<PAGE> 1
- --------------------------------------------------------------------------------
Arizona Municipals Portfolio
Portfolio of Investments - January 31, 1997
(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 - 1.4%
NR NR $1,800 Arizona Health Facilities
Authority, Mesa Project,
7.625%, 1/1/26 $ 1,699,164
-------------
EDUCATION - 5.9%
A1 AA $1,250 Arizona Board of Regents,
University of Arizona,
6.25%, 6/1/11 $ 1,327,900
NR NR 2,000 Arizona Educational Loan
Marketing Corporation,
(AMT) 6.30%, 12/1/08 2,059,120
NR NR 2,000 Arizona Educational Loan
Marketing Corporation,
(AMT) 6.25%, 6/1/06 2,063,980
A NR 1,500 Student Loan Acquisition
Authority of Arizona,
(AMT) 7.625%, 5/1/10 (3) 1,633,170
-------------
$ 7,084,170
-------------
ESCROWED - 8.1%
Aaa AA $1,000 Arizona Transportation
Board Highway, 6.50%,
7/1/11 $ 1,108,210
NR AAA 1,000 Glendale IDA-Thunderbird
Grad. School, 7.125%,
7/1/20 1,165,710
Aaa AAA 7,500 Maricopa County, Single
Family Mortgage, 0%,
2/1/16 2,461,800
NR AA 2,500 City of Phoenix, Street &
Highway User, 6.25%,
7/1/11 2,700,650
Aaa AAA 5,000 City of Phoenix, IDA,
Single Family Housing, 0%,
12/1/14 1,785,000
NR NR 500 City of Scottsdale,
Westminster Village,
10.00%, 6/1/17 524,905
-------------
$ 9,746,275
-------------
GENERAL OBLIGATIONS - 8.6%
Aa AA+ $1,500 City of Phoenix, 6.375%,
7/1/13 $ 1,611,915
Aa AA+ 3,000 City of Phoenix, 5.10%,
7/1/13 2,910,630
NR A 2,000 City of Phoenix, Tatum
Ranch Community, 6.875%,
7/1/16 (3) 2,161,400
Baa1 A 4,000 Commonwealth of Puerto
Rico, Aqueduct and Sewer
Authority, 5.00%, 7/1/19 3,622,120
-------------
$ 10,306,065
-------------
HOSPITALS - 3.9%
NR BBB $1,130 Arizona Health Facilities
Authority, Phoenix
Memorial Hospital, 8.125%,
6/1/12 (3) $ 1,225,361
NR BBB 1,250 Arizona Health Facilities
Authority, Phoenix
Memorial Hospital, 8.20%,
6/1/21 (4) 1,353,562
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa2 BBB- 1,000 Maricopa County, Sun
Health Corporation,
8.125%, 4/1/12 1,099,670
NR NR 915 City of Winslow, Winslow
Memorial Hospital Project,
9.50%, 6/1/22 1,011,578
-------------
$ 4,690,171
-------------
HOUSING - 8.9%
NR A $2,000 Maricopa County, Laguna
Point Apartments,
Multifamily Housing,
6.75%, 7/1/19 (3) $ 2,060,200
NR A 2,250 Maricopa County,
Industrial Development
Authority, Multifamily
Housing, 6.625%, 7/1/26
(2) 2,295,877
NR A 3,000 Maricopa County,
Industrial Development
Authority for Greenery
Apts., 6.625%, 1/1/27 3,009,570
NR NR 1,250 Maricopa County,
Industrial Development
Authority for Greenery
Apts., 8.625%, 1/1/27 1,252,788
NR AA 1,000 City of Phoenix, Woodstone
and Silver Springs
Apartments,
Multifamily Housing,
(Asset Guaranty), 6.25%,
4/1/23 1,016,500
NR AAA 1,000 City of Tempe, Multifamily
Housing, Quadrangle
Village Apartments, FHA
Insured Mortgage Loan,
6.25%, 6/1/26 1,020,040
-------------
$ 10,654,975
-------------
INDUSTRIAL DEVELOPMENT
REVENUE - 5.1%
A1 NR $1,000 City of Casa Grande,
Pollution Control,
Frito-Lay Inc., 6.60%,
12/1/10 $ 1,077,590
A2 A 3,000 Greenlee County, Pollution
Control, Phelps Dodge
Corporation, 5.45%, 6/1/09 2,997,090
Baa3 BB+ 2,000 Commonwealth of Puerto
Rico, Port Authority,
American Airlines, 6.25%,
6/1/26 2,053,900
-------------
$ 6,128,580
-------------
</TABLE>
33
<PAGE> 2
- --------------------------------------------------------------------------------
ARIZONA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATIONS - 7.2%
Aaa AAA $1,000 Maricopa County, Alhambra
Elementary School District
No. 68, (AMBAC) 5.125%,
7/1/13 $ 969,730
Aaa AAA 1,000 Maricopa County, Alhambra
Elementary School District
No. 68, (AMBAC) 5.625%
7/1/13 1,009,280
Aaa AAA 1,000 Maricopa County, Chandler
Unified School District
No. 80, (FGIC) 6.40%,
7/1/10 1,057,360
Aaa AAA 1,000 Maricopa County, Peoria
Unified School District
No. 11, (MBIA) 6.40%,
7/1/10 1,057,770
Aaa AAA 1,000 Maricopa County, Tolleson
High School District, No.
214, (FGIC) 5.00%, 7/1/13 951,020
Aaa AAA 1,000 Commonwealth of Puerto
Rico, Variable (FSA)
7/1/20 (1) 1,025,000
Aaa AAA 1,500 Commonwealth of Puerto
Rico, Variable (AMBAC)
7/1/15 (1) 1,554,375
Aaa AAA 1,000 Commonwealth of Puerto
Rico, Variable (FSA)
7/1/22 (1) 1,043,750
-------------
$ 8,668,285
-------------
INSURED HOSPITALS - 16.4%
Aaa AAA $2,140 AZ Health Northern AZ
Health, (MBIA) 5.25%,
10/1/26 $ 2,018,791
Aaa AAA 2,000 Maricopa County, Hospital
District No. 1, (FGIC)
6.125%, 6/1/15 (4) 2,085,400
Aaa AAA 2,000 Maricopa County, Samaritan
Health, (MBIA) 7.00%,
12/1/16 2,352,580
Aaa AAA 2,000 Mohave County, Kingman
Regional Medical Center,
(FGIC) 6.50%, 6/1/15 2,127,580
Aaa AAA 1,500 Pima County, Tucson
Medical Center, (MBIA)
6.375%, 4/1/12 1,584,450
Aaa AAA 3,500 Pima County, Tucson
Medical Center, (MBIA)
5.00%, 4/1/15 3,252,795
Aaa AAA 1,000 Pima County, Carondelet
Health Care Corporation,
(MBIA) 5.25%, 7/1/11 990,490
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 1,000 Pima County, Carondelet
Health Care Corporation,
(MBIA) 5.25%, 7/1/12 984,900
Aaa AAA 1,500 City of Scottsdale,
Industrial Development
Authority Hospital,
(AMBAC) 6.125%, 9/1/17 1,514,715
Aaa AAA 2,000 University of Arizona
Medical Center
Corporation, (MBIA) 5.00%,
7/1/13 1,887,540
Aaa AAA 1,000 University of Arizona
Medical Center
Corporation, (MBIA) 5.00%,
7/1/21 899,170
-------------
$ 19,698,411
-------------
INSURED UTILITIES - 2.7%
Aaa AAA $2,910 Pima County, Irvington
Power Project, (FSA)
7.25%, 7/15/10 (4) $ 3,227,830
-------------
INSURED SPECIAL TAX - 1.6%
Aaa AAA $1,750 City of Phoenix, Civic
Improvement Excise Tax,
(MBIA) 6.60%, 7/1/08 $ 1,943,025
-------------
INSURED WATER & SEWER - 1.8%
Aaa AAA $1,000 City of Chandler, Water
and Sewer, (FGIC) 6.25%,
7/1/13 $ 1,055,390
Aaa AAA 1,200 City of Phoenix, Civic
Improvement Wastewater
Systems, (MBIA) 5.00%,
7/1/18 1,101,660
-------------
$ 2,157,050
-------------
SPECIAL TAX - 1.7%
Baa1 A $1,000 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/20 $ 918,600
NR NR 1,000 Virgin Islands, 7.25%,
10/1/18 1,066,280
-------------
$ 1,984,880
-------------
TRANSPORTATION - 3.4%
Aa AA $1,000 State of Arizona,
Transportation Board &
Highway, 5.00%, 7/1/10 $ 980,340
NR BBB 3,000 Guam Airport Authority,
(AMT) 6.70%, 10/1/23 3,093,990
-------------
$ 4,074,330
-------------
</TABLE>
34
<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>
UTILITIES - 14.4%
Ba2 BB $2,500 Maricopa County, Pollution
Control, Public Service
Company of New Mexico,
Palo Verde Project,
6.375%, 8/15/23 $ 2,510,675
Baa1 BBB+ 5,300 Navajo County, Pollution
Control, Arizona Public
Service Co., 5.875%,
8/15/28 5,231,630
A A+ 1,000 Puerto Rico Telephone
Authority Variable, 1/1/20
(1) 1,058,750
A1 AA- 1,000 Central Arizona Water
Conservation District,
Central Arizona Project,
5.50%, 11/1/09 1,026,210
Baa1 BBB+ 550 Puerto Rico Electric Power
Authority, 7.00%, 7/1/07 591,487
Baa1 BBB+ 370 Puerto Rico Electric Power
Authority, 7.125%, 7/1/14 397,280
Aa AA 2,750 Salt River Project
Agricultural Improvement
and Power District, 5.50%,
1/1/25 2,649,295
Aa AA 1,000 Salt River Project
Agricultural Improvement
and Power District, 6.25%,
1/1/27 1,042,900
Aa AA 3,000 Salt River Project
Agricultural Improvement
and Power District, 5.25%,
1/1/19 2,816,070
-------------
$ 17,324,297
-------------
WATER & SEWER - 8.9%
Aa1 AA+ $2,000 State of Arizona,
Wastewater Management
Authority, 6.80%, 7/1/11
(4) $ 2,210,040
A1 A 1,100 City of Phoenix, Water
System, 5.00%, 7/1/18 997,194
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 A 5,000 City of Phoenix, Water
System, 4.75%, 7/1/23 4,261,600
Aa AA- 2,100 City of Phoenix,
Improvement Junior Lien
Water, 5.60%, 7/1/18 (2) 2,098,593
A1 A+ 1,000 City of Tucson, Water
System, 6.50%, 7/1/16 1,068,440
-------------
$ 10,635,867
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $112,442,245) $ 120,023,375
=============
</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.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio primarily invests in debt securities issued by Arizona
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1997, 29.7% 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 4.2% to 13.4% of total investments.
See notes to financial statements
35
<PAGE> 4
- --------------------------------------------------------------------------------
Colorado Municipals Portfolio
Portfolio of Investments - January 31, 1997
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
ESCROWED - 5.2%
Aaa AAA $4,000 Colorado Health
Facilities Authority,
Liberty Heights Project,
(FSA) 0%, 7/15/24 $ 626,120
Aaa NR 5,500 Dawson Ridge County,
Metropolitan District,
0%, 10/1/22 1,015,850
Aaa NR 3,000 Dawson Ridge County,
Metropolitan District,
0%, 10/1/22 554,100
------------
$ 2,196,070
------------
GENERAL OBLIGATION - 2.5%
A1 AA $1,000 Boulder and Gilpin
Counties, Boulder Valley
School District, 6.30%,
12/1/13 $ 1,065,680
------------
HOSPITALS - 18.2%
Baa BBB $2,050 Colorado Health
Facilities Authority,
Rocky Mountain Adventist
Healthcare, 6.625%,
2/1/13 $ 2,107,298
NR NR 900 Colorado Health
Facilities Authority,
Cleo Wallace Center,
7.00%, 8/1/15 917,640
NR BBB- 650 Colorado Health
Facilities Authority,
National Jewish Center,
6.875%, 2/15/12 660,933
NR BBB 2,000 Colorado Health
Facilities Authority,
Vail Valley Medical
Center, 6.60%, 1/15/20 2,055,400
Baa1 NR 2,000 Colorado Health
Facilities Authority,
Parkview Memorial
Hospital, 6.125%, 9/1/25 1,957,120
------------
$ 7,698,391
------------
HOUSING - 18.1%
Aa AA $ 750 Colorado Housing and
Finance Authority, 6.40%,
10/1/27 $ 764,295
NR AAA 1,000 Denver County, Lofts
Project, 6.15%, 12/1/16 1,010,930
NR NR 345 Lake Creek Affordable
Housing Corporation,
8.00%, 12/1/23 358,983
NR AAA 1,000 City of Lakewood, FHA
Insured Mortgage Loan,
(AMT) 6.65%, 10/1/25 1,039,370
Aa NR 1,595 Colorado Housing and
Finance Authority, Single
Family Access Program,
7.90%, 12/1/24 1,785,778
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa NR 840 Colorado Housing and
Finance Authority, Single
Family Access Program,
8.00%, 12/1/24 947,654
Aa NR 585 Colorado Housing and
Finance Authority, (AMT)
7.65%, 12/1/25 648,122
Aa NR 1,000 Colorado Housing and
Finance Authority, (AMT)
7.55%, 11/1/27 1,102,020
------------
$ 7,657,152
------------
INDUSTRIAL DEVELOPMENT - 6.8%
A2 NR $1,750 Puerto Rico Pollution
Control, American Home
Products Corporation,
5.10%, 12/1/18 $ 1,602,300
Baa3 BB+ 1,250 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.250%,
6/1/26 1,283,688
------------
$ 2,885,988
------------
INSURED GENERAL OBLIGATIONS - 11.5%
Aaa AAA $1,160 Highlands Ranch
Metropolitan District No.
2, Douglas County (FSA),
6.50%, 6/15/10 $ 1,306,926
Aaa AAA 1,000 Douglas and Elbert
Counties, Douglas County
School District, (MBIA)
6.40%, 12/15/11 1,115,910
Aaa AAA 1,750 Eagle, Garfield & Routt
Counties, School District
No. RE 50J, (FGIC) 6.30%,
12/1/12 1,877,768
Aaa AAA 1,265 Thompson School District
0%, 12/15/12 535,486
------------
$ 4,836,090
------------
INSURED HOUSING - 2.6%
Aaa AAA $1,000 City of Thornton, SCA
Realty (FSA) 7.10%,
1/1/30 $ 1,083,069
------------
INSURED UTILITIES - 1.9%
Aaa AAA $ 300 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA),
Variable, 7/1/03 (1) $ 331,125
Aaa AAA 500 Commonwealth of Puerto
Rico, Telephone
Authority, (MBIA),
Variable, 1/16/15 (1) 485,000
------------
$ 816,125
------------
</TABLE>
36
<PAGE> 5
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 SPECIAL TAX - 2.5%
Aaa AAA $1,000 City of Broomfield Sales
and User Tax, (AMBAC)
6.30%, 12/1/14 $ 1,048,760
------------
INSURED TRANSPORTATION - 1.8%
Aaa AAA $ 750 City and County of
Denver, Denver
International Airport,
(MBIA), 5.75%, 11/15/15
(2) $ 742,282
------------
INSURED WATER & SEWER - 2.2%
Aaa AAA $1,000 Municipal Subdistrict,
Northern Colorado Water
Conservancy District,
(AMBAC) 5.00%, 12/1/17 $ 916,910
------------
SPECIAL TAX - 6.3%
NR NR $1,000 Cottonwood Water and Sewer
District, 7.75%, 12/1/20 $ 1,002,140
Baa1 A 1,000 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/20 918,600
Baa1 A 750 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/36 718,035
------------
$ 2,638,775
------------
TRANSPORTATION - 15.1%
Baa3 BB $2,000 City and County of
Denver, Colorado Special
Facilities Airport
System, United Airlines,
(AMT) 6.875%, 10/1/32, $ 2,089,340
Baa BBB 750 City and County of
Denver, Colorado Airport
System, (AMT) 7.00%,
11/15/25 785,640
Baa BBB 1,500 City and County of
Denver, Colorado Airport
System, (AMT) 6.75%,
11/15/22 1,574,235
Baa BBB 500 City and County of
Denver, Colorado Airport
System, (AMT) 7.50%,
11/15/23 552,865
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR NR 500 Eagle County, Eagle
County Airport Terminal
Project, (AMT) 7.50%,
5/1/21 516,145
NR BBB 750 Guam Airport Authority,
(AMT) 6.60%, 10/1/10 771,570
NR BBB 100 Guam Airport Authority,
(AMT) 6.70%, 10/1/23 103,133
------------
$ 6,392,928
------------
UTILITIES - 5.3%
NR BBB $ 500 Guam Power Authority,
6.625%, 10/1/14 $ 519,460
Aa A+ 1,750 Platte River Power
Authority, 5.50%, 6/1/18 1,720,740
------------
$ 2,240,200
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST $39,970,332) $ 42,218,420
=============
</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.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio primarily invests in debt securities issued by Colorado
municipalities. The ability of the debt securities to meet their obligations may
be affected by economic developments in a specific industry or municipality. In
order to reduce the risk associated with such economic developments, at January
31, 1997, 22.5% of the securities in the portfolio of investments are backed by
bond insurance of various financial institutions and financial guaranty
assurance agencies. The aggregate percentage by financial institution ranged
from 4.4% to 7.9% of total investments.
