<PAGE> 1
INVESTMENT MANAGEMENT FOR PORTFOLIOS
PORTFOLIOS OFFICERS
THOMAS L. FETTER
President
JAMES B. HAWKES
Vice President, Trustee
ROBERT B. MACINTOSH
Vice President and Portfolio Manager of North Carolina and Louisiana Municipals
Portfolio.
TIMOTHY T. BROWSE
Vice President and Portfolio Manager of Alabama, Arkansas and Maryland
Municipals Portfolios.
CYNTHIS J. CLEMSON
Vice President and Portfolio Manager of Georgia, Missouri, Oregon and
Tennessee Municipals Portfolio.
DAVID C. REILLY
Vice President and Portfolio Manager of Virginia and Kentucky Municipals
Portfolio.
INDEPENDENT TRUSTEES
DONALD R. DWIGHT
President, Dwight Partners, Inc.
Chairman, Newspaper of New England, Inc.
SAMUEL L. HAYES, III
Jacob H. Schiff Professor of Investment Banking
Harvard University Graduate School of Business Administration
NORTON H. REAMER
President and Director, United Asset Management Corporation
JOHN L. THORNDIKE
Director, Fiduciary Company Incorporated
JACK L. TREYNOR
Investment Advisor and Consultant
<PAGE> 2
- --------------------------------------------------------------------------------
Alabama Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ELECTRIC UTILITIES - 3.7%
NR BBB $ 500 Guam Power Authority,
6.625%, 10/1/14 $ 514,705
Baa1 A- 180 Puerto Rico Electric Power
Authority, 7.00%, 7/1/07 194,432
Baa1 A- 500 Puerto Rico Electric Power
Authority, 6.375%, 7/1/24 520,465
Baa1 A- 935 Puerto Rico Electric Power
Authority, 6.00%, 7/1/16 944,210
Baa1 A- 1,000 Puerto Rico Electric Power
Authority, 6.00%, 7/1/10 1,012,780
Baa1 A- 1,000 Puerto Rico Electric Power
Authority, 5.50%, 7/1/20 958,540
------------
$ 4,145,132
------------
ESCROWED - 5.1%
NR AA $ 500 Birmingham, Alabama
Improvement Warrants,
6.60%, 7/1/17 $ 560,930
NR BBB 2,000 Gadsen, Alabama Medical
Clinic Board (Baptist
Hospital), 7.80%, 11/1/21 2,368,280
NR BBB 350 Gadsen, Alabama Medical
Clinic Board (Baptist
Hospital), 7.60%, 11/1/08 410,981
Baa1 A- 320 Puerto Rico Electric
Power, 7.00%, 7/1/07 355,357
Aaa AAA 250 Tuscaloosa, Alabama
Limited Obligation-Capital
Outlay Warrants (AMBAC),
6.50%, 2/1/15 270,032
Aa NR 1,600 University of Alabama-
Birmingham Medical &
Educational Foundation
Housing, 7.00%, 12/1/19 1,780,768
------------
$ 5,746,348
------------
GENERAL OBLIGATIONS - 5.8%
A1 AA $1,000 Birmingham, Alabama
U.T.G.O., 5.75%, 6/1/16 $ 1,012,280
Baa1 A 1,000 Puerto Rico, 5.40%, 7/1/25 946,530
Baa1 A 4,000 Puerto Rico U.T.G.O.,
6.50%, 7/1/23 4,296,480
NR NR 250 Virgin Islands, 7.25%,
10/1/18 264,850
------------
$ 6,520,140
------------
HEALTH CARE - 1.8%
Baa BBB $2,000 Marshall, AL
Boaz-Albertville Medical
Center, 7.00%, 1/1/20 $ 2,060,920
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 11.1%
Aa AA $2,250 Alabama Special Care
(Daughters of Charity),
5.00%, 11/1/25 $ 2,008,058
NR BBB 3,000 Alexander, Alabama Special
Care (Russell Hospital),
6.00%, 12/1/22 (2) 2,782,020
Baa NR 1,000 Cullman, Alabama Medical
Clinic Board (Cullman
Regional Medical Center),
6.50%, 2/15/23 993,650
Baa1 NR 2,000 Jasper, Alabama Medical
Clinic Board (Walker
Regional Medical Center),
6.40%, 7/1/11 2,003,600
Baa1 NR 3,550 Jasper, Alabama Medical
Clinic Board (Walker
Regional Medical Center),
6.375%, 7/1/18 (4) 3,501,791
A A 1,000 Montgomery, Alabama
Medical Clinic Board
(Jackson Hospital), 7.00%,
3/1/15 1,052,650
------------
$ 12,341,769
------------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION CONTROL
REVENUE - 11.0%
Baa1 BBB $1,200 Courtland, Alabama
(Champion International
Corporation), 7.20%,
12/1/13 $ 1,308,492
Baa1 BBB 800 Courtland, Alabama
(Champion International
Corporation), 7.00%,
6/1/22 842,280
Baa1 BBB 2,000 Courtland, Alabama
(Champion International
Corporation), 6.50%,
9/1/25 2,020,920
Baa3 BBB- 2,000 Mobile County, Alabama
(Mobile Energy), 6.95%,
1/1/20 2,099,040
Aa2 AA 3,000 Mobile County, Alabama
(Mobil Oil), 6.00%,
12/1/14 3,106,740
A2 NR 1,000 PR IM&E (American Home
Products), 5.10%, 12/1/18 927,570
Baa3 BB+ 1,000 Puerto Rico Port Authority
(American Airlines),
6.30%, 6/1/23 1,008,930
A3 A- 1,000 Selma, Alabama
(International Paper Oil),
6.00%, 12/1/17 992,690
------------
$ 12,306,662
------------
</TABLE>
47
<PAGE> 3
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED EDUCATION - 13.5%
Aaa AAA $1,000 Alabama A&M University
(MBIA), 6.375%, 11/1/09 $ 1,072,490
Aaa AAA 1,770 Alabama A&M University
(MBIA), 5.75%, 11/1/14 1,807,559
Aaa Aaa 3,750 Alabama A&M University
(MBIA), 5.50%, 11/1/20 3,714,713
Aaa Aaa 3,755 Alabama State University
Tuition & Fee (MBIA),
5.80%, 12/1/20 3,780,046
Aaa AAA 4,000 University of Alabama
Student Housing (MBIA),
5.00%, 6/1/16 3,748,000
Aaa AAA 1,000 University of South
Alabama Tuition (AMBAC),
5.00%, 11/15/15 943,680
------------
$ 15,066,488
------------
INSURED ELECTRIC UTILITIES - 6.4%
Aaa AAA $1,500 Athens, Alabama Electric
(MBIA), 6.00%, 6/1/25 $ 1,540,560
Aaa AAA 3,000 Columbia, Alabama IDB (AL
Power) (AMBAC), 6.50%,
9/1/23 3,150,510
Aaa AAA 250 Puerto Rico Electric Power
Authority (STRIPES) (FSA),
Variable, 7/1/03 (1) 289,423
Aaa AAA 2,000 Wilsonville, Alabama PCR
(MBIA), 6.75%, 2/1/15 2,148,360
------------
$ 7,128,853
------------
INSURED GENERAL
OBLIGATIONS - 5.7%
Aaa AAA $ 500 Fairfield City, Alabama
U.T.G.O. (AMBAC), 6.30%,
6/1/22 $ 527,855
Aaa AAA 2,065 Hoover Alabama Warrants
(AMBAC), 5.00%, 3/1/20 1,910,228
Aaa AAA 3,250 Madison Alabama School
Warrants (MBIA), 6.00%,
2/1/24 3,365,083
Aaa AAA 500 Troy City, Alabama (CAPG),
6.60%, 6/1/12 542,680
------------
$ 6,345,846
------------
INSURED HEALTH CARE - 1.9%
Aaa AAA $2,000 Huntsville, Alabama Health
Care Facilities (MBIA),
6.50%, 6/1/13 $ 2,149,900
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITAL - 5.4%
Aaa AAA $2,500 Birmingham, Alabama
Baptist Medical Center
(MBIA), 5.875%, 11/15/20 $ 2,529,400
Aaa AAA 2,500 Birmingham, Alabama
Baptist Medical Center
(MBIA), 6.00%, 11/15/24 2,544,600
Aaa AAA 1,000 Houston County, Southeast
Alabama Medical Center
(MBIA), 5.75%, 10/1/22 1,002,500
------------
$ 6,076,500
------------
INSURED LEASE/CERTIFICATES
OF PARTICIPATION - 3.3%
Aaa AAA $3,700 Montgomery, Alabama
Downtown Redevelopment
Authority Mortgage (MBIA),
5.50%, 10/1/13 $ 3,699,815
------------
INSURED
MISCELLANEOUS - 0.5%
Aaa AAA $1,950 Jefferson County, Alabama
Birmingham-Jefferson Civic
Center (MBIA), 0%, 9/1/18 $ 537,849
------------
INSURED SOLID WASTE - 4.2%
Aaa AAA $4,000 Huntsville, Alabama Solid
Waste Disposal (FGIC)
(AMT), 7.00%, 10/1/14 $ 4,313,640
Aaa AAA 350 Huntsville, Alabama Solid
Waste Disposal (FGIC)
(AMT), 7.00%, 10/1/08 383,411
------------
$ 4,697,051
------------
INSURED WATER & SEWER - 15.2%
Aaa AAA $2,500 Alabama Water Pollution
Control Authority (AMBAC),
5.00%, 8/15/15 $ 2,346,100
Aaa AAA 1,100 Gulf Shores, Alabama Water
and Sewer (AMBAC), 6.50%,
2/1/15 1,181,763
Aaa AAA 500 Northeast, Alabama Water,
Sewer and Fire Protection
(AMBAC), 5.70%, 5/1/23 503,520
Aaa AAA 3,075 Prichard, Alabama Water
and Sewer (AMBAC), 6.125%,
11/15/14 3,220,909
Aaa AAA 1,400 Satsuma Alabama Waterworks
and Sewer (MBIA), 6.00%,
7/1/25 1,438,080
</TABLE>
48
<PAGE> 4
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED WATER & SEWER - (CONTINUED)
Aaa AAA 6,000 Scottsboro, Alabama Water,
Sewer and Gas (AMBAC),
6.50%, 12/1/14 (3) 6,493,620
Aaa AAA 750 West Morgan-East Lawrence,
Alabama Water Authority
(FGIC), 6.00%, 5/1/22 765,555
Aaa AAA 1,000 West Morgan-East Lawrence,
Alabama Water Authority
(FSA), 6.85%, 8/15/25 1,097,110
------------
$ 17,046,657
------------
LEASE - 0.4%
NR BBB $ 500 PR ITEM Guaynabo Lease,
5.625%, 7/1/22 $ 474,030
------------
MISCELLANEOUS - 0.1%
A A $ 100 Tennessee Valley, Alabama
Exhibit Commission, 6.70%,
6/1/10 $ 109,234
------------
NURSING HOMES - 0.9%
NR NR $ 325 Fairhope Alabama Midtown
Medical Clinic Board
(Beverly Enterprises),
6.375%, 6/1/09 $ 311,111
NR NR 670 Mobile Alabama Midtown
Medical Clinic Board
(Beverly Enterprises),
7.00%, 4/1/07 670,650
------------
$ 981,761
------------
SPECIAL TAX REVENUE - 1.8%
Baa1 A $1,800 Puerto Rico Highway and
Transportation, 6.625%,
7/1/18 $ 1,964,178
------------
TRANSPORTATION - 0.9%
NR BBB $1,000 Guam Airport Authority,
6.70%, 10/1/23 $ 1,010,470
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER - 1.3%
NR NR $1,500 Moulton City, Alabama
Water, 6.30%, 1/1/18 $ 1,485,960
------------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$106,424,866) $111,895,563
============
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) When-issued security.
(3) Security has been segregated to cover when-issued securities.
(4) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Alabama
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 56.1% 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 by financial
institution ranged from 0.5% to 31.1% of total investments.
See notes to financial statements
49
<PAGE> 5
- --------------------------------------------------------------------------------
Arkansas Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 3.5%
A1 NR $1,750 University of Arkansas
Board of Trustees, 7.20%,
12/1/10 $ 1,993,932
A NR 610 Arkansas State Student Loan
Authority, 7.25%, 6/1/09 678,308
------------
$ 2,672,240
------------
ELECTRIC UTILITIES - 9.7%
A NR $1,750 Conway, Arkansas Electric,
5.70%, 8/1/09 $ 1,798,598
NR BBB 1,250 Guam Power Authority,
5.25%, 10/1/13 1,125,137
NR BBB 1,250 Guam Power Authority,
5.25%, 10/1/23 1,088,050
Baa2 BBB 1,500 Independence, Arkansas PCR
(AR P & L), 6.25%, 1/1/21 1,518,840
Baa2 BBB- 750 Jefferson, Arkansas PCR (AR
P & L), 6.125%, 10/1/07 750,300
Baa2 BBB 550 Jefferson, Arkansas PCR (AR
P & L), 6.30%, 6/1/18 568,370
Baa2 BBB 500 Pope, Arkansas PCR (AR
P & L), 6.30%, 12/1/16 510,140
Baa1 A- 500 Puerto Rico Electric Power
Authority, 0%, 7/1/17 141,165
------------
$ 7,500,600
------------
ESCROWED - 3.5%
Aaa AAA $ 500 Arkansas DFA Wastewater
System (MBIA), 7.00%,
6/1/14 $ 566,680
Aaa AAA 650 Arkansas State Waste
Disposal and Pollution
Abatement U.T.G.O., 6.25 %,
7/1/22 715,689
Aaa AAA 500 Harrison, Arkansas Single
Family Mortgage (FGIC),
7.40%, 9/1/11 592,390
Aaa AAA 750 Puerto Rico Public
Buildings Authority 6.875%,
7/1/21 866,708
------------
$ 2,741,467
------------
GENERAL OBLIGATIONS - 4.4%
Aa AA $ 750 Arkansas State College
Savings, 0%, 6/1/13 $ 290,415
Aa AA 2,750 Arkansas State College
Savings, 0%, 6/1/14 990,110
Aa AA 1,000 Arkansas State College
Savings, 0%, 6/1/14 360,040
Baa1 A 1,000 Puerto Rico Public
Improvement, 5.25%, 7/1/18 937,490
NR NR 750 Virgin Island, 7.25%,
10/1/18 794,550
------------
$ 3,372,605
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 14.8%
Aa AA $2,750 Arkansas DFA (Sisters of
Mercy), 5.00%, 6/1/19 $ 2,533,383
Baa NR 700 Baxter, Arkansas Hospital
Improvement, 7.25%, 9/1/07 752,857
Baa NR 750 Baxter, Arkansas Hospital
Improvement, 7.50%, 9/1/21 810,690
NR A+ 1,125 Little Rock, Arkansas
(Baptist Medical Center),
6.80%, 11/1/05 1,272,048
NR A+ 1,750 Little Rock, Arkansas
(Baptist Medical Center),
5.50%, 9/1/15 (2) 1,717,170
NR A 1,000 Little Rock, Arkansas
(Baptist Medical
Center-Parkway Village),
7.00%, 10/1/17 1,075,820
NR A- 2,250 Pulaski, Arkansas
(Children's Hospital),
6.20%, 3/1/22 2,294,978
A1 AA 1,000 Sebastian, Arkansas (Sparks
Regional Medical Center),
5.60%, 4/1/06 1,041,810
------------
$11,498,756
------------
HOUSING - 11.3%
NR AAA $1,855 Arkansas DFA Single Family
Mortgage (GNMA, AMT),
5.80%, 6/1/25 $ 1,847,024
NR AAA 750 Arkansas DFA Single Family
Mortgage (GNMA, AMT),
7.85%, 12/1/21 793,800
NR AAA 1,000 Arkansas DFA Single Family
Mortgage (GNMA/FNMA, AMT),
6.35%, 7/1/22 1,018,690
NR AAA 860 Arkansas DFA Single Family
Mortgage (GNMA/FNMA),
6.60%, 7/1/17 904,032
NR AAA 1,295 Arkansas DFA Single Family
Mortgage (GNMA/FNMA, AMT),
6.80%, 1/1/22 1,360,618
NR AAA 740 Arkansas DFA Single Family
Mortgage (GNMA/FNMA),
6.70%, 7/1/27 760,593
NR AAA 1,000 Arkansas DFA Single Family
Mortgage (GNMA, AMT),
7.45%, 1/1/27 1,087,540
A NR 3,000 Arkansas DFA Compound
Accretion, 0%, 12/1/11 1,008,150
------------
$ 8,780,447
------------
</TABLE>
50
<PAGE> 6
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION CONTROL
REVENUE - 14.4%
Baa2 BBB $2,350 Baxter, Arkansas (Aeroquip
Corporation), 5.80%,
10/1/13 (2) $ 2,337,075
A1 AA- 2,500 Blytheville, Arkansas
(Nucor Corporation), 6.90%,
12/1/21 2,673,650
A1 AA- 300 Blytheville, Arkansas
(Nucor Corporation),
6.375%, 1/1/23 310,284
A3 A- 745 Gurdon, Arkansas
(International Paper),
5.75%, 2/1/08 746,274
A1 AA- 1,000 Jonesboro, Arkansas
(Anheuser-Busch), 6.50%,
11/15/12 1,093,330
NR A- 550 Pine Bluff, Arkansas
(International Paper),
5.55%, 10/1/17 533,830
A2 NR 750 Puerto Rico IM&E (American
Home Products), 5.10%,
12/1/18 695,678
Baa3 BB+ 2,740 Puerto Rico Ports Authority
(American Airlines) (AMT),
6.30%, 6/1/23 2,764,468
------------
$11,154,589
------------
INSURED ELECTRIC UTILITIES - 7.4%
Aaa AAA $ 250 North Little Rock, Arkansas
Electric System (MBIA),
6.50%, 7/1/10 $ 276,895
Aaa AAA 3,390 North Little Rock, Arkansas
Electric System (MBIA),
6.50%, 7/1/15 3,846,769
Aaa AAA 450 Puerto Rico Electric Power
Authority (STRIPES) (FSA),
Variable, 7/1/03 (1) 520,960
Aaa AAA 1,000 West Memphis, Arkansas
Public Utilities (MBIA),
6.60%, 1/1/09 1,082,190
------------
$ 5,726,814
------------
INSURED GENERAL OBLIGATIONS - 5.8%
Aaa AAA $1,610 Jonesboro, Arkansas School
District (AMBAC), 6.125%,
2/1/15 $ 1,643,698
Aaa AAA 1,090 Lincoln, Arkansas School
District #48 (MBIA),
5.00%, 2/1/18 1,037,015
Aaa AAA 500 Springdale, Arkansas School
District (AMBAC), 5.125%,
6/1/16 483,155
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 680 White Hall, Arkansas School
District (AMBAC), 4.75%,
4/1/12 648,339
Aaa AAA 710 White Hall, Arkansas School
District (AMBAC), 4.75%,
4/1/13 671,795
------------
$ 4,484,002
------------
INSURED HEALTH CARE - 1.2%
Aaa AAA $ 400 Saline, Arkansas Healthcare
(Evan Lutheran Good
Samaritan) (AMBAC), 5.80%,
6/1/11 $ 408,908
Aaa AAA 500 Saline, Arkansas Healthcare
(Evan Lutheran Good
Samaritan) (AMBAC), 6.00%,
6/1/16 526,005
------------
$ 934,913
------------
INSURED TRANSPORTATION - 0.7%
Aaa AAA $ 500 Little Rock, Arkansas
Airport (MBIA), 6.00%,
11/1/14 $ 517,670
------------
INSURED WATER & SEWER - 7.3%
Aaa AAA $1,250 Arkansas DFA Wastewater
System (MBIA), 5.40%,
12/1/15 $ 1,254,063
Aaa AAA 1,680 Arkansas DFA Wastewater
System (MBIA), 5.00%,
12/1/08 1,656,530
Aaa AAA 2,000 Arkansas DFA Wastewater
System (MBIA), 5.00%,
6/1/15 1,914,040
Aaa AAA 300 Beaver, Arkansas Water
District (MBIA), 5.85%,
11/15/08 316,911
Aaa AAA 500 Jonesboro, Arkansas Water
and Light (AMBAC), 5.25%,
12/1/13 494,835
------------
$ 5,636,379
------------
LEASE/CERTIFICATE OF
PARTICIPATION - 0.3%
NR BBB $ 250 Puerto Rico IM&E Guaynabo
Lease, 5.625%, 7/1/22 $ 237,015
------------
MISCELLANEOUS - 3.1%
A NR $2,000 Little Rock, Arkansas Hotel
and Restaurant Gross
Receipts Tax, 7.375%,
8/1/15 $ 2,427,480
------------
SPECIAL TAX REVENUE - 3.5%
Baa1 A $3,000 Puerto Rico Highway and
Transportation, 5.00%,
7/1/22 $ 2,674,110
------------
</TABLE>
51
<PAGE> 7
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER REVENUE - 9.1%
NR NR $ 800 Conway, Arkansas Water,
5.40%, 5/1/11 $ 804,720
NR NR 1,250 Cross, Arkansas Rural
Water, 5.75%, 4/1/18 1,293,938
A1 NR 3,390 Little Rock, Arkansas
Sewer, 5.50%, 8/1/14 3,401,355
NR NR 1,500 South Sebastian, Arkansas
Water, 6.15%, 6/1/23 1,580,100
------------
$ 7,080,113
------------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$74,234,823) $77,439,200
============
</TABLE>
(1) The above security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Arkansas
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 22.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.7% to 16.1% of total investments.
