<PAGE>
CALIFORNIA LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 4.8%
- -------------------------------------------------------------------------------
NR BBB- $1,500 Central Valley Financing
Authority, Cogeneration,
5.20%, 7/1/99 $ 1,520,610
- -------------------------------------------------------------------------------
$ 1,520,610
- -------------------------------------------------------------------------------
Electric Utilities -- 6.8%
- -------------------------------------------------------------------------------
A2 A $1,000 California Pollution
Control Financing
Authority, (San Diego Gas &
Electric), 5.90%, 6/1/14(1) $ 1,142,140
A2 A+ 1,000 California Pollution
Control Financing
Authority, (Southern
California Edison Co.),
6.85%, 12/1/08 1,048,750
- -------------------------------------------------------------------------------
$ 2,190,890
- -------------------------------------------------------------------------------
Escrowed / Prerefunded -- 22.0%
- -------------------------------------------------------------------------------
Aaa AAA $1,500 ABAG Finance Authority
Certificates of
Participation, (Stanford
University Hospital),
(MBIA), Escrowed to
Maturity, 4.90%, 11/1/03 $ 1,592,145
Aaa AAA 1,000 ABAG Finance Authority
Certificates of
Participation, (Stanford
University Hospital),
(MBIA), Escrowed to
Maturity, 5.125%, 11/1/05 1,059,440
NR NR 1,400 California Health
Facilities, (Sisters of
Providence), Prerefunded to
10/1/00, 7.50%, 10/1/10 1,533,812
NR BBB- 1,000 Sacramento Cogeneration
Authority, (Procter &
Gamble), Prerefunded to
7/1/05, 6.50%, 7/1/21 1,175,900
NR AAA 1,500 San Bernadino, Certificates
of Participation,
Prerefunded to 8/1/01,
7.00%, 8/1/28 1,672,080
- -------------------------------------------------------------------------------
$ 7,033,377
- -------------------------------------------------------------------------------
Hospital -- 4.6%
- -------------------------------------------------------------------------------
NR NR $ 380 Eastern Plumas Health Care,
(District Hospital), 7.50%,
8/1/07 $ 414,797
NR NR 300 San Benito Health Care
District, 5.375%, 10/1/12(2) 300,132
NR NR 350 San Gorgonio Memorial
Health Care District,
5.80%, 5/1/14 355,978
NR BBB+ $ 400 Stockton Health Facilities,
(Dameron Hospital), 5.70%,
12/1/14 $ 412,812
- -------------------------------------------------------------------------------
$ 1,483,719
- -------------------------------------------------------------------------------
Housing -- 4.9%
- -------------------------------------------------------------------------------
Aaa NR $1,500 Corona SFMR, 6.05%, 5/1/27 $ 1,563,720
- -------------------------------------------------------------------------------
$ 1,563,720
- -------------------------------------------------------------------------------
Industrial Development Revenue -- 2.5%
- -------------------------------------------------------------------------------
Baa1 A- $ 750 California Pollution
Control Financing
Authority, (Browning Ferris
Industries), 5.80%, 12/1/16 $ 805,050
- -------------------------------------------------------------------------------
$ 805,050
- -------------------------------------------------------------------------------
Insured-Electric Utilities -- 6.6%
- -------------------------------------------------------------------------------
Aaa AAA $1,000 Sacramento Municipal
Utility District, (AMBAC),
5.60%, 8/15/16 $ 1,094,750
Aaa AAA 1,000 Southern California Public
Power Authority Project,
(AMBAC), 5.00%, 7/1/17 1,020,860
- -------------------------------------------------------------------------------
$ 2,115,610
- -------------------------------------------------------------------------------
Insured-General Obligations -- 7.1%
- -------------------------------------------------------------------------------
Aaa AAA $1,080 Fillmore Unified School
District, (FGIC), 0.00%,
7/1/15 $ 488,290
Aaa AAA 1,250 Mt. Diablo School District
(AMBAC), 5.70%, 8/1/14 1,378,200
Aaa AAA 705 Ukiah Unified School
District, (FGIC), 0.00%,
8/1/10 419,961
- -------------------------------------------------------------------------------
$ 2,286,451
- -------------------------------------------------------------------------------
Insured-Hospital -- 5.3%
- -------------------------------------------------------------------------------
Aaa AAA $1,900 Riverside County,
(Riverside County Hospital
Project), (MBIA),
0.00%, 6/1/21 $ 615,429
Aaa AAA 1,000 Tri City Hospital District,
(MBIA), 5.625%, 2/15/17 1,079,260
- -------------------------------------------------------------------------------
$ 1,694,689
- -------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
38
<PAGE>
CALIFORNIA LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------
Insured-Lease Revenue /
Certificates of Participation -- 6.3%
- --------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA $ 500 California State Public
Works Board, (California
Community College),
(AMBAC), 5.625%, 3/1/16 $ 546,470
Aaa AAA 1,355 California State Public
Works Board, (Department of
Corrections), (AMBAC), 1,480,622
5.25%, 12/1/13
- ---------------------------------------------------------------------
$ 2,027,092
- ---------------------------------------------------------------------
Insured-Special Tax Revenue -- 6.7%
- ---------------------------------------------------------------------
Aaa AAA $2,000 San Mateo County
Transportation District,
(MBIA), 5.25%, 6/1/17 $ 2,155,039
- ---------------------------------------------------------------------
$ 2,155,039
- ---------------------------------------------------------------------
