/1/24 2,096,474
- --------------------------------------------------------------------------------
$ 6,096,474
- --------------------------------------------------------------------------------
Education -- 15.8%
- --------------------------------------------------------------------------------
Baa2 NR $ 1,660 City of New Rochelle IDA Civic
Facilities, (College of New
Rochelle), 6.75%, 7/1/22 $ 1,779,155
Aaa AA+ 6,895 Dormitory Authority, (Columbia
University), 4.75%, 7/1/14 6,462,270
NR AA 1,300 Dormitory Authority, (New York
Medical College) (Asset Guaranty),
6.875%, 7/1/21 1,426,464
A3 A- 9,850 Dormitory Authority, State
University Educational Facilities,
5.25%, 5/15/15 9,737,809
A3 A- 28,675 Dormitory Authority, State
University Educational Facilities,
5.25%, 5/15/19 28,056,766
A3 A- 14,680 Dormitory Authority, State
University Educational Facilities,
5.25%, 5/15/21 14,348,818
A3 A- 9,125 Dormitory Authority, State
University Educational Facilities,
5.50%, 5/15/13 9,365,535
A3 A- 2,000 Dormitory Authority, State
University Educational Facilities,
5.50%, 5/15/19 2,025,200
A3 A- 415 Dormitory Authority, State
University Educational Facilities,
7.375%, 5/15/14 452,342
A3 A- 1,300 Dormitory Authority, State
University Educational Facilities,
7.50%, 5/15/11 1,573,507
A NR 1,000 Dutchess County IDA, (Bard
College), 7.00%, 11/1/17 1,109,560
A1 NR 6,035 Monroe County IDA, (Wilmur
Assc.), 7.25%, 12/1/16 6,444,897
- --------------------------------------------------------------------------------
$ 82,782,323
- --------------------------------------------------------------------------------
Electric Utilities -- 3.7%
- --------------------------------------------------------------------------------
A1 A+ $ 2,365 New York State Energy Research
and Development Authority,
(Consolidated Edison) (AMT),
7.50%, 7/1/25 $ 2,500,751
A1 A 2,500 New York State Energy Research
and Development Authority,
(Brooklyn Union Gas), (RIBS),
(AMT), Variable Rate, 7/1/26/(1)/ 3,178,125
A1 A+ 1,000 New York State Energy Research
and Development Authority,
(Consolidated Edison) (AMT),
7.50%, 1/1/26 1,069,050
NR NR 5,450 New York State Energy Research
and Development Authority,
(LILCO) "RITES" (AMT),
Variable Rate, 8/1/22/(1)/ 6,267,500
Ba3 BB+ 3,110 New York State Energy Research
and Development Authority,
(LILCO), (AMT), 6.90%, 8/1/22 3,355,130
NR NR 2,885 Virgin Islands Water and Sewer
Authority, 7.40%, 7/1/11 3,119,406
- --------------------------------------------------------------------------------
$ 19,489,962
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 9.4%
- --------------------------------------------------------------------------------
Aaa BBB+ $ 1,000 Dormitory Authority, (City
University), 7.625%, 7/1/20 $ 1,110,200
Baa1 NR 2,250 Dormitory Authority,
(Upstate Community College),
7.20%, 7/1/21 2,517,480
Baa1 NR 2,000 Dormitory Authority,
(Upstate Community College),
7.30%, 7/1/21 2,244,640
Aaa AAA 500 Erie County Water Authority,
Water Works System, (AMBAC),
6.00%, 12/1/08 544,055
Aaa AAA 500 Metropolitan Transportation
Authority Commuter Facilities
Bonds, 7.50%, 7/1/19 551,250
</TABLE>
See notes to financial statements
48
<PAGE>
New York Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Escrowed / Prerefunded (continued)
- --------------------------------------------------------------------------------
Aaa NR $ 1,300 New York City IDA,
(YMCA of Greater New
York), 8.00%, 8/1/16 $ 1,497,652
Aaa BBB+ 1,000 New York State (HFA),
Service Contracts, 7.80%,
9/15/01 1,132,920
Aaa AAA 110 New York State (MCFFA)
Mental Health Services
Facilities, 7.75%, 8/15/10 121,186
Aaa AAA 4,090 New York State (MCFFA),
Mental Health Services
Facilities, 7.50%, 2/15/21 4,589,962
Aa A 11,050 New York State
Environmental Facilities
Corporation (EFC),
State Water Pollution
Control, 6.875%, 6/15/10 12,187,487
Aaa AAA 1,775 New York State HFA,
Service Contracts,
7.375%, 9/15/21 2,026,340
Aaa AAA 345 New York State MCFFA,
Mental Health Services
Facilities, 7.875%,
8/15/08 386,448
Baa1 A- 1,090 New York State Medical
Care Facilities, 7.625%,
8/15/17 1,239,232
Baa1 BBB+ 4,750 New York State Thruway
Authority, Local Highway
and Bridge Service
Contract Bonds, 7.25%,
1/1/10/(2)/ 5,267,988
Baa1 BBB+ 500 New York State UDC,
Alfred Technology,
7.875%, 1/1/20 549,245
Baa1 BBB+ 750 New York State UDC,
Clarkson Center, 7.80%,
1/1/20 844,200
Baa1 BBB+ 750 New York State UDC,
Clarkson Center, 8.00%,
1/1/20 848,715
Aaa NR 5,100 New York State UDC,
Correctional Facilities,
6.50%, 1/1/21 5,467,965
Aaa BBB+ 3,685 New York, NY, 7.50%,
2/1/18 4,205,985
NR AAA 1,760 Puerto Rico Highway and
Transportation Authority
- Highway Revenue,
6.625%, 7/1/18 1,969,739
- --------------------------------------------------------------------------------
$ 49,302,689
- --------------------------------------------------------------------------------
General Obligations -- 0.8%
- --------------------------------------------------------------------------------
Baa1 BBB+ $ 315 New York, NY, 7.50%,
2/1/18 $ 352,806
Aa2 AA 1,700 Onondaga County, NY,
5.875%, 2/15/11 1,862,877
Aa2 AA 1,600 Onondaga County, NY,
5.875%, 2/15/12 1,751,696
- --------------------------------------------------------------------------------
$ 3,967,379
- --------------------------------------------------------------------------------
Healthcare -- 1.1%
- --------------------------------------------------------------------------------
NR NR $ 5,000 New York State Housing
Finance Agency, "RITES",
Variable Rate, 5/1/06/(1)/ $ 5,693,750
- --------------------------------------------------------------------------------
$ 5,693,750
- --------------------------------------------------------------------------------
Hospitals -- 13.9%
- --------------------------------------------------------------------------------
Aa2 AAA $ 1,500 Dormitory Authority,
(Long Island Jewish
Medical Center) (FHA),
7.75%, 8/15/27 $ 1,546,140
NR AAA 1,000 Dormitory Authority, (St.
Francis Hospital) (FHA),
7.65%, 8/1/30 1,112,880
Baa1 A- 7,300 Dormitory Authority,
Mental Health Facilities,
5.375%, 2/15/26 7,057,348
NR AAA 6,705 Dormitory Authority,
United Health Services,
(FHA), 7.35%, 8/1/29 7,318,977
Aa2 AAA 1,000 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.55%, 8/15/12 1,079,720
NR AA 9,000 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.70%, 8/15/23 9,726,390
Aa2 AA 1,050 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.75%, 2/15/12 1,135,229
Aa2 AA 1,500 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.95%, 2/15/32 1,636,485
Aa2 AA 2,190 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.00%, 8/15/32 2,405,693
Aa2 AA 6,600 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.25%, 2/15/31 7,271,946
Aa2 AA 740 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.35%, 2/15/29 784,548
Aa2 AA 950 New York State MCFFA,
Insured Mortgage (FHA),
7.45%, 8/15/31 1,044,563
Baa1 A- 460 New York State MCFFA,
Mental Health Services
Facilities, 7.50%, 2/15/21 510,494
Baa1 A- 35 New York State MCFFA,
Mental Health Services
Facilities, 7.75%, 8/15/10 38,237
</TABLE>
See notes to financial statements
49
<PAGE>
New York Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospitals (continued)
- --------------------------------------------------------------------------------
Baa1 A- $ 150 New York State MCFFA, Mental
Health Services Facilities,
7.875%, 8/15/08 $ 166,785
Baa BBB+ 5,540 New York State MCFFA, Secured
Hospital, 7.35%, 8/15/11 6,083,529
Baa BBB+ 19,700 New York State MCFFA, Secured
Hospital (Brookdale), 6.80%,
8/15/12 21,548,253
Baa1 A- 490 New York State Medical Care
Facilities, 7.625%, 8/15/17 549,496
Baa1 BBB+ 1,800 Syracuse Industrial Development
Agency (IDA), St. Joseph's
Hospital Health Center, 7.50%,
6/1/18 2,028,510
- --------------------------------------------------------------------------------
$ 73,045,223
- --------------------------------------------------------------------------------
Housing -- 5.6%
- --------------------------------------------------------------------------------
NR NR $ 4,574 New York City HDC, Allerville,
6.50%, 11/15/18 $ 4,637,076
NR NR 2,006 New York City HDC, Dayton,
6.50%, 11/15/18 2,095,308
NR AAA 2,550 New York City HDC, Multi-Unit
Management, 7.35%, 6/1/19 2,720,009
Aa2 AAA 235 New York State Housing Finance
Agency, Baytown, 7.10%, 8/15/35 249,716
Aaa NR 31,145 New York State Mortgage Agency,
0.00%, 10/1/14 6,300,634
Aa2 NR 500 New York State Mortgage Agency,
6.65%, 4/1/22 528,565
Aa2 NR 8,750 New York State Mortgage Agency,
6.90%, 4/1/15 9,453,588
Aa2 NR 1,000 New York State Mortgage Agency,
7.50%, 4/1/15 1,077,150
Aa2 NR 1,600 New York State Mortgage Agency
(AMT), 7.95%, 10/1/21 1,705,792
Baa BBB 350 Puerto Rico Commonwealth Urban
Renewal and Housing Corp.,
7.875%, 10/1/04 376,999
Aaa AAA 300 Puerto Rico Housing Financial
Corp. Single Family (GNMA),
7.65%, 10/15/22 317,721
- --------------------------------------------------------------------------------
$ 29,462,558
- --------------------------------------------------------------------------------
Insured-Electric Utilities -- 1.0%
- --------------------------------------------------------------------------------
Aaa AAA $ 5,000 Puerto Rico Telephone Authority
(MBIA) Variable Rate,
1/25/07/(1)/ $ 5,393,750
- --------------------------------------------------------------------------------
$ 5,393,750
- --------------------------------------------------------------------------------
Insured-General Obligations -- 2.8%
- --------------------------------------------------------------------------------
Aaa AAA $ 700 Bethlehem Central School
District (AMBAC), 7.10%,
11/1/08 $ 847,896
Aaa AAA 700 Bethlehem Central School
District (AMBAC), 7.10%,
11/1/09 852,082
Aaa AAA 770 Chautauqua County Unlimited
Tax (FGIC), 6.40%, 9/15/09 887,163
Aaa AAA 1,035 Erie County Water Authority
(AMBAC), 0.00%, 12/1/17 244,508
Aaa AAA 700 Jamestown, (Secondary AMBAC),
7.10%, 3/15/09 846,132
Aaa AAA 700 Jamestown, (Secondary AMBAC),
7.10%, 3/15/10 849,639
Aaa AAA 700 Jamestown, (Secondary AMBAC),
7.10%, 3/15/11 853,552
Aaa AAA 675 Jamestown, (Secondary AMBAC),
7.10%, 3/15/12 826,342
Aaa AAA 675 Jamestown, (Secondary AMBAC),
7.10%, 3/15/13 829,238
Aaa AAA 515 Jamestown, (Secondary AMBAC),
7.10%, 3/15/14 634,341
Aaa AAA 1,930 New York, NY (AMBAC), 7.00%,
8/1/17 2,161,697
Aaa AAA 4,500 Puerto Rico (FSA), Variable
Rate, 7/1/22/(1)/ 4,944,375
- --------------------------------------------------------------------------------
$ 14,776,965
- --------------------------------------------------------------------------------
Insured-Hospitals -- 1.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,300 New York State MCFFA, New York
Hospital (FHA) (AMBAC), 6.60%,
2/15/11 $ 1,454,375
Aaa AAA 5,400 New York State MCFFA, New York
Hospital (FHA) (AMBAC), 6.75%,
8/15/14 6,072,948
- --------------------------------------------------------------------------------
$ 7,527,323
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
50
<PAGE>
New York Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Housing -- 0.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 New York City HDC, Charter Oaks
(MBIA), 7.375%, 4/1/17 $ 512,585
- --------------------------------------------------------------------------------
$ 512,585
- --------------------------------------------------------------------------------
Insured-Life Care -- 0.3%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,500 New York State MCFFA,
Long Term Health Care
(FSA), 6.80%, 11/1/14 $ 1,657,545
- --------------------------------------------------------------------------------
$ 1,657,545
- --------------------------------------------------------------------------------
Insured-Miscellaneous -- 0.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 New York City IDA, (USTA
National Tennis Center Inc.)