See notes to financial statements
37
<PAGE> 6
- --------------------------------------------------------------------------------
Connecticut Municipals Portfolio
Portfolio of Investments - January 31, 1997
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
AIRPORTS - 1.2%
NR BBB $2,000 Guam Airport Authority
Revenue Bonds, (AMT),
6.70%, 10/1/23 $ 2,062,660
-------------
EDUCATION - 8.1%
Ba2 BBB- $5,500 Connecticut Health and
Educational Facilities
Authority, (HEFA),
University of Hartford,
6.80%, 7/1/22 $ 5,520,185
NR BBB- 4,775 Connecticut HEFA,
Quinnipiac College, 6.00%,
7/1/23 4,559,027
Baa3 BBB- 1,000 Connecticut HEFA, Sacred
Heart University, 5.80%,
7/1/23 928,130
Aaa AAA 3,400 Connecticut HEFA, Yale
University, Variable,
6/10/30 (1) 3,468,000
-------------
$ 14,475,342
-------------
ESCROWED TO MATURITY & PRE-REFUNDED - 3.6%
NR AA- $ 650 State of Connecticut
General Obligations Bonds,
6.875%, 7/15/10 $ 712,218
A1 AAA 645 Connecticut Special Tax
Obligation Bonds, (STOB),
Transportation
Infrastructure Purposes,
6.50%, 7/1/09 692,169
A NR 1,630 City of Stratford, 7.30%,
3/1/12 1,820,107
NR AAA 1,000 Puerto Rico Industrial
Medical & Environmental
Pollution Control
Facilities, Dr. Pila
Hospital, 7.85%, 8/1/28 1,077,320
NR A 1,000 Connecticut HEFA, Sacred
Heart University, 6.80%,
7/1/12 1,123,240
A AAA 1,000 City of Bridgeport,
6.125%, 3/1/05 1,063,000
-------------
$ 6,488,054
-------------
GENERAL OBLIGATIONS - 1.8%
Aa AA- $1,750 State of Connecticut,
Capital Appreciation
Bonds, 0%, 11/1/09 $ 897,103
Aa AA 1,270 City of Danbury, 4.50%,
2/1/14 1,116,190
Aa1 NR 650 City of Farmington, 5.70%,
1/15/11 677,814
NR BBB 500 Government of Guam, 5.40%,
11/15/18 458,910
-------------
$ 3,150,017
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
NURSING HOMES - 13.3%
A1 AA- $ 655 Connecticut HEFA, Non-
Hospital Program, (NHP),
Special Capital Reserve
Fund (SCRF), (St
Camillus), 6.25%, 11/1/18 $ 680,846
A1 AA- 3,250 Connecticut HEFA, NHP,
(SCRF), (St. Joseph's
Manor), 6.25%, 11/1/16 3,405,480
A1 AA- 1,305 Connecticut HEFA, NHP,
(SCRF), (Sharon
Healthcare), 6.25%,
11/1/14 1,361,454
A2 NR 9,000 Connecticut Development
Authority Health Care
Bonds, (Duncaster), 6.75%,
9/1/15 9,509,580
A1 AA- 720 Connecticut HEFA, NHP,
(SCRF), (Highland View),
7.00%, 11/1/07 803,808
A1 AA- 335 Connecticut HEFA, NHP,
(SCRF), (Wadsworth Glen),
(AMT), 7.00%, 11/1/07 373,994
A1 AA- 2,000 Connecticut HEFA, NHP,
(SCRF), (Wadsworth Glen),
(AMT), 7.50%, 11/1/16 2,275,000
A1 AA- 3,000 Connecticut HEFA, NHP,
(SCRF), (Windsor), 7.125%,
11/1/14 3,372,720
A1 AA- 500 Connecticut HEFA, NHP,
(SCRF), (Windsor), 7.125%,
11/1/24 558,735
NR NR 1,240 Connecticut Development
Authority, (Baptist
Homes), 9.00%, 9/1/22 1,356,572
-------------
$ 23,698,189
-------------
HOSPITALS - 7.9%
NR A- $5,780 Connecticut HEFA, William
W. Backus Hospital,
6.375%, 7/1/22 $ 5,902,651
NR A- 1,100 Connecticut HEFA, William
W. Backus Hospital, 6.00%,
7/1/12 1,104,829
Baa1 NR 5,400 Connecticut HEFA, Griffin
Hospital, 5.75%, 7/1/23 4,932,684
NR BBB- 2,000 Connecticut HEFA, New
Britan Memorial Hospital,
7.75%, 7/1/22 2,143,580
-------------
$ 14,083,744
-------------
HOUSING - 12.7%
Aa NR $ 100 Connecticut HFA Mortgage
Revenue Bonds (MRB),
7.40%, 11/15/99 $ 102,238
Aa AA 200 Connecticut HFA, MRB,
7.00%, 11/15/09 210,426
</TABLE>
38
<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>
HOUSING - (CONTINUED)
Aa AA 6,030 Connecticut HFA, MRB,
6.70%, 11/15/12 6,357,851
Aa AA 210 Connecticut HFA, MRB,
6.55%, 11/15/13 218,534
Aa AA 15 Connecticut HFA, MRB,
7.625%, 11/15/17 15,464
Aa AA 1,700 Connecticut HFA, MRB,
6.35%, 5/15/17 1,753,924
Aa AA 2,490 Connecticut HFA, MRB,
6.60%, 11/15/23 2,586,288
Aa AA 2,000 Connecticut HFA, MRB,
6.75%, 11/15/23 2,095,800
Aa AA 3,000 Connecticut HFA, MRB,
6.20%, 5/15/14 3,050,160
Aa AA 1,340 Connecticut HFA, MRB,
(AMT), 6.90%, 5/15/20 1,405,312
Aa AA 4,750 Connecticut HFA, MRB,
(AMT), 6.20%, 11/15/22 4,791,658
-------------
$ 22,587,655
-------------
INDUSTRIAL DEVELOPMENT/POLLUTION CONTROL
REVENUES - 2.7%
Aaa AAA $1,000 Connecticut Development
Authority, Pollution
Control Revenue, (Pfizer
Inc.), 6.55%, 2/15/13 $ 1,083,140
NR NR 3,065 Connecticut Development
Authority Airport
Facility, (Signature
Flight), (AMT), 6.625%,
12/1/14 3,084,861
Baa3 BB+ 700 Puerto Rico Port
Authority, (American
Airlines), (AMT), 6.30%,
6/1/23 714,966
-------------
$ 4,882,967
-------------
INSURED AIRPORTS - 5.3%
Aaa AAA $8,200 State of Connecticut
Airport Revenue Bonds,
Bradley International
Airport, (FGIC), 7.65%,
10/1/12 $ 9,425,326
-------------
INSURED COLLEGE AND UNIVERSITY - 2.2%
Aaa AAA $1,200 Connecticut HEFA,
Connecticut College,
(MBIA), 6.625%, 7/1/11 $ 1,299,384
Aaa AAA 1,000 University of Connecticut,
(FGIC), 5.00%, 2/1/16 935,370
Aaa AAA 1,555 Connecticut HEFA, Choate
Rosemary College, (MBIA),
6.80%, 7/1/15 1,708,479
-------------
$ 3,943,233
-------------
INSURED ELECTRIC - 1.9%
Aaa AAA $3,660 Connecticut Municipal
Electric Energy
Cooperative Bonds, (MBIA),
5.00%, 1/1/18 $ 3,346,997
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATIONS - 2.4%
Aaa AAA $1,220 Town of Bethel, (MBIA),
6.50%, 2/15/09 $ 1,372,805
Aaa AAA 740 Town of Stratford, (MBIA),
6.60%, 3/1/11 840,189
Aaa AAA 1,000 City of New Britain,
(MBIA), 6.00%, 3/1/12 1,073,640
Aaa AAA 1,000 Town of Plainfield,
(MBIA), 6.375%, 8/1/11 1,067,940
-------------
$ 4,354,574
-------------
INSURED HEALTHCARE - 0.4%
Aaa AAA $ 735 Connecticut HEFA, NHP,
(SCRF), (St. Joseph's
Living Center), (Secondary
AMBAC), 5.10%, 11/1/19 $ 675,164
-------------
INSURED HOSPITALS - 10.4%
Aaa AAA $1,000 Connecticut HEFA,
Bridgeport Hospital,
(MBIA), 6.625%, 7/1/18 $ 1,075,950
Aaa AAA 4,000 Connecticut HEFA, St.
Francis Hospital, (FGIC),
5.00%, 7/1/23 (2) 3,552,680
Aaa AAA 5,750 Connecticut HEFA, Lawrence
and Memorial Hospital,
(MBIA), 5.00%, 7/1/22 (2) 5,117,615
Aaa AAA 1,000 Connecticut HEFA, Hospital
of St. Raphael, (AMBAC),
6.50%, 7/1/11 1,123,620
Aaa AAA 1,000 Connecticut HEFA, Danbury
Hospital, (AMBAC), 5.375%,
7/1/17 969,820
Aaa AAA 2,965 Connecticut HEFA, Veterans
Memorial Medical Center,
(MBIA), 5.375%, 7/1/15 2,903,802
Aaa AAA 1,500 Connecticut HEFA, Hospital
of St. Raphael, (AMBAC),
6.625%, 7/1/14 1,606,290
Aaa AAA 2,000 Connecticut HEFA, Yale-New
Haven Hospital, (MBIA),
6.50%, 7/1/12 2,140,280
-------------
$ 18,490,057
-------------
INSURED HOUSING - 0.2%
Aaa AAA $ 305 Puerto Rico Housing
Finance Corp, (SEC.
AMBAC), 7.50%, 10/1/11 $ 319,140
-------------
</TABLE>
39
<PAGE> 8
- --------------------------------------------------------------------------------
CONNECTICUT MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
SOLID WASTE - 8.9%
A NR $2,500 Bristol Resource Recovery
Facility Operating
Committee, (Ogden Martin
Systems), 6.50%, 7/1/14 $ 2,635,450
A2 A 1,000 Connecticut Resources
Recovery Authority,
(American REF-FUEL
Company), (AMT), 8.10%,
11/15/15 1,081,580
Baa1 AA- 450 Connecticut Resources
Recovery Authority,
(American REF-FUEL
Company), (SCRF), (AMT),
8.00%, 11/15/15 485,383
A2 A 4,250 Connecticut Resources
Recovery Authority,
(American REF-FUEL
Company), (AMT), 6.45%,
11/15/22 4,394,628
NR BBB+ 7,970 Eastern Connecticut
Resource Recovery
Authority, (Wheelabrator
Lisbon), 5.50%, 1/1/20 7,379,742
-------------
$ 15,976,783
-------------
SPECIAL TAX - 6.6%
A1 AA- $2,000 State of Connecticut,
STOB, 6.50%, 10/1/12 $ 2,247,400
A1 AA- 3,180 State of Connecticut,
STOB, 6.125%, 9/1/12 (2) 3,446,929
Baa1 A 4,465 Puerto Rico Highway &
Transportation Authority,
5.50%, 7/1/15 (2) 4,416,376
Baa1 A 500 Puerto Rico Highway &
Transportation Authority,
5.50%, 7/1/15 494,555
NR NR 1,000 Virgin Islands Public
Finance Authority Revenue
Bonds, 7.25%, 10/1/18 1,066,280
-------------
$ 11,671,540
-------------
STUDENT LOANS - 2.5%
A1 NR $ 420 Connecticut Higher
Education Supplemental
Loan Authority Revenue
Bonds, (AMT), 7.375%,
11/15/05 $ 439,458
A1 NR 2,630 Connecticut Higher
Education Supplemental
Loan Authority Revenue
Bonds, (AMT), 7.50%,
11/15/10 2,748,666
A1 NR 1,280 Connecticut Higher
Education Supplemental
Loan Authority Revenue
Bonds, (AMT), 6.20%,
11/15/09 1,307,635
-------------
$ 4,495,759
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - 6.0%
A1 A $2,000 Connecticut State
Development Authority,
(New England Power),
7.25%, 10/15/15 $ 2,140,040
NR BBB 3,625 Guam Power Authority
Revenue Bonds, 6.30%,
10/1/22 3,675,134
NR BBB 1,100 Guam Power Authority
Revenue Bonds, 6.625%,
10/1/14 1,142,812
NR NR 3,500 Virgin Islands Water and
Power Authority, Electric
Revenue System Bonds,
7.40%, 7/1/11 3,720,990
-------------
$ 10,678,976
-------------
WATER & SEWER REVENUE - 1.9%
Aaa AA+ $1,250 State of Connecticut Clean
Water Fund Revenue Bonds,
6.00%, 10/1/12 $ 1,342,925
NR A+ 2,225 Connecticut Development
Authority Water
Facilities, Stamford Water
Company, 5.30%, 9/1/28 2,054,053
-------------
$ 3,396,978
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST $174,145,416) $ 178,203,155
=============
</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.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Connecticut
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1997, 22.8% 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 2.6% to 12.3% of total investments.