See notes to financial statements
52
<PAGE> 8
- --------------------------------------------------------------------------------
Georgia Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 1.3%
NR NR $1,500 De Kalb County Private
Hospital Authority,
Atlanta Inc., 8.50%,
3/1/25 $ 1,525,890
-----------
EDUCATION - 5.9%
Aa1 AA $3,000 De Kalb County, Emory
University, 6.00%, 10/1/14 $ 3,126,210
Aa1 AA 310 Private Colleges and
Universities Authority,
Emory University, 6.40%,
10/1/23 331,030
Aa AA- 3,425 Private Colleges and
Universities Authority,
Agnes Scott College,
5.625%, 6/1/23 3,452,880
-----------
$ 6,910,120
-----------
GENERAL
OBLIGATIONS - 16.1%
Aa AA- $ 300 City of Alpharetta, 6.50%,
5/1/10 (2) $ 342,279
Aa AA 3,350 City of Atlanta, 6.10%,
12/1/19 3,519,343
Aa AA 2,000 City of Atlanta, 6.125%,
12/1/23 2,096,840
Aa AA 1,650 City of Atlanta, Downtown
Development Authority,
Underground Project,
6.25%, 10/1/16 1,747,466
Aa1 AA+ 1,480 Gwinnett County, Water &
Sewer, 6.50%, 8/1/06 1,494,252
Aa AA 1,000 Fulton County School
District, 5.60%, 1/1/13 1,018,820
A A 450 Paulding County School
District, 6.625%, 2/1/08 522,459
Aaa AA+ 500 State of Georgia, 6.30%,
3/1/08 (2) 564,835
Baa1 A 2,500 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 2,366,325
Baa1 A 1,000 Commonwealth of Puerto
Rico, Aqueduct & Sewer
Authority, 6.25%, 7/1/12 1,084,530
Baa1 A 1,875 Commonwealth of Puerto
Rico, Aqueduct & Sewer
Authority, 5.00%, 7/1/19 1,711,162
Baa1 A 1,000 Commonwealth of Puerto
Rico, Public Building
Authority, 5.75%, 7/1/15 994,140
NR NR 1,400 Virgin Islands, 7.25%,
10/1/18 1,483,160
-----------
$ 18,945,611
-----------
HOSPITALS - 11.6%
Baa1 NR $4,250 Fulco County, Georgia
Baptist Health, 6.375%,
9/1/22 $ 4,141,370
A NR 5,040 City of Savannah, St.
Joseph's Hospital Project,
6.20%, 7/1/23 5,046,502
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR BBB 1,785 Toombs County, Dr. John M.
Meadows Memorial, 7.00%,
12/1/17 1,831,588
NR BBB+ 2,750 Tri City Hospital
Authority, 6.375%, 7/1/16 2,648,278
-----------
$ 13,667,738
-----------
HOUSING - 10.8%
Aa NR $1,450 Georgia Housing Finance
Authority, (AMT), 6.875%,
12/1/20 $ 1,516,019
Aa AA 2,500 Georgia Housing Finance
Authority, SFMR, (FHA),
(AMT), 6.70%, 12/1/25 2,603,125
Aa AA+ 1,500 Georgia Housing Finance
Authority, SFMR, (FHA),
(AMT), 7.05%, 12/1/20 1,599,900
Aa AA+ 2,380 Georgia Housing Finance
Authority, SFMR, (FHA),
(AMT), 7.125%, 12/1/26 2,542,720
Aa AA+ 4,000 Georgia Housing Finance
Authority, SFMR, (AMT),
6.55%, 12/1/27 4,081,560
Aa AA+ 395 Georgia Residential
Finance Authority, Home
Ownership, (FHA), 7.50%,
6/1/17 421,382
-----------
$ 12,764,706
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 5.9%
A1 AA- $1,000 Cartersville Development
Authority, Anheuser-Busch,
(AMT), 7.375%, 5/1/09 $ 1,195,720
A2 NR 1,100 Commonwealth of Puerto
Rico, American Home
Product, 5.10%, 12/1/18 1,020,327
NR AA- 500 Savannah Economic
Development Authority,
Hershey Foods, 6.60%,
6/1/12 539,645
NR NR 1,250 Savannah Economic
Development Authority,
Savannah Inc., (AMT),
9.00%, 1/1/15 1,354,150
A1 A- 750 Savannah Economic
Development Authority,
Union Camp Corp., 6.80%,
2/1/12 816,968
NR AA- 2,000 Vienna Water & Sewer,
Cargill Project, (AMT),
6.00%, 9/1/14 2,056,760
-----------
$ 6,983,570
-----------
INSURED GENERAL OBLIGATIONS - 4.2%
Aaa AAA $2,990 Houston County School
District, (MBIA), 5.375%,
3/1/11 $ 2,982,346
</TABLE>
53
<PAGE> 9
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATIONS -
(CONTINUED)
Aaa AAA 1,350 Jackson County School
District, (MBIA), 6.00%,
7/1/14 1,399,261
Aaa AAA 500 Commonwealth of Puerto
Rico, (AMBAC), Variable
7/1/15 (1) 524,495
-----------
$ 4,906,102
-----------
INSURED HOSPITALS - 13.6%
Aaa AAA $ 675 Chatham County, Memorial
Medical Center, (MBIA),
7.00%, 1/1/21 $ 730,985
Aaa AAA 305 Chatham County, Memorial
Medical Center, (MBIA),
6.85%, 1/1/21 329,458
Aaa AAA 1,300 Cobb County, Kennestone
Hospital, (MBIA), 5.00%,
4/1/24 1,188,485
Aaa AAA 2,500 Fulco County, Northside,
(MBIA), 5.125%, 10/1/16 2,370,525
Aaa AAA 2,225 Gainsville and Hall
County, NE Healthcare,
(MBIA), 6.00%, 10/1/25 2,280,870
Aaa AAA 1,500 Gwinnett County, Gwinnett
Hospital, (AMBAC), 5.00%,
9/1/13 1,403,610
Aaa AAA 2,500 Macon-Bibb County, The
Medical Center of Central
Georgia, (FGIC), 5.00%,
8/1/14 2,353,550
Aaa AAA 2,000 Medical Center, Columbus
Regional Healthcare,
(MBIA), 6.40%, 8/1/06 2,186,660
Aaa AAA 1,500 Medical Center, Columbus
Regional Healthcare,
(MBIA), Variable 8/1/10
(1) 1,736,085
Aaa AAA 1,375 Walker, Dade and Catoosa
Counties Hospital, (FGIC),
7.00%, 10/1/10 1,538,818
-----------
$ 16,119,046
-----------
INSURED LEASE/CERTIFICATE
OF PARTICIPATION - 0.9%
Aaa AAA $1,000 East Point Building
Authority, (FGIC), 6.00%,
2/1/10 $ 1,059,670
-----------
INSURED SPECIAL TAX - 3.3%
Aaa AAA $1,000 Metropolitan Atlanta Rapid
Transit Authority,
(AMBAC), 6.25%, 7/1/11 $ 1,107,630
Aaa AAA 1,000 Metropolitan Atlanta Rapid
Transit Authority,
(AMBAC), 6.25%, 7/1/20 1,115,690
Aaa AAA 1,750 Metropolitan Atlanta Rapid
Transit Authority,
(AMBAC), 5.125%, 7/1/19 1,642,358
-----------
$ 3,865,678
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES - 3.5%
Aaa AAA $1,480 Cordele Public Utility
Authority, (MBIA), 6.50%,
11/1/19 $ 1,588,114
Aaa AAA 750 Municipal Electric
Authority of Georgia,
(MBIA), 0%, 1/1/07 433,043
Aaa AAA 1,000 Municipal Electric
Authority of Georgia,
(FGIC), 5.50%, 1/1/12 1,005,170
Aaa AAA 900 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA), Variable
7/1/03 (1) 1,041,921
-----------
$ 4,068,248
-----------
INSURED WATER & SEWER - 4.0%
Aaa AAA $2,700 City of Atlanta, (FGIC),
5.00%, 1/1/15 $ 2,515,752
Aaa AAA 1,975 Cherokee County, (MBIA),
6.875%, 8/1/13 2,163,850
-----------
$ 4,679,602
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 0.9%
Aa AA $2,300 Fulton County Building
Authority, Judicial
Center, 0%, 1/1/10 $ 1,102,689
-----------
SOLID WASTE - 0.9%
A1 A+ $1,000 Savannah Resource
Recovery, Savannah Energy
Systems Co., 6.30%,
12/1/06 $ 1,062,860
-----------
SPECIAL TAX - 0.4%
Baa1 A $ 500 Commonwealth of Puerto
Rico, Highway and
Transportation Authority,
5.50%, 7/1/17 $ 478,200
-----------
UTILITIES - 15.8%
A1 A $2,000 Burke County Pollution
Control, Georgia Power,
6.375%, 8/1/24 $ 2,037,720
A1 A+ 1,000 Monroe County Pollution
Control, Gulf Power
Scherer, 6.30%, 9/1/24 1,028,870
A A 3,000 Georgia Municipal Electric
Power Authority, 5.70%,
1/1/23 2,919,390
A A 2,000 Georgia Municipal Electric
Power Authority, 8.25%,
1/1/11 2,503,200
</TABLE>
54
<PAGE> 10
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - (CONTINUED)
A A 1,000 Georgia Municipal Electric
Power Authority, 0%,
1/1/12 398,510
A A 3,000 Georgia Municipal Electric
Power Authority, 5.50%,
1/1/20 2,884,290
A3 A+ 4,000 Monroe County Pollution
Control, Ogelthorpe Power,
6.55%, 1/1/06 4,423,840
A3 A+ 2,000 Monroe County Pollution
Control, Ogelthorpe Power,
6.70%, 1/1/09 2,226,340
Baa1 A- 665 Commonwealth of Puerto
Rico, Electrical Power
Authority, 0%, 7/1/17 187,747
Baa1 A- 90 Commonwealth of Puerto
Rico, Electrical Power
Authority, 7.00%, 7/1/07 97,216
-----------
$ 18,707,123
-----------
WATER & SEWER - 0.9%
A A+ $1,000 City of Columbus, 5.70%,
5/1/20 $ 1,018,490
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$111,816,704) $117,865,343
===========
</TABLE>
(1) The above security has been issued as inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Georgia
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 29.4% 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 by financial
institution ranged from 0.9% to 16.4% of total investments.
See notes to financial statements
55
<PAGE> 11
- --------------------------------------------------------------------------------
Kentucky Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 6.0%
Aa1 NR $2,460 City of Berea, Kentucky
Educational Development,
5.45%, 3/1/14 $ 2,483,714
A1 AA- 500 University of Kentucky
Consolidated Educational
Buildings, 6.40%, 5/1/09 539,575
A1 AA- 785 University of Kentucky
Consolidated Educational
Buildings, 6.40%, 5/1/11 841,520
A1 AA- 1,295 University of Louisville
Consolidated Educational
Buildings, 5.875%, 5/1/11 1,355,127
A1 AA- 1,000 University of Louisville
Consolidated Educational
Buildings, 5.40%, 5/1/08 1,029,020
A1 AA- 2,000 University of Louisville
Consolidated Educational
Buildings, 5.40%, 5/1/11 2,027,240
-----------
$ 8,276,196
-----------
ESCROWED - 1.3%
NR NR $ 190 KY DFA St. Claire Medical
Center, 7.125%, 9/1/21 $ 216,496
Aaa NR 510 Lexington-Fayette County,
Kentucky Government Public
Facilities, 6.40%, 4/1/12 570,195
Aaa A 1,000 University of Puerto Rico,
6.50%, 6/1/13 1,060,660
-----------
$ 1,847,351
-----------
GENERAL OBLIGATIONS - 3.6%
NR A+ $1,030 KY League of Cities
Funding Trust Floating
Indebtedness Certificates
of Participation, 6.15%,
8/1/13 $ 1,076,906
NR A 1,415 KY League of Cities
Funding Trust Floating
Indebtedness Certificates
of Participation, 5.90%,
8/1/16 1,436,890
Baa1 A 2,000 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 1,893,060
NR NR 500 Virgin Islands, 7.25%,
10/1/18 529,700
-----------
$ 4,936,556
-----------
HOSPITALS - 0.8%
Baa1 BBB $ 975 Russell County, Kentucky
Franciscan Sisters of the
Poor Health System, 8.10%,
7/1/15 $ 1,120,080
-----------
HOUSING - 1.7%
NR AAA $1,490 Boone County, Kentucky
Multi-Family, Walnut Creek
Apartments, (FHA), 7.00%,
1/1/27 $ 1,554,383
Aaa AAA 795 KY Housing, Single Family
Mortgage Revenue, (FHA),
(AMT), 7.45%, 1/1/23 816,934
-----------
$ 2,371,317
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL
REVENUE - 12.6%
Baa1 BBB $2,355 Ashland County, Solid
Waste, Ashland Oil, (AMT),
7.20%, 10/1/20 $ 2,505,673
Baa1 NR 2,425 Ashland County, Solid
Waste, Ashland Oil, (AMT),
7.125%, 2/1/22 2,604,668
NR NR 1,000 City of Elsmere, Kentucky,
Courtaulds Package
Corporation, 6.75%, 4/1/10 1,039,460
NR NR 3,075 Fulton County, Kentucky,
H.I.S.-Chic Jeans, (AMT),
7.50%, 2/1/10 3,270,908
Baa2 BBB- 3,000 Henderson County, Kentucky
Solid Waste Disposal,
MacMilan Bloedel, (AMT),
7.00%, 3/1/25 3,164,670
Aa3 AA 1,000 Jefferson County,
Kentucky, E.I. du Pont de
Nemours, 6.30%, 7/1/12 1,088,710
NR BB 985 Owensboro County,
Kentucky, KMART
Corporation, 6.80%,
12/1/07 817,245
NR BB 915 Powderly, Kentucky, KMART
Corporation, 6.90%, 3/1/07 771,364
A2 NR 1,190 Commonwealth of Puerto
Rico IM&E, American Home
Products, 5.10%, 12/1/18 1,103,808
Baa3 BB+ 500 Commonwealth of Puerto
Rico Port Authority,
American Airlines, (AMT),
6.30%, 6/1/23 504,465
Ba2 NR 500 Winchester County,
Kentucky, Kroger
Corporation, 6.90%, 7/1/99 526,355
-----------
$ 17,397,326
-----------
INSURED EDUCATION - 0.5%
Aaa AAA $ 700 Northern KY University
Educational Buildings
(AMBAC), 6.25%, 5/1/12 $ 745,766
-----------
</TABLE>
56
<PAGE> 12
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATIONS - 1.7%
Aaa AAA $1,000 Jefferson County, Kentucky
School District U.T.G.O.
(MBIA), 4.875%, 1/1/13 $ 932,940
Aaa AAA 1500 Commonwealth of Puero Rico
Building Authority,
(AMBAC), 5.50%, 7/1/21 1,475,700
-----------
$ 2,408,640
-----------
INSURED HOSPITAL - 11.3%
Aaa AAA $2,500 Daviess County, ODCH Inc.,
(MBIA), 6.25%, 8/1/22 $ 2,611,000
Aaa AAA 2,000 Hopkins County, Trover
Clinic Foundation, (MBIA),
6.625%, 11/15/11 (1) 2,177,880
Aaa AAA 2,500 Jefferson County, Jewish
Hospital (AMBAC), 6.50%,
5/1/15 2,663,975
Aaa AAA 1,750 Jefferson County, Jewish
Hospital (AMBAC), 6.55%,
5/1/22 1,870,470
Aaa AAA 4,000 KY EDA St. Luke's Hospital
(MBIA), 7.00%, 10/1/21 4,375,800
Aaa AAA 2,000 KY EDA Baptist Healthcare
(MBIA), 5.00%, 8/15/24 1,814,380
-----------
$ 15,513,505
-----------
INSURED LEASE/CERTIFICATE
OF PARTICIPATION - 1.8%
Aaa AAA $2,000 City of Danville,
Multi-City Lease,
Madisonville Project,
(MBIA), 5.875%, 9/1/10 $ 2,076,920
Aaa AAA 400 Lexington-Fayette County
Government Public
Facilities (FSA), 4.50%,
2/1/10 350,808
-----------
$ 2,427,728
-----------
INSURED TRANSPORTATION - 4.7%
Aaa AAA $1,000 Kenton County,
Cincinnati/Northern
Kentucky Airport, (FSA)
(AMT), 6.30%, 3/1/15 $ 1,039,790
Aaa AAA 1,000 KY EDA Turnpike,
Revitalization Project,
(FGIC), 0%, 1/1/10 472,380
Aaa AAA 1,000 KY EDA Turnpike,
Revitalization Project,
(AMBAC), 5.50%, 7/1/11 1,015,210
Aaa AAA 1,170 Louisville and Jefferson
County, Kyregl Airport
(MBIA), 5.30%, 7/1/23 1,111,676
Aaa AAA 2,000 Louisville and Jefferson
County, Kyregl Airport
(MBIA) (AMT), 5.50%,
7/1/23 1,915,420
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,000 Louisville and Jefferson
County, Kyregl Airport
(MBIA) (AMT), 5.625%,
7/1/25 967,170
-----------
$ 6,521,646
-----------
INSURED UTILITIES - 4.1%
Aaa AAA $5,780 Boone County, Kentucky
Collateralized PCR,
(MBIA), 5.50%, 1/1/24 (1) $ 5,580,070
-----------
INSURED WATER AND SEWER - 8.7%
Aaa AAA $1,000 Hardin County Water
System, (MBIA), 5.90%,
1/1/25 $ 1,026,670
Aaa AAA 800 Kenton County Water
District (FGIC), 6.375%,
2/1/17 853,096
Aaa AAA 2,000 Kenton County Water
District (FGIC), 6.00%,
2/1/17 2,092,300
Aaa AAA 500 Lexington-Fayette County
Government Sewer (MBIA),
6.375%, 7/1/12 535,970
Aaa AAA 1,000 Louisville and Jefferson
County Sewer District
(MBIA), 5.25%, 5/15/14 965,820
Aaa AAA 2,840 Louisville and Jefferson
County Sewer District
(MBIA), 5.40%, 5/15/19 2,730,859
Aaa AAA 500 Louisville and Jefferson
County Sewer District
(MBIA), 5.50%, 5/15/23 482,865
Aaa AAA 1,000 Louisville and Jefferson
County Sewer District
(AMBAC), 6.75%, 5/15/19 1,099,300
Aaa AAA 2,000 Louisville and Jefferson
County Sewer District
(AMBAC), 6.75%, 5/15/25 2,191,300
-----------
$ 11,978,180
-----------
LEASE REVENUE BONDS - 21.7%
A A $1,300 Boone County School
District, 6.75%, 9/1/11 $ 1,416,051
A NR 3,000 Boone County School
District, 5.70%, 5/1/18 3,061,020
A NR 1,670 Campbell County School
District, 5.10%, 2/1/12 1,597,990
A NR 700 Campbell County School
District, 4.80%, 2/1/11 645,190
A NR 790 Campbell County School
District, 4.875%, 2/1/14 718,236
A NR 820 Covington County
Independent School
District, 5.20%, 6/1/13 790,095
A1 A+ 905 Jefferson County School
District, 4.875%, 1/1/11 855,116
A1 A+ 1,250 Jefferson County School
District, 4.875%, 1/1/12 1,174,338
</TABLE>
57
<PAGE> 13
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
LEASE REVENUE BONDS - (CONTINUED)
A1 A 4,990 Jefferson County Capital
Projects Corporation
Lease,
0%, 8/15/15 1,635,423
A NR 2,500 Jessamine County School
District, 5.375%, 1/1/17 2,407,350
A NR 260 Johnson County School
District, 5.00%, 6/1/11 249,790
A NR 300 Johnson County School
District, 5.00%, 6/1/13 283,404
A A+ 3,825 KY State Property and
Buildings, 5.00%, 9/1/13 3,583,260
A A+ 2,500 KY State Property and
Buildings, 6.00%, 9/1/14 2,574,475
A A- 1,000 City of Louisville, Public
Properties Corporation,
6.80%, 12/1/22 1,080,840
Aa NR 4,500 City of Mount Sterling,
League of Cities Trust
Lease Program, 6.20%,
3/1/18 4,567,995
A NR 2,000 Owensboro County, Airport
Lease, 5.875%, 6/1/15 1,978,220
A NR 615 Pulaski County, School
District, 5.75%, 2/1/10 636,119
A NR 595 Pulaski County, School
District, 5.80%, 2/1/11 612,903
-----------
$ 29,867,815
-----------
SPECIAL TAX REVENUE - 6.1%
Baa1 A $2,370 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/21 $ 2,189,026
Baa1 A 5,655 Puerto Rico Highway and
Transportation Authority,
6.625%, 7/1/18 6,170,793
-----------
$ 8,359,819
-----------
TRANSPORTATION - 4.5%
NR BBB $2,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 2,020,940
Ba1 BB 1,000 Kenton County Airport,
Delta Airlines, (AMT),
6.75%, 2/1/02 1,060,680
Ba1 BB 250 Kenton County Airport,
Delta Airlines, (AMT),
7.50%, 2/1/12 269,720
Ba1 BB 500 Kenton County Airport,
Delta Airlines, (AMT),
7.50%, 2/1/20 538,150
Ba1 BB 2,400 Kenton County Airport,
Delta Airlines, (AMT),
6.125%, 2/1/22 2,308,056
-----------
$ 6,197,546
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - 6.5%
Aa2 AA- $2,000 Carroll County, Kentucky
PCR, KY Utilities Company,
6.25%, 2/1/18 $ 2,104,140
Aa2 AA- 1,150 Carroll County, Kentucky
PCR, KY Utilities Company,
5.75%, 5/1/18 1,121,871
NR BBB 400 Guam Power Authority,
5.25%, 10/1/23 348,176
Aa2 AA 1,000 Jefferson County, Kentucky
PCR, Louisville G& E
Company, 5.625%, 8/15/19 991,600
Aa2 AA- 1,000 Muhlenburg County,
Kentucky PCR, KY Utilities
Company, 6.25%, 2/1/18 1,052,730
Baa1 A- 3,500 Puerto Rico Electric Power
Authority, 0%, 7/1/17 988,155
Baa1 A- 2,250 Puerto Rico Electric Power
Authority, 6.375%, 7/1/24 2,342,093
-----------
$ 8,948,765
-----------
WATER AND SEWER REVENUE - 2.4%
A A- $1,000 Boone County Sewer
Systems. 5.15%, 12/1/15 $ 958,080
NR A 1,500 Cambell County Water
District, 6.60%, 12/1/11 1,615,140
A NR 650 Harden County Water
District, 6.50%, 9/1/12 696,577
-----------
$ 3,269,797
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$132,011,225) $137,768,103
===========
</TABLE>
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Kentucky
municipals. 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 February 29, 1996, 32.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 1.0% to 21.3% of total investments.