(FSA), 6.375%, 11/15/14 $ 549,685
Aaa AAA 1,600 New York City Trust Cultural
Resources, (American Museum of
Natural History), (MBIA),
5.65%, 4/1/22 1,639,456
- --------------------------------------------------------------------------------
$ 2,189,141
- --------------------------------------------------------------------------------
Insured-Solid Waste -- 1.8%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,650 Dutchess County Resource
Recovery Solid Waste (FGIC),
7.50%, 1/1/09 $ 1,790,547
Aaa AAA 6,795 Islip Resource Recovery Agency
(MBIA), 6.50%, 7/1/09 7,657,286
- --------------------------------------------------------------------------------
$ 9,447,833
- --------------------------------------------------------------------------------
Insured-Transportation -- 3.8%
- --------------------------------------------------------------------------------
Aaa AAA $ 6,000 Metropolitan Transportation
Authority, NY, (MBIA),
5.00%, 7/1/20 $ 5,740,260
Aaa AAA 3,000 Triborough Bridge and Tunnel
Authority of New York, "RITES"
(AMBAC), Variable
Rate, 1/1/12/(1)/ 3,420,000
NR AAA 3,000 Triborough Bridge and Tunnel
Authority, (MBIA), Variable
Rate, 1/1/19/(1)/ 3,180,000
NR NR 7,000 VRDC-IVRC Trust,
(NY MTA), Variable Rate,
(MBIA), 6/26/02/(1)/ 7,551,250
- --------------------------------------------------------------------------------
$ 19,891,510
- --------------------------------------------------------------------------------
Lease Revenue/Certificates of Participation -- 13.6%
- --------------------------------------------------------------------------------
Baa1 BBB+ $ 8,000 Dormitory Authority, (City
University), 5.625%, 7/1/16 $ 8,267,280
Baa1 BBB+ 250 Dormitory Authority, (City
University), 6.375%, 7/1/08 267,105
Baa1 BBB+ 5,100 Dormitory Authority, (City
University), 7.00%, 7/1/09 5,894,325
Baa1 BBB+ 4,325 Dormitory Authority, (City
University), 7.50%, 7/1/10 5,234,418
Baa1 BBB+ 1,000 Dormitory Authority, City
University, (Cross-over
Refunded '98), 8.125%, 7/1/08 1,047,990
Baa1 BBB 8,500 New York State Dormitory
Authority, (City University),
6.00%, 7/1/20 9,162,660
Baa BBB+ 3,380 New York State HFA Health
Facilities, 6.00%, 5/1/06 3,613,457
NR BBB 5,865 New York State Thruway Authority,
0.00%, 1/1/01 5,053,695
NR BBB 2,350 New York State Thruway Authority,
0.00%, 1/1/03 1,833,611
Baa1 BBB+ 27,940 New York State UDC,
5.70%, 4/1/20 28,987,190
A A 1,825 Syracuse-Hancock International
Airport, 6.625%, 1/1/12 1,943,589
- --------------------------------------------------------------------------------
$ 71,305,320
- --------------------------------------------------------------------------------
Miscellaneous -- 0.5%
- --------------------------------------------------------------------------------
Aa2 AA $ 635 City of New York
Municipal Assistance Corp.,
7.625%, 7/1/08 $ 686,683
Aaa AAA 1,830 New York City, IDA (Rockefeller
Foundation), 5.375%, 7/1/23 1,808,461
- --------------------------------------------------------------------------------
$ 2,495,144
- --------------------------------------------------------------------------------
Solid Waste -- 1.9%
- --------------------------------------------------------------------------------
Baa1 NR $ 9,530 New York State EFC
Resource Recovery, Huntington,
7.50%, 10/1/12 $ 10,178,707
- --------------------------------------------------------------------------------
$ 10,178,707
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
51
<PAGE>
New York Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Special Tax Revenue -- 10.0%
- --------------------------------------------------------------------------------
A3 A+ $ 5,000 New York State LGAC,
5.00%, 4/1/21 $ 4,691,250
A3 A+ 14,000 New York State LGAC,
5.00%, 4/1/21 13,313,019
A3 A+ 11,170 New York State LGAC,
5.00%, 4/1/23 10,452,551
A3 A+ 12,300 New York State LGAC,
5.375%, 4/1/19 12,168,636
A3 A+ 5,225 New York State LGAC,
5.50%, 4/1/17 5,383,265
NR BBB+ 2,630 New York State Municipal Bond
Bank Agency, 6.875%, 3/15/06 2,850,263
Baa1 BBB+ 3,335 Triborough Bridge and Tunnel
Authority, Convention Center,
6.00%, 1/1/11 3,601,200
- --------------------------------------------------------------------------------
$ 52,460,184
- --------------------------------------------------------------------------------
Transportation -- 3.9%
- --------------------------------------------------------------------------------
A1 AA- $ 1,500 Port Authority of New York and
New Jersey (AMT), Variable
Rate, 1/15/27/(1)/ $ 1,644,375
Aa A+ 3,500 Triborough Bridge and Tunnel
Authority, 5.20%, 1/1/27 3,387,335
Aa A+ 11,580 Triborough Bridge and Tunnel
Authority, 5.50%, 1/1/17 12,034,283
Aa A+ 3,000 Triborough Bridge and Tunnel
Authority, 6.125%, 1/1/21 3,362,880
- --------------------------------------------------------------------------------
$ 20,428,873
- --------------------------------------------------------------------------------
Water and Sewer -- 6.4%
- --------------------------------------------------------------------------------
A2 A- $11,200 New York City, NY, Municipal
Water Finance Authority,
5.25%, 6/15/29 $ 10,781,008
A2 A- 14,500 New York City, NY, Municipal
Water Finance Authority,
5.75%, 6/15/26 14,765,494
Aa2 A+ 4,545 New York State EFC, State
Water Pollution Control,
7.20%, 3/15/11 4,918,917
Aa A 150 New York State EFC, State
Water Pollution Control,
7.50%, 6/15/12 165,786
Aa2 A $ 2,750 New York State EFC, State Water
Pollution Control, (partially
refunded), 7.00%, 6/15/12 $ 3,058,798
- --------------------------------------------------------------------------------
$ 33,690,003
- --------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $481,258,800) $524,848,417
- --------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by New York
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1997, 10.4% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 0.5% to 4.6% of total investments.
/(1)/ Security has been issued as an inverse floater bond.