See notes to financial statements
40
<PAGE> 9
- --------------------------------------------------------------------------------
Michigan Municipals Portfolio
Portfolio of Investments - January 31, 1997
(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 - 2.5%
NR BBB $1,000 Guam Power Authority,
6.625%, 10/1/14 $ 1,038,920
Baa1 BBB+ 500 MI South Central Power
Agency Supply System,
6.75%, 11/1/10 527,160
Baa1 BBB 1,790 Monroe County, MI PCR
Detroit Edison Project
(AMT), 7.75%, 12/1/19 1,935,796
Baa1 BBB+ 365 Puerto Rico Electric Power
Authority, 7.125%, 7/1/14 391,911
-------------
$ 3,893,787
-------------
ESCROWED - 5.6%
NR NR $2,550 Clintondale, MI Community
Schools, 6.75%, 5/1/24 $ 2,862,324
Aaa AAA 1,000 Lake Orion, MI School
District General
Obligation, 7.0%, 5/1/20 1,148,820
Aaa AAA 750 MI HFA Oakwood Hospital,
7.20%, 11/1/15 830,190
Aaa AAA 3,500 Monroe County, MI EDC
Mercy Memorial Hospital,
7.0%, 9/1/21 3,914,890
-------------
$ 8,756,224
-------------
GENERAL OBLIGATIONS - 4.9%
Aa AA $ 500 Avondale School District,
MI School Building and
Site, 6.75%, 5/1/14 $ 536,240
Baa BBB 500 Detroit, 6.70%, 4/1/10 529,850
Baa BBB 5,470 Detroit, 6.35%, 4/1/14 5,604,015
Aa AA 1,000 Mattawan, MI Consolidated
Schools, 6.40%, 5/1/09 1,071,360
-------------
$ 7,741,465
-------------
HOSPITALS - 14.2%
NR BBB $2,000 Michigan HFA Central
Michigan Community
Hospital, 6.25%, 10/1/27 $ 1,963,120
A A 450 Michigan HFA Detroit
Medical Center Obligated
Group, 7.50%, 8/15/11 493,785
A2 A 4,225 Michigan HFA Detroit
Medical Center Obligated
Group, 5.50%, 8/15/23 3,980,795
A2 A 4,000 Michigan HFA Detroit
Medical Center Obligated
Group, 6.25%, 8/15/13 4,115,680
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA 250 Michigan HFA Henry Ford
Continuing Care
Corporation, 6.75%, 7/1/11 265,875
A1 NR 9,000 Michigan HFA McLaren
Obligated Group, 4.50%,
10/15/21 7,227,180
A2 A 4,130 Michigan HFA MidMichigan
Obligated Group, 6.625%,
6/1/10 4,232,135
-------------
$ 22,278,570
-------------
HOUSING - 1.3%
NR A+ $1,020 Michigan HDA Rental
Housing (AMT), 7.15%,
4/1/10 $ 1,074,927
NR AA+ 1,000 Michigan HDA Single Family
Mortgage (AMT), 6.20%,
12/1/27 1,002,390
-------------
$ 2,077,317
-------------
INDUSTRIAL DEVELOPMENT REVENUE/
POLLUTION CONTROL REVENUE - 10.6%
Baa1 BBB $6,970 Dickinson, MI - Champion
International, 5.85%,
10/1/18 $ 6,848,443
A3 A- 5,970 Michigan Strategic Fund -
General Motors, 6.20%,
9/1/20 6,094,056
NR BB- 110 Michigan Strategic Fund -
KMart Corporation, 6.80%,
6/15/07 109,997
NR NR 3,000 Michigan Strategic
Fund - SD Warren Company,
7.375%, 1/15/22 3,090,360
NR BB- 530 Richmond, MI EDC KMart
Corporation, 6.625%,
1/1/07 528,670
-------------
$ 16,671,526
-------------
INSURED EDUCATION - 7.1%
Aaa AAA $ 500 Eastern Michigan
University, (AMBAC),
6.375%, 6/1/14 $ 528,070
Aaa AAA 2,500 Eastern Michigan
University, (FGIC), 5.50%,
6/1/27 2,422,750
Aaa AAA 1,500 Ferris State University,
Michigan (MBIA), 5.25%,
10/1/15 1,443,765
Aaa AAA 3,360 Ferris State University,
Michigan (MBIA), 5.25%,
10/1/20 3,162,533
</TABLE>
41
<PAGE> 10
- --------------------------------------------------------------------------------
MICHIGAN MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED EDUCATION - (CONTINUED)
Aaa AAA 1,000 Grand Rapids Michigan
Community College (MBIA),
5.375%, 5/1/19 961,040
Aaa AAA 2,350 Western Michigan
University (FGIC), 5.00%,
7/15/21 2,107,268
Aaa AAA 500 Western Michigan
University (AMBAC), 6.50%,
7/15/21 535,250
-------------
$ 11,160,676
-------------
INSURED ELECTRIC UTILITIES - 3.4%
Aaa AAA $ 300 Michigan Strategic Fund,
Detroit Edison Company
(FGIC), 6.95%, 5/1/11 $ 347,829
Aaa AAA 4,000 Michigan Strategic Fund,
Detroit Edison Company
(FGIC), 6.95%, 9/1/21 4,373,520
Aaa AAA 550 Monroe, MI PCR Detroit
Edison Company (FGIC)
(AMT), 7.65%, 9/1/20 605,792
-------------
$ 5,327,141
-------------
INSURED GENERAL OBLIGATIONS - 17.2%
Aaa AAA $1,535 Airport, MI Community
School District (AMBAC),
5.125%, 5/1/22 $ 1,412,676
Aaa AAA 1,000 Beal, MI School District
(FSA), 5.00%, 5/1/21 907,920
Aaa AAA 2,000 Big Rapids, MI School
District (FGIC), 5.625%,
5/1/20 1,959,180
Aaa AAA 500 Dearborn, MI School
District (MBIA), 5.00%,
5/1/10 484,650
Aaa AAA 500 Detroit (FGIC), 5.50%,
4/1/16 486,685
Aaa AAA 4,000 Grand Ledge, MI School
District (MBIA), 5.375%,
5/1/24 3,807,600
Aaa AAA 2,000 Holland, MI School
District (AMBAC), 0%,
5/1/17 624,660
Aaa AAA 3,000 Kalamazoo, MI Public
Library (MBIA), 5.40%,
5/1/14 2,970,210
Aaa AAA 1,500 Lincoln Park, MI School
District (FGIC), 5.90%,
5/1/26 1,522,635
Aaa AAA 4,500 Livonia, MI School
District (FGIC), 5.125%,
5/1/22 4,141,395
Aaa AAA 2,000 Lowell, MI Schools (FGIC),
0%, 5/1/16 661,600
Aaa AAA 1,300 Mason, MI School District
(FGIC), 5.40%, 5/1/21 1,244,854
Aaa AAA 2,610 Okemos, MI Public Schools
(MBIA), 0%, 5/1/16 863,388
Aaa AAA 1,000 Reeths-Puffer, MI School
District (FGIC), 5.75%,
5/1/15 1,011,870
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
Aaa AAA 1,000 Riverview, MI Community
School District (AMBAC),
5.25%, 5/1/21 938,050
Aaa AAA 1,000 Schoolcraft, MI Community
School (FGIC), 5.375%,
5/1/26 955,960
Aaa AAA 250 Traverse, MI Public
Schools (MBIA), 5.70%,
5/1/16 250,455
Aaa AAA 1,460 Willow Run, MI Community
School District (AMBAC),
5.00%, 5/1/18 1,344,163
Aaa AAA 1,500 Ypsilanti, MI School
District (FGIC), 5.375%,
5/1/26 1,433,940
-------------
$ 27,021,891
-------------
INSURED HOSPITALS - 8.5%
Aaa AAA $2,500 Dearborn, Michigan EDA
Oakwood Obligated Group
(MBIA), 5.25%, 8/15/14 $ 2,403,000
Aaa AAA 3,500 Jackson, Michigan HFA W.A.
Foote Memorial (FGIC),
4.75%, 6/1/15 3,059,560
Aaa AAA 1,000 Kalamazoo, Michigan HFA
Borgess Medical Center
(FGIC), 5.25%, 6/1/17 935,310
Aaa AAA 3,500 Kent, Michigan HFA
Butterworth Health System
(MBIA), 6.125%, 1/15/21 3,586,870
Aaa AAA 3,200 Michigan HFA Linked Bulls
& Bears (FSA), 6.10%,
8/15/22 3,298,144
-------------
$ 13,282,884
-------------
INSURED HOUSING - 0.3%
Aaa AAA $ 500 Michigan HDA Parkway
Meadows Projects (FSA),
6.85%, 10/15/18 $ 528,085
-------------
INSURED WATER & SEWER - 7.8%
Aaa AAA $ 300 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/09 $ 281,862
Aaa AAA 400 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/10 370,880
Aaa AAA 400 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/11 367,580
Aaa AAA 400 Clinton Township, Michigan
Water and Sewage System
(AMBAC), 4.75%, 7/1/12 364,216
</TABLE>
42
<PAGE> 11
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 4,425 Detroit City, Michigan
Water Supply System
(FGIC), 6.25%, 7/1/12 4,681,207
Aaa AAA 7,180 Detroit City, Michigan
Water Supply System
(FGIC), 4.75%, 7/1/19 6,188,227
-------------
$ 12,253,972
-------------
LIFE CARE - 0.6%
NR NR $1,000 Michigan HFA Presbyterian
Village, 6.50%, 1/1/25 $ 1,004,810
-------------
MISCELLANEOUS - 3.9%
NR A $ 590 Michigan Municipal Bond
Authority Local Government
Loan, 6.90%, 5/1/21 $ 641,832
Aa AA 2,550 Michigan Municipal Bond
Authority Local Government
Loan-Qualified School,
6.50%, 5/1/07 2,781,948
Aa AA 760 Michigan Municipal Bond
Authority Local Government
Loan, 6.50%, 5/1/08 825,140
NR A- 1,770 Michigan Strategic
Environmental Research
Institute, 6.375%, 8/15/12 1,855,703
-------------
$ 6,104,623
-------------
POOLED LOAN - 1.3%
NR A $1,825 MI Muni Bond Authority
Revenue, 6.75%, 5/1/12 $ 2,010,675
-------------
SOLID WASTE - 0.6%
Ba1 BBB- $1,000 Central Wayne, MI
Sanitation Authority,
6.50%, 7/1/07 $ 1,005,640
-------------
SPECIAL TAX REVENUE - 6.7%
NR BBB+ $ 250 Battle Creek, Michigan
Downtown Development
Authority Tax Increment,
7.60%, 5/1/16 $ 285,598
NR BBB+ 1,315 Battle Creek, Michigan
Downtown Development
Authority Tax Increment,
7.65%, 5/1/22 1,506,135
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR A 7,650 Detroit, Michigan
Convention Facility Cobo
Hall Expansion Project,
5.25%, 9/30/12 (1) 7,212,650
NR A- 3,050 Detroit, Michigan Downtown
Tax Increment, 0%, 7/1/16 940,833
NR A- 2,000 Detroit, Michigan Downtown
Tax Increment, 0%, 7/1/20 478,720
-------------
$ 10,423,936
-------------
TRANSPORTATION - 2.3%
Baa3 BB+ $3,500 Puerto Rico Port
Authority - American
Airlines (AMT), 6.25%,
6/1/26 $ 3,594,325
-------------
WATER AND SEWER - 1.2%
Aa AA $1,895 Lansing City, Michigan
Water and Electric Utility
System, 4.90%, 7/1/10 $ 1,799,227
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $149,021,400) $ 156,936,774
=============
</TABLE>
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Michigan
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1997, 44.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from 3.0% to 24.8% of total investments.
See notes to financial statements
43
<PAGE> 12
- --------------------------------------------------------------------------------
Minnesota Municipals Portfolio
Portfolio of Investments - January 31, 1997
(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 - 1.6%
NR NR $1,000 St. Paul Housing &
Redevelopment Authority,
Highland Park, 8.75%,
11/1/24 $ 1,081,830
------------
EDUCATION - 0.9%
A NR $ 100 Minnesota Higher Education
Facilities Authority, St.
Olaf College, 6.25%,
4/1/10 $ 100,133
Baa NR 500 Minnesota Higher Education
Facilities Authority, St.
Mary's College, 6.15%,
10/1/23 501,110
------------
$ 601,243
------------
ESCROWED - 4.8%
Aaa AAA $ 100 Minnesota Public Fiance
Authority, Pollution
Control, Prerefunded to
3/1/99, 7.00%, 3/1/09 $ 107,674
Aaa AAA 150 Minnesota Public Fiance
Authority, Pollution
Control, Prerefunded to
3/1/01, 6.70%, 3/1/13 165,135
Aaa AA+ 1,700 State of Minnesota,
Prerefunded to 8/1/02,
Variable, 8/1/11 (1) 1,982,625
Aaa AAA 1,000 St. Cloud, St. Cloud
Hospital, (AMBAC),
Prerefunded to 7/1/01,
6.75%, 7/1/15 1,105,810
------------
$ 3,361,244
------------
GENERAL OBLIGATIONS - 5.1%
Aaa AAA $ 700 Minneapolis, 6.25%, 4/1/12 $ 744,093
Aaa AAA 200 Minneapolis & St. Paul
Airports Commission,
(AMT), 6.60%, 1/1/09 214,912
Aaa AAA 300 Minneapolis & St. Paul
Airports Commission,
(AMT), 6.60%, 1/1/10 319,671
A1 AA- 200 Saint Cloud, Variable,
8/1/13 (1) 214,750
Aaa AA+ 1,000 State of Minnesota, 5.40%,
8/1/13 1,001,570
Aaa AA+ 1,000 State of Minnesota, Duluth
Airport, (AMT), 6.25%,
8/1/14 1,048,650
------------
$ 3,543,646
------------
HOSPITALS - 14.8%
NR A $ 750 Bemidji, North County
Health Care Facilities,
5.625%, 9/1/21 $ 728,580
A A- 1,250 St. Paul, Minnesota
Housing and Redevelopment
Authority, Group Health
Plan, Inc., 6.75%, 12/1/13 1,344,838
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
A A- 250 St. Paul Minnesota Housing
and Redevelopment
Authority, Group Health
Plan, Inc., 6.90%,
10/15/22 270,165
NR BBB+ 2,120 Red Wing, Minnesota Health
Care Facilities, River
Region Obligated Group,
6.50%, 9/1/22 2,151,270
NR AA+ 2,200 City of Rochester,
Minnesota Health Care
Facilities, Mayo
Foundation, Variable,
11/15/15 (1) 2,318,250
Baa BBB 1,000 St. Paul Housing and
Redevelopment Authority,
Minnesota, Healtheast
Project, 6.625%, 11/1/17 1,023,370
Baa BBB 2,500 St. Paul Housing and
Redevelopment Authority,
Minnesota, Healtheast
Project, 6.625%, 11/1/17 2,558,425
------------
$ 10,394,898
------------
HOUSING - 23.1%
NR AAA $ 300 Coon Rapids, MFH, Browns
Meadow Manor, (FHA),
(AMT), 6.85%, 8/1/33 $ 309,738
NR AAA 1,395 County of Dakota,
Minnesota Housing and
Redevelopment Authority,
(GNMA), 7.375%, 12/1/29 1,510,813
Aaa NR 500 Egan, MFH, (GNMA), 5.95%,
2/1/32 500,425
Aaa NR 500 Little Canada, MFH,
(GNMA), 5.95%, 2/1/32 500,425
Aa NR 1,200 Maplewood, MFH, Beaver
Creek Apartments, (FHA),
6.50%, 9/1/24 1,242,288
Aa NR 1,250 St. Louis Park, MFMR,
(FHA), 6.25%, 12/1/28 1,268,537
Aaa NR 1,685 St. Paul, MFH, Sun Cliffe
Project, (GNMA), 6.00%,
7/1/31 1,686,230
NR AAA 90 Minneapolis and St. Paul
Housing Finance Board,
(GNMA), (AMT), 7.30%,
8/1/31 94,350
Aa AA+ 370 Minnesota Housing Finance
Agency, SFM, 7.70%, 7/1/14 390,491
Aa AA+ 380 Minnesota Housing Finance
Agency, SFM, (AMT), 7.05%,
7/1/22 395,196
Aa AA+ 415 Minnesota Housing Finance
Agency, SFM, 6.95%, 7/1/16 437,501
</TABLE>
44
<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>
HOUSING - (CONTINUED)
Aa AA+ 1,000 Minnesota Housing Finance
Agency, SFM, (AMT), 6.75%,
7/1/12 1,041,270
Aa AA+ 1,235 Minnesota Housing Finance
Agency, SFM, (AMT), 6.85%,
1/1/24 1,285,042
Aa AA+ 4,075 Minnesota Housing Finance
Agency, SFM, (AMT), 6.50%,
1/1/26 4,152,833
Aa AA+ 670 Minnesota Housing Finance
Agency, SFM, (AMT), 6.75%,
1/1/26 692,311
NR AAA 215 St. Paul, Minnesota
Housing and Redevelopment
Authority, (FNMA), 6.95%,
12/1/31 223,772
NR AAA 340 St. Paul, Minnesota
Housing and Redevelopment
Authority, (FNMA), 6.90%,
12/1/21 354,630
------------
$ 16,085,852
------------
INDUSTRIAL DEVELOPMENT/ POLLUTION
CONTROL - 7.4%
NR A- $1,000 Cloquet, Minnesota
Potlatch Corporation,
5.90%, 10/1/26 $ 1,008,050
NR A- 300 Minneapolis, Minnesota
Community Development
Agency, 6.40%, 12/1/04 313,209
NR BBB+ 100 Minneapolis, Minnesota
Community Development
Agency, 7.35%, 12/1/09 106,044
NR BBB+ 1,250 Minneapolis, Minnesota
Community Development
Agency, 7.40%, 12/1/21 1,322,400
NR BBB+ 1,605 Minneapolis, Minnesota
Community Development
Agency, (AMT), 6.80%,
12/1/24 1,666,809
NR BBB+ 750 Minneapolis, Minnesota
Community Development
Agency, 6.00%, 6/1/11 741,772
------------
$ 5,158,284
------------
INSURED GENERAL OBLIGATIONS - 2.1%
Aaa AAA $1,330 St. Francis, Minnesota
Independent School
District No. 15, (FGIC),
6.35%, 2/1/12 $ 1,433,381
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITALS - 13.6%
Aaa AAA $1,435 Duluth Economic
Development Authority, The
Duluth Clinic, (AMBAC),
6.30%, 11/1/22 $ 1,498,685
Aaa AAA 100 Minneapolis and St. Paul
Health Care Systems,
Health One Obligated
Group, (MBIA), 7.40%,
8/15/11 110,213
Aaa AAA 3,455 Minneapolis and St. Paul
Health Care Systems,
Healthspan, (AMBAC),
4.75%, 11/15/18 2,976,655
Aaa AAA 250 Minneapolis, Hospital
Revenue, Fairview Hospital
and Healthcare, (MBIA),
6.50%, 1/1/11 267,530
Aaa AAA 450 Plymouth, Minnesota Health
Facilities, Westhealth
Project, (CGIC), 6.25%,
6/1/16 470,498
Aaa AAA 4,000 St. Louis Park, Minnesota
Health Care Facilities,
Minnesota Obligated Group,
(AMBAC), 5.20%, 7/1/23 3,664,760
Aaa AAA 500 St. Paul Housing and
Redevelopment Authority,
Minnesota, St. Paul-Ramsey
Medical Center Project,
(AMBAC), 5.55%, 5/15/23 482,215
------------
$ 9,470,556
------------
INSURED HOUSING - 2.3%
Aaa AAA $1,500 SCA Tax Exempt Trust,
Burnsville, Minnesota MFH,
(FSA), 7.10%, 1/1/30 $ 1,624,605
------------
INSURED SPECIAL TAX - 4.3%
Aaa AAA $3,000 St. Paul Housing and
Redevelopment Authority,
Civic Center Project,
(MBIA), 5.45%, 11/01/13 $ 3,002,340
------------
INSURED UTILITIES - 10.7%
Aaa AAA $ 300 Northern Municipal Power
Agency, (AMBAC), 6.00%,
1/1/19 $ 302,001
Aaa AAA 450 Southern Minnesota
Municipal Power Agency,
(MBIA), 5.00%, 1/1/12 428,382
Aaa AAA 300 Southern Minnesota
Municipal Power Agency,
(MBIA), Variable, 1/1/18
(1) 299,625
</TABLE>
45
<PAGE> 14
- --------------------------------------------------------------------------------
MINNESOTA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED UTILITIES - (CONTINUED)
Aaa AAA 1,500 Southern Minnesota
Municipal Power Agency,
(MBIA), 4.75%, 1/1/16 1,318,095
Aaa AAA 6,300 Southern Minnesota
Municipal Power Agency,
(MBIA), 0%, 1/1/20 1,703,205
Aaa AAA 6,950 Southern Minnesota
Municipal Power Agency,
(MBIA), 0%, 1/1/21 1,754,180
Aaa AAA 6,000 Southern Minnesota
Municipal Power Agency,
(MBIA), 0%, 1/1/25 1,202,940
Aaa AAA 510 Western Minnesota
Municipal Power Agency,
(MBIA), 5.50%, 1/1/15 505,104
------------
$ 7,513,532
------------
LEASE/CERTIFICATES OF PARTICIPATION - 3.2%
Baa1 NR $ 350 Cambridge, Minnesota
Economic Development
Authority, 6.25%, 2/1/14 $ 355,768
Aa AA 1,770 Hennepin County, 6.80%,
5/15/17 1,908,308
------------
$ 2,264,076
------------
SOLID WASTE - 0.7%
Aa3 AA- $ 450 Anoka County, Minnesota
Solid Waste Disposal,
National Rural Utility,
(AMT), 6.95%, 12/1/08 $ 484,514
------------
UTILITIES - 5.4%
Baa1 BBB+ $1,130 Bass Brook, Minnesota
Pollution Control Revenue,
Minnesota Power & Light
Company, 6.00%, 7/1/22 $ 1,133,752
A A 1,500 Northern Municipal Power
Agency, Minnesota
Electric, 7.25%, 1/1/16 1,590,855
A A+ 1,100 Southern Minnesota
Municipal Power Agency,
5.00%, 1/1/12 (2) 1,028,522
------------
$ 3,753,129
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $65,933,001) $ 69,773,130
------------
- -----------------------------------------------------------------------
PUT OPTIONS ON FINANCIAL FUTURES CONTRACTS - 0%
- -----------------------------------------------------------------------
CONTRACTS SECURITY VALUE
- -----------------------------------------------------------------------
25 30 year-U.S. Treasury Bond
American, expiration
2/22/97 Strike Price $108
(identified cost $12,241) $ 4,297
------------
TOTAL INVESTMENTS
(IDENTIFIED COST,
$65,945,242) $ 69,777,427
============
</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.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The portfolio primarily invests in debt securities issued by Minnesota
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1997, 33.0% 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 2.3% to 15.2% of total investments.