See notes to financial statements
58
<PAGE> 14
- --------------------------------------------------------------------------------
Louisiana Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 1.5%
NR NR $ 500 Louisiana Housing Finance
Agency, HCC Assisted
Living Group, 9.00% 3/1/25 $ 523,800
-----------
EDUCATION - 0.8%
Aaa NR $ 150 Louisiana PFA, Guaranteed
Student Loan Revenue
Bonds, (AMT), 6.75%,
9/1/06 $ 159,755
A NR 100 Louisiana PFA, Student
Loan Revenue Bonds, (AMT),
7.00%, 9/1/06 106,370
-----------
$ 266,125
-----------
GENERAL OBLIGATION - 0.5%
Baa1 A $ 200 Puerto Rico, 5.40%, 7/1/25 $ 189,306
-----------
HEALTH CARE - 8.0%
NR AAA $2,000 Louisiana HFA, Mortgage
Revenue Bonds, St. Joseph
Manor Retirement Center,
(GNMA), 7.80%, 12/1/35 $ 2,247,420
NR AAA 500 Louisiana HFA, St. Dominic
Assisted Care Facility,
(GNMA), 6.85%, 9/1/25 528,850
-----------
$ 2,776,270
-----------
HOUSING - 31.9%
Aaa NR $ 885 East Baton Rouge Mortgage
Finance Authority, Single
Family, (GNMA/FNMA),
7.00%, 4/1/32 $ 927,091
Aaa NR 235 East Baton Rouge Mortgage
Finance Authority Single
Family, (AMT),
(GNMA/FNMA), 7.10%,
10/1/24 250,096
Aaa AAA 95 East Baton Rouge Mortgage
Finance Authority Single
Family, (AMT), (GNMA),
7.875%, 12/1/21 101,619
Aaa NR 600 East Baton Rouge Mortgage
Finance Authority Single
Family, (GNMA/FNMA),
6.10%, 10/1/15 609,924
NR AAA 1,850 Parish of Jefferson, Home
Mortgage Authority, (AMT),
(GNMA/FNMA), 7.35%,
12/1/16 2,107,927
NR AAA 620 Louisiana HFA, Multi
Family, (FHA), 6.95%,
7/1/16 642,295
Aaa NR 1,240 Louisiana HFA, Single
Family, (GNMA), 8.00%,
3/1/25 1,379,190
Aaa NR 1,535 Louisiana HFA, Single
Family, (AMT),
(GNMA/FNMA), 6.55%,
12/1/26 1,564,134
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR AAA 150 Louisiana HFA,
(Multifamily
Housing-Westview Apartment
II), (AMT), (FHA), 7.95%,
1/1/32 159,525
NR A 1,000 Louisiana Public
Facilities Authority,
(Multifamily
Housing-Windsor Housing,
6.25%, 1/1/26 986,580
Aaa NR 1,300 New Orleans Home Mortgage
Authority, (AMT),
(GNMA/FNMA), 6.30%, 6/1/28 1,310,244
A NR 350 Shreveport, Louisiana HFA,
(Multifamily-U.S. Foodman
Plaza-Section 8 Assisted),
6.10%, 8/1/19 341,884
NR AAA 750 Shreveport, Louisiana Home
Mortgage Authority, (AMT),
(GNMA/FNMA), 6.00%, 8/1/28 733,192
-----------
$ 11,113,701
-----------
HOSPITALS - 6.0%
Baa1 NR $1,000 Lafourche Parish Hospital
Service District No. 3,
6.00%, 10/1/23 $ 938,630
Aa AA 1,000 Louisiana Public Health
Facilities Bonds, (Sisters
of Mercy Health System),
5.00%, 6/1/19 (2) 900,860
NR A- 250 St. Tammany Parish
Hospital Service District
No. 1, 6.50%, 7/1/22 254,465
-----------
$ 2,093,955
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 16.1%
A3 A- $1,750 City of Bastrop,
International Paper
Company, 6.60%, 3/1/19 $ 1,815,048
Baa3 NR 1,000 Beauregard Parish, Boise
Cascade Corporation
Project, 6.125%, 3/1/23 978,680
Baa3 NR 2,000 Beauregard Parish, Boise
Cascade Corporation
Project, (AMT), 6.30%,
8/1/23 1,946,460
NR A 750 Natchitoches Parish,
Willamette Industries
Project, (AMT), 5.875%,
12/1/23 719,737
</TABLE>
59
<PAGE> 15
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT REVENUE -
(CONTINUED)
Baa1 BBB+ 150 South Louisiana Port
Commission, GATX Terminals
Corporation, 7.00%, 3/1/23 159,020
-----------
$ 5,618,945
-----------
INSURED EDUCATION - 3.2%
Aaa AAA $1,100 Louisiana State University
and Agricultural and
Mechanical College (FGIC),
5.75%, 7/1/14 $ 1,112,694
-----------
INSURED GENERAL
OBLIGATIONS - 5.9%
Aaa AAA $ 500 Parish of East Baton
Rouge, Public Improvement
Sales Tax Bonds (FGIC),
5.90%, 2/1/17 $ 512,450
Aaa AAA 1,000 Orleans Parish School
District, (FGIC), 5.30%,
9/1/13 974,700
Aaa AAA 300 State of Louisiana,
(MBIA), 5.625%, 8/1/11 314,031
Aaa AAA 250 Commonwealth of Puerto
Rico, Public Improvement
Bonds Residual Interest
Bonds (AMBAC), Variable,
7/1/15 (1) 262,248
-----------
$ 2,063,429
-----------
INSURED HOSPITAL - 0.3%
Aaa AAA $ 100 Louisiana PFA Hospital
Revenue Bonds, (Our Lady
of the Lake Regional
Medical Center), Residual
Interest Bonds (MBIA),
Variable, 12/1/24 (1) $ 112,165
-----------
INSURED HOUSING - 1.5%
Aaa AAA $ 500 Louisiana Housing Finance
Agency, (AMT), (MBIA),
6.45%, 6/1/27 $ 511,155
-----------
INSURED SPECIAL
TAX - 12.4%
Aaa AAA $ 400 Lafayette Parish, Sales
Tax Revenue Bonds, (FGIC),
5.00%, 4/1/13 $ 375,908
Aaa AAA 645 Lafayette Parish, Sales
Tax Revenue Bonds, (FGIC),
5.00%, 4/1/14 601,334
Aaa AAA 500 New Orleans Exhibit Hall,
(MBIA), 5.50%, 7/15/18 484,340
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,000 New Orleans Exhibit Hall,
(MBIA), 5.60%, 7/15/25 971,870
Aaa AAA 500 Louisiana Stadium and
Exposition District, Hotel
Occupancy Tax and Stadium
Revenue, (FGIC), 5.25%,
7/1/15 476,620
Aaa AAA 500 Louisiana Stadium and
Exposition District, Hotel
Occupancy Tax and Stadium
Revenue, (FGIC), 5.25%,
7/1/20 473,685
Aaa AAA 1,000 Louisiana Stadium and
Exposition District, Hotel
Occupancy Tax and Stadium
Revenue, (FGIC), 5.25%,
7/1/21 946,380
-----------
$ 4,330,137
-----------
INSURED UTILITIES - 0.5%
Aaa AAA $ 150 City of Alexandria,
Utilities Bonds (FGIC),
6.00%, 5/1/06 $ 160,560
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 1.0%
NR BBB $ 400 Puerto Rico Industrial,
Tourist, Environmental,
Medical and Educational
Authority, Guaynabo Lease,
5.625%, 7/1/22 $ 379,224
-----------
LIFE CARE - 4.1%
NR BBB $1,150 Louisiana PFA, Glen
Retirement System, 6.70%,
12/1/25 $ 1,116,696
NR NR 300 St. Tammany PFA,
Christwood Project, 9.00%,
11/15/25 298,389
-----------
$ 1,415,085
-----------
SPECIAL TAX - 3.8%
Baa1 A $1,500 Puerto Rico Highway and
Transportation Authority,
Highway Revenue Refunding
Bonds, 5.00%, 7/1/22 $ 1,337,054
-----------
TRANSPORTATION - 1.6%
A A- $ 500 Mississippi River Bridge
Authority, Bridge Revenue
Bonds, Series 1992, 6.75%,
11/1/12 (2) $ 545,430
-----------
</TABLE>
60
<PAGE> 16
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - 0.9%
Aa3 NR $ 150 De Soto Parish,
Southwestern Electric
Power Company, 7.60%,
1/1/19 $ 173,868
Ba1 BB+ 150 Parish of Pointe Coupe,
Gulf States Utilities Co.,
6.70%, 3/1/13 153,586
-----------
$ 327,454
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$34,129,415) $ 34,876,489
===========
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements for open financial
futures contracts.
The Portfolio primarily invests in debt securities issued by Louisiana
municipalities. The ability of the debt securities to meet their obligations may
be affected by economic developments in a specific industry or municipality. In
order to reduce the risk associated with such economic developments, at February
29, 1996, 23.8% of the securities in the portfolio of investments are backed by
bond insurance of various financial institutions and financial guaranty
assurance agencies. The aggregate percentage by financial institution ranged
from 0.7% to 16.1% of total investments.
See notes to financial statements
61
<PAGE> 17
- --------------------------------------------------------------------------------
Maryland Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
COGENERATION - 1.1%
NR NR $1,250 Maryland Energy
Cogeneration (AES Warrior
Run Project) (AMT), 7.40%,
9/1/19 $ 1,311,150
-----------
EDUCATION - 0.9%
Aa AA+ $1,000 University of Maryland
Auxiliary Facilities &
Tuition, 6.30%, 2/1/10 $ 1,076,580
-----------
ELECTRIC UTILITIES - 7.3%
A2 A $2,000 Calvert, Maryland PCR
(Baltimore Gas & Electric
Company), 5.55%, 7/15/14 $ 2,010,800
NR BBB 2,500 Guam Power Authority,
5.25%, 10/1/13 2,250,275
NR BBB 500 Guam Power Authority,
5.25%, 10/1/23 435,220
NR BBB 750 Guam Power Authority,
6.625%, 10/1/14 772,058
A1 A 500 Montgomery, Maryland PCR
(Potomac Electric Power
Company), 5.375%, 2/15/24 477,400
A1 A 2,225 Prince Georges, Maryland
PCR (Potomac Electric),
6.375%, 1/15/23 2,374,386
-----------
$ 8,320,139
-----------
ESCROWED - 5.5%
Aaa NR $1,125 Baltimore, Maryland Single
Family Mortgage (Inner
Harbor), 8.00%, 12/1/10 $ 1,399,215
Aaa AAA 500 Maryland Health & Higher
Educational (University of
Maryland) (FGIC), 6.50%,
7/1/21 551,790
NR AAA 1,000 Commonwealth of Puerto
Rico Public Improvement,
6.80%, 7/1/21 1,151,490
Baa1 AAA 100 Puerto Rico Aqueduct &
Sewer, 7.875%, 7/1/17 111,158
Aaa AAA 1,500 Puerto Rico Public
Buildings Authority,
6.875%, 7/1/21 1,733,415
NR AAA 1,000 University of Maryland
System Auxiliary Facility
and Tuition, 6.50%, 4/1/11 1,102,110
NR AAA 175 University of Maryland
System Auxiliary Facility
and Tuition, 6.50%, 4/1/2 198,398
-----------
$ 6,247,576
-----------
GENERAL OBLIGATIONS - 8.9%
Aa AA+ $1,000 Anne Arundel, Maryland,
5.30%, 4/15/16 $ 973,410
Aa AA- 1,000 Hartford, Maryland, 4.90%,
12/1/10 972,300
A AA- 230 Prince Georges, Maryland,
5.00%, 1/15/11 223,871
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 3,625 Puerto Rico, 5.40%, 7/1/25 3,431,171
Baa1 A 2,000 Puerto Rico, 6.50%, 7/1/23 2,148,240
NR NR 750 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 794,550
Aa1 AA 500 Washington, Maryland
Suburban Sanitary
District, 6.20%, 6/1/11 532,420
Aaa1 AA 600 Washington, Maryland
Suburban Sanitary
District, 5.00%, 6/1/10 590,946
Aa NR 500 Worcester, Maryland
Sanitary District, 6.55%,
8/15/17 552,715
-----------
$ 10,219,623
-----------
HOSPITALS - 23.0%
NR NR $ 490 Berlin, Maryland (Atlantic
General Hospital), 8.375%,
6/1/22 $ 522,095
A A 4,000 MD Health & Higher
Educational (Good
Samaritan Hospital),
5.75%, 7/1/19 3,939,040
A A 1,500 MD Health & Higher
Educational (Memorial
Hospital of Cumberland),
6.50%, 7/1/17 1,572,405
A1 A 4,050 MD Health & Higher
Educational (Suburban
Hospital), 5.125%, 7/1/21 3,699,108
Baa1 NR 2,500 MD Health & Higher
Educational (Union
Hospital of Cecil), 6.70%,
7/1/22 2,550,725
A A 1,200 MD Health & Higher
Educational (Peninsula
Regional Medical Center),
5.00%, 7/1/23 1,055,688
Baa1 BBB 1,250 MD Health & Higher
Educational (Howard County
General Hospital), 5.50%,
7/1/25 1,106,300
Baa NR 1,355 Prince Georges, Maryland
(Greater SouthEast
Healthcare System),
6.375%, 1/1/13 1,305,515
Baa NR 4,500 Prince Georges, Maryland
(Greater SouthEast
Healthcare System),
6.375%, 1/1/23 4,243,860
A NR 7,000 Prince Georges, Maryland
(Dimensions Health),
5.30%, 7/1/24 6,326,950
-----------
$ 26,321,686
-----------
HOUSING - 7.3%
Aa NR $3,000 Maryland CDA Single Family
(AMT), 6.75%, 4/1/26 $ 3,112,950
Aa NR 250 Maryland CDA Single
Family. 6.85%, 4/1/11 263,703
Aa NR 985 Maryland CDA Single Family
(AMT), 6.80%, 4/1/22 996,546
</TABLE>
62
<PAGE> 18
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
Aa NR 750 Maryland CDA Single Family
(AMT), 6.80%, 4/1/24 774,518
Aa NR 1,810 Maryland CDA Multi Family
(FHA), 6.70%, 5/15/27 1,870,762
Aa NR 1,000 Maryland CDA Multi Family
(FHA) (AMT), 6.70%,
5/15/36 1,030,040
NR AAA 300 Prince Georges, Maryland
(Antoinette Gardens
Apartments) (FHA), 7.00%,
3/1/28 317,258
-----------
$ 8,365,777
-----------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL
REVENUE - 11.8%
A1 A $1,350 Allegany County, Maryland
(Westvaco Corporation
Project), 6.20%, 1/1/08 $ 1,464,440
A2 A 750 Anne Arundel, Maryland
(Beth Steel), 6.00%,
4/1/24 772,230
NR NR 1,350 Baltimore, Maryland
(Bethlehem Steel
Corporation Project),
7.50%, 6/1/15 1,419,687
Aa2 AA- 2,000 Baltimore, Maryland
(Consolidated Coal Sales
Company-E.I. Dupont),
6.50%, 12/1/10 2,181,480
Aa3 AA 2,000 Baltimore, Maryland
(Consolidated Coal Sales
Company-E.I. Dupont),
6.50%, 12/1/11 2,181,020
NR AA- 1,425 Frederick, Maryland EDA
(Cargill, Inc. Project),
6.30%, 11/1/09 (2) 1,547,379
A2 NR 2,600 Puerto Rico IM&E (American
Home), 5.10%, 12/1/18 2,411,682
Baa3 BB+ 1,500 Puerto Rico Port Authority
(American Airlines) (AMT),
6.30%, 6/1/23 1,513,395
-----------
$ 13,491,313
-----------
INSURED EDUCATION - 1.2%
Aaa AAA $1,200 Morgan State University,
Maryland Academic and
Facilities (MBIA), 6.10%,
7/1/20 $ 1,321,524
-----------
INSURED ELECTRIC UTILITIES - 0.3%
Aaa AAA $ 250 Puerto Rico Electric Power
Authority (STRIPES) (FSA),
Variable, 7/1/03 (1) $ 289,423
-----------
INSURED HOSPITALS - 12.5%
Aaa AAA $1,365 MD Health & Higher
Educational (Washington
Community Hospital)
(AMBAC), 6.375%, 7/1/22 $ 1,472,385
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 3,500 MD Health & Higher
Educational (Anne Arundel
Hospital) (AMBAC), 5.00%,
7/1/23 3,212,195
Aaa AAA 3,350 MD Health & Higher
Educational (Francis Scott
Key Hospital) (FGIC),
5.00%, 7/1/23 3,074,530
Aaa AAA 4,000 MD Health & Higher
Educational (Greater
Baltimore Medical Center)
(FGIC), 5.00%, 7/1/19 3,694,200
Aaa AAA 500 MD Health & Higher
Educational (General
Hospital) (MBIA), 6.20%,
7/1/24 525,230
Aaa AAA 2,150 Puerto Rico IM&E Hospital
(MBIA), 6.25%, 7/1/24 2,260,273
-----------
$ 14,238,813
-----------
INSURED HOUSING - 0.7%
Aaa AAA $ 235 MD CDA Housing and
Community Development
(AMBAC), 6.625%, 6/1/12 $ 257,485
Aaa AAA 500 Prince Georges, Maryland
(Keystone Apartments)
(FHA) (MBIA), 6.80%,
7/1/25 518,315
-----------
$ 775,800
-----------
INSURED TRANSPORTATION - 5.9%
Aaa AAA $2,000 Baltimore, Maryland
International Airport
(AMT) (FGIC), 6.25%,
7/1/14 $ 2,123,220
Aaa AAA 4,750 Washington, D.C. Metro
Area Transportation
(FGIC), 5.25%, 7/1/14 4,640,370
-----------
$ 6,763,590
-----------
INSURED WATER & SEWER - 3.9%
Aaa AAA $2,000 Baltimore, Maryland
Wastewater (MBIA), 5.65%,
7/1/20 $ 2,039,520
Aaa AAA 2,550 Baltimore, Maryland
Wastewater (FGIC), 5.00%,
7/1/22 2,366,859
-----------
$ 4,406,379
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 1.0%
NR BBB $1,250 PR IM&E Guaynabo Lease,
5.625%, 7/1/22 $ 1,185,075
-----------
</TABLE>
63
<PAGE> 19
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
MISCELLANEOUS - 0.8%
A NR $1,000 Baltimore, Maryland
Revenue Authority, 5.375%,
7/1/18 $ 968,970
-----------
SOLID WASTE - 5.4%
A NR $6,000 North East Maryland Solid
Waste Disposal (AMT),
6.30%, 7/1/16 $ 6,217,440
-----------
SPECIAL TAX REVENUE - 0.4%
Baa1 A $ 500 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/21 $ 461,821
-----------
TRANSPORTATION - 0.6%
NR BBB $ 700 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 707,306
-----------
WATER & SEWER - 1.5%
Aa AA $1,000 Maryland Water Quality
Financing Administration
Revolving Loan Fund, 0%,
9/1/07 $ 561,310
Aa AA 1,000 Maryland Water Quality
Financing Administration
Revolving Loan Fund,
6.55%, 9/1/14 1,095,730
-----------
$ 1,657,040
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$109,820,786) $114,347,025
===========
</TABLE>
(1) The above security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Maryland
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 24.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.3% to 14.3% of total investments.
See notes to financial statements
64
<PAGE> 20
- --------------------------------------------------------------------------------
Missouri Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 2.8%
A NR $2,750 Missouri Higher Education
Loan Authority, Student
Loan, (AMT), 5.45%,
2/15/09 $ 2,572,790
-----------
ESCROWED - 4.8%
Aaa AAA $ 240 Missouri Health &
Education Authority, St.