/(2)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes to financial statements
52
<PAGE>
Ohio Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Colleges and Universities -- 0.8%
- --------------------------------------------------------------------------------
Aa3 AA $ 1,500 Ohio State Higher Educational
Facilities, (Case Western
University), 5.125%, 10/1/17 $ 1,467,870
Aa AA 550 Ohio State Higher Educational
Facilities, (Case Western
University), 6.50%, 10/1/20 648,582
- --------------------------------------------------------------------------------
$ 2,116,452
- --------------------------------------------------------------------------------
Education -- 4.2%
- --------------------------------------------------------------------------------
A1 NR $ 6,000 Ohio State Student Loan Funding
Corp (AMT), 6.10%, 8/1/07 $ 6,168,060
A1 NR 5,000 Ohio State Student Loan Funding
Corp (AMT), 6.10%, 8/1/08 5,115,050
- --------------------------------------------------------------------------------
$ 11,283,110
- --------------------------------------------------------------------------------
Electric Utilities -- 3.6%
- --------------------------------------------------------------------------------
A1 A+ $ 1,185 Ohio State Air Quality Development
Authority, 6.10%, 9/1/30 $ 1,241,051
Ba1 BB+ 7,000 Ohio State Water Development
Authority, Pollution Control
Facilities, (Cleveland Electric),
(AMT), 6.10%, 8/1/20 7,117,390
Baa1 BBB+ 360 Puerto Rico Electric Power
Authority, 7.125%, 7/1/14 384,440
NR NR 960 Virgin Islands Water and Sewer
Authority, 7.40%, 7/1/11 1,038,000
- --------------------------------------------------------------------------------
$ 9,780,881
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 0.4%
- --------------------------------------------------------------------------------
NR BBB+ $ 1,000 Lucas County (Flowers Hospital),
6.125%, 12/1/13 $ 1,104,990
- --------------------------------------------------------------------------------
$ 1,104,990
- --------------------------------------------------------------------------------
General Obligations -- 6.6%
- --------------------------------------------------------------------------------
NR NR $ 3,035 Belmont County,
7.30%, 12/1/12 $ 3,273,278
A1 NR 725 City of Medina, OH Fire Station
Improvement, 3.00%, 12/1/10 567,153
NR NR 2,450 Cleveland City School District,
7.25%, 6/15/98 2,477,318
NR NR 800 Mahoning Valley, OH, Sanitation
District, 7.80%, 12/15/08 872,056
NR NR 950 Mahoning Valley, OH, Sanitation
District, 7.80%, 12/15/09 1,035,567
Aa1 AA+ 1,500 Ohio State Infrastructure
Improvement, 0.00%, 8/1/11 737,760
NR NR 1,000 Tuscarawas Public Library
Improvement, 6.90%, 12/1/11 1,047,820
NR NR 6,855 Youngstown, OH,
7.35%, 7/1/05 7,845,958
- --------------------------------------------------------------------------------
$ 17,856,910
- --------------------------------------------------------------------------------
Hospitals -- 23.7%
- --------------------------------------------------------------------------------
NR AAA $ 1,000 Allen County OH LIMA
Convalescent Home Foundation
(GNMA), 6.40%, 1/1/21 $ 1,059,380
Baa3 BBB- 1,000 Butler County (Hamilton-Hughe
Hospital), 7.50%, 1/1/10 1,087,500
A A 1,015 City of Garfield Heights
(Marymount Hospital),
6.65%, 11/15/11 1,095,997
A A 1,000 City of Garfield Heights
(Marymount Hospital),
6.70%, 11/15/15 1,081,080
A1 A 2,100 Cuyahoga County, Fairview General
Hospital, 6.25%, 8/15/10 2,233,497
A1 A 2,000 Cuyahoga County, Meridia Health
System, 6.50%, 8/15/12 2,092,800
A1 A 2,370 Cuyahoga County, Meridia Health
System, 7.00%, 8/15/23 2,556,638
Aa AA 4,450 Cuyahoga County, University
Hospitals Health System,
6.00%, 1/15/22 4,636,144
Aa AA 750 Cuyahoga County, University
Hospitals Health System,
6.50%, 1/15/19 801,728
NR BBB+ 3,705 Defiance Hospital, Inc.,
7.625%, 11/1/03 3,787,770
Baa3 BBB- 765 East Liverpool City Hospital-Series
A, 8.00%, 10/1/21 840,444
Baa3 BBB- 1,000 East Liverpool City Hospital-Series
B, 8.00%, 10/1/21 1,098,620
A A 4,000 Erie County, (Fireland Community
Hospital Project), 6.75%, 1/1/08 4,347,320
Aa NR 2,000 Franklin County (Children's
Hospital), 5.75%, 11/1/20 2,049,100
</TABLE>
See notes to financial statements
53
<PAGE>
Ohio Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospitals (continued)
- ------------------------------------------------------------------------
Aa NR $ 3,000 Franklin County
(Children's Hospital),
6.60%, 5/1/13 $ 3,271,050
A1 A 5,115 Hamilton County (Bethesda
Hospital, Inc.), 6.25%,
1/1/12 5,432,386
Aa2 NR 1,000 Hamilton County, OH Wesley
Hall, 6.50%, 3/1/15 1,083,060
A1 NR 5,900 Lorain County (Humility of
Mary Health Care Corp.),
5.90%, 12/15/08 6,433,714
A1 NR 1,095 Lorain County (Humility of
Mary Health Care Corp.),
7.125%, 12/15/06 1,225,535
A1 NR 1,000 Lorain County (Humility of
Mary Health Care Corp.),
7.20%, 12/15/11 1,132,250
A1 NR 1,750 Lorain, OH, Hospital
Improvement, (Lakeland
County Hospital), 6.50%,
11/15/12 1,963,938
Baa2 BBB 3,800 Miami, Upper Valley
Medical Center, 6.375%,
5/15/26 3,962,602
NR NR 9,670 Mt. Vernon Ohio Hospital,
(Knox Community Hospital),
7.875%, 6/1/12 9,933,410
Aa2 NR 600 Warren County, OH,
Hospital Facilities,
(Otterbein Homes
Project), 7.20%, 7/1/11 655,428
- ------------------------------------------------------------------------
$ 63,861,391
- ------------------------------------------------------------------------
Housing -- 14.2%
- ------------------------------------------------------------------------
Aa NR $ 1,300 City of Clermont, Laurels
(FHA), 6.00%, 9/1/20 $ 1,334,463
NR NR 3,000 Cuyahoga County, OH,
(Rolling Hills Apts.),
8.00%, 1/1/28 2,972,400
Aa NR 2,500 Franklin County MFMR -
Tuttle Park (FHA), (AMT),
6.50%, 3/1/26 2,669,275
Aa NR 5,985 Franklin County MFMR -
Tuttle Park (FHA), (AMT),
6.60%, 3/1/36 6,411,790
Aa NR 3,645 Franklin County, (Hamilton
Creek Apartments) (FHA),
(AMT), 5.55%, 7/1/24 3,550,522
Aa NR 1,000 Franklin County, (Hamilton
Creek Apartments) (FHA),
(AMT), 5.80%, 7/1/14 1,012,230
Aaa NR 2,500 Kent, OH, (MFMR) (Silver
Meadows) (GNMA), (AMT),
7.30%, 12/20/36 2,785,225
NR NR 2,990 Lucas County, OH, (County
Creek Project), (AMT),
8.00%, 7/1/26 2,926,941
Aaa AAA 935 Ohio HFA SFMR, (GNMA)
(AMT) Variable Rate,
3/1/31/(1)/ 1,046,031
NR AAA 3,310 Ohio HFA, (GNMA), (AMT),
6.375%, 3/1/25 3,511,844
NR AAA 4,595 Ohio HFA, (GNMA), (AMT),
6.70%, 3/1/25 4,915,869
Aa A 1,000 Ohio HFA, Aristocrat
South Board & Care (FHA),
(AMT), 7.30%, 8/1/31 1,057,000
NR AAA 1,250 Ohio HFA, MFMR-Asbury
Woods (FHA), 7.00%,
10/1/24 1,302,000
Baa BBB 2,925 Puerto Rico Commonwealth
Urban Renewal and Housing
Corp., 0.00%, 10/1/99 2,686,086
- ------------------------------------------------------------------------
$ 38,181,676
- ------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 12.1%
- ------------------------------------------------------------------------
Aa NR $ 2,000 Cuyahoga OH IDR -
Chippewa Place, 6.60%,
8/1/15 $ 2,102,380
Baa1 NR 3,750 Ohio Air Quality
Development Authority,
(Ashland Oil Inc.),
6.85%, 4/1/10 3,964,913
NR A- 555 Ohio Economic Development
Commission, (Burrows Paper
Corp.) (AMT), 7.625%, 6/1/11 609,939
NR A- 255 Ohio Economic Development
Commission, (Cheryl & Co.)
(AMT), 5.50%, 12/1/04 269,423
NR A- 530 Ohio Economic Development
Commission, (Cheryl & Co.),
(AMT), 5.90%, 12/1/09 565,621
NR A- 1,655 Ohio Economic Development
Commission, (Consolidated
Biscuit), (AMT), 7.00%,
12/1/09 1,819,606
NR A- 3,255 Ohio Economic Development
Commission, (J J & W LP)
(AMT), 6.70%, 12/1/14 3,546,225
NR BB- 1,020 Ohio Economic Development
Commission, (Kmart Corp.),
6.75%, 5/15/07 1,076,243
NR A- 750 Ohio Economic Development
Commission, (Luigino's Inc.)
(AMT), 6.85%, 6/1/01 759,278
</TABLE>
See notes to financial statements
54
<PAGE>
Ohio Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Industrial Development Revenue/Pollution Control
Revenue (continued)
- ---------------------------------------------------------------------------------------
NR A- $ 720 Ohio Economic Development
Commission, (Ohio Enterprise Bond
Fund-Progress Plastics Products),
(AMT), 6.80%, 12/1/01 $ 767,333
NR A- 1,525 Ohio Economic Development
Commission, (Progress
Plastic Products) (AMT),
7.80%, 12/1/09 1,740,269
NR A- 1,000 Ohio Economic Development
Commission, (Royal Appliance
Manufacturing Co.) (AMT),
7.625%, 12/1/11 1,101,140
NR A- 680 Ohio Economic Development
Commission, (Royal Appliance
Manufacturing Co.) (AMT),
7.625%, 12/1/11 748,775
NR A- 880 Ohio Economic Development
Commission, (VSM Corp.) (AMT),
7.375%, 12/1/11 960,881
Aa3 AA 1,000 Ohio Pollution Control, (Standard
Oil Co.), 6.75%, 12/1/15 1,184,360
Baa2 BBB 3,885 Ohio Water Development
Authority, (Union Carbide
Corp.), 5.50%, 1/15/07 3,886,865
Baa3 BBB- 4,000 Puerto Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26 4,281,040
NR NR 3,000 State of Ohio, Solid Waste,
(Republic Engineered Steels Inc.),
(AMT), 9.00%, 6/1/21 3,119,250
- ---------------------------------------------------------------------------------------
$ 32,503,541
- ---------------------------------------------------------------------------------------
Insured-Colleges and Universities -- 0.4%
- ---------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Ohio Higher Education Facilities
(University of Dayton) (FGIC),
5.80%, 12/1/14 $ 1,051,880
- ---------------------------------------------------------------------------------------
$ 1,051,880
- ---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 8.4%
- ---------------------------------------------------------------------------------------
Aaa AAA $ 1,650 Cleveland Public Power System,
(MBIA), 7.00%, 11/15/17 $ 1,838,348
Aaa AAA 15,675 Cleveland, OH, Public
Power System (MBIA),
5.00%, 11/15/20 14,991,099
Aaa AAA 2,000 Cuyahoga County Medical Center
Utility System (MBIA) (AMT),
6.10%, 8/15/15 2,116,120
Aaa AAA 750 Guam Power Authority
Revenue, Series A (AMBAC),
5.25%, 10/1/13 761,745
Aaa AAA 2,300 Puerto Rico Electric Power
Authority, (FSA) Variable
Rate, 7/1/02/(1)/ 2,547,250
Aaa AAA 815 Puerto Rico, Electric Power
Authority, (MBIA), 0.00%,
7/1/17 299,317
- ---------------------------------------------------------------------------------------
$ 22,553,879
- ---------------------------------------------------------------------------------------
Insured-General Obligations -- 2.8%
- ---------------------------------------------------------------------------------------
NR AAA $ 1,700 Commonwealth of Puerto Rico
"RIBS" (AMBAC), Variable
Rate, 7/1/15/(1)/ $ 1,853,000
Aaa AAA 500 Hilliard Ohio School District
(FGIC), 5.00%, 12/1/20 480,730
Aaa AAA 2,000 North Olmsted, OH (AMBAC),
5.00%, 12/1/16 1,956,440
Aaa AAA 3,000 Puerto Rico (FSA), Variable
Rate, 7/1/22/(1)/ 3,296,250
- ---------------------------------------------------------------------------------------
$ 7,586,420
- ---------------------------------------------------------------------------------------
Insured-Hospitals -- 7.4%
- ---------------------------------------------------------------------------------------
Aaa AAA $ 2,500 Akron, Bath and Copley Townships
Children's Hospital Medical
Center of Akron, (AMBAC),
5.25%, 11/15/20 $ 2,428,150
Aaa AAA 1,000 Clermont County, Mercy Health
System (AMBAC) Variable
Rate, 10/5/21/(1)/ 1,215,000
Aaa AAA 2,750 Mansfield General Hospital
(AMBAC), 6.70%, 12/1/09 3,021,040
Aaa AAA 5,000 Middleburg Heights Hospital-
Southwestern General (FSA),
5.75%, 8/15/21 5,169,900
Aaa AAA 1,000 Montgomery County, (Miami