See notes to financial statements
46
<PAGE> 15
- --------------------------------------------------------------------------------
New Jersey Municipals Portfolio
Portfolio of Investments - January 31,1997
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 2.1%
NR NR $ 3,630 New Jersey Economic
Development Authority,
Forsgate, (AMT), 8.625%,
6/1/25 $ 3,822,063
NR NR 3,750 New Jersey Economic
Development Authority,
Chelsea East Brunswick,
8.25%, 10/1/26 3,741,038
-------------
$ 7,563,101
-------------
COGENERATION - 5.7%
NR BB+ $12,750 New Jersey Economic
Development Authority,
Vineland Cogeneration
Limited Partnership,
(AMT), 7.875%, 6/1/19 $ 13,773,825
NR BBB- 1,725 New Jersey Economic
Development Authority,
Trigen Trenton Project,
(AMT), 6.20%, 12/1/07 1,754,239
NR NR 5,000 Port Authority of New
York and New Jersey,
KIAC, 6.75%, 10/1/19 5,112,850
-------------
$ 20,640,914
-------------
EDUCATION - 2.9%
Baa1 BBB $ 2,480 New Jersey Educational
Facilities Authority,
Seton Hall University,
7.00%, 7/1/21 $ 2,608,290
Aaa AAA 845 New Jersey Educational
Facilities Authority,
Seton Hall University,
(BIGI), 6.85%, 7/1/19 902,815
Aa1 AA+ 1,000 New Jersey Educational
Facilities Authority,
Princeton Theological
Seminary, 6.375%, 7/1/22 1,064,810
NR NR 8,800 New Jersey Higher
Educational Student Loan
Bonds, (AMT), 0%, 7/1/10 3,111,856
A1 AA 2,500 Rutgers, The State
University of New
Jersey, 6.85%, 5/1/21 2,730,000
-------------
$ 10,417,771
-------------
ESCROWED/PREREFUNDED - 4.1%
Aaa AAA $ 870 The City of Newark, New
Jersey, (AMBAC),
Prerefunded to 10/1/99,
7.375%, 10/1/07 $ 956,017
NR NR 2,000 County of Passaic, New
Jersey, Prerefunded to
9/1/99, 6.70%, 9/1/13 2,159,860
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 A 5,645 Puerto Rico Aqueduct and
Sewer Authority,
Prerefunded to 7/1/98,
7.875%, 7/1/17 6,075,939
Aaa A+ 1,000 New Jersey Economic
Development Authority,
Performing Arts Center
Site Acquisition,
Prerefunded to 6/15/01,
6.75%, 6/15/12 1,105,010
Aa AAA 1,205 New Jersey Health Care
Facilities Financing
Authority, Barnert
Hospital, (FHA),
Prerefunded to 8/1/01,
6.80%, 8/1/19 1,327,139
Aa AA 1,040 New Jersey Wastewater
Treatment Trust,
Prerefunded to 6/15/98,
7.25%, 6/15/08 1,103,898
Aaa AAA 1,155 New Jersey Educational
Facilities Authority,
Seton Hall University,
(BIGI), Prerefunded to
7/1/99, 6.85%, 7/1/19 1,248,012
A AA 1,000 University of Medicine
and Dentistry,
Prerefunded to 12/1/99,
7.20%, 12/1/129 1,097,190
-------------
$ 15,073,065
-------------
GENERAL OBLIGATIONS -
7.4%
NR BBB $ 9,745 Government of Guam,
5.40%, 11/15/18 $ 8,944,156
NR A+ 3,250 The Hudson County
Improvement Authority,
6.625%, 8/1/25 3,460,957
Aa NR 3,000 Mercer County
Improvement Authority
Solid Waste, 0%, 4/1/10 1,466,580
Baa1 A 5,000 Commonwealth of Puerto
Rico, 6.50%, 7/1/23 5,340,000
Baa1 A 3,750 Puerto Rico Public
Buildings Authority,
Public Education and
Health Facilities,
5.75%, 7/1/15 3,718,275
Baa1 A 2,000 Puerto Rico Public
Buildings Authority,
Public Education and
Health Facilities,
5.50%, 7/1/21 1,898,320
Baa1 A 2,075 Puerto Rico Public
Buildings Authority,
Public Education and
Health Facilities,
5.75%, 7/1/16 2,056,927
-------------
$ 26,885,215
-------------
</TABLE>
47
<PAGE> 16
- --------------------------------------------------------------------------------
NEW JERSEY MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 9.6%
Aa AAA $ 9,585 New Jersey Health Care
Facilities Financing
Authority, Barnert
Hospital, (FHA), 6.80%,
8/1/19 $ 9,998,401
Baa2 BBB 5,400 New Jersey Health Care
Facilities Financing
Authority, St
Elizabeth's Hospital,
6.00%, 7/1/27 5,349,726
A3 A- 2,300 New Jersey Health Care
Facilities Financing
Authority, Atlantic City
Medical Center, 6.80%,
7/1/11 2,478,756
Baa1 NR 5,875 New Jersey Health Care
Facilities Financing
Authority, Deborah Heart
and Lung Center, 6.30%,
7/1/23 5,942,210
Baa NR 4,000 New Jersey Health Care
Facilities Financing
Authority, Southern
Ocean County Hospital,
6.25%, 7/1/23 4,025,200
A2 A 8,000 New Jersey Health Care
Facilities Financing
Authority, Chilton
Memorial Hospital,
5.00%, 7/1/13 7,292,240
-------------
$ 35,086,533
-------------
HOUSING - 3.2%
NR AAA $ 3,700 New Jersey Housing and
Mortgage Finance Agency,
Presidential Plaza,
(FHA), 7.00%, 5/1/30 $ 3,955,522
NR AAA 2,000 New Jersey Housing and
Mortgage Finance Agency,
Presidential Plaza,
(FHA), 6.95%, 5/1/13 2,151,340
NR AA+ 1,000 New Jersey Housing and
Mortgage Finance Agency,
Section 8, 7.10%,
11/1/12 1,059,860
NR AA+ 1,975 New Jersey Housing and
Mortgage Finance Agency,
Section 8, 7.10%,
11/1/11 2,093,224
NR A+ 1,250 New Jersey Housing and
Mortgage Finance Agency,
Rental Housing, (AMT),
7.25%, 11/1/22 1,311,712
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR A+ 1,000 New Jersey Housing and
Mortgage Finance Agency,
Rental Housing, (AMT),
7.10%, 5/1/22 1,050,600
Aaa AAA 190 Puerto Rico Housing
Finance Corporation
Mortgage Revenue,
(GNMA), 6.85%, 10/15/23 199,304
-------------
$ 11,821,562
-------------
INDUSTRIAL DEVELOPMENT/ POLLUTION
CONTROL - 9.7%
NR NR $ 2,000 Middlesex County
Pollution Control
Financing Authority,
Amerada Hess
Corporation, 7.875%,
6/1/22 $ 2,268,780
NR NR 4,000 Middlesex County
Pollution Control
Financing Authority,
Amerada Hess
Corporation, 6.875%,
12/1/22 4,224,200
Aa1 NR 3,000 New Jersey Economic
Development Authority,
Garden State Paper
Company, (AMT), 7.125%,
4/1/22 3,221,010
NR NR 2,000 New Jersey Economic
Development Authority,
The Seeing Eye, Inc.,
7.30%, 4/1/11 2,109,200
NR NR 1,500 New Jersey Economic
Development Authority,
Holt Hauling, (AMT),
9.75%, 12/15/16 1,589,190
NR NR 5,640 New Jersey Economic
Development Authority,
Holt Hauling, (AMT),
8.95%, 12/15/19 6,037,394
NR NR 1,160 New Jersey Economic
Development Authority,
National Association of
Accountants, Inc.,
7.65%, 7/1/09 1,230,424
NR AA- 3,300 New Jersey Economic
Development Authority,
Oak Grove Associates,
6.125%, 12/1/06 3,442,560
Baa1 BBB+ 2,135 New Jersey Economic
Development Authority,
GATX Terminals
Corporation, 7.30%,
9/1/19 2,360,477
Baa3 BB+ 8,750 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.30%,
6/1/23 8,937,075
-------------
$ 35,420,310
-------------
</TABLE>
48
<PAGE> 17
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITALS - 1.0%
Aaa AAA $ 2,000 New Jersey Health Care
Facilities Financing
Authority, Hackensack
Medical Center, (FGIC),
6.25%, 7/1/21 $ 2,059,960
Aaa AAA 1,570 New Jersey Health Care
Facilities Financing
Authority, Cathedral
Health Services, (MBIA),
7.25%, 2/15/21 1,733,453
-------------
$ 3,793,413
-------------
INSURED HOUSING - 1.2%
Aaa AAA $ 1,410 New Jersey Housing and
Mortgage Finance Agency,
(MBIA), 7.375%, 10/1/17 $ 1,483,546
Aaa AAA 1,200 New Jersey Housing and
Mortgage Finance Agency,
(AMT), (MBIA), 7.70%,
10/1/29 1,258,572
Aaa AAA 1,685 Pennsauken Township
Housing Finance
Corporation, (MBIA),
8.00%, 4/01/11 1,765,627
-------------
$ 4,507,745
-------------
INSURED LEASE REVENUE - 4.3%
Aaa AAA $ 3,900 County of Atlantic, New
Jersey Public Facilities
Lease Agreement, (FGIC),
6.00%, 3/1/13 $ 4,164,381
Aaa AAA 1,750 County of Hudson, New
Jersey Correctional
Facility, (MBIA), 6.50%,
12/1/11 1,884,330
Aaa AAA 2,600 County of Hudson, New
Jersey Correctional
Facility, (MBIA), 6.60%,
12/1/21 2,805,270
Aaa AAA 2,500 County of Hudson, New
Jersey Improvement
Authority, Secondary
Yield Curve Notes,
(FGIC), Variable,
12/1/25 (1) 2,609,375
Aaa AAA 1,800 County of Middlesex, New
Jersey Certificates of
Participation, (MBIA),
6.125%, 2/15/19 1,860,462
Aaa AAA 2,125 University of Medicine
and Dentistry
Certificates of
Participation, (MBIA),
6.75%, 12/1/09 2,279,615
-------------
$ 15,603,433
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED SOLID WASTE - 0.4%
Aaa AAA $ 1,500 The Mercer County
Improvement Authority,
Solid Waste Revenue,
(AMT), (FGIC), 6.70%,
4/1/13 $ 1,501,170
-------------
INSURED TRANSPORTATION - 4.1%
Aaa AAA $ 3,250 Delaware River and Bay
Authority, (MBIA),
4.75%, 1/1/24 $ 2,789,703
Aaa AAA 5,000 New Jersey Turnpike
Authority "RITES",
(MBIA), Variable, 1/1/16
(1) 6,043,750
Aaa AAA 5,450 New Jersey Turnpike
Authority, (MBIA),
6.50%, 1/1/16 6,088,958
-------------
$ 14,922,411
-------------
INSURED UTILITIES - 0.8%
Aaa AAA $ 1,150 New Jersey Economic
Development Authority,
New Jersey American
Water Co., (AMT),
(FGIC), 6.875%, 11/1/34 $ 1,264,046
Aaa AAA 1,850 Salem County, New
Jersey, Public Service
Electric and Gas,
(MBIA), 5.55%, 11/1/33 1,781,180
-------------
$ 3,045,226
-------------
INSURED WATER & SEWER - 1.3%
Aaa AAA $ 2,500 Middlesex County
Utilities Authority,
Sewer Revenue (MBIA),
Variable, 8/15/10 (1) $ 2,745,700
Aaa AAA 2,000 North Hudson, New Jersey
Sewer Authority, (FGIC),
5.125%, 8/1/22 1,880,880
-------------
$ 4,626,580
-------------
LEASE/CERTIFICATE OF
PARTICIPATION - 3.9%
Baa1 A- $ 720 County of Atlantic, New
Jersey Public Facilities
Lease Agreement, 8.875%,
1/15/14 $ 950,443
Baa1 A- 785 County of Atlantic, New
Jersey Public Facilities
Lease Agreement, 8.875%,
1/15/15 1,039,442
A1 NR 1,000 Township of Bedminster,
New Jersey Board of
Education, 7.125%,
9/1/10 1,098,770
</TABLE>
49
<PAGE> 18
- --------------------------------------------------------------------------------
NEW JERSEY MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
LEASE/CERTIFICATE OF
PARTICIPATION - (CONTINUED)
Aa AA- 2,000 Mercer County
Improvement Authority,
Richard J. Hughes
Justice Complex, 6.05%,
1/1/15 1,999,980
Aa AA- 1,500 Mercer County
Improvement Authority,
Richard J. Hughes
Justice Complex, 6.05%,
1/1/16 1,499,985
Aa AA- 1,500 Mercer County
Improvement Authority,
Richard J. Hughes
Justice Complex, 6.05%,
1/1/17 1,499,985
Aa AA- 1,250 New Jersey Building
Authority, 7.20%,
6/15/13 1,316,362
Aa AA- 2,590 New Jersey Building
Authority, Garden State
Savings Bonds, 0%,
6/15/10 1,268,994
A1 A+ 1,650 New Jersey Economic
Development Authority,
Economic Recovery Fund,
0%, 9/15/09 835,973
A1 A+ 5,500 New Jersey Economic
Development Authority,
Economic Recovery Fund,
0%, 3/15/13 2,219,030
NR BBB 400 Puerto Rico Industrial,
Tourist, Educational,
Medical and
Environmental Control
Authority, Guaynabo
Lease, 5.625%, 7/1/22 374,368
-------------
$ 14,103,332
-------------
LIFE CARE - 2.0%
NR NR $ 615 New Jersey Economic
Development Authority,
Cadbury Corporation,
7.50%, 7/1/21 $ 618,610
NR NR 300 New Jersey Economic
Development Authority,
Cadbury Corporation,
8.70%, 7/1/07 322,377
NR NR 2,300 New Jersey Economic
Development Authority,
Cadbury Corporation,
8.00%, 7/1/15 2,085,400
NR NR 4,000 New Jersey Economic
Development Authority,
Keswick Pines, 8.75%,
1/1/24 4,229,120
-------------
$ 7,255,507
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
MISCELLANEOUS - 2.3%
NR NR $ 7,600 New Jersey Sports and
Exposition Authority,
Monmouth Park, 8.00%,
1/1/25 $ 8,380,368
-------------
NURSING HOMES - 1.1%
NR NR $ 1,400 New Jersey Economic
Development Authority,
Claremont Health System,
8.75%, 9/1/22 $ 1,516,718
NR NR 2,500 New Jersey Economic
Development Authority,
Victoria Health, 7.65%,
1/1/14 2,608,400
-------------
$ 4,125,118
-------------
SOLID WASTE - 4.6%
Ba NR $ 650 Mercer County
Improvement Authority,
Solid Waste System
Revenue, 6.80%, 4/1/05 $ 633,328
Ba NR 5,975 Mercer County
Improvement Authority,
Solid Waste System
Revenue, (AMT), 0%,
4/1/14 1,710,642
Ba NR 6,000 Mercer County
Improvement Authority,
Solid Waste System
Revenue, (AMT), 0%,
4/1/15 1,597,140
Ba NR 3,000 Mercer County
Improvement Authority,
Solid Waste System
Revenue, (AMT), 0%,
4/1/16 742,440