Louis Children's, (MBIA)
6.25%, 5/15/12 $ 268,075
Aaa AAA 350 State of Missouri,
Regional Convention &
Sports Complex Authority,
6.80%, 8/15/11 401,625
Aaa AAA 425 Missouri Health &
Education Authority,
Christian Health, (FGIC)
6.875%, 2/15/21 481,168
Aaa AAA 250 St. Louis County, Regional
Convention & Sports
Complex Authority, 7.00%,
8/15/11 290,013
Aaa AAA 600 St. Louis County,
Pattonville School
District, (FGIC) 6.25%,
2/1/10 658,776
Aaa AAA 2,000 City of Sikeston, Electric
System, (MBIA) 6.25%,
6/1/22 (2) 2,241,940
-----------
$ 4,341,597
-----------
GENERAL OBLIGATIONS - 4.4%
Baa1 A $1,750 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 $ 1,656,428
Baa1 A 700 Commonwealth of Puerto
Rico, 5.00%, 7/1/21 630,364
Baa1 A 1,250 Commonwealth of Puerto
Rico, Public Building
Authority, 5.75%, 7/1/15 1,242,675
NR NR 450 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 476,730
-----------
$ 4,006,197
-----------
HEALTH CARE - 0.4%
Baa1 NR $ 300 Cass County, Fox Springs
Living Center, 7.375%,
10/1/22 $ 323,124
-----------
HOSPITALS - 8.4%
Baa NR $2,000 Missouri Health &
Education Authority,
Jefferson Memorial, 6.00%,
8/15/23 $ 1,802,140
Aa AA 1,000 Missouri Health &
Education Authority,
Barnes Jewish Christian,
5.10%, 5/15/09 972,780
Aa AA 2,000 Missouri Health &
Education Authority,
Barnes Jewish Christian,
5.25%, 5/15/14 1,918,380
Baa NR 1,900 Missouri Health &
Education Authority,
Jefferson Memorial, 6.80%,
5/15/25 1,905,643
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA 1,000 Missouri Health &
Education Authority,
Sisters of Mercy, 6.25%,
6/1/15 1,055,140
-----------
$ 7,654,083
-----------
HOUSING - 1.8%
NR AAA $1,000 Missouri Housing
Development Authority
SFMR, (AMT), (GNMA) 7.25%,
9/1/26 $ 1,086,180
NR AAA 535 Missouri Housing
Development Authority
SFMR, (AMT), (GNMA) 6.75%,
6/1/24 558,599
-----------
$ 1,644,779
-----------
INDUSTRIAL DEVELOPMENT
REVENUE - 4.8%
NR BB $1,065 Jefferson County, Kmart
Corporation, 6.40%, 8/1/08 $ 846,941
NR NR 1,300 Kansas City, AFCO CARGO
MCI, (AMT), 8.50%, 1/1/17 1,309,191
A3 NR 1,200 Missouri Environmental
Improvement & Energy
Resources Authority,
American Cyanamid Company,
5.80%, 9/1/09 1,254,924
A2 NR 1,000 Commonwealth of Puerto
Rico, American Home
Products, 5.10%, 12/1/18 927,570
-----------
$ 4,338,626
-----------
INSURED TRANSPORTATION - 1.7%
Aaa AAA $1,000 City of St. Louis, St.
Louis-Lambert
International Airport,
(AMT), (FGIC) 6.125%,
7/1/12 $ 1,046,630
Aaa AAA 500 City of St. Louis, St.
Louis-Lambert
International Airport,
(AMT), (FGIC) 6.125%,
7/1/15 521,610
-----------
$ 1,568,240
-----------
INSURED EDUCATION - 1.1%
Aaa AAA $1,000 Southeast Missouri State
University Housing System,
(MBIA) 5.70%, 4/1/14 $ 1,024,850
-----------
INSURED GENERAL
OBLIGATIONS - 5.8%
Aaa AAA $1,250 Kansas City School
District, (FGIC) 5.00%,
2/1/14 $ 1,187,500
Aaa AAA 1,450 St. Louis County,
Mehlville School District,
(MBIA) 6.00%, 2/15/13 1,513,104
Aaa AAA 1,500 City of St. Louis School
District, (FGIC) 5.75%,
4/1/12 1,532,475
</TABLE>
65
<PAGE> 21
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATIONS -
(CONTINUED)
Aaa AAA 500 Commonwealth of Puerto
Rico, (AMBAC), Variable
7/1/15 (1) 524,495
Aaa AAA 500 Commonwealth of Puerto
Rico, (FSA), Variable
7/1/22 (1) 537,945
-----------
$ 5,295,519
-----------
INSURED HOSPITALS - 16.7%
Aaa AAA $1,000 Jackson County, Carondelet
Health System, St. Mary's,
(MBIA) 5.75%, 7/1/24 $ 1,013,110
Aaa AAA 800 Jackson County, St.
Joseph's Health System,
(MBIA) 6.50%, 7/1/19 853,864
Aaa AAA 1,000 Jackson County, St.
Joseph's Health System,
(MBIA) 6.50%, 7/1/12 1,073,550
Aaa AAA 1,500 Missouri Health &
Education Authority,
Health Midwest, (MBIA)
6.25%, 2/15/22 1,609,680
Aaa AAA 500 Missouri Health &
Education Authority,
Sisters of St. Mary,
(MBIA) 6.25%, 6/1/07 543,255
Aaa AAA 1,000 Missouri Health &
Education Authority,
Sisters of St. Mary,
(MBIA) 6.25%, 6/1/16 1,075,300
Aaa AAA 1,500 Missouri Health &
Education Authority,
Heartland Health System,
(AMBAC) 6.35%, 11/15/17 1,626,480
Aaa AAA 2,900 Missouri Health &
Education Authority,
Lester Cox Medical Center,
(MBIA) 5.35%, 6/1/10 2,940,194
Aaa AAA 2,000 Missouri Health &
Education Authority, St.
Luke's Health System,
(MBIA) 5.125%, 11/15/19 1,871,040
Aaa AAA 575 Missouri Health &
Education Authority, St.
Louis Children's, (MBIA)
0%, 5/15/08 309,293
Aaa AAA 9,500 Missouri Health &
Education Authority,
Lester Cox Medical Center,
(MBIA) 0%, 9/1/20 2,331,110
-----------
$ 15,246,876
-----------
INSURED HOUSING - 1.8%
Aaa AAA $1,500 City of Springfield, SCA
Realty Multifamily
Mortgage Receipts, (FSA)
7.10%, 1/1/30 $ 1,638,030
-----------
INSURED LEASE/CERTIFICATE
OF PARTICIPATION - 5.9%
Aaa AAA $1,500 Kansas City Municipal
Assistance Corp., Bartle
Hall Convention, (AMBAC),
5.60%, 4/15/16 $ 1,499,895
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,750 Kansas City Municipal
Assistance Corp., Bartle
Hall Convention, (AMBAC),
5.00%, 4/15/20 1,620,605
Aaa AAA 600 Kansas City School
District, Building
Corporation, (FGIC) 6.50%,
2/1/08 646,200
Aaa AAA 500 St. Charles County, Public
Facilities Authority,
(FGIC) 6.375%, 3/15/07 540,640
Aaa AAA 1,000 St. Louis County Municipal
Finance Corp., Civil
Courts Building, (FGIC)
5.75%, 8/1/13 1,025,920
-----------
$ 5,333,260
-----------
INSURED UTILITIES - 7.1%
Aaa AAA $5,000 Missouri Environmental
Improvement & Energy
Resources Authority, Union
Electric Project, (AMT),
(AMBAC), 5.45%, 10/1/28 $ 4,751,850
Aaa AAA 700 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA), Variable
7/1/03 (1) 810,383
Aaa AAA 1,000 City of Sikeston, Electric
System, (MBIA) 5.00%,
6/1/22 918,080
-----------
$ 6,480,313
-----------
INSURED WATER & SEWER - 1.7%
Aaa AAA $1,500 City of St. Louis, (FGIC)
6.00%, 7/1/14 $ 1,573,995
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 9.3%
A1 A+ $2,000 State of Missouri,
Regional Convention &
Sports Complex Authority,
5.50%, 8/15/21 $ 1,900,240
A BBB+ 3,000 St. Louis County, Regional
Convention & Sports
Complex Authority, 5.50%,
8/15/13 2,892,360
A BBB+ 1,000 St. Louis County, Regional
Convention & Sports
Complex Authority, 5.75%,
8/15/21 973,900
NR NR 1,500 City of St. Louis,
Regional Convention &
Sports Complex Authority,
7.90%, 8/15/21 1,680,480
Aa AA 1,000 Southeast Missouri
Correctional Facility,
5.75%, 10/15/16 1,019,170
-----------
$ 8,466,150
-----------
</TABLE>
66
<PAGE> 22
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
LIFE CARE - 1.1%
NR NR $ 950 Kansas City, Retirement
Facilities, Kingswood
United Methodist, 9.00%,
11/15/13 $ 1,032,384
-----------
NURSING HOMES - 2.9%
NR NR $1,000 Kansas City, Encore
Nursing Center, Beverly
Enterprises, 8.00%,
12/1/02 $ 1,049,000
NR NR 500 Missouri Health &
Education Authority,
Bethesda Health Group,
6.625%, 8/15/05 506,440
NR NR 1,000 Missouri Health &
Education Authority,
Bethesda Health Group,
7.50%, 8/15/12 1,041,050
-----------
$ 2,596,490
-----------
SOLID WASTE - 4.1%
A1 AA- $3,750 City of St. Louis,
Anheuser-Busch Company,
(AMT), 5.875%, 11/1/26 $ 3,751,200
-----------
SPECIAL TAX REVENUE - 2.2%
Baa1 A $1,000 Commonwealth of Puerto
Rico, Highway &
Transportation Authority,
6.625%, 7/1/12 $ 1,091,210
Baa1 A 1,000 Commonwealth of Puerto
Rico, Highway &
Transportation Authority,
5.50%, 7/1/17 956,400
-----------
$ 2,047,610
-----------
TRANSPORTATION - 1.1%
NR NR $1,000 Lake of the Ozarks
Community Board, Missouri
Bridge System, 6.40%,
12/1/25 $ 984,190
-----------
UTILITIES - 3.9%
NR BBB $1,010 Guam Power Authority,
6.30%, 10/1/22 $ 1,013,909
Baa1 A- 1,000 Commonwealth of Puerto
Rico, Electric Power
Authority, 5.00%, 7/1/12 920,190
Baa1 A- 1,500 Commonwealth of Puerto
Rico, Electric Power
Authority, 6.375%, 7/1/24 1,561,395
-----------
$ 3,495,494
-----------
WATER & SEWER - 6.2%
A1 AA- $ 760 City of Columbia, Sewerage
System, 6.25%, 10/1/15 $ 809,058
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa NR 800 Missouri Environmental
Improvement & Energy
Resources Authority,
6.875%, 6/1/14 883,464
Aa NR 475 Missouri Environmental
Improvement & Energy
Resources Authority,
6.45%, 7/1/08 524,847
Aa NR 500 Missouri Environmental
Improvement & Energy
Resources Authority,
6.55%, 7/1/14 539,780
Aa NR 1,000 Missouri Environmental
Improvement & Energy
Resources Authority,
6.05%, 7/1/15 1,050,830
Aa NR 1,250 Missouri Environmental
Improvement & Energy
Resources Authority,
7.20%, 7/1/16 1,456,461
Aa NR 1,000 Missouri Environmental
Improvement & Energy
Resources Authority, 0%,
1/1/14 367,260
-----------
$ 5,631,700
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$86,186,683) $ 91,047,497
===========
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Missouri
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 41.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 3.3% to 24.9% of total investments.
See notes to financial statements
67
<PAGE> 23
- --------------------------------------------------------------------------------
North Carolina Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 1.2%
Aa1 AA+ $1,000 North Carolina Educational
Facilities Finance Agency,
Duke University, 6.75%,
10/1/21 $ 1,109,140
NR AAA 1,000 North Carolina Educational
Facilities Finance Agency,
Elon College, CLEE,
6.375%, 1/1/07 1,076,250
-----------
$ 2,185,390
-----------
ESCROWED - 3.8%
Aaa A $ 655 North Carolina Municipal
Power, Catawba Electric,
Escrowed to Maturity,
5.00%, 1/1/20 $ 632,834
Aaa AA- 2,450 Pitt County Memorial
Hospital, Prerefunded to
12/1/01, 6.90%, 12/1/21 2,795,597
NR AAA 150 Puerto Rico General
Obligation, Prerefunded to
7/1/02, 7.30%, 7/1/20 171,662
Aaa AAA 1,500 Puerto Rico Public
Building Authority,
Prerefunded to 7/1/02,
6.875%, 7/1/12 1,733,415
Aaa A- 1,000 Puerto Rico Electric Power
Authority, Prerefunded to
7/1/01, 7.00%, 7/1/21 1,150,840
Baa1 AAA 635 Puerto Rico Electric Power
Authority, Prerefunded to
7/1/99, 7.125%, 7/1/14 707,612
-----------
$ 7,191,960
-----------
GENERAL OBLIGATIONS - 6.5%
A A- $ 175 Eden, Water and Sewer
Bonds, (AMT), 6.75%,
6/1/08 $ 191,326
NR BBB 970 Guam, 5.40%, 11/15/18 871,700
Aaa AAA 3,550 North Carolina Capital
Improvements, 4.75%,
2/1/12 3,367,317
Baa1 A 2,500 Puerto Rico Aqueduct and
Sewer Authority, 5.00%,
7/1/15 2,310,175
Baa1 A 3,000 Puerto Rico, 5.40%, 7/1/25 2,839,590
NR NR 2,550 Virgin Island, 7.25%,
10/1/18 2,701,470
-----------
$ 12,281,578
-----------
HEALTH CARE - 0.9%
Aa AA $1,700 North Carolina Medical
Care Commission, Carolina
Medicorp, 6.00%, 5/1/21 $ 1,708,789
-----------
HOSPITALS - 17.2%
Aa AA $2,090 Charlotte-Mecklenberg
Hospital, 0%, 1/1/06 $ 1,263,489
Aa AA 2,345 Charlotte-Mecklenberg
Hospital, 6.25%, 1/1/20 2,417,789
A A+ 2,410 North Carolina Medical
Care Commission, Gaston
Memorial Hospital, 5.50%,
2/15/15 2,346,328
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A A+ 1,000 North Carolina Medical
Care Commission, Gaston
Memorial Hospital, 5.50%,
2/15/19 964,620
NR A 5,500 North Carolina Medical
Care Commission, Mercy
Hospital, 6.50%, 8/1/08 5,801,510
Aa AA- 3,000 North Carolina Medical
Care Commission, North
Carolina Baptist Hospital,
6.00%, 6/1/22 3,024,840
Aa AA 3,700 North Carolina Medical
Care Commission,
Presbyterian Health
Services, 6.00%, 10/1/24 3,721,941
A1 A+ 5,000 North Carolina Medical
Care Commission, Rex
Hospital, 6.125%, 6/1/10 5,110,800
NR BBB+ 2,500 North Carolina Medical
Care Commission, Roanoke-
Chowan Hospital, 7.75%,
10/1/19 2,650,925
NR AA 950 North Carolina Medical
Care Commission, Scotland
Memorial Hospital, 5.375%,
10/1/11 (2) 918,355
Aa AA- 2,000 Pitt County, Pitt Memorial
Hospital, 5.50%, 12/1/15 1,950,460
Aa AA- 2,380 University of North
Carolina at Chapel Hill,
6.00%, 2/15/24 2,415,890
-----------
$ 32,586,947
-----------
HOUSING -- 10.8%
NR AAA $1,900 Charlotte Housing, Double
Oaks, (FHA), (FNMA),
7.35%, 5/15/26 $ 2,076,282
Aa AA 2,250 North Carolina HFA, MFMR,
6.70%, 1/1/27 2,360,813
Aa AA 4,395 North Carolina HFA, MFMR,
6.85%, 7/1/13 4,680,807
Aa A+ 870 North Carolina HFA, SFMR,
6.95%, 3/1/17 921,835
Aa A+ 890 North Carolina HFA, SFMR,
(AMT), 7.05%, 9/1/20 939,947
Aa A+ 3,880 North Carolina HFA, SFMR,
(AMT), 6.70%, 9/1/26 4,037,450
Aa A+ 2,120 North Carolina HFA, SFMR,
(AMT), 6.60%, 9/1/26 2,192,907
Aa A+ 3,000 North Carolina HFA, SFMR,
(AMT), 6.20%, 9/1/27 3,026,100
Aaa AAA 200 Puerto Rico HFC, SFMR,
(GNMA), 6.85%, 10/15/23 136,580
-----------
$ 20,372,721
-----------
</TABLE>
68
<PAGE> 24
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT REVENUE -- 10.1%
Baa1 BBB $1,500 Haywood County, Champion
International Corporation,
(AMT), 5.75%, 12/1/25 $ 1,406,745
Baa1 BBB 3,200 Haywood County, Champion
International Corporation,
(AMT), 5.50%, 10/1/18 2,973,536
Baa1 NR 1,350 Haywood County, Champion
International Corporation,
(AMT), 6.25%, 9/1/25 1,351,080
A2 A 1,000 Martin County,
Weyerhaeuser Company
Project, (AMT), 5.65%,
12/1/23 952,870
A2 A 4,250 Martin County,
Weyerhaeuser Company
Project, (AMT), 6.80%,
5/1/24 4,505,298
A2 A 2,500 Martin County,
Weyerhaeuser Company
Project, (AMT), 6.00%,
11/1/25 2,489,450
Baa2 BBB 2,500 New Hanover County,
Occidental Petroleum
Corporation, 6.70%, 7/1/19 2,665,275
NR AA 850 Robeson County, Campbell
Soup Company, 6.40%,
12/1/06 942,650
Baa3 BB+ 1,500 Raleigh-Durham Airport
Authority, American
Airlines Inc., 9.40%,
11/1/00 1,719,990
-----------
$ 19,006,894
-----------
INSURED GENERAL
OBLIGATIONS -- 2.5%
Aaa AAA $1,000 Puerto Rico, (AMBAC),
Variable, 7/1/15 (1) $ 1,048,990
Aaa AAA 3,500 Puerto Rico, (FSA),
Variable, 7/1/22 (1) 3,765,615
-----------
$ 4,814,605
-----------
INSURED HOSPITALS -- 9.7%
Aaa AAA $2,000 Catawba County, Catawba
Memorial Hospital,
(AMBAC), 6.20%, 10/1/09 $ 2,091,780
Aaa AAA 500 Cumberland County
Hospital, (MBIA), 0%,
10/1/09 239,415
Aaa AAA 3,750 North Carolina Medical
Care Commission, Moore
Regional Hospital, (FGIC),
5.00%, 10/1/18 3,477,113
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,750 North Carolina Medical
Care Commission, Moore
Regional Hospital, (FGIC),
5.20%, 10/1/13 1,674,155
Aaa AAA 2,500 North Carolina Medical
Care Commission,
Wesley-Long Community
Hospital, (AMBAC), 5.25%,
10/1/17 2,376,100
Aaa AAA 935 North Carolina Medical
Care Commission, Memorial
Mission Hospital, (FSA),
0%, 10/1/06 541,140
Aaa AAA 5,000 North Carolina Medical
Care Commission, St.
Joseph's Medical Center,
(AMBAC), 5.10%, 10/1/14 4,729,950
Aaa AAA 4,430 Wake County, North
Carolina Hospital System,
(MBIA), 0%, 10/1/09 2,129,634
Aaa AAA 2,230 Wake County, North
Carolina Hospital System,
(MBIA), 0%, 10/1/10 988,715
-----------
$ 18,248,002
-----------
INSURED LEASE/CERTIFICATES
OF PARTICIPATION - 9.0%
Aaa AAA $4,500 Charlotte, Convention
Facility, (AMBAC), 5.25%,
12/1/13 $ 4,383,090
Aaa AAA 1,750 Duplin County, (FGIC),
5.25%, 8/1/14 1,682,030
Aaa AAA 1,575 Franklin, (FGIC), 6.625%,
6/1/14 1,707,804
Aaa AAA 5,000 Iredell County, Iredell-
Statesville Schools,
(FGIC), 6.125%, 6/1/07 5,351,150
Aaa AAA 1,000 Mooresville School
District, (AMBAC), 6.35%,
10/1/14 1,057,420
Aaa AAA 1,770 Pasquotank County School
District, (MBIA), 5.00%,
6/1/20 1,634,330
Aaa AAA 1,000 Rutherford County, (FGIC),
6.25%, 6/1/23 1,045,260
Aaa AAA 200 Scotland County, (CGIC),
6.75%, 3/1/11 216,104
-----------
$ 17,077,188
-----------
INSURED TRANSPORTATION - 1.7%
Aaa AAA $3,300 Piedmont Triad Airport
Authority, (MBIA), 5.125%,
7/1/12 $ 3,174,402
-----------
</TABLE>
69
<PAGE> 25
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES - 9.0%
Aaa AAA $5,500 North Carolina Municipal
Power Authority, Catawba
Electric, (AMBAC), 5.75%,
1/1/15 $ 5,493,180
Aaa AAA 4,650 North Carolina Municipal
Power Authority, Catawba
Electric, (AMBAC), 5.375%,
1/1/20 4,477,392
Aaa AAA 4,000 North Carolina Municipal
Power Authority, Catawba
Electric, (MBIA),
Variable, 1/1/12 (1) 3,975,240
Aaa AAA 1,500 North Carolina Eastern
Municipal Power Authority,
(FSA), Variable, 1/1/19
(1) 1,519,680
Aaa AAA 1,400 Puerto Rico Electric Power
Authority, Stripes, (FSA),
Variable, 7/1/02 (1) 1,595,076
-----------
$ 17,060,568
-----------
LEASE/CERTIFICATES OF
PARTICIPATION - 3.7%
A1 A- $2,065 Buncombe County, 6.625%,
12/1/10 $ 2,257,025
NR AA 825 Durham County, 6.10%,
7/15/07 892,493
Aa AA 985 Durham County, 6.75%,
12/1/11 1,079,629
A1 AA 2,400 Greensboro, Greensboro
Coliseum Arena, 6.75%,
12/1/09 2,685,360
-----------
$ 6,914,507
-----------
SPECIAL TAX REVENUE - 4.0%
A1 AA- $2,200 Greensboro, North
Carolina, Enterprise
System, 5.375%, 6/1/19 $ 2,135,892
Baa1 BBB+ 200 Puerto Rico Finance
Authority, 7.90%, 7/1/07 216,986
Baa1 A 4,000 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/20 3,714,760
Baa1 A 1,490 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 1,453,525
-----------
$ 7,521,163
-----------
UTILITIES - 8.9%
A2 A $1,015 Chatham County Industrial
Facilities and Pollution,
Carolina Power & Light,
6.30%, 6/1/14 $ 1,117,545
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A A- 550 North Carolina Municipal
Power, Catawba Electric,
7.00%, 1/1/16 570,620
A BBB+ 5,000 North Carolina Municipal
Power, Eastern Power,
6.125%, 1/1/09 5,190,950
A BBB+ 1,500 North Carolina Municipal
Power, Eastern Power,
6.40%, 1/1/21 1,530,180
A BBB+ 3,200 North Carolina Municipal
Power, Eastern Power,
6.00%, 1/1/26 3,226,335
A BBB+ 1,750 North Carolina Municipal
Power, Eastern Power,
7.00%, 1/1/13 1,951,390
Baa1 A- 2,000 Puerto Rico Electric Power
Authority, 6.00%, 7/1/16 564,660
Baa1 A- 2,000 Puerto Rico Electric Power
Authority, 0%, 7/1/17 2,019,700
Baa1 A- 365 Puerto Rico Electric Power
Authority, 7.125%, 7/1/14 396,941
NR NR 250 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 265,450
-----------
$ 16,833,771
-----------
WATER & SEWER - 1.0%
Aa AA $2,000 Orange County, Water &
Sewer, 5.20%, 7/1/16 $ 1,941,240
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$177,222,075) $188,919,725
===========
</TABLE>
(1) The above security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by North Carolina
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 32.0% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.1% to 13.6% of total investments.