Valley Hospital) (AMBAC),
6.25%, 11/15/16 1,066,200
Aaa AAA 6,565 Portage County, (Robinson
Memorial Hospital),
(MBIA), 5.80%, 11/15/15 6,890,558
- ---------------------------------------------------------------------------------------
$ 19,790,848
- ---------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
55
<PAGE>
Ohio Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Housing -- 1.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 750 Ohio Capital Corp. FHA
Insured Mortgage Loans,
(MBIA), 6.50%, 1/1/25 $ 772,575
Aaa AAA 970 Ohio Capital Corp. FHA
Insured Mortgage Loans,
(MBIA), 7.25%, 7/1/24 1,008,431
Aaa AAA 1,100 Ohio Capital Corp. MFMR -
Horizon Apts. (MBIA),
6.50%, 1/1/23 1,147,377
- --------------------------------------------------------------------------------
$ 2,928,383
- --------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of
Participation -- 1.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,000 Ohio Higher Education
(University of Dayton),
(FGIC), 0.00%, 12/1/06 $ 654,890
Aaa AAA 2,500 University of
Cincinnati-Ohio (MBIA),
5.125%, 6/1/24 2,410,075
- --------------------------------------------------------------------------------
$ 3,064,965
- --------------------------------------------------------------------------------
Insured-Life Care -- 1.0%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,000 Lorain County, OH,
(Catholic Healthcare
Partners), (MBIA),
5.625%, 9/1/14 $ 1,037,360
Aaa AAA 1,500 Lorain County, OH,
(Catholic Healthcare
Partners), (MBIA),
5.625%, 9/1/15 1,550,640
- --------------------------------------------------------------------------------
$ 2,588,000
- --------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 0.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 2,110 Hudson Local School
District, (FGIC), 0.00%,
12/15/09 $ 1,157,377
- --------------------------------------------------------------------------------
$ 1,157,377
- --------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 0.4%
- --------------------------------------------------------------------------------
A2 A+ $ 1,000 University of Cincinnati,
6.50%, 12/1/11 $ 1,060,750
- --------------------------------------------------------------------------------
$ 1,060,750
- --------------------------------------------------------------------------------
Life Care -- 1.9%
- --------------------------------------------------------------------------------
Aa NR $ 1,995 Franklin County,
Kensington Place, 6.75%,
1/1/34 $ 2,094,850
Aa2 NR 1,000 Hamilton County, OH
Hospital - Episcopal
Retirement Home, 6.80%,
1/1/08 1,077,390
NR BBB- 1,800 Marion OH Health Care -
United Church Home,
6.30%, 11/15/15 1,875,240
- --------------------------------------------------------------------------------
$ 5,047,480
- --------------------------------------------------------------------------------
Nursing Homes -- 5.6%
- --------------------------------------------------------------------------------
Aaa NR $ 1,305 Cuyahoga County, OH,
(Maple Care Center)
(GNMA), (AMT), 8.00%,
8/20/16 $ 1,553,459
NR NR 3,020 Greene County, OH, IDA,
(Fairview Extended Care),
10.125%, 1/1/11 3,630,795
NR AAA 1,205 North Canton, OH, Health
Care Facilities, 6.10%,
9/20/16 1,278,601
NR AAA 6,455 North Canton, OH, Health
Care Facilities, 9.55%,
3/20/32 8,675,519
- --------------------------------------------------------------------------------
$ 15,138,374
- --------------------------------------------------------------------------------
Special Tax Revenue -- 1.2%
- --------------------------------------------------------------------------------
Baa1 A $ 3,000 Puerto Rico, Highway and
Transportation Authority,
6.625%, 7/1/12 $ 3,284,610
- --------------------------------------------------------------------------------
$ 3,284,610
- --------------------------------------------------------------------------------
Transportation -- 2.3%
- --------------------------------------------------------------------------------
NR BBB $ 5,630 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 6,103,933
- --------------------------------------------------------------------------------
$ 6,103,933
- --------------------------------------------------------------------------------
Water and Sewer -- 0.4%
- --------------------------------------------------------------------------------
NR NR $ 1,000 Vermilion, OH, 7.25%,
8/15/15 $ 1,061,670
- --------------------------------------------------------------------------------
$ 1,061,670
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
56
<PAGE>
Ohio Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Value
- --------------------------------------------------------------------------------
<S> <C>
Total Tax-Exempt Investments -- 100.0%
(identified cost $252,173,553) $269,107,520
- --------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Ohio
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1997, 22.2% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 1% to 13% of total investments.
/(1)/ Security has been issued as an inverse floater bond.
See notes to financial statements
57
<PAGE>
Rhode Island Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 1.9%
- ----------------------------------------------------------------------------------------
A NR $ 750 Rhode Island Student Loan
Authority, (AMT), 5.60%, 12/1/12 $ 761,445
- ----------------------------------------------------------------------------------------
$ 761,445
- ----------------------------------------------------------------------------------------
General Obligations -- 5.0%
- ----------------------------------------------------------------------------------------
Baa1 A $ 1,250 Commonwealth of Puerto Rico
Aqueduct and Sewer Authority,
5.00%, 7/1/19 $ 1,181,775
NR BBB 750 Guam, 5.40%, 11/15/18 736,058
Baa NR 105 West Warwick, 6.80%, 7/15/98 106,799
- ----------------------------------------------------------------------------------------
$ 2,024,632
- ----------------------------------------------------------------------------------------
Hospitals -- 11.5%
- ----------------------------------------------------------------------------------------
A3 A- $ 1,250 Rhode Island Health and
Educational Building Corp. (South
County Hospital), 5.75%, 11/15/26 $ 1,272,863
NR A 1,015 Rhode Island Health and
Educational Building Corp.,
(Butler Hospital), 5.125%, 1/1/08 1,009,722
NR AA 1,500 Rhode Island Health and
Educational Building Corp.,
(Landmark Medical Center),
5.875%, 10/1/19 1,518,600
Baa3 BBB 830 Rhode Island Health and
Educational Building Corp.,
(Westerly Hospital), 6.00%, 7/1/14 840,159
- ----------------------------------------------------------------------------------------
$ 4,641,344
- ----------------------------------------------------------------------------------------
Housing -- 17.2%
- ----------------------------------------------------------------------------------------
Aa2 AA+ $ 220 Rhode Island Housing and Mortgage
Finance Corp., 6.50%, 4/1/27 $ 230,952
Aa2 AA+ 270 Rhode Island Housing and Mortgage
Finance Corp., 6.70%, 10/1/14 290,231
Aa2 AA+ 90 Rhode Island Housing and Mortgage
Finance Corp., 6.85%, 4/1/27 96,392
Aa AA+ 200 Rhode Island Housing and Mortgage
Finance Corp., 7.875%, 10/1/22 210,582
Aa2 AA+ 1,750 Rhode Island Housing and Mortgage
Finance Corp., (AMT),
6.60%, 10/1/25 1,847,248
Aa2 AA+ 100 Rhode Island Housing and Mortgage
Finance Corp., (AMT),
6.70%, 10/1/12 106,348
Aa2 AA+ 875 Rhode Island Housing and Mortgage
Finance Corp., (AMT),
6.80%, 10/1/25 /(1)/ 924,989
Aa2 AA+ 1,000 Rhode Island Housing and Mortgage
Finance Corp., (AMT),
7.10%, 10/1/23 1,047,600
Aa2 AA+ 2,000 Rhode Island Housing and Mortgage
Finance Corp., (AMT),
7.55%, 10/1/22 2,129,420
Aa AA+ 35 Rhode Island Housing and Mortgage
Finance Corp., (AMT),
7.875%, 10/1/22 36,852
- ----------------------------------------------------------------------------------------
$ 6,920,614
- ----------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 1.3%
- ----------------------------------------------------------------------------------------
Baa3 BBB- $ 500 Puerto Rico Port Authority
(American Airlines), (AMT),
6.30%, 6/1/23 $ 528,710
- ----------------------------------------------------------------------------------------
$ 528,710
- ----------------------------------------------------------------------------------------
Insured-General Obligations -- 12.9%
- ----------------------------------------------------------------------------------------
NR AAA $ 250 Commonwealth of Puerto Rico
"RIBS" (AMBAC), Variable Rate,
7/1/15 /(2)/ $ 272,500
Aaa AAA 1,000 Cranston, (MBIA), 6.10%, 6/15/15 1,067,560
Aaa AAA 1,500 Kent County Water Authority,
(MBIA), 6.35%, 7/15/14 1,648,575
Aaa AAA 1,000 Rhode Island Depositors Economic
Protection Corp., (MBIA),
5.80%, 8/1/09 1,094,160
Aaa AAA 1,000 Rhode Island Depositors Economic
Protection Corp., (MBIA),
5.80%, 8/1/12 1,089,060
- ----------------------------------------------------------------------------------------
$ 5,171,855
- ----------------------------------------------------------------------------------------
Insured-Hospitals -- 14.9%
- ----------------------------------------------------------------------------------------
Aaa AAA $ 2,700 Rhode Island Health and
Educational Building, Lifespan
Obligation Group, (MBIA),
5.25%, 5/15/26 $ 2,599,289
</TABLE>
See notes to financial statements
58
<PAGE>
Rhode Island Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- --------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Hospitals (continued)
- ----------------------------------------------------------------------------------------
Aaa AAA $ 3,350 Rhode Island State Health And
Educational Corp., (Lifespan)
(MBIA), 5.75%, 5/15/23 $ 3,415,224
- ----------------------------------------------------------------------------------------
$ 6,014,513
- ----------------------------------------------------------------------------------------
Insured-Housing -- 7.6%
- ----------------------------------------------------------------------------------------
Aaa AAA $ 805 Providence Housing Development
Corp. Mortgage, (Barbara Jordan
Apartments), (MBIA), 6.50%, 7/1/09 $ 858,516
Aa2 AA+ 500 Rhode Island Housing and Mortgage
Finance Corp., (MBIA), 6.20%,
10/1/06 527,300
Aaa AAA 1,075 Villa Excelsior Housing
Development Corp. Mortgage,
(MBIA), 6.75%, 1/1/19 1,153,346
Aaa AAA 500 Villa Excelsior Housing
Development Corp. Mortgage,
(MBIA), 6.85%, 1/1/24 537,765
- ----------------------------------------------------------------------------------------
$ 3,076,927
- ----------------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 12.8%
- ----------------------------------------------------------------------------------------
Aaa AAA $ 3,000 Convention Center Authority of
Rhode Island, (MBIA), 5.00%,
5/15/20 $ 2,825,489
Aaa AAA 2,300 Convention Center Authority of
Rhode Island, (MBIA), 5.25%,
5/15/15 2,332,959
- ----------------------------------------------------------------------------------------
$ 5,158,448
- ----------------------------------------------------------------------------------------
Insured-Water and Sewer -- 4.3%
- ----------------------------------------------------------------------------------------
Aaa AAA $ 750 Rhode Island Clean Water, Safe
Drinking Water, (AMBAC), 6.70%,
1/1/15 $ 847,470
Aaa AAA 350 Rhode Island Clean Water, Water
Pollution Control, (MBIA), 5.40%,
10/1/15 361,228
Aaa AAA 500 Rhode Island Clean Water, Water