NR BB 11,930 Union County, New Jersey
Utilities Authority,
Solid Waste Revenue,
(AMT), 7.20%, 6/15/14 12,212,860
-------------
$ 16,896,410
-------------
SPECIAL TAX - 9.0%
Baa1 A $12,250 Puerto Rico Highway and
Transportation
Authority, 5.50%, 7/1/36 $ 11,727,905
Baa1 A 7,000 Puerto Rico Highway and
Transportation
Authority, 5.00%, 7/1/36 6,169,660
Baa1 BBB+ 550 Puerto Rico
Infrastructure Financing
Authority, 7.90%, 7/1/07 588,005
NR NR 13,350 Virgin Islands Public
Finance Authority,
7.25%, 10/1/18 14,234,838
-------------
$ 32,720,408
-------------
</TABLE>
50
<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>
TRANSPORTATION - 12.7%
NR BBB $ 1,700 Guam Airport Authority,
(AMT), 6.60%, 10/1/10 $ 1,748,892
NR BBB 1,400 Guam Airport Authority,
6.50%, 10/1/23 1,434,748
NR BBB 2,000 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 2,062,660
A1 AA- 9,500 The Port Authority of
New York and New Jersey,
7.35%, 10/1/27 (2) 10,875,600
A1 AA- 4,750 The Port Authority of
New York and New Jersey,
(AMT), 6.25%, 1/15/27 4,931,545
A1 AA- 11,500 The Port Authority of
New York and New Jersey,
6.125%, 6/1/2094 12,130,660
A1 AA- 5,000 The Port Authority of
New York and New Jersey,
5.375%, 3/1/28 4,831,350
Baa3 BB+ 5,100 The Port Authority of
New York and New Jersey,
Delta Air Lines Inc.,
6.95%, 6/1/08 5,440,629
Baa3 BB+ 3,050 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.25%,
6/1/26 3,132,198
-------------
$ 46,588,282
-------------
UTILITIES - 4.2%
NR BBB $ 100 Guam Power Authority,
5.25%, 10/1/13 $ 92,010
NR BBB 750 Guam Power Authority,
5.25%, 10/1/23 669,637
NR BBB 5,000 Guam Power Authority,
6.75%, 10/1/24 5,236,050
A3 BBB 625 New Jersey Economic
Development Authority,
Elizabethtown Gas Co.,
(AMT), 6.75%, 10/1/21 638,262
A2 A 1,455 New Jersey Economic
Development Authority,
Natural Gas Facilities,
7.05%, 3/1/16 1,518,001
Baa1 BBB+ 3,000 Puerto Rico Electric
Power Authority, 0%,
7/1/17 922,560
Baa1 BBB+ 1,000 Puerto Rico Electric
Power Authority, 5.50%,
7/1/25 949,750
NR NR 5,105 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 5,427,330
-------------
$ 15,453,600
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER - 2.4%
A1 AA- $ 2,000 Gloucester County
Utilities Authority,
6.50%, 1/1/21 $ 2,162,240
A3 A 4,500 New Jersey Economic
Development Authority,
Elizabethtown Water
Revenue, (AMT), 6.70%,
8/1/21 4,760,100
Aa AA 360 New Jersey Wastewater
Treatment Trust, 7.25%,
5/15/08 378,770
Aa AA 1,000 New Jersey Wastewater
Treatment Trust, 6.875%,
6/15/09 1,095,310
Aa AA 250 New Jersey Wastewater
Treatment Trust, 7.00%,
6/15/10 274,755
-------------
$ 8,671,175
-------------
TOTAL TAX-EXEMPT
INVESTMENTS
(IDENTIFIED COST,
$342,983,503) $ 365,102,649
=============
- -----------------------------------------------------------------------
PUT OPTIONS ON FINANCIAL FUTURES CONTRACTS - 0%
- -----------------------------------------------------------------------
CONTRACTS SECURITY VALUE
- -----------------------------------------------------------------------
300 30 year-U.S. Treasury
Bond, American,
expiration date 2/22/97,
strike price $108,
(identified cost,
$146,888) $ 51,617
-------------
TOTAL INVESTMENTS
(IDENTIFIED COST,
$343,130,391) $ 365,154,266
=============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) The above designated securities have been segregated to cover margin
requirements on open financial futures contracts.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The portfolio primarily invests in debt securities issued by New Jersey
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1997, 13.1% 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 0.3% to 9.5% of total investments.
See notes to financial statements
51
<PAGE> 20
- --------------------------------------------------------------------------------
Pennsylvania Municipals Portfolio
Portfolio of Investments - January 31, 1997
(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 - 3.2%
NR NR $ 2,680 Chester, Pennsylvania IDA
Senior Lifechoice of
Paoli, 8.05%, 1/1/24 $ 2,732,421
NR NR 5,000 Chester, Pennsylvania IDA
(AMT) Senior Lifechoice of
Kimberton, 8.50%, 9/1/25 5,273,350
NR NR 5,000 Delaware, Pennsylvania IDA
Senior Quarters Project,
5.625%, 9/1/25 5,268,550
-------------
$ 13,274,321
-------------
COGENERATION - 6.4%
NR NR $12,000 Pennsylvania EDA,
Northampton Generation
Project (AMT), 6.50%,
1/1/13 $ 11,837,880
NR BBB- 9,000 Pennsylvania EDA, Colver
Project, (AMT), 7.125%,
12/1/15 9,493,830
NR BBB- 5,000 Pennsylvania EDA, Colver
Project, (AMT), 7.15%,
12/1/18 5,257,300
-------------
$ 26,589,010
-------------
EDUCATION - 3.3%
NR BBB $ 4,865 Erie Higher Education
Building Authority,
Mercyhurst College, 5.75%,
3/15/20 $ 4,423,063
Baa1 NR 1,500 Latrobe, Pennsylvania
Saint Vincent College,
6.75%, 5/1/24 1,557,765
NR AAA 2,000 Lehigh, Pennsylvania
Allentown College of St.
Francis, 6.75%, 12/15/12 2,162,480
NR BBB- 1,100 Lehigh, Pennsylvania Cedar
Crest College, 6.70%,
4/1/26 1,122,836
NR A- 4,225 Scranton-Lackawanna,
Pennsylvania, University
of Scranton, 6.40%, 3/1/07 4,428,941
-------------
$ 13,695,085
-------------
ESCROWED - 5.7%
Aaa AAA $ 5,600 Berks, Pennsylvania
General Obligation,
(FGIC), Variable, 11/15/20
(1) $ 6,692,000
Aaa NR 1,750 Chester, Pennsylvania
HEFA, Bryn Mar Hospitals,
6.75%, 7/1/14 1,958,093
Aaa AAA 2,000 Doylestown, Pennsylvania
Hospital Authority,
(AMBAC), 6.90%, 7/1/19 2,161,320
Aaa AAA 1,405 Lycoming, Pennsylvania
General Obligation,
(FGIC), 6.40%, 8/15/11 1,514,351
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 945 Lycoming, Pennsylvania
General Obligation,
(FGIC), 6.40%, 8/15/11 1,020,165
NR A- 1,000 PA State Education,
Elizabeth College, 7.25%,
6/15/11 1,119,560
NR A- 6,900 PA IDA, Economic
Development, 7.00%, 1/1/11 7,677,906
Aaa AAA 5,000 Westmoreland, Pennsylvania
Muni Authority (FGIC), 0%,
8/15/20 1,307,600
Aaa AAA 500 York, Pennsylvania
Hospital Authority,
(AMBAC), 7.00%, 7/1/21 553,280
-------------
$ 24,004,275
-------------
GENERAL OBLIGATIONS - 3.2%
NR A $ 3,000 Chester Upland,
Pennsylvania School
District, 6.375%, 9/1/21 $ 3,061,770
NR A 3,000 Dauphin, Pennsylvania
6.90%, 6/1/26 3,154,950
A1 A+ 2,050 Lower Providence Township,
Pennsylvania Sewer
Authority, 6.75%, 5/1/22 2,255,820
NR A 1,950 McKeesport Area,
Pennsylvania School
District, 5.00%, 4/1/13 1,840,332
A1 AAA 465 Pennsylvania, 6.75%,
1/1/07 508,640
A1 AAA 500 Pennsylvania, 6.75%,
1/1/08 546,925
A1 AA- 2,000 Pennsylvania 6.375%,
9/15/12 2,125,080
-------------
$ 13,493,517
-------------
HOSPITALS - 18.4%
NR AAA $ 2,390 Allegheny, Pennsylvania
IDA, Presbyterian Medical
Center (FHA), 6.75%,
2/1/26 $ 2,491,862
Baa BBB 2,000 Dauphin, Pennsylvania
Community General
Osteopathic Hospital,
7.375%, 6/1/16 2,130,040
NR BBB+ 3,620 Delaware, Pennsylvania
Mercy Health, 5.75%,
12/15/22 3,422,638
NR NR 4,620 Hazelton Luzerne,
Pennsylvania Saint Joseph
Medical Center, 8.375%,
7/1/12 5,488,791
A NR 2,670 Indiana, Pennsylvania
Indiana Hospital, 7.125%,
7/1/23 2,875,964
A A 3,250 Lehigh, Pennsylvania
Muhlenberg Hospital,
6.60%, 7/15/22 3,416,497
NR BBB- 3,500 McKean, Pennsylvania
Bradford Hospital, 6.00%,
10/1/13 3,391,535
A3 BBB+ 2,550 Monroeville, Pennsylvania
Forbes Health System,
6.25%, 10/1/15 2,589,984
</TABLE>
52
<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>
HOSPITALS - (CONTINUED)
NR BBB+ 2,615 Montgomery, Pennsylvania
Pottstown Medical Center,
6.875%, 11/15/20 2,706,603
Baa2 NR 1,375 Montgomery, Pennsylvania
Hospital, 6.60%, 7/1/10 1,407,904
A2 A+ 500 PA Hospital and Higher
Education, Allegheny
General Hospital, 7.25%,
9/1/17 535,535
A BBB+ 8,500 PA Hospital and Higher
Education, Albert Einstein
Medical Center, 7.625%,
4/1/11 8,981,270
Ba BBB+ 5,650 PA Hospital and Higher
Education. Graduate Health
System, 6.625%, 7/1/21 5,577,624
Ba BBB+ 7,115 PA Hospital and Higher
Education. Graduate Health
System, 7.25%, 7/1/18 7,368,792
Baa1 A- 12,515 PA Hospital and Higher
Education, Temple
University Hospital,
6.625%, 11/15/23 12,899,586
Baa2 NR 4,115 Somerset, Pennsylvania
Community Hospital
Project, 6.75%, 3/1/11 4,213,554
A3 NR 7,000 Washington, Pennsylvania
Monongahela Valley
Hospital 6.75%, 12/1/08 7,415,450
-------------
$ 76,913,629
-------------
HOUSING - 6.9%
Aaa NR $ 2,100 Allegheny, Pennsylvania
SFMR, (GNMA), 7.15%,
6/1/17 $ 2,166,717
NR AAA 2,900 Allegheny, Pennsylvania
SFMR, Ladies Grand Army
Project, (FHA), 6.35%,
10/1/36 2,940,165
NR AAA 1,000 Bucks, Pennsylvania
Mortgage Revenue Bonds,
Warminster Heights
Project, (FHA), Section
8-A, 6.80%, 8/1/12 1,038,920
Aa AA+ 3,220 Pennsylvania HFA SFMR,
6.90%, 4/1/17 3,391,046
Aa2 AA+ 1,000 Pennsylvania HFA SFMR,
(AMT), Variable, 10/1/23
(1) 1,093,750
Aa AA+ 8,350 Pennsylvania HFA SFMR,
(AMT), 7.50%, 10/1/25 9,001,717
Aaa NR 3,000 Philadelphia, Pennsylvania
Redevelopment Authority
MF, 6.95%, 5/15/24 3,139,650
A1 A 3,450 Urban Redevelopment
Authority of Pittsburgh
Mortgage, (AMT), 7.10%,
4/1/24 3,610,253
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 A 265 Urban Redevelopment
Authority of Pittsburgh
Mortgage, 7.45%, 4/1/10 278,687
A1 A 1,000 Urban Redevelopment
Authority of Pittsburgh
Mortgage, 7.125%, 4/1/15 1,048,770
A1 A 1,055 Urban Redevelopment
Authority of Pittsburgh
Mortgage, (AMT), 7.40%,
4/1/24 1,101,009
-------------
$ 28,810,684
-------------
INDUSTRIAL DEVELOPMENT REVENUE/
POLLUTION CONTROL REVENUE - 10.3%
A3 A- $ 6,700 Butler, Pennsylvania IDA,
Witco Corporation Project,
5.85%, 12/1/23 $ 6,655,378
NR BB- 1,005 Clearfield, Pennsylvania
IDA, KMart Corporation,
6.80%, 5/15/07 1,013,784
NR A 4,000 Franklin, Pennsylvania
IDA, Corning Incorporated,
6.25%, 8/1/05 4,363,320
A2 A 12,000 New Morgan, Pennsylvania
IDA, New Morgan Landfill,
(AMT), 6.50%, 4/1/19 12,460,800
Baa2 BBB- 5,000 Pennsylvania IDA,
Macmilliam Project, (AMT),
7.60%, 12/1/20 5,580,250
Baa1 BBB 4,450 Pennsylvania IDA, Sun
Company Project, (AMT),
7.60%, 12/1/24 4,963,396
NR NR 6,500 Philadelphia IDA
Refrigerated Enterprises
Project, (AMT), 9.05%,
12/1/19 6,892,275
NR BB- 1,105 Shamokin, Pennsylvania
IDA, KMart Corporation,
6.70%, 7/1/07 1,100,912
-------------
$ 43,030,115
-------------
INSURED EDUCATION - 2.8%
Aaa AAA $ 2,000 Alleghany, Pennsylvania
Duquesne University
Project, (AMBAC), 5.00%,
3/1/21 $ 1,828,720
Aaa AAA 5,000 Cumberland, Pennsylvania
Messiah College Project,
5.125%, 10/1/15 4,762,900
Aaa AAA 250 PA Higher Education
Facilities, (AMBAC),
5.625%, 6/15/19 244,998
Aaa AAA 2,500 PA Higher Education
Student Loan, (AMBAC),
(AMT), 7.15%, 9/1/21 2,644,975
</TABLE>
53
<PAGE> 22
- --------------------------------------------------------------------------------
PENNSYLVANIA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED EDUCATION - (CONTINUED)
Aaa AAA 1,500 PA Higher Education
Student Loan, (AMBAC),
(AMT), Variable, 3/1/22
(1) 1,545,000
Aaa AAA 700 PA Higher Education
Student Loan, (AMBAC),
(AMT), Variable, 9/1/26
(1) 786,625
-------------
$ 11,813,218
-------------
INSURED GENERAL OBLIGATIONS - 9.1%
Aaa AAA $ 2,500 Berks, Pennsylvania,
(FGIC), 0%, 5/15/18 $ 743,225
Aaa AAA 2,170 Elizabeth Forward,
Pennsylvania School
District, (MBIA), 0%,
9/1/20 566,045
Aaa AAA 2,170 Elizabeth Forward,
Pennsylvania School
District, (MBIA), 0%,
9/1/21 534,710
Aaa AAA 2,170 Elizabeth Forward,
Pennsylvania School
District, (MBIA), 0%,
9/1/22 505,089
Aaa AAA 2,170 Elizabeth Forward,
Pennsylvania School
District, (MBIA), 0%,
9/1/23 477,118
Aaa AAA 4,345 Elizabeth Forward,
Pennsylvania School
District, (MBIA), 0%,
9/1/24 902,413
Aaa AAA 10,000 Erie, Pennsylvania School
District, (MBIA), 5.75%,
5/1/26 9,991,900