See notes to financial statements
70
<PAGE> 26
- --------------------------------------------------------------------------------
Oregon Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
COGENERATION - 1.5%
NR NR $2,000 Western Generation Agency,
Wauna Cogeneration
Project, (AMT), 7.40%,
1/1/16 $ 2,153,820
-----------
EDUCATION - 2.6%
NR A+ $2,750 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Reed College
Project, 5.375%, 7/1/25 $ 2,623,115
A NR 1,000 City of Salem, Educational
Facilities, Willamette
University Project, 6.10%,
4/1/14 1,047,750
-----------
$ 3,670,865
-----------
ESCROWED - 2.8%
A1 AAA $2,000 City of Medford, Rogue
Valley Memorial Hospital,
6.25%, 12/1/07 $ 2,252,020
NR AAA 200 Puerto Rico Highway &
Transportation Authority,
6.625%, 7/1/08 228,376
NR A+ 1,250 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Reed College
Project, 6.75%, 7/1/21 1,414,138
-----------
$ 3,894,534
-----------
GENERAL
OBLIGATIONS - 15.8%
Aa AA+ $1,000 Tri County Metropolitan
Transportation District,
Light Rail Extension,
6.00%, 7/1/12 $ 1,047,490
Aa NR 1,000 Clackamas & Multnomah
Counties, Lake Oswego
School District, 5.70%,
6/15/10 1,033,870
Aa NR 2,000 Lane County, City of
Eugene, School District,
5.375%, 7/1/13 2,011,240
Aa AA- 1,000 State of Oregon, Oregon
Veterans' Welfare Bonds,
9.00%, 4/1/04 1,297,770
Aa AA- 1,500 State of Oregon, Oregon
Veterans' Welfare Bonds,
5.875%, 10/1/18 1,532,145
Aa AA- 1,000 State of Oregon, Board of
Higher Education, 6.00%,
10/15/18 1,049,900
Aa AA- 1,250 State of Oregon, Elderly
and Disabled Housing,
6.375%, 8/1/24 1,343,513
Aa AA- 1,000 State of Oregon, Elderly
and Disabled Housing,
(AMT), 5.625%, 8/1/18 1,011,950
Aa AA- 6,110 State of Oregon, Elderly
and Disabled Housing,
(AMT), 5.65%, 8/1/26 6,149,471
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 1,675 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 1,585,437
Baa1 A 1,000 Commonwealth of Puerto
Rico Aqueduct and Sewer
Authority, 6.25%, 7/1/12 1,084,530
Baa1 A 2,000 Commonwealth of Puerto
Rico Public Building
Authority, 5.75%, 7/1/15 1,988,280
Baa1 A 1,000 Commonwealth of Puerto
Rico Public Building
Authority, 5.50%, 7/1/21 953,970
-----------
$ 22,089,566
-----------
HOSPITALS - 1.5%
NR A $1,000 Benton County, Good
Samaritan Hospital
Corvallis, 6.25%, 10/1/09 $ 1,021,880
Aa3 AA 1,000 Clackamas County, Kaiser
Permanente, 6.25%, 4/1/21 1,059,600
-----------
$ 2,081,480
-----------
HOUSING - 10.6%
NR A $1,750 City of Portland Housing
Authority, Multi-Family
Mortgage Revenue,
Riverwood Project, 6.00%,
1/1/19 $ 1,743,350
Aa NR 2,500 State of Oregon Housing
and Community Services
Department, Multi-Family
Mortgage Revenue, 6.875%,
7/1/28 2,651,450
Aa NR 1,055 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.80%, 7/1/27 1,108,320
Aa1 NR 1,500 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, 5.375%,
7/1/17 1,440,135
Aa NR 3,500 State of Oregon, Housing
and Community Services
Department, Single Family
Mortgage Revenue, 5.45%,
7/1/24 3,325,630
Aa NR 2,500 State of Oregon, Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.45%, 7/1/26 2,537,825
</TABLE>
71
<PAGE> 27
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
Aa NR 2,000 State of Oregon, Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.40%, 7/1/26 2,022,240
-----------
$ 14,828,950
-----------
INDUSTRIAL
DEVELOPMENT/POLLUTION
CONTROL REVENUE - 7.4%
Baa2 BBB- $3,500 Oregon Economic
Development Authority,
Georgia Pacific, 6.35%,
8/1/25 $ 3,435,740
NR BBB- 5,000 Port of Astoria, James
River Project, 6.55%,
2/1/15 (2) 5,111,100
NR NR 750 Port of Portland, Ash
Grove Cement Co., 7.25%,
10/1/09 827,318
Baa1 A 1,000 Port of Portland, North
Portland Crown Zellerbach
Corporation, 6.125%,
5/15/08 1,000,060
-----------
$ 10,374,218
-----------
INSURED TRANSPORTATION - 4.9%
Aaa AAA $1,000 Port of Portland, Portland
International Airport,
(AMT), (AMBAC), 6.25%,
7/1/18 $ 1,071,120
Aaa AAA 2,750 Port of Portland, Portland
International Airport,
(AMT), (FGIC), 6.00%,
7/1/23 2,892,560
Aaa AAA 1,250 Port of Portland, Portland
International Airport,
(AMT), (FGIC), 5.75%,
7/1/25 1,264,400
Aaa AAA 1,500 Oregon Department of
Transportation, Westside
Light Rail, (MBIA), 6.25%,
6/1/09 1,635,585
-----------
$ 6,863,665
-----------
INSURED EDUCATION - 1.9%
Aaa AAA $1,000 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Lewis and Clark
College, (MBIA), 6.00%,
10/1/13 $ 1,044,520
Aaa AAA 1,500 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Lewis and Clark
College, (MBIA), 6.125%,
10/1/24 1,570,650
-----------
$ 2,615,170
-----------
INSURED GENERAL
OBLIGATIONS - 3.7%
Aaa AAA $1,000 Multnomah County, Parkrose
School District, (FGIC),
5.70%, 12/1/09 $ 1,054,910
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,000 Multnomah County, Parkrose
School District, (FGIC),
5.50%, 12/1/10 1,033,350
Aaa AAA 1,000 Yamhill, Clackamas &
Washington Counties,
Newberg School Dist.,
(FSA), 5.50%, 6/1/10 1,025,190
Aaa AAA 2,000 Puerto Rico, (AMBAC),
Variable, 7/1/15 (1) 2,097,980
-----------
$ 5,211,430
-----------
INSURED HOSPITALS - 4.6%
Aaa AAA $3,630 Oregon Health Science
University, Capital
Appreciation, (MBIA), 0%,
7/1/21 $ 859,693
Aaa AAA 2,500 Oregon Health Science
University, Capital
Appreciation, (MBIA),
5.25%, 7/1/28 2,369,750
Aaa AAA 2,000 City of Portland, Hospital
Facilities Authority,
Legacy Health System,
(AMBAC), 6.70%, 5/1/21 2,186,540
Aaa AAA 1,000 Western Lane Hospital
District Authority,
Sisters of St. Joseph of
Peace, (MBIA), 5.75%,
8/1/19 1,011,640
-----------
$ 6,427,623
-----------
INSURED LEASE/CERTIFICATES
OF PARTICIPATIONS - 4.9%
Aaa AAA $1,250 State of Oregon,
Department of General
Services, Certificates of
Participation, Real
Property Financing
Program, (AMBAC), 6.25%,
9/1/15 $ 1,317,750
Aaa AAA 1,500 State of Oregon,
Department of General
Services, Certificates of
Participation, Real
Property Financing
Program, (MBIA), 6.25%,
11/1/19 (2) 1,581,735
Aaa AAA 2,775 State of Oregon,
Department of
Administration,
Certificate of
Participation, (MBIA),
5.375%, 11/1/16 2,712,174
Aaa AAA 1,200 State of Oregon,
Department of
Administration,
Certificate of
Participation, (MBIA),
5.50%, 11/1/20 1,182,384
-----------
$ 6,794,043
-----------
INSURED UTILITIES - 2.6%
Aaa AAA $1,000 Lane County, Emerald
People's Utility District,
Electric System, (AMBAC),
5.75%, 11/1/16 $ 1,021,090
</TABLE>
72
<PAGE> 28
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES - (CONTINUED)
Aaa AAA 1,000 City of Eugene, Electric
Utility Revenue, (MBIA),
5.80%, 8/1/22 1,034,680
Aaa AAA 1,000 Northern Wasco County,
Peoples Utility District,
(FGIC), 5.625%, 12/1/22 1,005,910
Aaa AAA 500 Puerto Rico Electric Power
Authority, (FSA),
Variable, 7/1/03 (1) 578,845
-----------
$ 3,640,525
-----------
INSURED WATER & SEWER - 4.8%
Aaa AAA $1,000 City of Beaverton,
Washington County, Water
Revenue, (FSA), 6.125%,
6/1/14 $ 1,048,600
Aaa AAA 1,500 City of Portland, Sewer
System, (FGIC), 6.00%,
10/1/12 1,585,260
Aaa AAA 1,000 South Fork Water Board,
First Lien Water Revenue,
(FSA), 6.00%, 2/1/14 1,045,350
Aaa AAA 1,375 Washington County, Unified
Sewerage Agency, Senior
Lien, (AMBAC), 6.125%,
10/1/12 1,454,214
Aaa AAA 1,500 Washington County, Unified
Sewerage Agency, (AMBAC),
6.125%, 10/1/12 1,586,415
-----------
$ 6,719,839
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 3.2%
A A $3,000 State of Oregon,
Certificates of
Participation, Metro
Regional Center Project,
5.25%, 8/1/22 $ 2,832,270
Aa A 1,500 Multnomah County,
Certificates of
Participation, Juvenile
Justice Complex, 6.00%,
8/1/12 1,555,170
-----------
$ 4,387,440
-----------
MISCELLANEOUS - 1.1%
A1 NR $1,500 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority, Oregon Coast
Aquarium, 5.25%, 10/1/13 $ 1,491,420
-----------
SPECIAL TAX REVENUE - 7.3%
A NR $1,000 City of Portland, Urban
Renewal and Redevelopment
Bonds, Downtown Waterfront
Project, 6.40%, 6/1/08 $ 1,085,290
Baa1 A 1,500 Puerto Rico Highway and
Transportation Authority,
6.375%, 7/1/08 1,616,790
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 1,720 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/20 1,597,347
Baa1 A 2,000 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/17 1,912,800
Baa1 A 800 Puerto Rico Highway and
Transportation Authority,
6.625%, 7/1/18 872,968
A1 AA 3,000 Tri-County Metropolitan
Transportation District,
Limited Tax Pledge, 5.70%,
8/1/13 3,048,660
-----------
$ 10,133,855
-----------
TRANSPORTATION - 3.6%
Ba1 BB $1,500 Port of Portland, Special
Obligation Revenue Bonds,
Delta Airlines Inc.
Project, (AMT), 6.20%,
9/1/22 $ 1,500,960
NR BBB 2,000 Guam Airport Authority,
6.50%, 10/1/23 2,006,920
NR BBB 1,500 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 1,515,705
-----------
$ 5,023,585
-----------
UTILITIES - 12.6%
A1 AA $1,500 City of Eugene, Electric
Utility System, 6.00%,
8/1/11 $ 1,555,485
A1 AA 4,055 City of Eugene, Electric
Utility System, 5.75%,
8/1/16 4,124,624
Aa AA 4,000 City of Eugene, Trojan
Nuclear Power Project,
5.90%, 9/1/09 (2) 4,005,040
Aa AA 4,000 Northern Wasco County,
People's Utility District,
McNary Dam Fishway
Hydroelectric Project,
Bonneville Power
Administration, 5.20%,
12/1/24 3,718,520
Baa1 A- 4,000 Puerto Rico Electric Power
Authority, 5.00%, 7/1/12 3,680,760
A A+ 500 Puerto Rico Telephone
Authority, Variable,
1/1/20 (1) 532,635
-----------
$ 17,617,064
-----------
WATER & SEWER - 2.6%
NR A+ $2,000 Clackamus County, Water
Revenue, 6.375%, 10/1/14 $ 2,175,580
A A+ 1,500 City of Gresham, Water
Revenue, 5.20%, 11/1/10 1,493,803
-----------
$ 3,669,383
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$133,580,135) $139,688,475
===========
</TABLE>
73
<PAGE> 29
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Oregon
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 26.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 2.6% to 10.8% of total investments.
See notes to financial statements
74
<PAGE> 30
- --------------------------------------------------------------------------------
South Carolina Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 2.3%
NR A $1,500 SC Education Authority,
Student Loan, (AMT), 6.30%,
9/1/08 $ 1,540,905
-----------
GENERAL OBLIGATIONS - 4.8%
NR BBB $1,025 Guam, 5.40%, 11/15/18 $ 921,127
Baa1 A 1,000 Puerto Rico Public
Building, 5.75%, 7/1/16 991,620
Baa1 A 1,000 Puerto Rico, 6.50%, 7/1/23 1,074,120
NR NR 200 Virgin Islands, 7.25%,
10/1/18 211,880
-----------
$ 3,198,747
-----------
HOSPITALS - 5.7%
NR AA- $ 725 Greenville Hospital System
Board of Trustees, 7.00%,
5/1/17 $ 766,695
Baa1 NR 1,500 Horry County, Conway
Hospital, 6.75%, 7/1/12 (3) 1,552,830
NR AAA 1,500 SC Jobs Economic
Developement, Oconee
Memorial Hospital, 6.15%,
3/1/25 1,536,075
-----------
$ 3,855,600
-----------
HOUSING - 11.7%
NR AA $ 990 South Carolina HFA, MFMR,
Westbury Place, 6.05%,
7/1/27 $ 985,753
NR BBB+ 1,000 South Carolina HFA, MFMR,
Hunting Ridge, (AMT),
6.75%, 6/1/25 1,008,470
NR AA- 1,780 South Carolina HFA, MFMR,
Runaway Bay Apt. Project,
6.20%, 12/1/20 1,766,436
Aa AA 1,500 South Carolina HFA, SFMR,
6.375%, 7/1/16 1,528,785
Aa NR 1,500 South Carolina HFA, SFMR,
6.45%, 7/1/17 1,547,715
Aa NR 1,000 South Carolina HFA, SFMR,
(AMT), 6.75%, 7/1/26 1,031,350
-----------
$ 7,868,509
-----------
INDUSTRIAL DEVELOPMENT - 18.6%
Baa2 BBB $1,890 Aiken County, IDA, Beloit
Corporation, 6.00%, 12/1/11 $ 1,918,690
NR BBB+ 1,500 Chester County, IDA, 7.35%,
2/1/14 1,633,005
A1 AA- 1,500 Darlington County, IDA,
Nucor Corporation, (AMT),
5.75%, 8/1/23 (3) 1,473,510
A2 A+ 500 Darlington County, IDB,
Sonoco Products, (AMT),
6.125%, 6/1/25 512,810
Aa3 AA 500 Florence County, IDA,
Pollution Control, E.I. du
Pont de Nemours & Co.,
6.35%, 7/1/22 533,170
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 A- 2,665 Richland County, IDA,
Pollution Control, Union
Camp Corporation, (AMT),
6.75%, 11/1/22 2,848,805
NR NR 1,500 Spartanburg County, IDA,
Solid Waste, Bavarian Motor
Works Corp., (AMT), 7.55%,
11/1/24 1,640,985
A2 A+ 2,000 York County, IDA, Hoechst
Celanese Corporation,
(AMT), 5.70%, 1/1/24 1,958,820
-----------
$12,519,795
-----------
INSURED EDUCATION - 0.4%
Aaa AAA $ 250 College of Charleston,
Housing and Auxiliary
Facilities, (MBIA), 6.00%,
10/1/07 $ 260,438
-----------
INSURED GENERAL
OBLIGATION - 1.6%
Aaa AAA $1,000 Berkeley County School
District, (AMBAC), 6.30%,
2/1/16 $ 1,061,190
-----------
INSURED HEALTHCARE - 6.9%
Aaa AAA $2,000 South Carolina Jobs-EDA,
Anderson Area Med. Center,
(MBIA), 5.25%, 2/1/15 $ 1,896,540
Aaa AAA 3,000 South Carolina Jobs-EDA,
Anderson Area Med. Center,
(MBIA), 5.25%, 2/1/15 2,766,780
-----------
$ 4,663,320
-----------
INSURED HOSPITALS - 8.5%
Aaa AAA $1,000 Florence County, McLeod
Medical Center, (FGIC),
5.25%, 11/1/09 $ 967,740
Aaa AAA 1,500 Greenwood County, Self
Memorial Hospital, (FGIC),
5.875%, 10/1/17 (4) 1,529,055
Aaa AAA 300 Lexington County Health
Services District, Inc.,
(FSA), 6.75%, 10/1/18 322,506
Aaa AAA 1,000 South Carolina Jobs-EDA,
Baptist Hospital, (AMBAC),
5.45%, 8/1/15 987,560
Aaa AAA 1,000 South Carolina Jobs-EDA,
Baptist Hospital, (AMBAC),
Variable, 8/1/15 (1) 947,860
Aaa AAA 1,000 South Carolina Jobs-EDA,
Baptist Hospital, (AMBAC),
Variable, 8/1/15 (1) 1,000,000
-----------
$ 5,754,721
-----------
INSURED LEASE/CERTIFICATE
OF PARTICIPATION -- 6.9%
Aaa AAA $ 500 Charleston County, (MBIA),
6.10%, 6/1/11 $ 532,875
</TABLE>
75
<PAGE> 31
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED LEASE/CERTIFICATE OF
PARTICIPATION - (CONTINUED)
Aaa AAA 1,000 Charleston County, (MBIA),
7.00%, 6/1/19 1,098,380
Aaa AAA 1,060 Chesterfield County School
District, (MBIA), 6.00%,
7/1/15 1,084,380
Aaa AAA 1,000 Florence County, Law
Center, (AMBAC), 6.00%,
3/1/14 1,027,940
Aaa AAA 900 North Charleston, Coliseum
Capital Improvements,
(FGIC), 6.00%, 1/1/11 931,032
-----------
$ 4,674,607
-----------
INSURED SOLID WASTE -- 0.8%
Aaa AAA $ 500 Charleston County, (FGIC),
6.00%, 1/1/14 $ 520,965
-----------
INSURED UTILITIES -- 12.0%
Aaa AAA $ 300 Piedmont Municipal Power
Agency, (MBIA), 6.25%,
1/1/09 $ 332,154
Aaa AAA 1,000 Piedmont Municipal Power
Agency, (MBIA), 6.30%,
1/1/14 1,045,270
Aaa AAA 400 Puerto Rico Electric Power
Authority, (STRIPES),
(FSA), Variable, 7/1/02 (1) 455,736
Aaa AAA 150 Rock Hill, Downtown
Redevelopment, (AMBAC),
5.375%, 1/1/14 146,378
Aaa AAA 1,000 South Carolina Public
Service Authority, Santee
Cooper, (AMBAC), 5.00%,
1/1/14 945,750
Aaa AAA 1,000 South Carolina Public
Service Authority, Santee
Cooper, (MBIA), 5.125%,
1/1/32 915,340
Aaa AAA 1,500 South Carolina Public
Service Authority, (MBIA),
5.75%, 1/1/10 (2) 1,508,805
Aaa AAA 1,500 South Carolina Public
Service Authority, (MBIA),
5.75%, 1/1/22 (2) 1,447,110
Aaa AAA 1,250 South Carolina Public
Service Authority, (AMBAC),
6.375%, 7/1/21 1,309,375
-----------
$ 8,105,918
-----------
INSURED WATER & SEWER -- 2.2%
Aaa AAA $1,000 Berkeley County, South
Carolina Water and Sewer
System, (MBIA), 5.55%,
6/1/15 $ 989,410
Aaa AAA 500 Mount Pleasant, Waterworks
and Sewer System, (AMBAC),
6.00%, 12/1/20 517,810
-----------
$ 1,507,220
-----------
LEASE/CERTIFICATE OF
PARTICIPATION -- 3.9%
Baa NR $ 750 Lexington School District,
6.90%, 7/1/08 $ 807,278
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 BBB+ 1,750 Myrtle Beach Convention
Center, 6.875%, 7/1/17 1,845,445
-----------
$ 2,652,723
-----------
MISCELLANEOUS -- 0.5%
NR A+ $ 300 South Carolina Resource
Authority, 7.00%, 4/1/13 $ 313,404
-----------
UTILITIES -- 12.2%
A2 A- $1,650 Berkeley County, South
Carolina Electric & Gas
Company, 6.50%, 10/1/14 $ 1,777,397
A2 A 1,500 Darlington County, Carolina
Power & Light Company,
6.60%, 11/1/10 1,625,205
Aa2 AA- 1,000 Oconee County PCR, Duke
Power Co. Project 5.80%,
4/1/14 1,018,290
A BBB 500 Piedmont Municipal Power
Agency, 5.75%, 1/1/24 476,010
Baa1 A- 1,400 Puerto Rico Electric Power
Authority, 6.25%, 7/1/17 1,439,116
Baa1 A- 500 Puerto Rico Electric Power
Authority, 6.375%, 7/1/24 520,465
A1 A+ 500 South Carolina Public
Service Authority, Santee
Cooper, 6.00%, 7/1/31 502,430
A1 A+ 1,000 South Carolina Public
Service Authority, 5.125%,
1/1/32 884,920
-----------
$ 8,243,833
-----------
WATER & SEWER REVENUE -- 1.0%
Aa AA $ 500 Columbia, Waterworks and
Sewer System, 5.375%,
2/1/12 $ 510,450
A1 AA- 150 Spartanburg, Water System,
6.25%, 6/1/12 159,128
-----------
$ 669,578
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$63,721,739) $67,411,470
===========
</TABLE>
(1) The above security has been issued as an inverse floater bond.