Pollution Control, (MBIA), 5.85%,
10/1/09 535,900
- ----------------------------------------------------------------------------------------
$ 1,744,598
- ----------------------------------------------------------------------------------------
Life Care -- 2.6%
- ----------------------------------------------------------------------------------------
NR NR $ 1,000 Rhode Island Health and
Educational Building, (Tockwotton
Home), 6.25%, 8/15/22 $ 1,033,390
- ----------------------------------------------------------------------------------------
$ 1,033,390
- ----------------------------------------------------------------------------------------
Miscellaneous -- 0.6%
- ----------------------------------------------------------------------------------------
Baa1 A- $ 230 Rhode Island Depositors Economic
Protection Corp., 5.75%, 8/1/21 $ 243,285
- ----------------------------------------------------------------------------------------
$ 243,285
- ----------------------------------------------------------------------------------------
Nursing Homes -- 1.8%
- ----------------------------------------------------------------------------------------
NR NR $ 725 Rhode Island State Health And
Educational Building Corp.,
(Steere House), 5.80%, 7/1/20 $ 714,125
- ----------------------------------------------------------------------------------------
$ 714,125
- ----------------------------------------------------------------------------------------
Special Tax Revenue -- 4.2%
- ----------------------------------------------------------------------------------------
Baa3 BBB- $ 1,500 City of Providence Special
Obligation Tax Increment Bonds,
7.65%, 6/1/16 $ 1,673,175
- ----------------------------------------------------------------------------------------
$ 1,673,175
- ----------------------------------------------------------------------------------------
Transportation -- 1.4%
- ----------------------------------------------------------------------------------------
NR BBB $ 500 Guam Airport Authority, (AMT),
6.70%, 10/1/23 $ 542,090
- ----------------------------------------------------------------------------------------
$ 542,090
- ----------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $38,164,900) $ 40,249,151
- ----------------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
See notes to financial statements
59
<PAGE>
Rhode Island Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
The Portfolio invests primarily in debt securities issued by Rhode Island
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1997, 49.9% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 2.8% to 47.1% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
See notes to financial statements
60
<PAGE>
West Virginia Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------- Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Electric Utilities -- 14.5%
- --------------------------------------------------------------------------------------
NR BBB $ 750 Guam Power Authority,
5.25%, 10/1/13 $ 731,775
NR BBB 500 Guam Power Authority,
5.25%, 10/1/23 477,500
A2 A 2,000 Harrison, WV PCR (Monongahela
Power Co. Harrison Station),
(AMT), 6.75%, 8/1/24 2,207,219
Baa1 BBB+ 1,000 Mason, WV PCR (Appalacian Power
Co.), 6.85%, 6/1/22 1,094,970
Baa1 BBB+ 855 Puerto Rico Electric Power
Authority, 0.00%, 7/1/17 302,490
- --------------------------------------------------------------------------------------
$ 4,813,954
- --------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 2.7%
- --------------------------------------------------------------------------------------
Aaa AAA $ 2,500 Kanawha-Putnam, WV Single Family
Mortgage (AMBAC),
0.00%, 12/1/16 $ 896,025
- --------------------------------------------------------------------------------------
$ 896,025
- --------------------------------------------------------------------------------------
General Obligations -- 1.2%
- --------------------------------------------------------------------------------------
NR BBB $ 400 Government of Guam,
5.375%, 11/15/13 $ 394,252
- --------------------------------------------------------------------------------------
$ 394,252
- --------------------------------------------------------------------------------------
Hospitals -- 9.5%
- --------------------------------------------------------------------------------------
NR BBB+ $ 1,250 Berkeley, WV Building Commission
(City Hospital), 6.50%, 11/1/22 $ 1,306,075
Baa1 BBB+ 250 Princeton, WV (Community
Hospital), 6.00%, 5/1/18 253,478
A1 NR 500 West Virginia HFA (Charleston Area
Medical Center), 6.50%, 9/1/16 530,135
A1 NR 1,000 West Virginia HFA (Charleston Area
Medical Center), 6.50%, 9/1/23 1,055,980
- --------------------------------------------------------------------------------------
$ 3,145,668
- --------------------------------------------------------------------------------------
Housing -- 1.5%
- --------------------------------------------------------------------------------------
Aaa AAA $ 500 West Virginia State Housing
Development Fund, (AMT),
5.70%, 11/1/17 $ 507,395
- --------------------------------------------------------------------------------------
$ 507,395
- --------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution Control Revenue -- 10.3%
- --------------------------------------------------------------------------------------
NR A- $ 1,375 Jefferson, WV (Royal Venders,
Inc.) (AMT), 5.90%, 8/1/04 $ 1,457,885
Baa2 NR 300 Kanawha, WV (Union Carbide
Chemicals and Plastics Co.)
(AMT), 8.00%, 8/1/20 326,691
Baa3 BBB- 500 Puerto Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26 535,130
NR NR 1,000 Upshur, WV Solid Waste (TJI)
(AMT), 7.00%, 7/15/25 1,092,340
- --------------------------------------------------------------------------------------
$ 3,412,046
- --------------------------------------------------------------------------------------
Insured-Education -- 4.9%
- --------------------------------------------------------------------------------------
Aaa AAA $ 1,000 West Virginia State University
(Marshall Library) (AMBAC),
5.75%, 4/1/16 $ 1,042,350
Aaa AAA 550 West Virginia State University
System (AMBAC), 6.00%, 4/1/12 587,851
- --------------------------------------------------------------------------------------
$ 1,630,201
- --------------------------------------------------------------------------------------
Insured-Electric Utilities -- 3.0%
- --------------------------------------------------------------------------------------
Aaa AAA $ 250 Commonwealth of Puerto Rico
Electric Power Authority STRIPES
(FSA), Variable Rate, 7/1/03/(1)/ $ 283,125
Aaa AAA 700 Marshall, WV PCR (Ohio Power
Kammer Plant) (MBIA),
5.45%, 7/1/14 712,222
- --------------------------------------------------------------------------------------
$ 995,347
- --------------------------------------------------------------------------------------
Insured-General Obligations -- 3.6%
- --------------------------------------------------------------------------------------
Aaa AAA $ 150 West Virginia (FGIC),
5.25%, 11/1/26 $ 146,282
Aaa AAA 1,000 West Virginia (FGIC),
5.75%, 11/1/21 1,031,380
- --------------------------------------------------------------------------------------
$ 1,177,662
- --------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
61
<PAGE>
West Virginia Municipals Portfolio as of September 30, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Hospitals -- 12.1%
- -----------------------------------------------------------------------------------------
Aaa AAA $ 1,300 West Virginia HFA (Cabell
Huntington Hospital) (AMBAC),
6.25%, 1/1/19 $ 1,391,429
Aaa AAA 850 West Virginia HFA (Charleston
Area Medical Center) (MBIA),
5.75%, 9/1/13 893,903
Aaa AAA 1,200 West Virginia HFA (Linked Bulls &
Bears) (MBIA), 6.10%, 1/1/18 1,246,536
Aaa AAA 500 West Virginia HFA (University
Hospital) (MBIA), 5.00%, 6/1/16 478,320
- -----------------------------------------------------------------------------------------
$ 4,010,188
- -----------------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of
Participation -- 1.6%
- -----------------------------------------------------------------------------------------
Aaa AAA $ 500 West Virginia School Building
Authority, (AMBAC), 5.60%, 7/1/17 $ 513,040
- -----------------------------------------------------------------------------------------
$ 513,040
- -----------------------------------------------------------------------------------------
Insured-Transportation -- 2.2%
- -----------------------------------------------------------------------------------------
Aaa AAA $ 1,000 West Virginia Parkways Economic
Development and Tourism Authority
(FGIC), 0.00%, 5/15/04 $ 737,470
- -----------------------------------------------------------------------------------------
$ 737,470
- -----------------------------------------------------------------------------------------
Insured-Water and Sewer -- 22.9%
- -----------------------------------------------------------------------------------------
Aaa AAA $ 250 Berkeley, WV Public Service
District Sewer (MBIA), 5.75%,
10/1/25 $ 258,445
Aaa AAA 500 Crab Orchard, WV Public Service
District, (AMBAC), 5.50%, 10/1/25 502,045
Aaa AAA 750 Greenbrier, WV Public Service
District Sewer (MBIA), 5.625%,
10/1/19 764,483
Aaa AAA 1,500 Parkersburg, WV Waterworks and
Sewer (FSA), 5.80%, 9/1/19 1,557,720
Aaa AAA 2,000 West Virginia Water Development
(Loan Program II) (FSA),
5.25%, 11/1/35 1,920,500
Aaa AAA 750 West Virginia Water Development
(Loan Program II) (FSA),
6.00%, 11/1/14 806,460
Aaa AAA 500 West Virginia Water Development
Authority (FSA), 5.00%, 11/1/21 479,045
Aaa AAA 1,280 Williamson, WV Waterworks and
Sewage System (AMBAC),
5.50%, 10/1/25 1,285,235
- -----------------------------------------------------------------------------------------
$ 7,573,933
- -----------------------------------------------------------------------------------------
Nursing Homes -- 2.3%
- -----------------------------------------------------------------------------------------
NR NR $ 745 Kanawha, WV (Beverly Enterprises),
7.25%, 11/1/04 $ 774,666
- -----------------------------------------------------------------------------------------
$ 774,666
- -----------------------------------------------------------------------------------------
Solid Waste -- 6.1%
- -----------------------------------------------------------------------------------------
A2 A $ 2,000 Braxton County, WV, (Weyerhaeuser
Co.), (AMT), 5.80%, 6/1/27/(2)/ $ 2,024,520
- -----------------------------------------------------------------------------------------
$ 2,024,520
- -----------------------------------------------------------------------------------------
Special Tax Revenue -- 1.6%
- -----------------------------------------------------------------------------------------
Baa1 A $ 500 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 $ 514,570
- -----------------------------------------------------------------------------------------
$ 514,570
- -----------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $31,140,565) $ 33,120,937
- -----------------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered
a tax preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by West Virginia
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1997, 48.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 0.5% to 5.4% of total investments.
/(1)/ Security has been issued as an inverse floater bond.