Aaa AAA 2,500 Erie, Pennsylvania School
District, (MBIA), 0%,
5/1/19 703,625
Aaa AAA 2,625 Erie, Pennsylvania School
District, (MBIA), 0%,
5/1/20 697,883
Aaa AAA 2,625 Erie, Pennsylvania School
District, (MBIA), 0%,
5/1/21 659,216
Aaa AAA 3,625 Erie, Pennsylvania School
District, (MBIA), 0%,
5/1/22 859,922
Aaa AAA 7,500 Keystone Oaks,
Pennsylvania School
District, (AMBAC),
Variable, 9/1/16 (1) 7,593,750
Aaa AAA 1,430 Mars Area, Pennsylvania
School District, (MBIA),
0%, 3/1/14 548,376
Aaa AAA 2,680 North Hills, Pennsylvania
School District, (FGIC),
0%, 11/15/20 690,958
Aaa AAA 5,000 Pennsylvania Inter
Cooperative Authority
(MBIA), 5.625%, 6/15/23 4,820,100
Aaa AAA 1,900 Philadelphia, (MBIA),
5.00%, 5/15/15 1,769,375
Aaa AAA 3,200 Philadelphia, (MBIA),
5.00%, 5/15/20 2,926,368
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 655 Rochester Area, School
District, (AMBAC), 0%,
5/1/10 319,581
Aaa AAA 2,795 Venango, (AMBAC), 6.30%,
12/1/19 2,915,632
-------------
$ 38,225,286
-------------
INSURED HOSPITALS - 4.4%
Aaa AAA $ 1,170 Allegheny, Pennsylvania
Children's Hospital of
Pittsburgh, (MBIA), 6.75%,
7/1/08 (2) $ 1,241,990
Aaa AAA 3,750 Allegheny, Pennsylvania
Magee-Womens Hospital,
(FGIC), 0%, 10/1/15 1,294,500
Aaa AAA 1,400 Armstrong, Pennsylvania
Saint Francis Health Care,
(AMBAC), 6.25%, 6/1/13 1,469,860
Aaa AAA 2,500 Armstrong, Pennsylvania
Saint Francis Health Care,
(AMBAC), 6.00%, 8/15/08 2,621,600
Aaa AAA 775 Carbon, Pennsylvania
Gnaden Heutten Memorial
Hospital, (AMBAC), 7.00%,
11/15/14 840,534
Aaa AAA 750 Erie, Pennsylvania Hamot
Medical Center, (AMBAC),
7.10%, 2/15/10 821,393
Aaa AAA 230 Lehigh, Pennsylvania
Health East, Incorporated,
(MBIA), 7.00%, 7/1/15 253,002
Aaa AAA 1,000 Montgomery, Pennsylvania
Abington Memorial,
(AMBAC), Variable, 6/1/11
(1) 1,152,500
Aaa AAA 5,000 Philadelphia Hospital &
Higher Education, PA
Hospital, (FGIC),
Variable, 2/15/12 (1) 4,581,250
Aaa AAA 1,500 Scranton-Lackawanna,
Pennsylvania Mercy Health,
(MBIA), 6.90%, 1/1/23 1,629,195
Aaa AAA 2,550 Washington, Pennsylvania
Shadyside Hospital,
(AMBAC), 5.75%, 12/15/14 2,573,893
-------------
$ 18,479,717
-------------
INSURED INDUSTRIAL DEVELOPMENT - 0.3%
Aaa AAA $ 1,000 Delaware, Pennsylvania IDR
Philadelphia Water, (FGIC)
(AMT), 6.35%, 8/15/25 $ 1,047,300
-------------
INSURED LEASE REVENUE - 2.2%
Aaa AAA $10,000 Commonwealth of
Pennsylvania (COP),
(AMBAC), 5.00%, 7/1/15 $ 9,283,000
-------------
</TABLE>
54
<PAGE> 23
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 SPECIAL TAX - 0.8%
Aaa AAA $ 3,795 PA Intergovernmental
Special Tax, (MBIA),
5.00%, 6/15/22 $ 3,391,705
-------------
INSURED UTILITIES - 6.0%
Aaa AAA $ 4,000 Beaver, Pennsylvania IDA,
Ohio Edison Company,
(FGIC), 7.00%, 6/1/21 $ 4,374,920
Aaa AAA 10,000 Beaver, Pennsylvania IDA,
Ohio Edison Company,
(FGIC), 7.05%, 10/1/20 11,178,200
Aaa AAA 3,800 Puerto Rico Electric Power
Authority, (FSA),
Variable, 7/1/02 (1) 4,137,250
Aaa AAA 5,050 Lehigh, Pennsylvania IDA,
PA Power & Light Company,
(MBIA), 6.15%, 8/1/29 5,225,690
-------------
$ 24,916,060
-------------
INSURED WATER & SEWER - 4.0%
Aaa AAA $ 5,235 Bethlehem, Pennsylvania
Water Authority, (MBIA),
5.20%, 11/15/21 $ 4,827,455
Aaa AAA 2,500 Philadelphia, Pennsylvania
Water & Wastewater,
(FGIC), Variable, 6/15/12
(1) 2,437,500
Aaa AAA 3,000 Philadelphia, Pennsylvania
Water & Wastewater,
(MBIA), 5.00%, 6/15/17 2,736,840
Aaa AAA 3,960 Philadelphia, Pennsylvania
Water & Wastewater,
(CGIC), 5.00%, 6/15/16 3,621,935
Aaa AAA 3,490 Pittsburgh, Pennsylvania
Water & Sewer (FGIC),
4.75%, 9/1/16 3,069,804
-------------
$ 16,693,534
-------------
LIFE CARE - 1.0%
NR NR $ 4,050 Delaware, Pennsylvania
White Horse Village,
7.50%, 7/1/18 $ 4,159,957
-------------
NURSING HOMES - 2.3%
NR NR $ 3,500 Montgomery, Pennsylvania
IDA Geriatric Health
8.375%, 7/1/23 $ 3,688,370
NR NR 1,190 Philadelphia, Pennsylvania
Hospital - Protestant
Homes, 8.625%, 7/1/21 1,241,491
NR NR 1,460 Westmoreland, Pennsylvania
Highland Health, 9.25%,
6/1/22 1,568,902
NR NR 2,750 Wilkins Area, Pennsylvania
IDA Fairview Extended
Care, 10.25%, 1/1/21 3,120,975
-------------
$ 9,619,738
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
POOLED LOAN - 4.6%
NR AA+ $ 870 Pennsylvania
Infrastructure Investment
Authority, Pennvest,
6.80%, 9/1/10 $ 941,566
NR A 16,950 Pennsylvania Finance
Authority, Beaver County,
6.60%, 11/1/09 18,041,750
-------------
$ 18,983,316
-------------
SPECIAL TAX REVENUE - 0.1%
Baa1 BBB+ $ 500 Puerto Rico Special Tax
Revenue, 7.50%, 7/1/09 $ 531,830
-------------
UTILITIES - 4.0%
Baa3 BB+ $ 500 Beaver, Pennsylvania IDA,
Ohio Edison Company,
7.75%, 9/1/24 $ 526,260
Baa1 BBB+ 3,250 Delaware, Pennsylvania
IDA, Philadelphia Electric
Company, 7.375%, 4/1/21 3,468,498
Baa1 BBB+ 4,070 Montgomery, Pennsylvania
IDA, Philadelphia Electric
Co, (AMT), 7.60%, 4/1/21 4,368,982
Baa1 BBB+ 3,370 Puerto Rico Electric Power
Authority Power Revenue,
0%, 7/1/17 1,036,342
NR NR 1,500 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,594,710
A2 A 5,500 Washington, Pennsylvania
IDA West Penn Power
Company, 6.05%, 4/1/14 5,591,740
-------------
$ 16,586,532
-------------
TRANSPORTATION - 1.0%
Baa3 BB+ $ 4,000 Puerto Rico Port Authority
-American Airlines (AMT),
6.25%, 6/1/26 $ 4,107,800
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $395,392,490) $ 417,649,629
=============
</TABLE>
(1) Security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio primarily invests in debt securities issued by Pennsylvania
municipalities. The ability of the debt securities to meet their obligations may
be affected by economic developments in a specific industry or municipality. In
order to reduce the risk associated with such economic developments, at January
31, 1997, 29.6% of the securities in the portfolio of investments are backed by
bond insurance of various financial institutions and financial guaranty
assurance agencies. The aggregate percentage by financial institution ranged
from 0.9% to 13.2% of total investments.
See notes to financial statements
55
<PAGE> 24
- --------------------------------------------------------------------------------
Texas Municipals Portfolio
Portfolio of Investments - January 31, 1997
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 2.4%
NR NR $ 500 Bell County, Texas Health
Facilities, Elder Care,
9.00%, 11/1/24 $ 544,765
------------
EDUCATION - 3.2%
A NR $ 700 Brazo Texas Higher
Education Authority, (AMT),
6.50%, 6/1/04 $ 734,398
------------
ELECTRIC UTILITIES - 2.0%
NR BBB $ 500 Guam Power Authority,
5.25%, 10/1/23 $ 446,425
------------
ESCROWED - 5.0%
NR NR $ 200 Bexar County, Texas, St.
Luke's Lutheran Hospital,
7.00%, 5/1/21 $ 234,062
Aaa NR 1,000 Central Texas Housing
Corporation Single Family,
0%, 9/1/16 316,000
A2 NR 100 Ector County, Texas
Hospital District, 7.30%,
4/15/12 114,393
Aaa AAA 85 Harris County, Texas Toll
Road Unlimited Tax and
Subordinate Lien,
(AMBAC),6.625%, 8/15/17 88,089
Aaa AAA 200 Montgomery County, Texas
Hospital District, (FSA),
6.625%, 4/1/17 221,486
Aaa AAA 150 Texas National Research Lab
Super Collider, 6.95%,
12/1/12 171,987
------------
$ 1,146,017
------------
GENERAL OBLIGATIONS - 13.0%
Aaa AAA $1,000 Bastrop, Texas Independent
School District, Unlimited
Tax U.T.G.O., (PSF), 0%,
2/15/13 $ 404,090
Aaa AAA 1,000 Temple, Texas Independent
School District U.T.G.O.,
(PSF), 5.125%, 8/15/17 941,850
NR NR 500 Leander, Texas, Limited
Tax, (L.T.), G.O., 6.75%,
8/15/16 524,530
Aa AA 690 Texas Veterans' Housing
Assistance U.T.G.O., (AMT),
6.70%, 12/1/24 716,572
Aa AA 360 Texas Veterans' Housing
Assistance U.T.G.O., (AMT),
6.80%, 12/1/23 375,228
------------
$ 2,962,270
------------
HEALTH CARE - 4.4%
Aa NR $ 975 Port Arthur Texas, Health
Facilities, (FHA), 6.50%,
8/1/24 $ 1,007,955
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 7.1%
NR BBB+ $ 500 Denison, Texas, Texoma
Medical Center, 7.10%,
8/15/24 $ 527,165
A A- 100 Harris County, Texas
Hospital District,
(Memorial), 7.125%, 6/1/15 108,210
A2 NR 1,000 Tarrant County, Texas,
Harris Methodist Health
System, 6.00%, 9/1/24 989,960
------------
$ 1,625,335
------------
HOUSING - 12.7%
NR A $ 500 Texas Dept. Of Housing, NHP
Foundation-Asmara Project,
6.40%, 1/1/27 $ 502,865
NR AAA 80 Bexar County, Texas HFC
Single Family, (GNMA),
8.10%, 3/1/24 84,955
NR A 750 Travis County, Texas HFC
Multifamily, Travis Station
Apartments, 6.75%, 4/1/19 778,433
NR AAA 500 Dallas Texas HFC Single
Family, (GNMA), 7.95%,
12/1/23 531,605
NR AAA 150 North Central Texas HFC
Single Family, (GNMA),
7.875%, 10/1/22 158,633
Aaa AAA 50 Puerto Rico HFC, Single
Family Mortgage Revenue
Bonds, (GNMA), 6.85%,
10/15/23 52,448
NR AAA 750 Travis County, Texas HFC,
(GNMA/FNMA), 7.05%, 12/1/25 798,082
------------
$ 2,907,021
------------
INDUSTRIAL DEVELOPMENT REVENUE/
POLLUTION CONTROL REVENUE - 15.6%
NR NR $ 250 Austin, Texas Cargoport
Development LLC, (Abia Dev.
Corp.), (AMT), 9.25%,
10/1/21 $ 252,112
Baa2 BBB 500 Alliance Airport Authority
Texas, (Federal Express),
(AMT), 6.375%, 4/1/21 504,715
Baa1 BBB 450 Gulf Coast, Texas Waste
Disposal Authority,
(Champion International),
(AMT), 7.25%, 4/1/17 477,972
A2 A+ 1,000 Port Corpus Christi, Texas,
(Hoechst Celanese Corp.),
(AMT), 6.875%, 4/1/17
(1)(3) 1,068,100
</TABLE>
56
<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>
INDUSTRIAL DEVELOPMENT REVENUE/
POLLUTION CONTROL REVENUE - (CONTINUED)
Baa3 BB+ 250 Puerto Rico Port Authority,
(American Air Lines),
(AMT), 6.30, 6/01/23 255,345
NR A 1,000 Trinity River Authority
Texas, (PCR), (AMT), 6.20%,
3/1/20 1,009,110
------------
$ 3,567,354
------------
INSURED ELECTRIC UTILITIES - 18.2%
Aaa AAA $1,000 Austin, Texas Utility
System, (FGIC), 6.25%,
5/15/16 (2) $ 1,051,830
Aaa AAA 500 Lower Colorado River
Authority Junior Lien,
Texas, (FGIC), 0%, 1/1/12 216,840
Aaa AAA 1,000 Austin Texas Combined
Utility, (AMBAC), 6.75%,
11/15/12 (2) 1,084,130
Aaa AAA 1,395 Texas Municipal Power
Agency, (MBIA), 0%, 9/1/13 546,631
Aaa AAA 1,000 Texas Municipal Power
Agency, (MBIA), 0%, 9/1/17 303,960
Aaa AAA 1,000 San Antonio, Texas Electric
& Gas, (MBIA), 5.375%,
2/1/18 963,460
------------
$ 4,166,851
------------
INSURED HOSPITAL - 6.9%
Aaa AAA $ 500 Harris County, Texas HFC
Hermann Hospital, (MBIA),
6.375%, 10/1/24 (1)(3) $ 529,515
Aaa AAA 1,000 Tyler County, Texas HFC
Mother Frances Hospital,
(FGIC), 6.50%, 7/1/22 1,058,610
------------
$ 1,588,125
------------
LEASE/CERTIFICATES OF PARTICIPATION - 1.1%
NR BBB- $ 250 Rio Grande, Texas
Independent School District
Lease, 6.75%, 7/15/10 $ 259,273
------------
TRANSPORTATION - 8.4%
Baa2 BB+ $ 505 Alliance Airport Authority,
American Airlines, (AMT),
7.50%, 12/1/29 $ 539,416
Baa3 BB 300 Dallas-Fort Worth Texas
Airport, Delta Airlines,
(AMT), 7.125%, 11/1/26 314,628
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa2 BB+ 225 Dallas-Fort Worth Texas
Airport, American Airlines,
(AMT), 7.50%, 11/1/25 240,745
NR BBB 755 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 778,654
Aa AA 25 Harris County, Texas Toll
Road, Subordinate Lien,
6.75%, 8/1/14 27,065
------------
$ 1,900,508
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $21,799,179) $ 22,856,297
============
</TABLE>
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
(2) When-issued security.
(3) Security has been segregated to cover when-issued securities.
AMT -- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Texas
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at January 31, 1997, 25.1% 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 0.4% to 10.3% of total investments.