(2) When-Issued Security.
(3) Security has been segregated to cover when-issued securities.
(4) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by South Carolina
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
76
<PAGE> 32
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
developments, at February 29, 1996, 39.4% 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 by financial
institution ranged from 1.2% to 23.6% of total investments.
See notes to financial statements
77
<PAGE> 33
- --------------------------------------------------------------------------------
Tennessee Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION -- 6.1%
NR AA $1,500 Jackson Health, Education,
& Housing, Lambuth
University, 5.90%, 9/1/20 $ 1,518,705
Aa AA 1,000 Nashville and Davidson
County, Vanderbilt
University, 5.20%, 7/1/08 964,100
Baa NR 1,000 Nashville and Davidson
County, Belmont
University, 6.40%, 12/1/19 1,038,430
-----------
$ 3,521,235
-----------
ESCROWED -- 2.7%
Aaa AAA $1,500 Shelby County, Lebonheur
Children's Hospital,
(MBIA) 5.50%, 8/15/12 $ 1,532,595
-----------
GENERAL
OBLIGATIONS -- 3.5%
Aa AA+ $1,000 Shelby County, 5.625%,
4/1/14 (2) $ 1,019,590
Aa AA+ 1,000 Shelby County, 5.125%,
3/1/16 964,250
-----------
$ 1,983,840
-----------
HOSPITALS -- 4.1%
Baa1 NR $ 500 City of Clarksville,
Clarksville Memorial,
6.25%, 7/1/08 $ 506,280
Baa1 NR 500 City of Clarksville,
Clarksville Memorial,
6.375%, 7/1/18 502,205
Baa1 BBB+ 250 Knox County, East
Tennessee Children's,
6.50%, 10/1/12 254,248
NR A- 1,000 Sumner County, Sumner
Regional Health Systems,
7.50%, 11/1/14 1,101,280
-----------
$ 2,364,013
-----------
HOUSING -- 16.6%
NR AAA $ 500 Knoxville Community
Development Corporation,
MFMR, Morningside Gardens,
(GNMA) 6.10%, 7/20/20 $ 502,790
NR A 750 Knoxville Community
Development Corporation,
MFMR, Clinton Towers,
6.65%, 10/15/10 771,683
NR A 1,645 Nashville and Davidson
County, MFMR, The Park at
Hermitage, 5.90%, 2/1/09 1,548,603
NR A 800 Murfreesboro Housing
Authority, MFMR,
Westbrooks Towers Project,
5.875%, 1/15/10 776,704
Aa A+ 465 TN HDA, Homeownership
Program, 6.80%, 7/1/17 481,647
A1 A+ 2,000 TN HDA, Mortgage Finance
Program, 5.85%, 7/1/13 2,024,140
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 A+ 2,000 TN HDA, Mortgage Finance
Program, 5.95%, 7/1/28 2,009,740
Aa AA 1,500 TN HDA, Homeownership
Program, (AMT) 5.75%,
7/1/24 1,451,040
-----------
$ 9,566,347
-----------
INDUSTRIAL DEVELOPMENT
REVENUE -- 21.3%
Aa3 AA $1,000 City of Chattanooga, E.I.
du Pont de Nemours and
Company, 6.35%, 7/1/22 $ 1,070,100
Aa2 AA- 1,000 Humphreys County, E.I. du
Pont de Nemours and
Company, (AMT) 6.70%,
5/1/24 1,081,000
Aa2 AA 2,000 Loudon County, Kimberly-
Clark Corporation, (AMT)
6.20%, 2/1/23 (2) 2,059,100
NR A- 2,500 Maury County, Saturn
Corporation, 6.50%, 9/1/24 2,604,125
Baa1 BBB 1,000 McMinn County, Calhoun
Newsprint Company, Bowater
Incorporated Obligor,
(AMT) 7.625%, 3/1/16 1,076,420
Baa1 BBB 250 McMinn County, Calhoun
Newsprint Company, Bowater
Incorporated Obligor,
(AMT) 7.40%, 12/1/22 269,455
Baa2 BBB 1,500 Memphis-Shelby County
Airport Authority, Federal
Express Corporation,
6.75%, 9/1/12 1,586,220
Baa2 BBB 1,000 Memphis-Shelby County
Airport Authority, Federal
Express Corporation, (AMT)
6.20%, 7/1/14 998,800
NR BBB+ 500 Nashville and Davidson
County, Osco Treatment
Systems, (AMT) 6.00%,
5/1/03 509,840
A3 NR 1,000 South Fulton County, Tyson
Foods Company, 6.40%,
10/1/20 1,022,910
-----------
$ 12,277,970
-----------
INSURED GENERAL
OBLIGATION -- 0.6%
Aaa AAA $ 300 Commonwealth of Puerto
Rico, (AMBAC) Variable
7/1/15, (1) $ 314,697
-----------
INSURED HOUSING -- 1.9%
Aaa AAA $1,000 Knox County, SCA Realty
Multifamily Mortgage
Receipts, (FSA) 7.125%,
1/1/30 $ 1,090,110
-----------
</TABLE>
78
<PAGE> 34
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITALS -- 16.8%
Aaa AAA $ 500 City of Bristol, Bristol
Memorial, (FGIC) 6.75%,
9/1/10 $ 575,980
Aaa AAA 1,000 City of Bristol, Bristol
Memorial, (FGIC) 5.125%,
9/1/13 952,810
Aaa AAA 500 Chattanooga-Hamilton
County, Erlanger Medical
Center, (FSA) 5.625%,
10/1/08 (2) 492,125
Aaa AAA 250 City of Chattanooga,
Memorial Hospital Project,
(MBIA) 6.625%, 9/1/09 286,590
Aaa AAA 2,500 City of Jackson, Jackson-
Madison County General
Hospital, (AMBAC) 5.625%,
4/1/15 2,498,425
Aaa AAA 1,000 City of Johnson, Johnson
City Medical Center,
(MBIA) 5.00%, 7/1/13 938,150
Aaa AAA 1,000 Knox County, Mercy Health
System, (AMBAC) 6.00%,
9/1/19 (2) 1,032,090
Aaa AAA 2,000 Knox County, Fort Sanders
Alliance Obligated Group,
(MBIA) 5.25%, 1/1/23 1,887,360
Aaa AAA 1,000 Sullivan County, Holston
Valley Health Care Inc.,
(MBIA) 5.75%, 2/15/13 (2) 1,013,200
-----------
$ 9,676,730
-----------
INSURED SPECIAL
TAX -- 1.9%
Aaa AAA $1,000 City of Johnson, School
District Sales Tax,
(AMBAC) 6.70%, 5/1/21 $ 1,099,690
-----------
INSURED TRANSPORTATION -- 3.7%
Aaa AAA $1,000 Memphis-Shelby County
Airport Authority, (MBIA),
5.65%, 9/1/15 $ 1,008,750
Aaa AAA 1,000 Memphis-Shelby County
Airport Authority, (MBIA),
(AMT) 6.50%, 2/15/09 1,096,560
-----------
$ 2,105,310
-----------
INSURED UTILITIES -- 2.4%
Aaa AAA $1,000 Madison County Suburban
Utility District, (MBIA)
5.00%, 2/1/19 $ 937,740
Aaa AAA 400 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA) Variable
7/1/03 (1) 463,076
-----------
$ 1,400,816
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED WATER & SEWER -- 5.0%
Aaa AAA $ 500 Roane and Morgan Counties,
Cumberland Utility
District, (MBIA) 5.90%,
1/1/23 $ 511,165
Aaa AAA 1,000 Nashville and Davidson
Counties, Water System,
(AMBAC) 5.75%, 1/1/12 1,010,560
Aaa AAA 350 Nashville and Davidson
Counties, Water System,
(AMBAC) Variable 1/1/22,
(1) 374,171
Aaa AAA 1,000 Nashville and Davidson
Counties, Water System,
(FGIC) 5.20%, 1/1/13 988,880
-----------
$ 2,884,776
-----------
LEASE/CERTIFICATE OF
PARTICIPATION -- 0.9%
A NR $ 500 Wilson County Educational
Facilities Corporation,
6.125%, 6/30/10 $ 525,515
-----------
POOLED LOANS -- 3.4%
A AA- $ 700 Tennessee Local
Development Authority,
State Loan Program, 5.00%,
3/1/15 $ 671,804
NR A- 1,200 Tennessee Local
Development Authority,
Community Provider, 6.55%,
10/1/23 1,263,528
-----------
$ 1,935,332
-----------
NURSING HOMES -- 1.8%
NR A+ $1,000 Tennessee State Veterans'
Homes Board, Humboldt
Project, 6.65%, 2/1/14 $ 1,047,720
-----------
TRANSPORTATION -- 1.8%
NR BBB $1,000 Guam Airport Authority,
(AMT) 6.70%, 10/1/23 $ 1,010,470
-----------
UTILITIES -- 3.3%
NR NR $ 400 Scott and Morgan Counties,
Citizens Gas Utility
District, 6.00%, 1/1/13 $ 398,700
Aa AA 1,000 Nashville and Davidson
Counties, Electric System,
6.00%, 5/15/17 1,034,530
Baa1 A- 500 Commonwealth of Puerto
Rico, Electric Power
Authority, 5.00%, 7/1/12 460,095
-----------
$ 1,893,325
-----------
</TABLE>
79
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- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER -- 2.2%
NR BBB+ $ 250 Hamilton County, Eastside
Utility District, 6.50%,
11/1/05 $ 268,955
NR BBB+ 250 Hamilton County, Eastside
Utility District, 6.75%,
11/1/11 266,778
A1 A 750 Davidson and Williamson
Counties, Harpeth Valley
Utility District, 6.75%,
11/1/11 744,591
-----------
$ 1,280,324
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST
$55,218,447) $ 57,510,815
===========
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Tennessee
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 32.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 3.6% to 16.0% of total investments.
See notes to financial statements
80
<PAGE> 36
- --------------------------------------------------------------------------------
Virginia Municipals Portfolio
Portfolio of Investments - February 29, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION -- 6.7%
NR A- $2,000 Lynchburgh, IDA, Randolph-
Macon Woman's College,
5.875%, 9/1/23 $ 2,042,980
Baa NR 2,220 Rockingham County, IDA,
Bridgewater College,
5.95%, 10/1/13 2,231,122
NR A- 1,570 Virginia College Building
Authority, Hampden-Sydney
College, 6.60%, 9/1/16 1,675,708
NR A+ 400 Virginia College Building
Authority, Hampton
University, 6.50%, 4/1/08 430,880
NR A+ 1,000 Virginia College Building
Authority, Hampton
University, 5.75%, 4/1/14 1,011,210
NR BBB- 1,150 Virginia College Building
Authority, Marymount
University, 7.00%, 7/1/12 1,236,791
NR BBB- 2,200 Virginia College Building
Authority, Marymount
University, 7.00%, 7/1/22 2,356,376
Aa AA 1,500 Virginia College Building
Authority, Washington and
Lee University, 5.80%,
1/1/24 1,513,260
-----------
$ 12,498,327
-----------
ESCROWED -- 5.9%
Aaa NR $1,000 Arlington, IDA, Arlington
Hospital, 7.125%, 9/1/21 $ 1,152,640
A NR 500 Augusta, IDA, Augusta
Hospital, 7.00%, 9/1/21 571,970
NR NR 600 Prince William County,
IDA, Virginia Commuter
Parking Facilities Lease,
7.25%, 3/1/11 675,546
NR A+ 1,700 Virginia Beach, Virginia
Water and Sewer System,
6.625%, 2/1/17 1,916,291
A NR 1,055 Virginia Education Loan
Authority, (AMT), 6.15%,
9/1/09 1,149,939
Aaa NR 5,500 Virginia Education Loan
Authority, (AMT), 5.55%,
9/1/10 (2) 5,665,715
-----------
$ 11,132,101
-----------
GENERAL
OBLIGATIONS -- 4.7%
Aaa AAA $1,000 Fairfax County, 5.625%,
6/1/14 $ 1,011,390
Baa1 A 2,000 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 1,893,060
Baa1 A 350 Commonwealth of Puerto
Rico, 0%, 7/1/04 230,542
A1 AA 500 City of Richmond, 6.25%,
1/5/18 519,125
Aa AA 1,000 Roanoke County, 5.00%,
6/1/21 925,700
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR NR 4,000 Virgin Island, 7.25%,
10/1/18 4,237,600
-----------
$ 8,817,417
-----------
HEALTHCARE -- 0.2%
NR NR $ 365 Covington-Allegheny
County, IDA, Beverly
Enterprises, 9.375%,
9/1/01 $ 413,333
-----------
HOSPITALS -- 16.7%
A NR $3,800 Albermarle County, IDA,
Martha Jefferson Hospital,
5.50%, 10/1/20 $ 3,637,094
A NR 380 Chesapeake Hospital
Authority, Chesapeake
General Hospital, 7.60%,
7/1/00 417,164
Aa AA- 2,910 Fairfax County, IDA, Inova
Health System Hospitals,
5.00%, 8/15/14 2,694,893
Aa AA- 2,000 Fairfax County, IDA, Inova
Health System Hospitals,
5.00%, 8/15/15 1,836,660
A A 1,250 City of Martinsville, IDA,
Memorial Hospital of
Martinsville and Henry
County, 7.00%, 7/1/06 1,324,000
NR A- 2,000 Medical College of Hampton
Roads, 6.875%, 11/15/11 2,154,900
Aa AA 1,000 Norfolk County, IDA,
Sentara Health System,
5.50%, 11/1/17 974,000
Aa AA 3,000 Norfolk County, IDA,
Sentara Health System,
5.00%, 11/1/20 2,712,480
Aa AA- 3,500 Peninsula Ports Authority
of Virginia, Riverside
Health System, 6.625%,
7/1/10 3,747,485
A NR 2,400 Prince William County,
IDA, Potomac Hospital,
6.85%, 10/1/25 2,562,096
Aa AA 4,000 Virginia Beach Development
Authority, Sentara Bayside
Hospital, 6.60%, 11/1/09 4,253,560
A NR 1,060 Washington County, IDA,
Johnston Memorial
Hospital, 7.00%, 7/1/22 1,137,666
A NR 1,000 Washington County, IDA,
Johnston Memorial
Hospital, 6.25%, 7/1/06 1,054,340
A NR 2,000 Washington County, IDA,
Johnston Memorial
Hospital, 6.00%, 7/1/14 2,006,300
-----------
$ 30,512,638
-----------
HOUSING -- 11.6%
NR AAA $1,250 Fairfax County
Redevelopment and Housing
Authority, Multi Family
Mortgage Revenue, (FHA),
7.00%, 5/1/26 $ 1,327,238
</TABLE>
81
<PAGE> 37
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
NR AAA 1,000 Hampton Redevelopment and
Housing Authority, Senior
Living, (GNMA), 6.00%,
1/20/26 1,000,800
NR AAA 200 Harrisonburg Redevelopment
and Housing Authority,
Multi Family Mortgage
Revenue, Loan-Battery
Heights, (GNMA), 7.375%,
11/20/28 211,138
Aa1 AA 5,000 Virginia HDA, Multi Family
Mortgage Revenue, 6.75%,
7/1/21 5,136,650
Aa AA 3,500 Virginia HDA, Multi Family
Mortgage Revenue, 7.05%,
5/1/18 3,722,285
Aa1 A 2,350 Virginia HDA, Single
Family Mortgage Revenue,
7.10%, 1/1/17 2,501,693
Aa1 NR 2,500 Virginia HDA, Single
Family Mortgage Revenue,
6.85%, 1/1/15 2,630,825
Aa1 A 3,000 Virginia HDA, Single
Family Mortgage Revenue,
7.10%, 1/1/22 3,184,050
Aa NR 1,900 Virginia HDA, Single
Family Mortgage Revenue,
Variable, 7/1/04 (1) 1,947,385
-----------
$ 21,662,064
-----------
INDUSTRIAL DEVELOPMENT
REVENUE -- 10.2%
Aa NR $2,190 City of Chesapeake,
Cargill Inc., 5.875%,
3/1/13 $ 2,220,967
A2 A+ 3,000 City of Giles, Hoechst
Celanese Corporation,
(AMT), 5.95%, 12/1/25 2,970,750
A2 A+ 1,000 City of Giles, Hoechst
Celanese Corporation,
(AMT), 6.625%, 12/1/22 1,058,620
A2 A 2,000 Henrico County, Browining
Ferris Inc., 5.45%,
10/1/14 1,961,840
A1 A- 4,000 Isle of Wright County,
Union Camp Corporation,
(AMT), 6.55%, 4/1/24 4,204,400
Baa3 BBB 5,520 West Point, Chesapeake
Corporation, (AMT),
6.375%, 3/1/19 5,665,452
Baa3 BBB 980 West Point, Chesapeake
Corporation, 6.25%, 3/1/19 1,007,832
-----------
$ 19,089,861
-----------
INSURED GENERAL
OBLIGATION -- 1.0%
Aaa AAA $2,000 Loudon County, (MBIA),
5.25%, 1/1/30 $ 1,879,740
-----------
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITALS -- 8.7%
Aaa AAA $1,665 City of Arlington, IDA,
The Arlington Hospital,
(AMBAC), 5.00% , 9/1/21 $ 1,505,177
Aaa AAA 5,000 Augusta County, IDA,
Augusta Hospital
Corporation, (AMBAC),
5.125%, 9/1/21 4,711,900
Aaa AAA 2,500 Chesapeake Hospital
Authority, Chesapeake
General Hospital, (MBIA),
5.25%, 7/1/18 2,379,900
Aaa AAA 2,000 Hanover County, Bonsecour
Health System, (MBIA),
5.50%, 8/15/25 1,929,340
Aaa AAA 1,000 Norfolk County, IDA,
Children's Hospital of the
King's Daughters Obligated
Group, (AMBAC), 5.50%,
6/1/20 967,420
Aaa AAA 1,000 City of Roanoke, IDA,
Franklin Memorial Hospital
and St. Albans Psychiatric
Hospital, (MBIA), 5.25%,
7/1/25 942,930
Aaa AAA 2,250 Virginia Beach, IDA,
Virginia Beach Memorial
Hospital, (AMBAC), 5.125%,
2/15/18 2,137,657
Aaa AAA 1,700 Winchester, IDA,
Winchester Medical Center,
(AMBAC), Variable, 1/1/08
(1) 1,722,678
-----------
$ 16,297,002
-----------
INSURED LEASE -- 0.5%
Aaa AAA $1,000 Riverside Regional Jail
Authority, (MBIA), 6.00%,
7/1/25 $ 1,028,880
-----------
INSURED TRANSPORTATION -- 5.6%
Aaa AAA $6,500 Metropolitan Washington
Airports Authority,
(MBIA), (AMT), 5.75%,
10/1/20 $ 6,474,195
Aaa AAA 3,000 Northern Virginia
Transportation District
Commission, (CGIC), 5.25%,
7/1/10 2,955,270
Aaa AAA 1,000 Richmond Metropolitan
Authority Expressway,
(FGIC), 6.375%, 7/15/16 1,057,240
-----------
$ 10,486,705
-----------
INSURED WATER & SEWER -- 4.9%
Aaa AAA $4,000 Hanover County Water and
Sewer Authority, (MBIA),
5.25%, 2/1/26 (2) $ 3,770,080
Aaa AAA 2,000 Loudon County Sanitation
Authority, (MBIA), 5.25%,
1/1/25 1,900,260
</TABLE>
82
<PAGE> 38
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED WATER & SEWER - (CONTINUED)
Aaa AAA 1,000 Norfolk County Water and
Sewer Authority, (AMBAC),
5.25%, 11/1/13 967,520
Aaa AAA 1,000 Roanoke County Water and
Sewer Authority, (FGIC),
5.00%, 7/1/21 915,450
Aaa AAA 1,750 Upper Occoquan Sewage
Authority, (FGIC), 5.00%,
7/1/15 1,642,568
-----------
$ 9,195,878
-----------
LEASE/CERTIFICATE OF
PARTICIPATION - 7.5%
Aa AA $1,750 Fairfax County Economic
Development Authority,
Lease, Government Center
Properties, 5.25%,
11/15/18 $ 1,635,498
Aa AA 3,200 Fairfax County Economic
Development Authority,
Lease, Government Center
Properties, 5.50%, 5/15/14 3,138,432
A NR 3,000 Rockingham and
Harrisonburg Counties,
Harrisonburg Redevelopment
and Housing Authority,
Lease, 6.50%, 9/1/14 3,138,990
Aa AA 2,000 Henrico County, IDA,
Lease, 7.00%, 8/1/13 2,294,520
Aa AA 2,250 Henrico County, IDA,
Lease, 7.125%, 8/1/21 2,583,855
NR NR 1,250 King George County, Lease,
7.00%, 12/15/12 1,317,612
-----------
$ 14,108,907
-----------
LIFE CARE - 1.1%
NR NR $2,000 Loudon County, IDA,
Falcons Landing, 8.75%,
11/1/24 $ 2,061,500
-----------
SOLID WASTE - 1.7%
A1 A+ $ 915 Fairfax County Economic
Development Authority,
Ogden Martin Systems of
Fairfax Incorporated,
(AMT), 7.75%, 2/1/11 $ 1,002,840
Baa1 A- 2,250 Southeastern Public
Service Authority, Solid
Waste Systems, (AMT),
6.00%, 7/1/13 2,181,488
-----------
$ 3,184,328
-----------
SPECIAL TAX REVENUE - 6.3%
Baa1 A $1,375 Commonwealth of Puerto
Rico Highway &
Transportation Authority,
5.50%, 7/1/19 $ 1,312,355
Baa1 A 2,200 Commonwealth of Puerto
Rico Highway &
Transportation Authority,
5.25%, 7/1/20 2,043,118
<CAPTION>
RATINGS
(UNAUDITED)
- ----------------- PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 500 Commonwealth of Puerto
Rico Highway &
Transportation Authority,
5.00%, 7/1/22 445,685
Aa AA 1,000 Virginia State
Transportation Board
Revenue, US Route 28,
Variable, 4/1/18 (1) 1,161,620
Aa AA 2,800 Virginia State
Transportation Board
Revenue, US Route 28,
5.25%, 5/15/19 2,659,412
Aa AA 4,000 Virginia State
Transportation Board
Revenue, US Route 28,
6.50%, 4/1/18 4,239,000
-----------
$ 11,861,190
-----------
TRANSPORTATION - 0.2%
NR BBB $ 400 Charlotesville-Albermarle
VA Airport Authority,
(AMT), 6.125%, 12/1/13 $ 399,308
-----------
UTILITIES - 1.0%
Baa1 A- $3,000 Commonwealth of Puerto
Rico Electric Authority
Power, 0%, 7/1/17 $ 846,990
NR NR 1,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,061,800
-----------
$ 1,908,790
-----------
WATER & SEWER REVENUE - 5.6%
Aa AA- $2,250 Fairfax County Virginia
Water Authority, 5.75%,
4/1/29 $ 2,251,013
Aa AA- 1,000 Fairfax County Virginia
Water Authority, Variable,
4/1/29 (1) 1,008,130
Aa AA- 4,095 Fairfax County Virginia
Water Authority, 5.00%,
4/1/16 3,828,948
NR AA 1,655 Virginia Resource
Authority, Hopewell Waste
Water, (AMT), 6.00%,
10/1/25 1,705,047
NR AA 1,880 Virginia Resource
Authority, Campbell
Utilities, 5.125%, 10/1/19 1,770,846
-----------
$ 10,563,984
-----------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$174,878,592) $187,101,953
===========
</TABLE>
(1) The above security has been issued as an inverse floater bond.