/(2)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes to financial statements
62
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS
Statements of Assets and Liabilities
As of September 30, 1997
<TABLE>
<CAPTION>
California Florida Massachusetts Mississippi
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $288,296,835 $462,068,417 $238,584,146 $19,751,773
Unrealized appreciation 37,235,739 31,954,789 23,291,554 2,027,684
- ------------------------------------------------------------------------------------------------------------------------------------
Investment at value (Note 1A) $325,532,574 $494,023,206 $261,875,700 $21,779,457
- ------------------------------------------------------------------------------------------------------------------------------------
Cash $ 387 $ 10,123,387 $ 1,204,933 $ 236
Receivable for investments sold -- 95,053 -- 10,270
Interest receivable 4,798,482 9,964,572 4,168,799 398,914
Receivable for daily variation margin on open financial futures
contracts (Notes 1E and 6) 43,656 -- 26,125 3,094
Deferred organization expenses (Note 1D) 3,299 3,413 2,001 456
- ------------------------------------------------------------------------------------------------------------------------------------
Total assets $330,378,398 $514,209,631 $267,277,558 $22,192,427
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ 1,820,052 $ -- $ 13,594,370 $ --
Demand note payable (Note 5) 1,529,000 -- -- 64,000
Payable to affiliate for Trustees' fees (Note 2) 4,365 5,363 3,867 42
Accrued expenses 20,966 2,853 4,560 1,638
- ------------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 3,374,383 $ 8,216 $ 13,602,797 $ 65,680
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in Portfolio $327,004,015 $514,201,415 $253,674,761 $22,126,747
- ------------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $290,157,928 $482,246,626 $230,616,384 $20,126,676
Net unrealized appreciation of investments and financial futures
contracts (computed on the basis of identified cost) 36,846,087 31,954,789 23,058,377 2,000,071
- ------------------------------------------------------------------------------------------------------------------------------------
Total $327,004,015 $514,201,415 $253,674,761 $22,126,747
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
63
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Assets and Liabilities
As of September 30, 1997
<TABLE>
<CAPTION>
New York Ohio Rhode Island West Virginia
Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $481,258,800 $252,173,553 $38,164,900 $31,140,565
Unrealized appreciation 43,589,617 16,933,967 2,084,251 1,980,372
- ----------------------------------------------------------------------------------------------------------------------------------
Investments, at value (Note 1A) $524,848,417 $269,107,520 $40,249,151 $33,120,937
- ----------------------------------------------------------------------------------------------------------------------------------
Cash $ 488 $ 1,062 $ 861 $ 618
Receivable for investments sold 95,000 -- 5,000 970,596
Interest receivable 8,528,279 4,355,826 808,142 537,171
Receivable for daily variation margin on open financial
futures contracts (Notes 1E and 6) 110,000 -- 9,969 5,156
Deferred organization expenses (Note 1D) 2,330 1,385 472 473
- ----------------------------------------------------------------------------------------------------------------------------------
Total assets $533,584,514 $273,465,793 $41,073,595 $34,634,951
- ----------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ----------------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ -- $ -- $ 106,000 $ --
Demand note payable (Note 5) 5,940,000 2,157,000 749,000 1,127,000
Payable to affiliate for Trustees' fees (Note 2) 5,363 3,867 416 416
Accrued expenses 35,637 36,341 530 4,540
- ----------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 5,981,000 $ 2,197,208 $ 855,946 $ 1,131,956
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in Portfolio $527,603,514 $271,268,585 $40,217,649 $33,502,995
- ----------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $484,995,697 $254,334,618 $38,222,373 $31,556,928
Net unrealized appreciation of investments and
financial futures contracts (computed on the basis of
identified cost) 42,607,817 16,933,967 1,995,276 1,946,067
- ----------------------------------------------------------------------------------------------------------------------------------
Total $527,603,514 $271,268,585 $40,217,649 $33,502,995
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
64
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Operations
For the Year Ended September 30, 1997
<TABLE>
<CAPTION>
California Florida Massachusetts Mississippi
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income (Note 1 B)
- ------------------------------------------------------------------------------------------------------------------------------------
Interest income $ 21,773,352 $ 34,018,008 $ 16,713,453 $ 1,424,256
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment income $ 21,773,352 $ 34,018,008 $ 16,713,453 $ 1,424,256
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 1,687,887 $ 2,593,352 $ 1,203,548 $ 44,507
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 17,418 21,370 15,444 521
Custodian fee (Note 1J) 164,950 202,095 135,200 17,504
Legal and accounting services 34,723 35,555 30,911 18,903
Bond pricing -- -- -- 4,975
Amortization of organization expenses (Note 1D) 5,624 8,829 5,208 621
Miscellaneous 50,049 52,923 42,327 4,397
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 1,960,651 $ 2,914,124 $ 1,432,638 $ 91,428
- ------------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee (Note 1J) $ 47,105 $ 202,095 $ 38,619 $ 3,402
- ------------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 47,105 $ 202,095 $ 38,619 $ 3,402
- ------------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 1,913,546 $ 2,712,029 $ 1,394,019 $ 88,026
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 19,859,806 $ 31,305,979 $ 15,319,434 $ 1,336,230
- ------------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost
basis) $ 8,284,752 $ 16,626,056 $ 5,018,545 $ 387,066
Financial futures contracts (2,978,632) (8,832,503) (2,898,402) (203,661)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain on investments $ 5,306,120 $ 7,793,553 $ 2,120,143 $ 183,405
- ------------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 11,238,457 $ (2,727,363) $ 6,730,261 $ 717,894
Financial futures contracts 21,385 1,417,470 75,551 1,160
- ------------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) of investments $ 11,259,842 $ (1,309,893) $ 6,805,812 $ 719,054
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on
investments $ 16,565,962 $ 6,483,660 $ 8,925,955 $ 902,459
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 36,425,768 $ 37,789,639 $ 24,245,389 $ 2,238,689
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
65
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Operations
For the Year Ended September 30, 1997
<TABLE>
<CAPTION>
New York Ohio Rhode Island West Virginia
Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B)
- -----------------------------------------------------------------------------------------------------------------------------------
Interest income $ 34,720,613 $ 17,570,035 $ 2,319,707 $ 2,157,462
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment income $ 34,720,613 $ 17,570,035 $ 2,319,707 $ 2,157,462
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 2,603,611 $ 1,272,425 $ 96,316 $ 86,026
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 21,370 15,442 1,647 1,647
Custodian fee (Note 1J) 194,391 126,756 17,375 22,696
Legal and accounting services 38,819 30,152 19,679 18,589
Amortization of organization expenses (Note 1D) 6,278 3,960 635 631
Registration fees -- -- 300 --
Interest expense (Note 5) 318,274 104,537 8,764 8,471
Miscellaneous 20,343 25,863 10,559 4,884
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 3,203,086 $ 1,579,135 $ 155,275 $ 142,944
- -----------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee (Note 1J) $ -- $ 21,642 $ 16,782 $ 9,225
Reduction of investment adviser fee (Note 2) -- -- 47,940 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ -- $ 21,642 $ 64,722 $ 9,225
- -----------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 3,203,086 $ 1,557,493 $ 90,553 $ 133,719
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 31,517,527 $ 16,012,542 $ 2,229,154 $ 2,023,743
- -----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 12,743,465 $ 5,784,752 $ 329,660 $ 455,903
Financial futures contracts (2,876,191) (1,882,739) (245,373) (487,515)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments $ 9,867,274 $ 3,902,013 $ 84,287 $ (31,612)
- -----------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 9,286,173 $ 4,176,029 $ 1,327,444 $ 1,270,693
Financial futures contracts (622,360) 484,361 (55,732) 51,559
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation)
of investments $ 8,663,813 $ 4,660,390 $ 1,271,712 $ 1,322,252
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments $ 18,531,087 $ 8,562,403 $ 1,355,999 $ 1,290,640
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 50,048,614 $ 24,574,945 $ 3,585,153 $ 3,314,383
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
66
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended September 30, 1997
<TABLE>
<CAPTION>
California Florida Massachusetts Mississippi
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 19,859,806 $ 31,305,979 $ 15,319,434 $ 1,336,230
Net realized gain on investments 5,306,120 7,793,553 2,120,143 183,405
Net change in unrealized appreciation
(depreciation) of investments 11,259,842 (1,309,893) 6,805,812 719,054
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 36,425,768 $ 37,789,639 $ 24,245,389 $ 2,238,689
- -----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 16,666,266 $ 35,743,906 $ 12,526,247 $ 1,197,391
Withdrawals (96,678,214) (183,706,131) (64,226,111) (6,588,894)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $ (80,011,948) $(147,962,225) $ (51,699,864) $ (5,391,503)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (43,586,180) $(110,172,586) $ (27,454,475) $ (3,152,814)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 370,590,195 $ 624,374,001 $ 281,129,236 $ 25,279,561
- -----------------------------------------------------------------------------------------------------------------------------------
At end of year $ 327,004,015 $ 514,201,415 $ 253,674,761 $ 22,126,747
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
67
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended September 30, 1997
<TABLE>
<CAPTION>
New York Ohio Rhode Island West Virginia
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 31,517,527 $ 16,012,542 $ 2,229,154 $ 2,023,743
Net realized gain (loss) on investments 9,867,274 3,902,013 84,287 (31,612)
Net change in unrealized appreciation of
investments 8,663,813 4,660,390 1,271,712 1,322,252
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 50,048,614 $ 24,574,945 $ 3,585,153 $ 3,314,383
- -----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 25,819,897 $ 10,983,777 $ 4,387,108 $ 1,406,737
Withdrawals (152,794,517) (56,960,953) (9,921,791) (10,718,916)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $(126,974,620) $ (45,977,176) $ (5,534,683) $ (9,312,179)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (76,926,006) $ (21,402,231) $ (1,949,530) $ (5,997,796)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 604,529,520 $ 292,670,816 $ 42,167,179 $ 39,500,791
- -----------------------------------------------------------------------------------------------------------------------------------
At end of year $ 527,603,514 $ 271,268,585 $ 40,217,649 $ 33,502,995
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
68
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended September 30, 1996
<TABLE>
<CAPTION>
California Florida Massachusetts Mississippi
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 23,204,844 $ 38,410,360 $ 16,966,016 $ 1,582,970
Net realized gain on investments 4,542,939 5,705,251 3,096,278 306,294
Change in unrealized appreciation (depreciation)
of investments 1,456,651 (543,323) (1,167,330) 146,094
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 29,204,434 $ 43,572,288 $ 18,894,964 $ 2,035,358
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 20,317,562 $ 35,149,563 $ 16,336,133 $ 1,623,996
Withdrawals (89,601,939) (166,550,986) (56,272,108) (7,372,753)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital transactions $ (69,284,377) $(131,401,423) $ (39,935,975) $ (5,748,757)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (40,079,943) $ (87,829,135) $ (21,041,011) $ (3,713,399)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 410,670,138 $ 712,203,136 $ 302,170,247 $ 28,992,960
- ------------------------------------------------------------------------------------------------------------------------------------
At end of year $ 370,590,195 $ 624,374,001 $ 281,129,236 $ 25,279,561
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
69
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended September 30, 1996
<TABLE>
<CAPTION>
New York Ohio Rhode Island West Virginia
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 35,862,171 $ 17,538,829 $ 2,430,974 $ 2,162,188
Net realized gain (loss) on investments 4,055,362 2,125,592 (126,962) (127,774)
Net change in unrealized appreciation of
investments 2,603,892 281,886 709,572 798,750
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 42,521,425 $ 19,946,307 $ 3,013,584 $ 2,833,164
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 36,583,799 $ 11,748,362 $ 5,557,065 $ 3,463,423
Withdrawals (127,312,013) (58,040,501) (9,309,437) (7,630,857)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital transactions $ (90,728,214) $ (46,292,139) $ (3,752,372) $ (4,167,434)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (48,206,789) $ (26,345,832) $ (738,788) $ (1,334,270)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 652,736,309 $ 319,016,648 $ 42,905,967 $ 40,835,061
- ------------------------------------------------------------------------------------------------------------------------------------
At end of year $ 604,529,520 $ 292,670,816 $ 42,167,179 $ 39,500,791
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
70
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
California Portfolio
------------------------------------------------------------
Year Ended
------------------------------------------------------------
September 30, March 31,
------------------------------------------------------------
1997 1996 1995 1994*** 1994**
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average
daily net assets
- -------------------------------------------------------------------------------------------
Net expenses /(1)/ 0.57% 0.57% 0.59% 0.57%+ 0.55%+
Net expenses, after
custodian fee reduction 0.56% 0.56% 0.58% -- --
Net investment income 5.76% 5.93% 6.22% 6.09%+ 5.72%+
Portfolio Turnover 12% 14% 58% 40% 91%
- -------------------------------------------------------------------------------------------
Net assets, end of period
(000s omitted) $327,004 $370,590 $410,763 $445,131 $467,259
- -------------------------------------------------------------------------------------------
<CAPTION>
Florida Portfolio
------------------------------------------------------------
Year Ended
------------------------------------------------------------
September 30,
------------------------------------------------------------
1997 1996 1995 1994 1993*
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average
daily net assets
- ---------------------------------------------------------------------------------------------
Net expenses /(1)/ 0.52% 0.52% 0.55% 0.48% 0.47%+
Net expenses, after
custodian fee reduction 0.48% 0.49% 0.52% -- --
Net investment income 5.53% 5.67% 5.94% 5.65% 5.53%+
Portfolio Turnover 54% 51% 61% 57% 55%
- ---------------------------------------------------------------------------------------------
Net assets, end of period
(000s omitted) $514,201 $624,374 $712,203 $772,123 $772,422
- ---------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the period from the start of business, February 1, 1993, to September
30, 1993.