See notes to financial statements
57
<PAGE> 26
- --------------------------------------------------------------------------------
Municipals Portfolios
Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
January 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ -------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $112,442,245 $39,970,332 $174,145,416 $149,021,400
Unrealized appreciation 7,581,130 2,248,088 4,057,739 7,915,374
------------ ----------- ------------ ------------
Total investments, at value (Note 1A) $120,023,375 $42,218,420 $178,203,155 $156,936,774
Cash 166,805 163,338 194,996 2,819,617
Receivable for investments sold 969,533 984,651 278,992 --
Interest receivable 1,172,145 577,039 2,327,578 2,432,708
Deferred organization expenses (Note 1D) 1,776 535 2,874 2,744
------------ ----------- ------------ ------------
Total assets $122,333,634 $43,943,983 $181,007,595 $162,191,843
------------ ----------- ------------ ------------
LIABILITIES:
Payable for when-issued securities (Note 1G) $ 1,448,925 $ -- $ -- $ --
Payable for daily variation margin on open
financial futures contracts (Note 1E) 81,375 31,500 96,250 147,000
Payable to affiliate --
Trustees' fees (Note 2) 750 132 963 960
Accrued expenses 12,260 5,426 22,484 12,401
------------ ----------- ------------ ------------
Total liabilities $ 1,543,310 $ 37,058 $ 119,697 $ 160,361
------------ ----------- ------------ ------------
NET ASSETS applicable to investors' interest in
Portfolio $120,790,324 $43,906,925 $180,887,898 $162,031,482
============ =========== ============ ============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $113,045,080 $41,601,937 $176,438,903 $154,269,310
Unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 7,745,244 2,304,988 4,448,995 7,762,172
------------ ----------- ------------ ------------
Total $120,790,324 $43,906,925 $180,887,898 $162,031,482
============ =========== ============ ============
</TABLE>
See notes to financial statements
58
<PAGE> 27
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
January 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $65,945,242 $343,130,391 $395,392,490 $21,799,179
Unrealized appreciation 3,832,185 22,023,875 22,257,139 1,057,118
----------- ------------ ------------ -----------
Total investments, at value (Note 1A) $69,777,427 $365,154,266 $417,649,629 $22,856,297
Cash 482,981 2,400,635 510 506,522
Receivable for investments sold 1,115,452 2,153,830 30,000 --
Interest receivable 817,663 4,636,949 5,851,779 405,056
Deferred organization expenses (Note 1D) 814 4,544 5,605 507
----------- ------------ ------------ -----------
Total assets $72,194,337 $374,350,224 $423,537,523 $23,768,382
----------- ------------ ------------ -----------
LIABILITIES:
Payable for investments purchased $ -- $ 5,310,075 $ 662,550 $ --
Payable for when-issued securities (Note 1G) -- -- -- 1,046,570
Payable for daily variation margin on open
financial futures contracts (Note 1E) 48,125 210,000 378,000 18,375
Demand note payable (Note 5) -- -- 1,558,000 --
Payable to affiliate --
Trustees' fees (Note 2) 594 1,437 1,600 10
Accrued expenses 9,773 36,242 12,225 1,212
----------- ------------ ------------ -----------
Total liabilities $ 58,492 $ 5,557,754 $ 2,612,375 $ 1,066,167
----------- ------------ ------------ -----------
NET ASSETS applicable to investors' interest in
Portfolio $72,135,845 $368,792,470 $420,925,148 $22,702,215
=========== ============ ============ ===========
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $68,221,808 $346,805,155 $399,061,957 $21,570,403
Unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 3,914,037 21,987,315 21,863,191 1,131,812
----------- ------------ ------------ -----------
Total $72,135,845 $368,792,470 $420,925,148 $22,702,215
=========== ============ ============ ===========
</TABLE>
See notes to financial statements
59
<PAGE> 28
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Six Months Ended January 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income $ 3,786,546 $1,393,833 $5,577,730 $ 5,020,069
----------- ---------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 253,380 $ 59,948 $ 397,348 $ 356,177
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 4,320 944 5,621 5,610
Custodian fees (Note 1I) 30,006 15,862 50,599 40,461
Legal and accounting services 23,043 19,663 26,384 26,093
Bond pricing 4,151 2,178 4,145 4,104
Amortization of organization expenses (Note 1D) 903 311 1,321 1,257
Miscellaneous 4,481 2,093 23,142 15,200
----------- ---------- ----------- -----------
Total expenses $ 320,284 $ 100,999 $ 508,560 $ 448,902
Deduct --
Reduction of custodian fees (Note 1I) 5,954 7,921 2,964 16,705
----------- ---------- ----------- -----------
Net expenses $ 314,330 $ 93,078 $ 505,596 $ 432,197
----------- ---------- ----------- -----------
Net investment income $ 3,472,216 $1,300,755 $5,072,134 $ 4,587,872
----------- ---------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 458,989 $ 337,024 $ 495,366 $ 804,704
Financial futures contracts (1,305,689) (405,888) (1,333,807) (1,774,707)
----------- ---------- ----------- -----------
Net realized loss on investments $ (846,700) $ (68,864) $ (838,441) $ (970,003)
----------- ---------- ----------- -----------
Change in unrealized appreciation --
Investments $ 2,088,377 $ 610,322 $2,008,616 $ 1,871,345
Financial futures contracts 522,255 103,010 499,121 323,668
----------- ---------- ----------- -----------
Net unrealized appreciation of investments $ 2,610,632 $ 713,332 $2,507,737 $ 2,195,013
----------- ---------- ----------- -----------
Net realized and unrealized gain on
investments $ 1,763,932 $ 644,468 $1,669,296 $ 1,225,010
----------- ---------- ----------- -----------
Net increase in net assets from operations $ 5,236,148 $1,945,223 $6,741,430 $ 5,812,882
=========== ========== =========== ===========
</TABLE>
See notes to financial statements
60
<PAGE> 29
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Six Months Ended January 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ----------- ------------ ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1B):
Interest income $2,291,538 $12,113,000 $14,112,307 $ 722,073
---------- ----------- ----------- ---------
Expenses --
Investment adviser fee (Note 2) $ 131,736 $ 884,210 $ 1,027,282 $ 21,965
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 3,359 8,526 9,489 --
Custodian fees (Note 1I) 24,096 88,500 78,667 4,894
Legal and accounting services 18,522 35,259 36,356 14,548
Bond pricing 3,777 7,250 6,242 2,678
Amortization of organization expenses (Note 1D) 513 2,250 2,661 304
Miscellaneous 7,191 24,970 49,362 1,278
---------- ----------- ----------- ---------
Total expenses $ 189,194 $ 1,050,965 $ 1,210,059 $ 45,667
---------- ----------- ----------- ---------
Deduct --
Reduction of investment adviser fee (Note 2) $ -- $ -- $ -- $ 8,076
Reduction of custodian fee (Note 1I) 11,804 23,232 78,667 4,029
---------- ----------- ----------- ---------
Total $ 11,804 $ 23,232 $ 78,667 $ 12,105
---------- ----------- ----------- ---------
Net expenses $ 177,390 $ 1,027,733 $ 1,131,392 $ 33,562
---------- ----------- ----------- ---------
Net investment income $2,114,148 $11,085,267 $12,980,915 $ 688,511
---------- ----------- ----------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 388,232 $ 1,615,201 $ 1,749,418 $ 53,296
Financial futures contracts (668,671) (2,284,248) (4,500,155) (254,502)
---------- ----------- ----------- ----------
Net realized loss on investments $ (280,439) $ (669,047) $(2,750,737) $(201,206)
---------- ----------- ----------- ----------
Change in unrealized appreciation --
Investments $ 473,806 $ 4,221,163 $ 7,308,201 $ 411,024
Financial futures contracts 158,661 151,479 818,098 86,879
---------- ----------- ----------- ---------
Net unrealized appreciation of investments $ 632,467 $ 4,372,642 $ 8,126,299 $ 497,903
---------- ----------- ----------- ---------
Net realized and unrealized gain on
investments $ 352,028 $ 3,703,595 $ 5,375,562 $ 296,697
---------- ----------- ----------- ---------
Net increase in net assets from operations $2,466,176 $14,788,862 $18,356,477 $ 985,208
========== =========== =========== =========
</TABLE>
See notes to financial statements
61
<PAGE> 30
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Six Months Ended January 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 3,472,216 $ 1,300,755 $ 5,072,134 $ 4,587,872
Net realized loss on investments (846,700) (68,864) (838,441) (970,003)
Change in unrealized appreciation of
investments 2,610,632 713,332 2,507,737 2,195,013
------------ ----------- ------------ ------------
Net increase in net assets from operations $ 5,236,148 $ 1,945,223 $ 6,741,430 $ 5,812,882
------------ ----------- ------------ ------------
Capital transactions --
Contributions $ 4,134,382 $ 1,804,695 $ 6,884,261 $ 1,978,516
Withdrawals (18,441,753) (5,258,567) (20,354,678) (19,224,524)
------------ ----------- ------------ ------------
Decrease in net assets resulting from
capital transactions $(14,307,371) $(3,453,872) $(13,470,417) $(17,246,008)
------------ ----------- ------------ ------------
Total decrease in net assets $ (9,071,223) $(1,508,649) $ (6,728,987) $(11,433,126)
NET ASSETS:
At beginning of period 129,861,547 45,415,574 187,616,885 173,464,608
------------ ----------- ------------ ------------
At end of period $120,790,324 $43,906,925 $180,887,898 $162,031,482
============ =========== ============ ============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 2,114,148 $ 11,085,267 $ 12,980,915 $ 688,511
Net realized loss on investments (280,439) (669,047) (2,750,737) (201,206)
Change in unrealized appreciation of
investments 632,467 4,372,642 8,126,299 497,903
----------- ------------ ------------ -----------
Net increase in net assets from operations $ 2,466,176 $ 14,788,862 $ 18,356,477 $ 985,208
----------- ------------ ------------ -----------
Capital transactions --
Contributions $ 2,286,799 $ 12,250,982 $ 11,925,342 $ 926,926
Withdrawals (8,707,203) (44,491,715) (57,538,532) (3,576,755)
----------- ------------ ------------ -----------
Decrease in net assets resulting from capital
transactions $(6,420,404) $(32,240,733) $(45,613,190) $(2,649,829)
----------- ------------ ------------ -----------
Total decrease in net assets $(3,954,228) $(17,451,871) $(27,256,713) $(1,664,621)
NET ASSETS:
At beginning of period 76,090,073 386,244,341 448,181,861 24,366,836
----------- ------------ ------------ -----------
At end of period $72,135,845 $368,792,470 $420,925,148 $22,702,215
=========== ============ ============ ===========
</TABLE>
See notes to financial statements
62
<PAGE> 31
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Year Ended July 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 7,710,632 $ 2,697,672 $10,721,638 $ 10,187,783
Net realized gain (loss) on investments 901,764 299,431 (814) 2,810,989
Change in unrealized appreciation of
investments 1,257,563 402,252 3,384,135 971,245
------------ ----------- ------------ ------------
Net increase in net assets from operations $ 9,869,959 $ 3,399,355 $14,104,959 $ 13,970,017
------------ ----------- ------------ ------------
Capital transactions --
Contributions $ 9,272,110 $ 5,588,344 $11,976,667 $ 7,755,466
Withdrawals (33,801,537) (9,649,291) (33,740,530) (39,523,856)
------------ ----------- ------------ ------------
Decrease in net assets resulting from
capital transactions $(24,529,427) (4,060,947) $(21,763,863) $(31,768,390)
------------ ----------- ------------ ------------
Total decrease in net assets $(14,659,468) $ (661,592) $(7,658,904) $(17,798,373)
NET ASSETS:
At beginning of year 144,521,015 46,077,166 195,275,789 191,262,981
------------ ----------- ------------ ------------
At end of year $129,861,547 $45,415,574 $187,616,885 $173,464,608
============ =========== ============ ============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 4,601,643 $ 23,488,315 $ 28,316,855 $ 1,575,243
Net realized gain (loss) on investments 410,797 (316,728) 5,992,215 342,298
Change in unrealized appreciation of
investments 697,008 3,926,712 (244,311) 178,638
------------ ------------ ------------- -----------
Net increase in net assets from operations $ 5,709,448 $ 27,098,299 $ 34,064,759 $ 2,096,179
------------ ------------ ------------- -----------
Capital transactions --
Contributions $ 5,070,544 $ 25,074,635 $ 20,910,102 $ 1,285,449
Withdrawals (17,657,615) (76,967,015) (109,043,304) (7,241,813)
------------ ------------ ------------- -----------
Decrease in net assets resulting from
capital transactions $(12,587,071) $(51,892,380) $(88,133,202) $(5,956,364)
------------ ------------ ------------- -----------
Total decrease in net assets $ (6,877,623) $(24,794,081) $(54,068,443) $(3,860,185)
NET ASSETS:
At beginning of year 82,967,696 411,038,422 502,250,304 28,227,021
------------ ------------ ------------- -----------
At end of year $ 76,090,073 $386,244,341 $448,181,861 $24,366,836
============ ============ ============= ===========
</TABLE>
See notes to financial statements
63
<PAGE> 32
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COLORADO PORTFOLIO
---------------------------
ARIZONA PORTFOLIO YEAR
---------------------------------------------------------------------- ENDED
SIX MONTHS ENDED YEAR ENDED JULY 31, SIX MONTHS ENDED JULY 31,
JANUARY 31, 1997 ------------------------------ YEAR ENDED JANUARY 31, 1997 --------
(UNAUDITED) 1996 1995 1994* SEPT. 30, 1993** (UNAUDITED) 1996
---------------- -------- -------- -------- ---------------- ---------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average daily net
assets)++:
Net expenses (1) 0.51%+ 0.51% 0.52% 0.46%+ 0.42%+ 0.46%+ 0.40%
Net expenses after
custodian fee
reduction 0.50%+ 0.50% -- -- -- 0.42%+ 0.36%
Net investment
income 5.50%+ 5.53% 5.81% 5.43%+ 5.46%+ 5.80%+ 5.75%
PORTFOLIO TURNOVER 6% 18% 22% 23% 107% 11% 53%
NET ASSETS, end of
period (000
omitted) $120,790 $129,862 $144,521 $154,068 $133,539 $ 43,907 $ 45,416
<CAPTION>
YEAR ENDED
1995 1994* SEPT. 30, 1993**
-------- -------- ----------------
<S> <C> <C> <C>
RATIOS (As a
percentage of
average daily net
assets)++:
Net expenses (1) 0.25% 0.02%+ 0.06%+
Net expenses after
custodian fee
reduction -- -- --
Net investment
income 6.05% 5.73%+ 5.60%+
PORTFOLIO TURNOVER 52% 23% 10%
NET ASSETS, end of
period (000
omitted) $ 46,077 $ 44,399 $ 24,346
</TABLE>
++The operating expenses of the Colorado Portfolio reflect a reduction of the
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of average
daily net assets):
Expenses (1) 0.42%
Expenses after custodian fee
reduction 0.38%
Net investment
income 5.73%
<CAPTION>
RATIOS (As a percent
daily net assets):
Expenses (1) 0.40% 0.35%+ 0.35%+
Expenses after cust
reduction -- -- --
Net investment
income 5.90% 5.40%+ 5.31%+
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MICHIGAN PORTFOLIO
---------------------------
CONNECTICUT PORTFOLIO YEAR
---------------------------------------------------------------------- ENDED
SIX MONTHS ENDED YEAR ENDED JULY 31, SIX MONTHS ENDED JULY 31,
JANUARY 31, 1997 ------------------------------ YEAR ENDED JANUARY 31, 1997 --------
(UNAUDITED) 1996 1995 1994* SEPT. 30, 1993** (UNAUDITED) 1996
---------------- -------- -------- -------- ---------------- ---------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average daily net
assets):
Net expenses (1) 0.54%+ 0.52% 0.53% 0.47%+ 0.46%+ 0.53%+ 0.54%
Net expenses after
custodian fee
reduction 0.54%+ 0.50% -- -- -- 0.51%+ 0.52%
Net investment
income 5.43%+ 5.49% 5.77% 5.40%+ 5.45%+ 5.39%+ 5.50%
PORTFOLIO TURNOVER 5% 23% 29% 10% 10% 10% 49%
NET ASSETS, end of
period (000
omitted) $180,888 $187,617 $195,276 $192,038 $159,848 $162,031 $173,465
<CAPTION>
YEAR ENDED
1995 1994* SEPT. 30, 1993**
-------- -------- ----------------
<S> <C> <C> <C>
RATIOS (As a
percentage of
average daily net
assets):
Net expenses (1) 0.48% 0.47%+ 0.44%+
Net expenses after
custodian fee
reduction -- -- --
Net investment
income 5.85% 5.48%+ 5.46%+
PORTFOLIO TURNOVER 54% 45% 20%
NET ASSETS, end of
period (000
omitted) $191,263 $204,032 $187,665
</TABLE>
+ Annualized.
* For the ten months ended July 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
(1) The expense ratios for the six months ended January 31, 1997 and the year
ended July 31, 1996 have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset arrangements
with its service providers. The expense ratios for each of the periods
ended on or before July 31, 1995 have not been adjusted to reflect this
change.