(2) Security segregated to cover margin requirements on open financial futures
contracts.
83
<PAGE> 39
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The Portfolio invests primarily in debt securities issued by Virginia
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at February 29, 1996, 20.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 1.6% to 10.9% of total investments.
See notes to financial statements
84
<PAGE> 40
- --------------------------------------------------------------------------------
Municipals Portfolios
Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $106,424,866 $74,234,823 $111,816,704 $132,011,225
Unrealized appreciation 5,470,697 3,204,377 6,048,639 5,756,878
------------ ----------- ------------ ------------
Total investments, at value (Note 1A) $111,895,563 $77,439,200 $117,865,343 $137,768,103
Cash 3,775,216 502 728,744 356
Receivable for daily variation margin on open
financial futures contracts (Note 1E) 14,429 9,619 11,056 --
Receivable for investments sold 3,274,546 1,332,514 -- 1,826,684
Interest receivable 1,747,318 1,117,095 1,774,984 2,103,721
Deferred organization expenses (Note 1D) 2,976 4,427 4,418 2,498
------------ ----------- ------------ ------------
Total assets $120,710,048 $79,903,357 $120,384,545 $141,701,362
------------ ----------- ------------ ------------
LIABILITIES:
Demand note payable (Note 5) $ -- $ 446,000 $ -- $ 805,000
Payable for when-issued securities (Note 1F) 3,807,358 -- -- --
Payable for daily variation margin on open financial
futures contracts (Note 1E) -- -- -- 2,250
Payable to affiliate --
Trustees' fees 1,344 1,038 1,344 1,344
Accrued expenses 6,038 5,267 3,909 6,198
------------ ----------- ------------ ------------
Total liabilities $ 3,814,740 $ 452,305 $ 5,253 $ 814,792
------------ ----------- ------------ ------------
NET ASSETS applicable to investors' interest in
Portfolio $116,895,308 $79,451,052 $120,379,292 $140,886,570
============== ============ ============== ==============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $111,427,800 $76,248,802 $114,333,843 $135,130,145
Unrealized appreciation of investments and financial
futures contracts (computed on the basis of
identified cost) 5,467,508 3,202,250 6,045,449 5,756,425
------------ ----------- ------------ ------------
Total $116,895,308 $79,451,052 $120,379,292 $140,886,570
============== ============ ============== ==============
</TABLE>
See notes to financial statements
85
<PAGE> 41
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- --------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $34,129,415 $109,820,786 $86,186,683 $177,222,075
Unrealized appreciation 747,074 4,526,239 4,860,814 11,697,650
----------- ------------ ----------- --------------
Total investments, at value (Note 1A) $34,876,489 $114,347,025 $91,047,497 $188,919,725
Cash 629 660,973 259,339 886,858
Receivable for daily variation margin on open
financial futures contracts (Note 1E) -- 14,429 9,214 --
Receivable for investments sold 729,029 623,137 2,325,006 3,010,676
Interest receivable 632,342 1,511,986 1,115,082 2,814,993
Deferred organization expenses (Note 1D) 4,022 3,108 2,663 6,645
----------- ------------ ----------- --------------
Total assets $36,242,511 $117,160,658 $94,758,801 $195,638,897
----------- ------------ ----------- --------------
LIABILITIES:
Demand note payable (Note 5) $ 671,000 $ -- $ -- $ --
Payable for investments purchased -- 795,923 2,619,433 2,355,275
Payable for daily variation margin on open
financial futures contracts (Note 1E) 1,625 -- -- 11,625
Payable to affiliate --
Trustees' fees 255 1,344 1,038 1,751
Accrued expenses 4,654 6,518 6,307 4,772
----------- ------------ ----------- --------------
Total liabilities $ 677,534 $ 803,785 $ 2,626,778 $ 2,373,423
----------- ------------ ----------- --------------
NET ASSETS applicable to investors' interest in
Portfolio $35,564,977 $116,356,873 $92,132,023 $193,265,474
============ ============== ============ ==================
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $34,800,598 $111,833,824 $87,250,124 $181,454,400
Unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 764,379 4,523,049 4,881,899 11,811,074
----------- ------------ ----------- --------------
Total $35,564,977 $116,356,873 $92,132,023 $193,265,474
============ ============== ============ ==================
</TABLE>
See notes to financial statements
86
<PAGE> 42
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $133,580,135 $ 63,721,739 $55,218,447 $174,878,592
Unrealized appreciation 6,108,340 3,689,731 2,292,368 12,223,361
------------ -------------- ----------- ------------
Total investments, at value (Note 1A) $139,688,475 $ 67,411,470 $57,510,815 $187,101,953
Cash 843,197 411 441 657
Receivable for daily variation margin on open
financial futures contracts (Note 1E) -- -- 5,528 --
Receivable for investments sold 1,228,248 -- 15,224 1,082,087
Interest receivable 1,901,206 920,435 963,338 3,338,993
Deferred organization expenses (Note 1D) 3,994 4,259 4,631 5,414
------------ ------------ ----------- ------------
Total assets $143,665,120 $ 68,336,575 $58,499,977 $191,529,104
------------ ------------ ----------- ------------
LIABILITIES:
Demand note payable (Note 5) $ -- $ 3,007,000 $ 86,000 $ 39,000
Payable for investments purchased 1,246,342 -- -- --
Payable for when-issued securities (Note 1F) -- 2,872,768 -- --
Payable for daily variation margin on open
financial futures contracts (Note 1E) 2,313 4,265 -- 3,062
Payable to affiliate --
Trustees' fees 1,344 1,038 1,038 1,752
Accrued expenses 7,232 6,686 5,882 7,676
------------ ------------ ----------- ------------
Total liabilities $ 1,257,231 $ 5,891,757 $ 92,920 $ 51,490
------------ ------------ ----------- ------------
NET ASSETS applicable to investors' interest in
Portfolio $142,407,889 $ 62,444,818 $58,407,057 $191,477,614
============ ============ =========== ============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $136,300,014 $ 58,759,352 $56,116,284 $179,254,870
Unrealized appreciation of investments and
financial futures contracts (computed on
the basis of identified cost) 6,107,875 3,685,466 2,290,773 12,222,744
------------ ------------ ----------- ------------
Total $142,407,889 $ 62,444,818 $58,407,057 $191,477,614
============ ============ =========== ============
</TABLE>
See notes to financial statements
87
<PAGE> 43
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $ 3,499,416 $ 2,354,496 $ 3,667,739 $ 4,257,937
----------- ----------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 235,755 $ 144,914 $ 246,008 $ 296,998
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 3,929 2,982 3,929 3,929
Custodian fee (Note 2) 29,520 21,798 33,164 37,636
Legal and accounting services 24,042 21,442 24,025 24,042
Amortization of organization expenses (Note 1D) 783 750 1,093 659
Miscellaneous 5,882 10,772 3,873 7,909
----------- ----------- ----------- -----------
Total expenses $ 299,911 $ 202,658 $ 312,092 $ 371,173
Deduct reduction of custodian fee (Note 2) 20,598 6,022 33,164 21,191
----------- ----------- ----------- -----------
Net expenses $ 279,313 $ 196,636 $ 278,928 $ 349,982
----------- ----------- ----------- -----------
Net investment income $ 3,220,103 $ 2,157,860 $ 3,388,811 $ 3,907,955
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 1,384,817 $ 399,919 $ 618,593 $ 17,989
Financial futures contracts (92,720) (69,573) 141,995 (164,116)
----------- ----------- ----------- -----------
Net realized gain (loss) on investments $ 1,292,097 $ 330,346 $ 760,588 $ (146,127)
----------- ----------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments $ 1,601,256 $ 1,659,720 $ 2,619,264 $ 3,749,161
Financial futures contracts 59,845 42,896 (3,190) 78,338
----------- ----------- ----------- -----------
Net unrealized appreciation $ 1,661,101 $ 1,702,616 $ 2,616,074 $ 3,827,499
----------- ----------- ----------- -----------
Net realized and unrealized gain on investments $ 2,953,198 $ 2,032,962 $ 3,376,662 $ 3,681,372
----------- ----------- ----------- -----------
Net increase in net assets from operations $ 6,173,301 $ 4,190,822 $ 6,765,473 $ 7,589,327
============ ============ ============ ============
</TABLE>
See notes to financial statements
88
<PAGE> 44
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- --------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $ 1,067,090 $ 3,456,399 $ 2,767,249 $ 5,814,376
----------- ----------- ----------- --------------
Expenses --
Investment adviser fee (Note 2) $ 40,694 $ 230,735 $ 175,384 $ 421,159
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 789 3,929 2,982 5,190
Custodian fee (Note 2) 13,110 32,294 26,614 51,006
Legal and accounting services 21,342 21,242 21,942 28,642
Amortization of organization expenses (Note 1D) 675 757 701 1,678
Miscellaneous 6,854 8,709 13,137 13,903
----------- ----------- ----------- --------------
Total expenses $ 83,464 $ 297,666 $ 240,760 $ 521,578
----------- ----------- ----------- --------------
Deduct --
Preliminary reduction of investment adviser fee
(Note 2) $ 20,233 $ -- $ -- $ --
Reduction of custodian fee (Note 2) 12,110 14,973 6,284 47,892
----------- ----------- ----------- --------------
Total $ 32,343 $ 14,973 $ 6,284 $ 47,892
----------- ----------- ----------- --------------
Net expenses $ 51,121 $ 282,693 $ 234,476 $ 473,686
----------- ----------- ----------- --------------
Net investment income $ 1,015,969 $ 3,173,706 $ 2,532,773 $ 5,340,690
----------- ----------- ----------- --------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 322,880 $ 1,365,190 $ 866,948 $ 1,150,992
Financial futures contracts (269,296) (92,720) 85,046 82,628
----------- ----------- ----------- --------------
Net realized gain on investments $ 53,584 $ 1,272,470 $ 951,994 $ 1,233,620
----------- ----------- ----------- --------------
Change in unrealized appreciation --
Investments $ 486,163 $ 2,553,341 $ 1,585,354 $ 4,416,493
Financial futures contracts 32,556 59,843 21,085 113,424
----------- ----------- ----------- --------------
Net unrealized appreciation $ 518,719 $ 2,613,184 $ 1,606,439 $ 4,529,917
----------- ----------- ----------- --------------
Net realized and unrealized gain on
investments $ 572,303 $ 3,885,654 $ 2,558,433 $ 5,763,537
----------- ----------- ----------- --------------
Net increase in net assets from
operations $ 1,588,272 $ 7,059,360 $ 5,091,206 $ 11,104,227
============ ============ ============ ==================
</TABLE>
See notes to financial statements
89
<PAGE> 45
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- -------------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $ 4,221,056 $ 1,908,397 $ 1,742,068 $ 5,788,249
----------- -------------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 298,353 $ 103,031 $ 93,209 $ 415,579
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 3,929 2,982 2,982 5,191
Custodian fee (Note 2) 39,584 18,425 13,308 52,462
Interest expense (Note 5) -- 26,653 -- --
Legal and accounting services 23,942 21,442 21,342 28,142
Amortization of organization expenses (Note
1D) 1,043 719 1,176 1,377
Miscellaneous 10,603 3,604 5,544 10,658
----------- -------------- ----------- -----------
Total expenses $ 377,454 $ 176,856 $ 137,561 $ 513,409
Deduct reduction of custodian fee (Note 2) 17,373 12,773 -- 34,811
----------- -------------- ----------- -----------
Net expenses $ 360,081 $ 164,083 $ 137,561 $ 478,598
----------- -------------- ----------- -----------
Net investment income $ 3,860,975 $ 1,744,314 $ 1,604,507 $ 5,309,651
----------- -------------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost
basis) $ (16,998) $ 276,104 $ 32,732 $ 449,257
Financial futures contracts (93,012) 53,208 (51,558) 156,136
----------- -------------- ----------- -----------
Net realized gain (loss) on investments $ (110,010) $ 329,312 $ (18,826) $ 605,393
----------- -------------- ----------- -----------
Change in unrealized appreciation
(depreciation) --
Investments $ 3,458,971 $ 1,345,620 $ 1,763,380 $ 4,829,199
Financial futures contracts 38,392 (4,265) 32,944 (617)
----------- -------------- ----------- -----------
Net unrealized appreciation $ 3,497,363 $ 1,341,355 $ 1,796,324 $ 4,828,582
----------- -------------- ----------- -----------
Net realized and unrealized gain on
investments $ 3,387,353 $ 1,670,667 $ 1,777,498 $ 5,433,975
----------- -------------- ----------- -----------
Net increase in net assets from
operations $ 7,248,328 $ 3,414,981 $ 3,382,005 $10,743,626
============ ================== ============ ============
</TABLE>
See notes to financial statements
90
<PAGE> 46
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 3,220,103 $ 2,157,860 $ 3,388,811 $ 3,907,955
Net realized gain (loss) on investment
transactions 1,292,097 330,346 760,588 (146,127)
Change in unrealized appreciation of
investments 1,661,101 1,702,616 2,616,074 3,827,499
------------ ----------- ------------ ------------
Net increase in net assets from operations $ 6,173,301 $ 4,190,822 $ 6,765,473 $ 7,589,327
------------ ----------- ------------ ------------
Capital transactions --
Contributions $ 3,505,238 $ 1,732,586 $ 2,339,719 $ 3,649,943
Withdrawals (11,269,284) (8,007,358) (11,674,567) (15,621,326)
------------ ----------- ------------ ------------
Decrease in net assets resulting from
capital transactions $ (7,764,046) (6,274,772) $ (9,334,848) $(11,971,383)
------------ ----------- ------------ ------------
Net decrease in net assets $ (1,590,745) $(2,083,950) $ (2,569,375) $ (4,382,056)
NET ASSETS:
At beginning of period 118,486,053 81,535,002 122,948,667 145,268,626
------------ ----------- ------------ ------------
At end of period $116,895,308 $79,451,052 $120,379,292 $140,886,570
============ =========== ============ ============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- --------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 1,015,969 $ 3,173,706 $ 2,532,773 $ 5,340,690
Net realized gain on investment transactions 53,584 1,272,470 951,994 1,233,620
Change in unrealized appreciation of
investments 518,719 2,613,184 1,606,439 4,529,917
----------- ------------ ----------- ------------
Net increase in net assets from operations $ 1,588,272 $ 7,059,360 $ 5,091,206 $ 11,104,227
----------- ------------ ----------- ------------
Capital transactions --
Contributions $ 2,204,992 $ 4,557,915 $ 2,640,896 $ 6,719,329
Withdrawals (2,536,966) (10,264,578) (8,762,182) (19,736,806)
----------- ------------ ----------- ------------
Decrease in net assets resulting from
capital transactions $ (331,974) $ (5,706,663) $(6,121,286) $(13,017,477)
----------- ------------ ----------- ------------
Net increase (decrease) in net assets $ 1,256,298 $ 1,352,697 $(1,030,080) $ (1,913,250)
NET ASSETS:
At beginning of period 34,308,679 115,004,176 93,162,103 195,178,724
----------- ------------ ----------- ------------
At end of period $35,564,977 $116,356,873 $92,132,023 $193,265,474
=========== ============ =========== ============
</TABLE>
See notes to financial statements
91
<PAGE> 47
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Six Months Ended February 29, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 3,860,975 $ 1,744,314 $ 1,604,507 $ 5,309,651
Net realized gain (loss) on investment
transactions (110,010) 329,312 (18,826) 605,393
Change in unrealized appreciation of
investments 3,497,363 1,341,355 1,796,324 4,828,582
------------ ----------- ----------- ------------
Net increase in net assets from operations $ 7,248,328 $ 3,414,981 $ 3,382,005 $ 10,743,626
------------ ----------- ----------- ------------
Capital transactions --
Contributions $ 3,445,068 $ 3,171,856 $ 2,016,075 $ 5,864,266
Withdrawals (14,676,428) (5,553,687) (5,664,326) (16,878,200)
------------ ----------- ----------- ------------
Decrease in net assets resulting from
capital transactions $(11,231,360) (2,381,831) $(3,648,251) $(11,013,934)
------------ ----------- ----------- ------------
Net increase (decrease) in net assets $ (3,983,032) $ 1,033,150 $ (266,246) $ (270,308)
NET ASSETS:
At beginning of period 146,390,921 61,411,668 58,673,303 191,747,922
------------ ----------- ----------- ------------
At end of period $142,407,889 $ 62,444,818 $58,407,057 $191,477,614
============ =========== =========== ============
</TABLE>
See notes to financial statements
92
<PAGE> 48
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Year Ended August 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 6,676,427 $ 4,614,351 $ 7,291,242 $ 8,179,915
Net realized loss on investment transactions (3,373,448) (2,517,820) (7,312,379) (2,715,132)
Change in unrealized appreciation of
investments 5,884,230 3,464,139 6,679,653 4,942,400
------------ ------------ ------------ ------------
Net increase in net assets from operations $ 9,187,209 $ 5,560,670 $ 6,658,516 $ 10,407,183
------------ ------------ ------------ ------------
Capital transactions --
Contributions $ 15,271,028 $ 7,773,910 $ 12,224,959 $ 13,579,954
Withdrawals (23,135,575) (14,716,313) (33,658,605) (23,928,447)
------------ ------------ ------------ ------------
Decrease in net assets resulting from
capital transactions $ (7,864,547) (6,942,403) $(21,433,646) $(10,348,493)
------------ ------------ ------------ ------------
Net increase (decrease) in net assets $ 1,322,662 $ (1,381,733) $(14,775,130) $ 58,690
NET ASSETS:
At beginning of year 117,163,391 82,916,735 137,723,797 145,209,936
------------ ------------ ------------ ------------
At end of year $118,486,053 $ 81,535,002 $122,948,667 $145,268,626
============ ============ ============ ============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- --------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 1,975,712 $ 6,659,328 $ 5,326,719 $ 11,250,399
Net realized loss on investment transactions (1,669,621) (3,315,017) (3,038,940) (9,105,062)
Change in unrealized appreciation of
investments 1,664,246 4,913,566 5,471,264 9,060,016
----------- ------------ ----------- ------------
Net increase in net assets from operations $ 1,970,337 $ 8,257,877 $ 7,759,043 $ 11,205,353
----------- ------------ ----------- ------------
Capital transactions --
Contributions $ 6,817,148 $ 14,770,279 $ 8,450,749 $ 18,834,488
Withdrawals (5,902,141) (25,879,697) (18,215,122) (34,633,470)
----------- ------------ ----------- ------------
Increase (decrease) in net assets resulting
from capital transactions $ 915,007 $(11,109,418) $(9,764,373) $(15,798,982)
----------- ------------ ----------- ------------
Net increase (decrease) in net assets $ 2,885,344 $ (2,851,541) $(2,005,330) $ (4,593,629)
NET ASSETS:
At beginning of year 31,423,335 117,855,717 95,167,433 199,772,353
----------- ------------ ----------- ------------
At end of year $34,308,679 $115,004,176 $93,162,103 $195,178,724
=========== ============ =========== ============
</TABLE>
See notes to financial statements
93
<PAGE> 49
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Year Ended August 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 8,186,774 $ 3,526,297 $ 3,284,148 $ 11,081,732
Net realized loss on investment transactions (4,370,692) (4,027,763) (1,911,797) (7,610,652)
Change in unrealized appreciation of
investments 7,371,961 4,266,658 2,627,149 10,279,680
------------ -------------- ----------- ------------
Net increase in net assets from operations $ 11,188,043 $ 3,765,192 $ 3,999,500 $ 13,750,760
------------ -------------- ----------- ------------
Capital transactions --
Contributions $ 12,298,876 $ 9,608,721 $ 7,946,656 $ 24,173,920
Withdrawals (30,215,219) (14,226,934) (9,768,536) (40,695,946)
------------ -------------- ----------- ------------
Decrease in net assets resulting from
capital transactions $(17,916,343) $ (4,618,213) $(1,821,880) $(16,522,026)
------------ -------------- ----------- ------------
Net increase (decrease) in net assets $ (6,728,300) $ (853,021) $ 2,177,620 $ (2,771,266)
NET ASSETS:
At beginning of year 153,119,221 62,264,689 56,495,683 194,519,188
------------ -------------- ----------- ------------
At end of year $146,390,921 $ 61,411,668 $58,673,303 $191,747,922
============== ================= ============ ==============
</TABLE>
See notes to financial statements
94
<PAGE> 50
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALABAMA PORTFOLIO ARKANSAS PORTFOLIO
-------------------------------------------------------- -----------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ------------------------------------- FEBRUARY 29, --------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30, 1996 AUGUST 31, AUGUST 31,
(UNAUDITED) 1995 1994* 1993** (UNAUDITED) 1995 1994***
---------------- ---------- ---------- ----------- ---------------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average
daily net
assets)++:
Net expenses (1) 0.50%+ 0.47% 0.44%+ 0.25%+ 0.50%+ 0.46% 0.24%+
Net investment
income 5.42%+ 5.77% 5.37%+ 5.52%+ 5.33%+ 5.69% 5.60%+
Portfolio Turnover 24% 51% 26% 10% 5% 23% 16%
NET ASSETS, end of
year (000 omitted) $116,895 $118,486 $117,163 $83,628 $ 79,451 $81,535 $ 82,917
++The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee and an allocation of expenses to
the Investment Adviser. Had such actions not been taken, the ratios would have been as follows:
RATIOS (As a percentage of average daily net assets):
Expenses (1) 0.35%+ 0.43%+
Net investment
income 5.42%+ 5.41%+
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GEORGIA PORTFOLIO
--------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, -------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.51%+ 0.46% 0.44%+ 0.40%+
Net investment income 5.53%+ 5.73% 5.37%+ 5.37%+
Portfolio Turnover 11% 48% 45% 35%
NET ASSETS, end of year
(000 omitted) $116,895 $122,949 $137,724 $ 119,311
KENTUCKY PORTFOLIO
-------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ----------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.51%+ 0.49% 0.46%+ 0.40%+
Net investment income 5.41%+ 5.75% 5.39%+ 5.40%+
Portfolio Turnover 10% 30% 21% 11%
NET ASSETS, end of year
(000 omitted) $140,887 $ 145,269 $145,210 $ 117,936
</TABLE>
(1) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Portfolio to increase its expense ratio
by the effect of any expense offset arrangements with its service
providers. The expense ratios for each of the three periods ended August
31, 1995 and 1994 and September 30, 1993 have not been adjusted to reflect
this change.