** For the period from the start of business, May 3, 1993, to March 31, 1994.
*** For the six months ended September 30, 1994. The Portfolio changed its
fiscal year from March 31 to September 30, effective September 30, 1994.
/(1)/ The expense ratios for the years ended September 30, 1995 and thereafter
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require the Portfolio to increase its expense ratio
by the effect of any expense offset arrangements with its service
providers. The expense ratios for the prior periods have not been adjusted
to reflect this change.
See notes to financial statements
71
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Massachusetts Portfolio
------------------------------------------------------------
Year Ended September 30,
- ----------------------------------------------------------------------------------------------------------
1997 1996 1995 1994 1993*
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average
daily net assets++
- ----------------------------------------------------------------------------------------------------------
Net expenses/(1)/ 0.53% 0.55% 0.56% 0.51% 0.49%+
Net expenses, after
custodian fee reduction 0.52% 0.54% 0.53% -- --
Net investment income 5.75% 5.77% 6.00% 5.74% 5.72%+
Portfolio Turnover 35% 51% 87% 53% 38%
- ----------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $253,675 $281,129 $302,170 $308,540 $290,613
- ----------------------------------------------------------------------------------------------------------
<CAPTION>
Mississippi Portfolio
-------------------------------------------------------
Year Ended September 30,
- ------------------------------------------------------------------------------------------------------
1997 1996 1995 1994 1993**
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average
daily net assets++
- ------------------------------------------------------------------------------------------------------
Net expenses/(1)/ 0.38% 0.29% 0.27% 0.05% 0.00%+
Net expenses, after
custodian fee reduction 0.37% 0.26% 0.23% -- --
Net investment income 5.59% 5.77% 5.97% 5.67% 4.49%+
Portfolio Turnover 6% 12% 52% 38% 11%
- ------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $22,127 $25,280 $28,993 $29,477 $11,233
- ------------------------------------------------------------------------------------------------------
</TABLE>
++ The operating expenses of the Mississippi Portfolio reflect a reduction of
the Investment Adviser fee, and/or an allocation of expenses to the
Investment Adviser. Had such actions not been taken, the ratios would have
been as follows:
<TABLE>
<S> <C> <C> <C> <C>
Expenses/(1)/ 0.40% 0.39% 0.32% 0.25%+
Expenses, after custodian fee reduction 0.37% 0.35% -- --
Net investment income 5.66% 5.85% 5.40% 4.24%+
- ------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the period from the start of business, February 1, 1993, to September
30, 1993.
** For the period from the start of business, June 11, 1993, to September
30, 1993.
/(1)/ The expense ratios for the years ended September 30, 1995 and thereafter
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require the Portfolio to increase its expense ratio
by the effect of any expense offset arrangements with its service
providers. The expense ratios for the prior periods have not been adjusted
to reflect this change.
See notes to financial statements
72
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
New York Portfolio
----------------------------------------------------------
Year Ended September 30,
----------------------------------------------------------
1997 1996 1995 1994 1993**
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average
daily net assets
- ---------------------------------------------------------------------------------------------------------
Net expenses /(1)/ 0.57% 0.52% 0.54% 0.48% 0.48%+
Net expenses, after
custodian fee reduction 0.57% 0.49% 0.51% -- --
Net investment income 5.60% 5.64% 5.97% 5.70% 5.64%+
Portfolio Turnover 44% 47% 55% 47% 37%
- ---------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $527,604 $604,530 $652,736 $655,647 $648,807
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
Ohio Portfolio
----------------------------------------------------------
Year Ended September 30,
----------------------------------------------------------
1997 1996 1995 1994 1993*
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average
daily net assets
- ---------------------------------------------------------------------------------------------------------
Net expenses /(1)/ 0.56% 0.57% 0.57% 0.51% 0.49%+
Net expenses, after
custodian fee reduction 0.55% 0.56% 0.55% -- --
Net investment income 5.70% 5.69% 5.80% 5.61% 5.61%+
Portfolio Turnover 30% 35% 51% 31% 24%
- ---------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $271,269 $292,671 $319,017 $324,412 $298,092
- ---------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the period from the start of business, February 1, 1993, to September
30, 1993.
** For the period from the start of business, June 11, 1993, to September 30,
1993.
/(1)/ The expense ratios for the years ended September 30, 1995 and thereafter
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require the Portfolios to increase their expense
ratios by the effect of any expense offset arrangements with their service
providers. The expense ratios for the prior periods have not been adjusted
to reflect this change.
See notes to financial statements
73
<PAGE>
EV Municipals Portfolios as of September 30, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Rhode Island Portfolio
------------------------------------------------------
Year Ended September 30,
------------------------------------------------------
1997 1996 1995 1994 1993*
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average
daily net assets++
- --------------------------------------------------------------------------------------------------------
Net expenses /(1)/ 0.27% 0.27% 0.29% 0.12% 0.00%+
Net expenses, after
custodian fee reduction 0.23% 0.24% 0.25% -- --
Net investment income 5.54% 5.69% 5.96% 5.64% 4.86%+
Portfolio Turnover 39% 25% 42% 42% 23%
- --------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $40,218 $42,167 $42,906 $38,120 $16,981
- --------------------------------------------------------------------------------------------------------
</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>
Expenses /(1)/ 0.39% 0.40% 0.41% 0.33% 0.26%+
Expenses after custodian fee reduction 0.35% 0.37% 0.37% -- --
Net investment income 5.42% 5.56% 5.84% 5.43% 4.60%+
- --------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
West Virginia Portfolio
------------------------------------------------------
Year Ended September 30,
------------------------------------------------------
1997 1996 1995 1994 1993**
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average
daily net assets++
- --------------------------------------------------------------------------------------------------------
Net expenses /(1)/ 0.38% 0.42% 0.31% 0.10% 0.00%+
Net expenses, after
custodian fee reduction 0.36% 0.38% 0.29% -- --
Net investment income 5.44% 5.41% 5.81% 5.52% 4.50%+
Portfolio Turnover 24% 43% 19% 39% 19%
- --------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $33,503 $39,501 $40,835 $40,473 $24,760
- --------------------------------------------------------------------------------------------------------
</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>
Expenses /(1)/ 0.39% 0.33% 0.21%+
Expenses after custodian fee reduction 0.37% -- --
Net investment income 5.73% 5.29% 4.30%+
- --------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the period from the start of business, June 11, 1993, to September 30,
1993.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
/(1)/ The expense ratios for the years ended September 30, 1995 and thereafter
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require the Portfolios to increase their expense
ratios by the effect of any expense offset arrangements with their service
providers. The expense ratios for the prior periods have not been adjusted
to reflect this change.
See notes to financial statements
74
<PAGE>
EV Municipals Portfolios as of September 30, 1997
NOTES TO FINANCIAL STATEMENTS
1 Significant Accounting Policies
----------------------------------------------------------------------------
California Municipals Portfolio (California Portfolio), Florida Municipals
Portfolio (Florida Portfolio), Massachusetts Municipals Portfolio
(Massachusetts Portfolio), Mississippi Municipals Portfolio (Mississippi
Portfolio), New York Municipals Portfolio (New York Portfolio), Ohio
Municipals Portfolio (Ohio Portfolio), Rhode Island Municipals Portfolio
(Rhode Island Portfolio) and West Virginia Municipals Portfolio (West
Virginia Portfolio), collectively the Portfolios, are registered under the
Investment Company Act of 1940, as amended, as non-diversified, open-end
management investment companies. The Portfolios were organized as trusts
under the laws of the State of New York on May 1, 1992. The Declarations of
Trust permit the trustees to issue interests in the Portfolios. The
following is a summary of significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements.
The policies are in conformity with generally accepted accounting
principles.
A Investment Valuations -- Municipal bonds are normally valued on the basis
of valuations furnished by a pricing service. Taxable obligations, if any,
for which price quotations are readily available are normally valued at the
mean between the latest bid and asked prices. Futures contracts and options
on futures contracts listed on commodity exchanges are valued at closing
settlement prices. Over-the-counter options on futures contracts are
normally valued at the mean between the latest bid and asked prices. Short-
term obligations, maturing in sixty days or less, are valued at amortized
cost, which approximates value. Investments for which valuations or market
quotations are unavailable are valued at fair value using methods determined
in good faith by or at the direction of the Trustees.
B Income -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for Federal
income tax purposes.
C Income Taxes -- The Portfolios are treated as partnerships for Federal tax
purposes. No provision is made by the Portfolios for Federal or state taxes
on any taxable income of the Portfolios because each investor in the
Portfolios is ultimately responsible for the payment of any taxes. Since
some of the Portfolios' investors are regulated investment companies that
invest all or substantially all of their assets in the Portfolios, the
Portfolios normally must satisfy the applicable source of income and
diversification requirements (under the Internal Revenue Code) in order for
their respective investors to satisfy them. The Portfolios will allocate at
least annually among their respective investors each investor's distributive
share of the Portfolios' net taxable (if any) and tax-exempt investment
income, net realized capital gains, and any other items of income, gain,
loss, deduction or credit. Interest income received by the Portfolios on
investments in municipal bonds, which is excludable from gross income under
the Internal Revenue Code, will retain its status as income exempt from
federal income tax when allocated to each Portfolio's investors. The portion
of such interest, if any, earned on private activity bonds issued after
August 7, 1986, may be considered a tax preference item for investors.
D Deferred Organization Expenses -- Costs incurred by a Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
E Financial Futures Contracts -- Upon the entering of a financial futures
contract, a Portfolio is required to deposit ("initial margin") either in
cash or securities an amount equal to a certain percentage of the purchase
price indicated in the financial futures contract. Subsequent payments are
made or received by a Portfolio ("margin maintenance") each day, dependent
on the daily fluctuations in the value of the underlying security, and are
recorded for book purposes as unrealized gains or losses by a Portfolio. A
Portfolio's investment in financial futures contracts is designed only to
hedge against anticipated future changes in interest rates. Should interest
rates move unexpectedly, a Portfolio may not achieve the anticipated
benefits of the financial futures contracts and may realize a loss.
F Options on Financial Futures Contracts -- Upon the purchase of a put
option on a financial futures contract by a Portfolio, the premium paid is
recorded as an investment, the value of which is marked-to-market daily.
When a purchased option expires, a Portfolio will realize a loss in the
amount of the cost of the option. When a Portfolio enters into a closing
sales transaction, the Portfolio will realize a gain or loss depending on
whether the sales proceeds from the closing sale transaction are greater or
less than the cost of the option. When a Portfolio exercises a put option,
settlement is made in cash. The risk associated with purchasing put options
is limited to the premium originally paid.
G When-issued and Delayed Delivery Transactions -- The Portfolios may engage
in when-issued or delayed delivery transactions. The Portfolios record when-
issued securities on trade date and maintain security positions such that
sufficient liquid assets will be available to make payments for the
securities purchased. Securities purchased on a when-issued or delayed
delivery
75
<PAGE>
EV Municipals Portfolios as of September 30, 1997
NOTES TO FINANCIAL STATEMENTS CONT'D
basis are marked-to-market daily and begin earning interest on settlement
date.
H Other -- Investment transactions are accounted for on a trade date basis.
I Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts
of revenue and expense during the reporting period. Actual results could
differ from those estimates.
J Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolios. Pursuant to the respective custodian
agreements, IBT receives a fee reduced by credits which are determined based
on the average daily cash balance each Portfolio maintains with IBT. All
significant credit balances used to reduce the Portfolios' custodian fees
are reflected as a reduction of operating expenses in the statements of
operations.