See notes to financial statements
64
<PAGE> 33
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW JERSEY PORTFOLIO
---------------------------
MINNESOTA PORTFOLIO YEAR
---------------------------------------------------------------------- ENDED
SIX MONTHS ENDED YEAR ENDED JULY 31, SIX MONTHS ENDED JULY 31,
JANUARY 31, 1997 ------------------------------ YEAR ENDED JANUARY 31, 1997 --------
(UNAUDITED) 1996 1995 1994* SEPT. 30, 1993** (UNAUDITED) 1996
---------------- -------- -------- -------- ---------------- ---------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average daily net
assets):
Net expenses (1) 0.50%+ 0.48% 0.47% 0.45%+ 0.40%+ 0.55%+ 0.53%
Net expenses after
custodian fee
reduction 0.47%+ 0.46% - - -- -- 0.54%+ 0.52%
Net investment
income 5.66%+ 5.69% 5.83% 5.50%+ 5.58%+ 5.80%+ 5.82%
PORTFOLIO TURNOVER 7% 45% 76% 20% 10% 10% 39%
NET ASSETS, end of
period (000
omitted) $ 72,136 $ 76,090 $ 82,968 $ 84,005 $ 67,019 $368,792 $386,244
<CAPTION>
YEAR ENDED
1995 1994* SEPT. 30, 1993**
-------- -------- ----------------
<S> <C> <C> <C>
RATIOS (As a
percentage of
average daily net
assets):
Net expenses (1) 0.52% 0.50%+ 0.50%+
Net expenses after
custodian fee
reduction -- -- --
Net investment
income 5.96% 5.62%+ 5.67%+
PORTFOLIO TURNOVER 54% 25% 12%
NET ASSETS, end of
period (000
omitted) $411,038 $423,854 $393,677
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TEXAS PORTFOLIO
---------------------------
PENNSYLVANIA PORTFOLIO YEAR
---------------------------------------------------------------------- ENDED
SIX MONTHS ENDED YEAR ENDED JULY 31, SIX MONTHS ENDED JULY 31,
JANUARY 31, 1997 ------------------------------ YEAR ENDED JANUARY 31, 1997 --------
(UNAUDITED) 1996 1995 1994* SEPT. 30, 1993** (UNAUDITED) 1996
---------------- -------- -------- -------- ---------------- ---------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average daily net
assets)++:
Net expenses (1) 0.55%+ 0.54% 0.49% 0.48%+ 0.50%+ 0.32%+ 0.32%
Net expenses after
custodian fee
reduction 0.52%+ 0.50% -- -- -- 0.28%+ 0.27%
Net investment
income 5.91%+ 5.90% 6.02% 5.66%+ 5.71%+ 5.78%+ 5.81%
PORTFOLIO TURNOVER 5% 30% 44% 21% 17% 13% 39%
NET ASSETS, end of
period (000
omitted) $420,925 $448,182 $502,250 $536,786 $497,001 $ 22,702 $ 24,367
<CAPTION>
YEAR ENDED
1995 1994* SEPT. 30, 1993**
-------- -------- ----------------
<S> <C> <C> <C>
RATIOS (As a
percentage of
average daily net
assets)++:
Net expenses (1) 0.08% 0.00%+ 0.03%+
Net expenses after
custodian fee
reduction -- -- --
Net investment
income 6.20% 5.69%+ 5.82%+
PORTFOLIO TURNOVER 49% 27% 8%
NET ASSETS, end of
period (000
omitted) $ 28,227 $ 27,589 $ 16,029
</TABLE>
++ The operating expenses of the Texas Portfolio reflect a reduction of the
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of average
daily net assets):
Expenses (1) 0.38%+ 0.42%
Expenses after custodian fee
reduction (1) 0.35%+ 0.37%
Net investment
income 5.71%+ 5.71%
<CAPTION>
RATIOS (As a percent
daily net assets):
Expenses (1) 0.35% 0.37%+ 0.42%+
Expenses after cust
reduction (1) -- -- --
Net investment
income 5.93% 5.32%+ 5.43%+
</TABLE>
+ Annualized.
* For the ten months ended July 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
(1) The expense ratios for the six months ended January 31, 1997 and the year
ended July 31, 1996 have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset arrangements
with its service providers. The expense ratios for each of the periods
ended on or before July 31, 1995 have not been adjusted to reflect this
change.
See notes to financial statements
65
<PAGE> 34
- --------------------------------------------------------------------------------
Notes to Financial Statements
(Unaudited)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
Arizona Municipals Portfolio (Arizona Portfolio), Colorado Municipals Portfolio
(Colorado Portfolio), Connecticut Municipals Portfolio (Connecticut Portfolio),
Michigan Municipals Portfolio (Michigan Portfolio), Minnesota Municipals
Portfolio (Minnesota Portfolio), New Jersey Municipals Portfolio (New Jersey
Portfolio), Pennsylvania Municipals Portfolio (Pennsylvania Portfolio) and Texas
Municipals Portfolio (Texas Portfolio), collectively the Portfolios, are
registered under the Investment Company Act of 1940 as non-diversified open-end
management investment companies which were organized as trusts under the laws of
the State of New York on May 1, 1992. The Declarations of Trust permit the
Trustees to issue interests in the Portfolios. The following is a summary of
significant accounting policies of the Portfolios. The policies are in
conformity with generally accepted accounting principles.
A. INVESTMENT VALUATIONS--Municipal bonds are normally valued on the basis of
valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the mean
between the latest bid and asked prices. Futures contracts and options on
futures contracts listed on commodity exchanges are valued at closing settlement
prices. Over the counter options on financial futures contracts are normally
valued at the mean between the latest bid and asked prices. Short-term
obligations, maturing in sixty days or less, are valued at amortized cost, which
approximates value. Investments for which valuations or market quotations are
unavailable are valued at fair value using methods determined in good faith by
or at the direction of the Trustees.
B. INCOME--Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for federal
income tax purposes.
C. INCOME TAXES--The Portfolios are treated as partnerships for federal tax
purposes. No provision is made by the Portfolios for federal or state taxes on
any taxable income of the Portfolios because each investor in the Portfolios is
ultimately responsible for the payment of any taxes. Since some of the
Portfolios' investors are regulated investment companies that invest all or
substantially all of their assets in the Portfolios, the Portfolios normally
must satisfy the applicable source of income and diversification requirements
(under the Internal Revenue Code) in order for their respective investors to
satisfy them. The Portfolios will allocate at least annually among their
respective investors each investor's distributive share of the Portfolios' net
taxable (if any) and tax-exempt investment income, net realized capital gains,
and any other items of income, gain, loss, 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
contracts and may realize a loss.
F. OPTIONS ON FINANCIAL FUTURES CONTRACTS--Upon the purchase of a put option on
a financial futures contract by a Portfolio, the premium paid is recorded as an
investment, the value of which is marked-to-market daily. When a purchased
option expires, a Portfolio will realize a loss in the amount of the cost of the
option. When a Portfolio enters into a closing sale transaction, the Portfolio
will realize a gain or loss depending on whether the sales proceeds from the
closing sale transaction are greater or less than the cost of the option. When a
Portfolio exercises a put option, settlement is made in cash. The risk
associated with purchasing options is limited to the premium originally paid.
G. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS-- The Portfolios may engage in
when-issued or delayed delivery transactions. The Portfolio records when-issued
securities on trade date and maintains security positions such that sufficient
liquid assets will be available to make payments for the securities purchased.
Securities purchased on a when-issued or delayed delivery basis are
marked-to-market daily and begin earning interest on settlement date.
H. OTHER--Investment transactions are accounted for on a trade date basis.
66
<PAGE> 35
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
I. EXPENSE REDUCTION--Investors Bank & Trust Company (IBT) serves as custodian
of the Portfolios. 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 each Portfolio's custodian fees are reported as a reduction of expenses
in the Statement of Operations.
J. 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.
K. INTERIM FINANCIAL INFORMATION--The interim financial statements relating to
January 31, 1997 and for the six month period then ended have not been audited
by independent certified public accountants, but in the opinion of the Fund's
management, reflect all adjustments, consisting only of normal recurring
adjustments, necessary for the fair presentation of the financial statements.
- --------------------------------------------------------------------------------
(2) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS
WITH AFFILIATES
The investment adviser fee is earned by Boston Management and Research (BMR), a
wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation for
management and investment advisory services rendered to each Portfolio. The fee
is based upon a percentage of average daily net assets plus a percentage of
gross income (i.e., income other than gains from the sale of securities). For
the six months ended January 31, 1997, each Portfolio paid advisory fees as
follows:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT EFFECTIVE RATE*
- ----------------- ---------- ----------------
<S> <C> <C>
Arizona $ 253,380 0.40%
Colorado 59,948 0.27%
Connecticut 397,348 0.43%
Michigan 356,177 0.42%
Minnesota 131,736 0.35%
New Jersey 884,210 0.46%
Pennsylvania 1,027,282 0.47%
Texas 21,965 0.18%
</TABLE>
* Advisory fees as a percentage of average daily net assets (annualized).
To enhance the net income of the Texas Portfolio, BMR made a preliminary
reduction in its fee in the amount of $8,076.
Except as to Trustees of the Portfolios who are not members of EVM's or BMR's
organization, officers and Trustees receive remuneration for their services to
the Portfolios out of such investment adviser fee.
Trustees of the Portfolios that are not affiliated with the Investment Adviser
may elect to defer receipt of all or a percentage of their annual fees in
accordance with the terms of the Trustees Deferred Compensation Plan. For the
six months ended January 31, 1997, no significant amounts have been deferred.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations.
- --------------------------------------------------------------------------------
(3) INVESTMENTS
Purchases and sales of investments, other than U.S. Government securities,
purchased options and short-term obligations, for the six months ended January
31, 1997 were as follows:
<TABLE>
<CAPTION>
ARIZONA PORTFOLIO COLORADO PORTFOLIO CONNECTICUT PORTFOLIO MICHIGAN PORTFOLIO
----------------- ------------------ --------------------- ------------------
<S> <C> <C> <C> <C>
Purchases $ 7,291,306 $ 4,618,992 $ 9,544,464 $ 16,579,119
Sales 20,601,370 7,851,288 20,802,779 34,737,394
</TABLE>
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA
PORTFOLIO PORTFOLIO PORTFOLIO TEXAS PORTFOLIO
----------------- ------------------ --------------------- ------------------
<S> <C> <C> <C> <C>
Purchases $ 5,445,493 $ 38,538,412 $20,777,189 $ 3,189,430
Sales 11,091,954 62,405,381 56,762,601 5,624,820
</TABLE>
67
<PAGE> 36
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation/depreciation in value of the investments
owned by each Portfolio at January 31, 1997, as computed on a federal income tax
basis, are as follows:
<TABLE>
<CAPTION>
ARIZONA COLORADO CONNECTICUT MICHIGAN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ------------------ --------------------- ------------------
<S> <C> <C> <C> <C>
Aggregate Cost $ 112,442,245 $ 39,970,332 $ 174,145,416 $149,021,400
============= ============ ============= ============
Gross unrealized
appreciation $ 7,735,106 $ 2,264,328 $ 5,008,128 $ 8,351,018
Gross unrealized
depreciation 153,976 16,240 950,389 435,644
------------- ------------ ------------- ------------
Net unrealized
appreciation $ 7,581,130 $ 2,248,088 $ 4,057,739 $ 7,915,374
============= ============ ============= ============
</TABLE>
<TABLE>
<CAPTION>
MINNESOTA NEW JERSEY PENNSYLVANIA TEXAS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ------------------ --------------------- ------------------
<S> <C> <C> <C> <C>
Aggregate Cost $ 65,945,242 $343,130,391 $ 395,392,490 $ 21,799,179
============= ============ ============= ============
Gross unrealized
appreciation $ 3,917,406 $ 22,130,801 $ 23,519,410 $ 1,081,886
Gross unrealized
depreciation 85,221 106,926 1,262,271 24,768
------------- ------------ ------------- ------------
Net unrealized
appreciation $ 3,832,185 $ 22,023,875 $ 22,257,139 $ 1,057,118
============= ============ ============= ============
</TABLE>
- --------------------------------------------------------------------------------
(5) LINE OF CREDIT
The Portfolios participate with other portfolios and funds managed by BMR and
EVM and its affiliates in a committed $120 million unsecured line of credit
agreement with a group of banks. The Portfolios may temporarily borrow from the
line of credit to satisfy redemption requests or settle investment transactions.
Interest is charged to each portfolio or fund based on its borrowings at an
amount above the banks' adjusted certificate of deposit rate, eurodollar rate or
federal funds rate. In addition, a fee computed at an annual rate of 0.15% on
the daily unused portion of the line of credit is allocated among the
participating portfolios and funds at the end of each quarter. At January 31,
1997, the Pennsylvania Portfolio had a balance outstanding pursuant to this line
of credit of $1,558,000. The Arizona Portfolio, Colorado Portfolio, Connecticut
Portfolio, Michigan Portfolio, Minnesota Portfolio, New Jersey Portfolio,
Pennsylvania Portfolio and Texas Portfolio did not have any significant
borrowings or allocated fees during the six months ended January 31, 1997.
68
<PAGE> 37
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(6) FINANCIAL INSTRUMENTS
The Portfolios regularly trade in financial instruments with off-balance sheet
risk in the normal course of their investing activities to assist in managing
exposure to various market risks. These financial instruments include written
options and futures contracts and may involve, to a varying degree, elements of
risk in excess of the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at January 31, 1997,
is as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
FUTURES CONTRACTS APPRECIATION
PORTFOLIO EXPIRATION DATE CONTRACTS POSITION (DEPRECIATION)
- ------------- ----------------- ------------------------ -------- --------------
<S> <C> <C> <C> <C>
Arizona 3/97 93 U.S. Treasury Bonds Short $ 164,114
Colorado 3/97 36 U.S. Treasury Bonds Short 56,900
Connecticut 3/97 110 U.S. Treasury Bonds Short 391,256
Michigan 3/97 168 U.S. Treasury Bonds Short 153,202
Minnesota 3/97 55 U.S. Treasury Bonds Short 81,852
New Jersey 3/97 240 U.S. Treasury Bonds Short (36,560)
Pennsylvania 3/97 432 U.S. Treasury Bonds Short (393,947)
Texas 3/97 21 U.S. Treasury Bonds Short 74,694
</TABLE>
At January 31, 1997, the Portfolios had sufficient cash and/or securities to
cover margin requirements on open financial futures contracts.
69
<PAGE> 38
- --------------------------------------------------------------------------------
Investment Management
- --------------------------------------------------------------------------------
FUNDS OFFICERS INDEPENDENT TRUSTEES
THOMAS J. FETTER DONALD R. DWIGHT
President President, Dwight Partners, Inc.
Chairman, Newspaper of New
JAMES B. HAWKES England, Inc.
Vice President, Trustee
ROBERT B. MACINTOSH SAMUEL L. HAYES, III
Vice President Jacob H. Schiff Professor of
Investment Banking, Harvard
JAMES L. O'CONNOR University Graduate School of
Treasurer Business Administration
THOMAS OTIS NORTON H. REAMER
Secretary President and Director,
United Asset Management
Corporation
JOHN L. THORNDIKE
Director,
Fiduciary Company Incorporated
JACK L. TREYNOR
Investment Adviser
and Consultant
- --------------------------------------------------------------------------------
PORTFOLIOS OFFICERS INDEPENDENT TRUSTEES
THOMAS J. FETTER DONALD R. DWIGHT
President President, Dwight Partners, Inc.
Chairman, Newspaper of New
JAMES B. HAWKES England, Inc.
Vice President, Trustee
ROBERT B. MACINTOSH SAMUEL L. HAYES, III
Vice President of Jacob H. Schiff Professor of
Arizona, Colorado, Investment Banking, Harvard
Connecticut, Michigan, University Graduate School of
Minnesota, Business Administration
New Jersey, Pennsylvania
and Texas Municipals NORTON H. REAMER
Portfolios and Portfolio President and Director,
Manager of Minnesota and United Asset Management
New Jersey Municipals Corporation
Portfolios
JOHN L. THORNDIKE
CYNTHIA J. CLEMSON Director,
Vice President and Fiduciary Company Incorporated
Portfolio Manager
of Arizona and Colorado JACK L. TREYNOR
Municipals Investment Adviser
Portfolios and Consultant
NICOLE ANDERES
Vice President and
Portfolio Manager of
Connecticut and Texas
Municipals Portfolios
TIMOTHY T. BROWSE
Vice President and
Portfolio Manager of
Michigan and Pennsylvania
Municipals Portfolio
JAMES L. O'CONNOR
Treasurer
THOMAS OTIS
Secretary
70
<PAGE> 39
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT ADVISER OF THE PORTFOLIOS
Boston Management and Research
24 Federal Street
Boston, MA 02110
ADMINISTRATOR OF THE FUNDS
Eaton Vance Management
24 Federal Street
Boston, MA 02110
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
Attn: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
71