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
See notes to financial statements
95
<PAGE> 51
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOUISIANA PORTFOLIO MARYLAND PORTFOLIO
------------------------------------------ -------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ----------------------- FEBRUARY 29, ----------------------------------------
1996 AUGUST 31, AUGUST 31, 1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994*** (UNAUDITED) 1995 1994* 1993**
---------------- ---------- ---------- ---------------- ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average
daily net
assets)++:
Net expenses (1) 0.36%+ 0.22% 0.14%+ 0.51%+ 0.47% 0.44%+ 0.36%+
Net investment
income 5.75%+ 6.06% 5.86%+ 5.45%+ 5.79% 5.44%+ 5.41%+
Portfolio Turnover 56% 46% 21% 12% 30% 41% 34%
NET ASSETS, end of
year (000 omitted) $ 35,565 $ 34,309 $ 31,423 $116,357 $ 115,004 $117,856 $94,213
++The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee and an allocation of expenses to
the Investment Adviser. Had such actions not been taken, the ratios would have been as follows:
RATIOS (As a
percentage of
average daily net
assets):
Expenses (1) 0.47%+ 0.33% 0.33%+ 0.38%+
Net investment
income 5.64%+ 5.95% 5.67%+ 5.39%+
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MISSOURI PORTFOLIO
--------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, -------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.52%+ 0.48% 0.45%+ 0.40%+
Net investment income 5.43%+ 5.76% 5.36%+ 5.36%+
Portfolio Turnover 24% 24% 28% 6%
NET ASSETS, end of year
(000 omitted) $ 92,132 $ 93,162 $ 95,167 $75,273
<CAPTION>
NORTH CAROLINA
-------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ----------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets):
Net expenses (1) 0.53%+ 0.48% 0.46%+ 0.43%+
Net investment income 5.44%+ 5.78% 5.40%+ 5.43%+
Portfolio Turnover 24% 33% 37% 21%
NET ASSETS, end of year
(000 omitted) $193,265 $ 195,179 $199,772 $ 172,534
</TABLE>
(1) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Portfolio to increase its expense ratio
by the effect of any expense offset arrangements with its service
providers. The expense ratios for each of the three periods ended August
31, 1995 and 1994 and September 30, 1993 have not been adjusted to reflect
this change.
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
See notes to financial statements
96
<PAGE> 52
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OREGON PORTFOLIO SOUTH CAROLINA PORTFOLIO
-------------------------------------------------------- -----------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ------------------------------------- FEBRUARY 29, --------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30, 1996 AUGUST 31, AUGUST 31,
(UNAUDITED) 1995 1994* 1993** (UNAUDITED) 1995 1994***
---------------- ---------- ---------- ----------- ---------------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average
daily net assets):
Net expenses (1) 0.52%+ 0.50% 0.46%+ 0.43%+ 0.56%+ 0.44% 0.37%+
Net investment
income 5.29%+ 5.60% 5.26%+ 5.30%+ 5.57%+ 5.81% 5.47%+
Portfolio Turnover 16% 22% 15% 32% 15% 75% 23%
NET ASSETS, end of
year (000 omitted) $142,408 $146,391 $153,119 $ 127,497 $ 62,445 $61,412 $ 62,265
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TENNESSEE PORTFOLIO
--------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, -------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets)++:
Net expenses (1) 0.47%+ 0.41% 0.36%+ 0.08%+
Net investment income 5.44%+ 5.81% 5.49%+ 5.60%+
Portfolio Turnover 12% 20% 10% 69%
NET ASSETS, end of year
(000 omitted) $ 58,407 $ 58,673 $ 56,496 $ 39,266
<CAPTION>
VIRGINIA PORTFOLIO
-------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, ----------------------------------------
1996 AUGUST 31, AUGUST 31, SEPT. 30,
(UNAUDITED) 1995 1994* 1993**
---------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of
average daily net assets)++:
Net expenses (1) 0.53%+ 0.48% 0.46%+ 0.43%+
Net investment income 5.50%+ 5.81% 5.49%+ 5.49%+
Portfolio Turnover 13% 38% 48% 29%
NET ASSETS, end of year
(000 omitted) $191,478 $ 191,748 $194,519 $ 174,260
++The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee and an allocation of expenses to
the Investment Adviser. Had such actions not been taken, the ratios would have been as follows:
RATIOS (As a percentage of average daily net assets):
Expenses (1) 0.31%+
Net investment income 5.37%+
</TABLE>
(1) The annualized expense ratios for the six months ended February 29, 1996
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Portfolio to increase its expense ratio
by the effect of any expense offset arrangements with its service
providers. The expense ratios for each of the three periods ended August
31, 1995 and 1994 and September 30, 1993 have not been adjusted to reflect
this change.
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
See notes to financial statements
97
<PAGE> 53
- --------------------------------------------------------------------------------
Notes to Financial Statements
(Unaudited)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
Alabama Municipals Portfolio (Alabama Portfolio), Arkansas Municipals Portfolio
(Arkansas Portfolio), Georgia Municipals Portfolio (Georgia Portfolio), Kentucky
Municipals Portfolio (Kentucky Portfolio), Louisiana Municipals Portfolio
(Louisiana Portfolio), Maryland Municipals Portfolio (Maryland Portfolio),
Missouri Municipals Portfolio (Missouri Portfolio), North Carolina Municipals
Portfolio (North Carolina Portfolio), Oregon Municipals Portfolio (Oregon
Portfolio), South Carolina Municipals Portfolio (South Carolina Portfolio),
Tennessee Municipals Portfolio (Tennessee Portfolio) and Virginia Municipals
Portfolio (Virginia Portfolio), collectively the Portfolios, are registered
under the Investment Company Act of 1940 as non-diversified open-end management
investment companies which were organized as trusts under the laws of the State
of New York on May 1, 1992. The Declarations of Trust permit the Trustees to
issue interests in the Portfolios. The following is a summary of significant
accounting policies of the Portfolios. The policies are in conformity with
generally accepted accounting principles.
A. INVESTMENT VALUATIONS--Municipal bonds are normally valued on the basis of
valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the mean
between the latest bid and asked prices. Futures contracts listed on commodity
exchanges are valued at closing settlement prices. Short-term obligations,
maturing in sixty days or less, are valued at amortized cost, which approximates
value. Investments for which valuations or market quotations are unavailable are
valued at fair value using methods determined in good faith by or at the
direction of the Trustees.
B. INCOME--Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for federal
income tax purposes.
C. INCOME TAXES--The Portfolios are treated as partnerships for Federal tax
purposes. No provision is made by the Portfolios for federal or state taxes on
any taxable income of the Portfolios because each investor in the Portfolio is
ultimately responsible for the payment of any taxes. Since some of the
Portfolios' investors are regulated investment companies that invest all or
substantially all of their assets in the Portfolios, the Portfolios normally
must satisfy the applicable source of income and diversification requirements
(under the Internal Revenue Code) in order for their respective investors to
satisfy them. The Portfolios will allocate at least annually among their
respective investors each investor's distributive share of the Portfolios' net
taxable (if any) and tax-exempt investment income, net realized capital gains,
and any other items of income, gain, loss, deductions or credit. Interest income
received by the Portfolios on investments in municipal bonds, which is
excludable from gross income under the Internal Revenue Code, will retain its
status as income exempt from federal income tax when allocated to each
Portfolio's investors. The portion of such interest, if any, earned on private
activity bonds issued after August 7, 1986, may be considered a tax preference
item for investors.
D. DEFERRED ORGANIZATION EXPENSES--Costs incurred by a Portfolio in connection
with its organization are being amortized on the straight-line basis over five
years.
E. FINANCIAL FUTURES CONTRACTS--Upon the entering of a financial futures
contract, a Portfolio is required to deposit ("initial margin") either in cash
or securities an amount equal to a certain percentage of the purchase price
indicated in the financial futures contract. Subsequent payments are made or
received by a Portfolio ("margin maintenance") each day, dependent on the daily
fluctuations in the value of the underlying security, and are recorded for book
purposes as unrealized gains or losses by a Portfolio. A Portfolio's investment
in financial futures contracts is designed only to hedge against anticipated
future changes in interest rates. Should interest rates move unexpectedly, a
Portfolio may not achieve the anticipated benefits of the financial futures
contract and may realize a loss.
F. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS--The Portfolios may engage in
when-issued or delayed delivery transactions. The Portfolios record when-issued
securities on trade date and maintain security positions such that sufficient
liquid assets will be available to make payment for the securities purchased.
Securities purchased on a when-issued or delayed delivery basis are
marked-to-market daily and begin accruing interest on settlement date.
G. 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.
H. OTHER--Investment transactions are accounted for on a trade date basis.
I. INTERIM FINANCIAL INFORMATION--The interim financial statements relating to
February 29, 1996 and for the six month period then ended have not been audited
by independent certified public accountants, but in the opinion of the
Portfolios' management, reflect all adjustments necessary for the fair
presentation of the financial statements.
98
<PAGE> 54
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(2) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The investment adviser fee is earned by Boston Management and Research (BMR), a
wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation for
management and investment advisory services rendered to each Portfolio.
The fee is based upon a percentage of average daily net assets plus a percentage
of gross income (i.e., income other than gains from the sale of securities).
For the six months ended February 29, 1996, each Portfolio paid advisory fees as
follows:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT EFFECTIVE RATE*
--------------------------------- -------- ---------------
<S> <C> <C>
Alabama $235,755 0.40%
Arkansas 144,914 0.36%
Georgia 246,008 0.40%
Kentucky 296,998 0.41%
Louisiana 40,694 0.23%
Maryland 230,735 0.39%
Missouri 175,384 0.38%
North Carolina 421,159 0.43%
Oregon 298,353 0.41%
South Carolina 103,031 0.33%
Tennessee 93,209 0.32%
Virginia 415,579 0.43%
</TABLE>
* Advisory fees paid as a percentage of average daily net assets (annualized).
To enhance the net income of the Louisiana Portfolio, BMR made a preliminary
reduction in its fee in the amount of $20,233 for the six months ended February
29, 1996. Except as to Trustees of the Portfolios who are not members of EVM's
or BMR's organization, officers and Trustees receive remuneration for their
services to the Portfolios out of such investment adviser fee.
Investors Bank & Trust Company (IBT) serves as custodian of the Portfolios.
Prior to November 10, 1995, IBT was an affiliate of EVM and BMR. Pursuant to the
custodian agreements, IBT receives a fee reduced by credits which are determined
based on the average daily cash balances each Portfolio maintains with IBT. All
significant credit balances used to reduce the Portfolio's custody fees are
reported as a reduction of expenses in the Statements of Operations. Certain of
the officers and Trustees of the Portfolios are officers and directors/trustees
of the above organizations.
Trustees of the Portfolios that are not affiliated with the Investment Adviser
may elect to defer receipt of all or a percentage of their annual fees in
accordance with the terms of the Trustees Deferred Compensation Plan. For the
six months ended February 29, 1996, no significant amounts have been deferred.
- --------------------------------------------------------------------------------
(3) INVESTMENTS
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, for the six months ended February 29, 1996 were as
follows:
<TABLE>
<CAPTION>
ALABAMA PORTFOLIO ARKANSAS PORTFOLIO GEORGIA PORTFOLIO KENTUCKY PORTFOLIO
------------------- ------------------------ ------------------- ------------------------
<S> <C> <C> <C> <C>
Purchases $27,670,858 $ 3,927,474 $13,027,865 $ 14,575,121
Sales 35,272,238 9,444,548 17,817,486 23,881,130
</TABLE>
<TABLE>
<CAPTION>
LOUISIANA PORTFOLIO MARYLAND PORTFOLIO MISSOURI PORTFOLIO NORTH CAROLINA PORTFOLIO
------------------- ------------------------ ------------------- ------------------------
<S> <C> <C> <C> <C>
Purchases $19,864,205 $ 13,188,699 $21,927,678 $ 46,771,780
Sales 19,414,807 16,974,262 25,077,331 54,251,103
</TABLE>
<TABLE>
<CAPTION>
OREGON PORTFOLIO SOUTH CAROLINA PORTFOLIO TENNESSEE PORTFOLIO VIRGINIA PORTFOLIO
------------------- ------------------------ ------------------- ------------------------
<S> <C> <C> <C> <C>
Purchases $23,681,196 $ 12,627,560 $ 6,731,260 $ 24,192,170
Sales 33,494,840 9,810,662 8,679,936 29,261,305
</TABLE>
99
<PAGE> 55
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the investments
owned by each Portfolio at February 29, 1996, as computed on a federal income
tax basis, are as follows:
<TABLE>
<CAPTION>
ALABAMA ARKANSAS GEORGIA KENTUCKY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ --------------
<S> <C> <C> <C> <C>
Aggregate Cost $106,424,866 $ 74,234,823 $111,816,704 $132,011,225
------------ -------------- ------------ --------------
Gross unrealized
appreciation $ 5,762,960 $ 3,370,569 $ 6,367,562 $ 6,591,130
Gross unrealized
depreciation 292,263 166,192 318,923 834,252
------------ -------------- ------------ --------------
Net unrealized
appreciation $ 5,470,697 $ 3,204,377 $ 6,048,639 $ 5,756,878
============== ================= ============== ==================
</TABLE>
<TABLE>
<CAPTION>
LOUISIANA MARYLAND MISSOURI NORTH CAROLINA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ --------------
<S> <C> <C> <C> <C>
Aggregate Cost $ 34,129,415 $109,820,786 $ 88,186,683 $177,222,075
------------ -------------- ------------ --------------
Gross unrealized
appreciation $ 1,035,743 $ 5,214,566 $ 5,272,757 $ 12,222,862
Gross unrealized
depreciation 288,669 688,327 411,943 525,212
------------ -------------- ------------ --------------
Net unrealized
appreciation $ 747,074 $ 4,526,239 $ 4,860,814 $ 11,697,650
============== ================= ============== ==================
</TABLE>
<TABLE>
<CAPTION>
OREGON SOUTH CAROLINA TENNESSEE VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ --------------
<S> <C> <C> <C> <C>
Aggregate Cost $133,580,135 $ 63,721,739 $ 55,218,447 $174,878,592
------------ -------------- ------------ --------------
Gross unrealized
appreciation $ 6,683,073 $ 3,770,741 $ 2,529,175 $ 12,379,727
Gross unrealized
depreciation 574,733 81,010 236,807 156,366
------------ -------------- ------------ --------------
Net unrealized
appreciation $ 6,108,340 $ 3,689,731 $ 2,292,368 $ 12,223,361
============== ================= ============== ==================
</TABLE>
100
<PAGE> 56
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(5) LINE OF CREDIT
The Portfolios participate with other portfolios and funds managed by BMR and
EVM in a $120 million unsecured line of credit agreement with a bank. The line
of credit consists of a $20 million committed facility and a $100 million
discretionary facility. Each Portfolio may temporarily borrow up to 5% of its
total assets to satisfy redemption requests or settle transactions. Interest is
charged to each portfolio or fund based on its borrowings at an amount above
either the bank's adjusted certificate of deposit rate, a variable adjusted
certificate of deposit rate, or a federal funds effective rate. In addition, a
fee computed at an annual rate of 1/4 of 1% on the $20 million committed
facility and on the daily unused portion of the $100 million discretionary
facility is allocated among the participating funds and portfolios at the end of
each quarter. At February 29, 1996, the Arkansas Portfolio, Kentucky Portfolio,
Louisiana Portfolio, South Carolina Portfolio, Tennessee Portfolio and Virginia
Portfolio had a balance outstanding pursuant to this line of credit of $446,000,
$805,000, $671,000, $3,007,000, $86,000 and $39,000, respectively. For the South
Carolina Portfolio the average daily loan balance for the six months ended
February 29, 1996 was $2,378,831 and the average daily interest rate was 6.95%.
The maximum borrowings during the six months ended February 29, 1996 was
$5,391,000. The Portfolios, exclusive of the South Carolina Portfolio, did not
have any significant borrowings or allocated fees during the six months ended
February 29, 1996.
- --------------------------------------------------------------------------------
(6) FINANCIAL INSTRUMENTS
The Portfolios regularly trade in financial instruments with off-balance sheet
risk in the normal course of their investing activities to assist in managing
exposure to various market risks. These financial instruments include written
options and futures contracts and may involve, to a varying degree, elements of
risk in excess of the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at February 29, 1996
is as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
FUTURES CONTRACTS APPRECIATION
PORTFOLIO EXPIRATION DATE CONTRACTS POSITION (DEPRECIATION)
- ---------------- ----------------- ------------------------ -------- --------------
<S> <C> <C> <C> <C>
Alabama 6/96 20 U.S. Treasury Bonds Short $ (3,189)
Arkansas 6/96 20 U.S. Treasury Bonds Short 2,127
Georgia 6/96 30 U.S. Treasury Bonds Short (3,190)
Kentucky 6/96 36 U.S. Treasury Bonds Short (453)
Louisiana 6/96 13 U.S. Treasury Bonds Short 17,305
Maryland 6/96 30 U.S. Treasury Bonds Short (3,190)
Missouri 6/96 25 U.S. Treasury Bonds Short 21,085
North Carolina 6/96 93 U.S. Treasury Bonds Short 113,424
Oregon 6/96 37 U.S. Treasury Bonds Short (465)
South Carolina 6/96 31 U.S. Treasury Bonds Short (4,265)
Tennessee 6/96 15 U.S. Treasury Bonds Short (1,595)
Virginia 6/96 49 U.S. Treasury Bonds Short (617)
</TABLE>
At February 29, 1996 each Portfolio had sufficient cash and/or securities to
cover margin requirements on open futures contracts.
101
<PAGE> 57
EATON VANCE MUNICIPALS TRUST
For the Marathon & Traditional Combined Alabama, Arkansas, Georgia, Kentucky,
Louisiana, Maryland, Missouri, North Carolina, Oregon, South Carolina,
Tennessee, Virginia Municipals Semi-Annual Report.
[LOGO]
February 29, 1996
Portfolio Investment Adviser
Boston Management and Research
24 Federal Street
Boston, MA 02110
Fund Administrator
Eaton Vance Management
24 Federal Street
Boston, MA 02110
(617) 482-8260
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
89 South Street
P.O. Box 1537
Boston, MA 02205-1537
Transfer Agent
First Data Investor Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
Independent Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