2 Investment Adviser Fee and Other Transactions with Affiliates
----------------------------------------------------------------------------
The investment adviser fee is earned by Boston Management and Research
(BMR), a wholly-owned subsidiary of Eaton Vance Management (EVM), as
compensation for management and investment advisory services rendered to
each Portfolio. The fee is based upon a percentage of average daily net
assets plus a percentage of gross income (i.e., income other than gains from
the sale of securities). For the year ended September 30, 1997, each
Portfolio paid advisory fees as follows:
<TABLE>
<CAPTION>
Portfolio Amount Effective Rate*
----------------------------------------------------------------------------
<S> <C> <C>
California $1,687,887 0.49%
Florida 2,593,352 0.46%
Massachusetts 1,203,548 0.45%
Mississippi 44,507 0.19%
New York 2,603,611 0.46%
Ohio 1,272,425 0.45%
Rhode Island 96,316 0.12%
West Virginia 86,026 0.23%
</TABLE>
* Advisory fees paid as a percentage of average daily net assets.
To enhance the net income of the Rhode Island Portfolio, BMR made a
reduction of its fee in the amount of $47,940. Except as to Trustees of the
Portfolios who are not members of EVM's or BMR's organization, officers and
Trustees receive remuneration for their services to the Portfolios out of
such investment adviser fee.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations. Trustees of the Portfolios
that are not affiliated with the Investment Adviser may elect to defer
receipt of all or a percentage of their annual fees in accordance with the
terms of the Trustees Deferred Compensation Plan. For the year ended
September 30, 1997, no significant amounts have been deferred.
76
<PAGE>
EV Municipals Portfolios as of September 30, 1997
NOTES TO FINANCIAL STATEMENTS CONT'D
3 Investments
----------------------------------------------------------------------------
Purchases and sales of investments, other than U.S. Government securities,
purchased option transactions and short-term obligations, for the year ended
September 30, 1997 were as follows:
<TABLE>
<CAPTION>
California Portfolio
----------------------------------------------------------------------------
<S> <C>
Purchases $ 42,098,487
Sales 101,434,811
Florida Portfolio
----------------------------------------------------------------------------
Purchases $ 292,725,029
Sales 409,405,531
Massachusetts Portfolio
----------------------------------------------------------------------------
Purchases $ 91,051,927
Sales 118,236,663
Mississippi Portfolio
----------------------------------------------------------------------------
Purchases $ 1,398,895
Sales 5,900,535
New York Portfolio
----------------------------------------------------------------------------
Purchases $ 247,761,203
Sales 339,715,460
Ohio Portfolio
----------------------------------------------------------------------------
Purchases $ 82,801,321
Sales 108,948,062
Rhode Island Portfolio
----------------------------------------------------------------------------
Purchases $ 15,377,491
Sales 17,904,376
West Virginia Portfolio
----------------------------------------------------------------------------
Purchases $ 8,624,072
Sales 15,389,791
</TABLE>
4 Federal Income Tax Basis of Investments
----------------------------------------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at September 30, 1997, as computed on a
federal income tax basis, are as follows:
<TABLE>
<CAPTION>
California Portfolio
----------------------------------------------------------------------------
<S> <C>
Aggregate Cost $ 288,296,835
----------------------------------------------------------------------------
Gross unrealized appreciation $ 37,425,099
Gross unrealized depreciation (189,360)
----------------------------------------------------------------------------
Net unrealized appreciation $ 37,235,739
----------------------------------------------------------------------------
Florida Portfolio
----------------------------------------------------------------------------
Aggregate Cost $ 462,068,417
----------------------------------------------------------------------------
Gross unrealized appreciation $ 31,954,789
Gross unrealized depreciation --
----------------------------------------------------------------------------
Net unrealized appreciation $ 31,954,789
----------------------------------------------------------------------------
Massachusetts Portfolio
----------------------------------------------------------------------------
Aggregate Cost $ 238,584,146
----------------------------------------------------------------------------
Gross unrealized appreciation $ 23,368,596
Gross unrealized depreciation (77,042)
----------------------------------------------------------------------------
Net unrealized appreciation $ 23,291,554
----------------------------------------------------------------------------
Mississippi Portfolio
----------------------------------------------------------------------------
Aggregate Cost $ 19,751,773
----------------------------------------------------------------------------
Gross unrealized appreciation $ 2,027,684
Gross unrealized depreciation --
----------------------------------------------------------------------------
Net unrealized appreciation $ 2,027,684
----------------------------------------------------------------------------
New York Portfolio
----------------------------------------------------------------------------
Aggregate Cost $ 481,331,084
----------------------------------------------------------------------------
Gross unrealized appreciation $ 43,779,548
Gross unrealized depreciation (262,215)
----------------------------------------------------------------------------
Net unrealized appreciation $ 43,517,333
----------------------------------------------------------------------------
</TABLE>
77
<PAGE>
EV Municipals Portfolios as of September 30, 1997
NOTES TO FINANCIAL STATEMENTS CONT'D
<TABLE>
<CAPTION>
Ohio Portfolio
----------------------------------------------------------------------------
<S> <C>
Aggregate Cost $ 252,173,553
----------------------------------------------------------------------------
Gross unrealized appreciation $ 16,933,967
Gross unrealized depreciation --
----------------------------------------------------------------------------
Net unrealized appreciation $ 16,933,967
----------------------------------------------------------------------------
Rhode Island Portfolio
----------------------------------------------------------------------------
Aggregate Cost $ 38,164,900
----------------------------------------------------------------------------
Gross unrealized appreciation $ 2,093,874
Gross unrealized depreciation (9,623)
----------------------------------------------------------------------------
Net unrealized appreciation $ 2,084,251
----------------------------------------------------------------------------
West Virginia Portfolio
----------------------------------------------------------------------------
Aggregate Cost $ 31,140,556
----------------------------------------------------------------------------
Gross unrealized appreciation $ 1,980,371
Gross unrealized depreciation --
----------------------------------------------------------------------------
Net unrealized appreciation $ 1,980,371
----------------------------------------------------------------------------
</TABLE>
5 Line of Credit
----------------------------------------------------------------------------
The Portfolios participate with other portfolios and funds managed by BMR
and EVM and its affiliates in a $120 million unsecured line of credit
agreement with a group of banks. The portfolios may temporarily borrow from
the line of credit to satisfy redemption requests or settle investment
transactions. Interest is charged to each portfolio or fund based on its
borrowings at the bank's adjusted certificate of deposit rate, Eurodollar
rate or federal funds rate. In addition, a fee computed at an annual rate of
0.15% on the daily unused portion of the line of credit is allocated among
the participating portfolios and funds at the end of each quarter. At
September 30, 1997, the California Portfolio, Mississippi Portfolio, New
York Portfolio, Ohio Portfolio, Rhode Island Portfolio, and West Virginia
Portfolio had a balance outstanding pursuant to this line of credit of
$1,529,000, $64,000, $5,940,000, $2,157,000, $749,000 and $1,127,000
respectively. The Portfolios did not have any significant borrowings or
allocated fees during the year ended September 30, 1997.
6 Financial Instruments
----------------------------------------------------------------------------
The Portfolios regularly trade in financial instruments with off-balance
sheet risk in the normal course of their investing activities to assist in
managing exposure to various market risks. These financial instruments
include futures contracts and may involve, to a varying degree, elements of
risk in excess of the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial instruments
and does not necessarily represent the amounts potentially subject to risk.
The measurement of the risks associated with these instruments is meaningful
only when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at September 30,
1997, is as follows:
<TABLE>
<CAPTION>
Futures
Contracts
Expiration Net Unrealized
Portfolio Date Contracts Position Depreciation
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
California 12/97 127 US Treasury Bonds Short $(389,652)
---------------------------------------------------------------------------------------
Massachusetts 12/97 76 US Treasury Bonds Short (233,177)
---------------------------------------------------------------------------------------
Mississippi 12/97 9 US Treasury Bonds Short (27,613)
---------------------------------------------------------------------------------------
New York 12/97 320 US Treasury Bonds Short (981,800)
---------------------------------------------------------------------------------------
Rhode Island 12/97 29 US Treasury Bonds Short (88,975)
---------------------------------------------------------------------------------------
West Virginia 12/97 15 US Treasury Bonds Short (34,305)
---------------------------------------------------------------------------------------
</TABLE>
At September 30, 1997 each Portfolio had sufficient cash and/or securities
to cover margin requirements on open futures contracts.
78
<PAGE>
EV Municipals Portfolios as of September 30, 1997
INDEPENDENT AUDITORS' REPORT
To the Trustees and Investors
of the California Municipals Portfolio, Florida Municipals Portfolio,
Massachusetts Municipals Portfolio, Mississippi Municipals Portfolio, New York
Municipals Portfolio, Ohio Municipals Portfolio, Rhode Island Municipals
Portfolio, and West Virginia Municipals Portfolio
- --------------------------------------------------------------------------------
We have audited the accompanying statements of assets and liabilities, including
the portfolio of investments, of the California Municipals Portfolio, Florida
Municipals Portfolio, Massachusetts Municipals Portfolio, Mississippi Municipals
Portfolio, New York Municipals Portfolio, Ohio Municipals Portfolio, Rhode
Island Municipals Portfolio, and West Virginia Municipals Portfolio as of
September 30, 1997, the related statements of operations for the year then
ended, the statements of changes in net assets for the years ended September 30,
1997 and 1996 and the supplementary data for each of the years in the five-year
period ended September 30, 1997. (For the California Municipals Portfolio, the
supplementary data is for each of the years in the four-year period ended
September 30, 1997 and the period from the start of business, May 3, 1993, to
March 31, 1994). These financial statements and supplementary data are the
responsibility of the Portfolio's management. Our responsibility is to express
an opinion on these 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 held as of
September 30, 1997 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 positions of the California Municipals
Portfolio, Florida Municipals Portfolio, Massachusetts Municipals Portfolio,
Mississippi Municipals Portfolio, New York Municipals Portfolio, Ohio Municipals
Portfolio, Rhode Island Municipals Portfolio, and West Virginia Municipals
Portfolio at September 30, 1997, the results of their operations, the changes in
their net assets and their supplementary data for the respective stated period,
in conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
November 7, 1997
79
<PAGE>
EV Municipals Portfolio as of September 30, 1997
INVESTMENT MANAGEMENT
<TABLE>
<CAPTION>
Municipals Portfolios
<S> <C>
Officers Independent Trustees
Thomas J. Fetter Donald R. Dwight
President and Portfolio President, Dwight Partners, Inc.
Manager of Florida and Ohio Chairman, Newspapers of New England, Inc.
Municipals Portfolios
Samuel L. Hayes, III
James B. Hawkes Jacob H. Schiff Professor of Investment
Vice President and Trustee Banking, Harvard University Graduate School of
Business Administration
Robert B. MacIntosh
Vice President and Portfolio Norton H. Reamer
Manager of Massachusetts President and Director, United Asset
Municipals Portfolio Management Corporation
Nicole Anderes John L. Thorndike
Vice President and Portfolio Formerly Director, Fiduciary Company Incorporated
Manager of New York
and Rhode Island Jack L. Treynor
Municipals Portfolios Investment Adviser and Consultant
Timothy T. Browse
Vice President and Portfolio
Manager of West Virginia
Municipals Portfolio
Cynthia J. Clemson
Vice President and Portfolio
Manager of California and
Mississippi Municipals Portfolio
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
</TABLE>
80