Insured-Transportation -- 6.9%
- ---------------------------------------------------------------------
Aaa AAA $ 750 Puerto Rico Highway and
Transportation Authority,
(AMBAC), 0.00%, 7/1/18 $ 299,018
Aaa AAA 1,250 San Francisco, City and
County Airports, (MBIA),
5.60%, 5/1/13 1,349,338
Aaa AAA 1,000 San Joaquin Hills,
Transportation Corridor
Bridge & Toll Road,
(MBIA), 0.00%, 1/15/12 544,580
- ---------------------------------------------------------------------
$ 2,192,936
- ---------------------------------------------------------------------
Lease Revenue/
Certificates of Participation -- 4.1%
- ---------------------------------------------------------------------
NR A+ $ 750 California Statewide
Communities Development
Authority, (San Gabriel
Valley), 5.50%, 9/1/14 $ 784,688
Baa/2/ NR 500 Corona PFA, Public
Improvement Revenue, 5.95%,
7/1/07 523,725
- ---------------------------------------------------------------------
$ 1,308,413
- ---------------------------------------------------------------------
Nursing Home -- 5.8%
- ---------------------------------------------------------------------
NR BBB $ 750 ABAG Finance Authority,
(American Baptist Homes),
5.75%, 10/1/17 $ 781,485
NR A+ 1,000 California Statewide
Communities Development
Corp., (Pacific Homes),
5.90%, 4/1/09 1,089,980
- ---------------------------------------------------------------------
$ 1,871,465
- ---------------------------------------------------------------------
Special Tax Revenue -- 2.3%
- ---------------------------------------------------------------------
NR NR $ 360 Irvine, Improvement Bond
Act 1915, (Assessment
District North 97-16, Group
Two), 5.40%, 9/2/10 $ 367,495
NR NR 365 Torrance Redevelopment
Agency, 5.50%, 9/1/12 372,504
- ---------------------------------------------------------------------
$ 739,999
- ---------------------------------------------------------------------
Water and Sewer -- 3.3%
- ---------------------------------------------------------------------
A1 A+ $1,000 Los Angeles City Wastewater
System, 6.90%, 6/1/08/(1)(3)/$ 1,041,980
- ---------------------------------------------------------------------
$ 1,041,980
- ---------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $29,829,184) $32,031,040
- ---------------------------------------------------------------------
</TABLE>
AMT- Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative
Minimum Tax.
The Portfolio invests primarily in debt securities issued by California
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1998, 47.2% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 2.8% to 26.2% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover when-issued
securities.
/(2)/ When-issued security.
/(3)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes to financial statements
39
<PAGE>
CONNECTICUT LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited)
<TABLE>
<CAPTION>
Tax-Exempt Investments-- 100.0%
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------------
Education -- 7.3%
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR BBB- $500 Connecticut HEFA, (Quinnipiac
College), 6.00%, 7/1/13 $ 525,245
Baa3 BBB- 140 Connecticut HEFA, (Sacred
Heart University), 6.00%, 7/1/08 154,731
- -------------------------------------------------------------------------------
$ 679,976
- -------------------------------------------------------------------------------
Escrowed / Prerefunded -- 17.4%
- -------------------------------------------------------------------------------
Baa1 BBB+ $750 Connecticut HEFA, (Fairfield
University), Prerefunded to 7/1/99,
6.90%, 7/1/14 $ 784,432
NR NR 510 Connecticut HEFA, (New Britain
Hospital), Prerefunded to 7/1/02,
7.50%, 7/1/06 564,987
Aaa AAA 250 South Central Connecticut Regional
Water Authority (AMBAC),
Prerefunded to 8/1/01,
6.50%, 8/1/07/(1)/ 273,970
- -------------------------------------------------------------------------------
$1,623,389
- -------------------------------------------------------------------------------
General Obligations -- 11.4%
- -------------------------------------------------------------------------------
Aaa NR $200 Avon, 5.00%, 1/15/12 $ 213,526
Aa3 AA- 190 Connecticut State, 0.00%, 11/15/10 113,428
Aa3 AA- 150 Connecticut State, 5.125%, 8/15/11 158,258
Aa2 AA 100 Danbury, 5.00%, 8/1/17 101,626
Baa1 A 115 Puerto Rico, 0.00%, 7/1/08 76,674
Baa1 A 400 Puerto Rico Aqueduct and Sewer
Authority, 5.00%, 7/1/19 400,428
- -------------------------------------------------------------------------------
$1,063,940
- -------------------------------------------------------------------------------
Hospital -- 1.4%
- -------------------------------------------------------------------------------
Baa2 NR $125 Connecticut HEFA, (Griffin
Hospital), 6.00%, 7/1/13 $ 131,093
- -------------------------------------------------------------------------------
$ 131,093
- -------------------------------------------------------------------------------
Housing -- 1.1%
- -------------------------------------------------------------------------------
Aa NR $100 Connecticut HFA, MRB, (AMT),
7.40%, 11/15/99 $ 101,774
- -------------------------------------------------------------------------------
$ 101,774
- -------------------------------------------------------------------------------
Industrial Development Revenue -- 11.4%
- -------------------------------------------------------------------------------
A1 NR $625 Connecticut Development Authority,
(Frito Lay), 6.375%, 7/1/04 $ 634,255
Baa3 BBB- 250 Puerto Rico Port Authority,
(American Airlines), (AMT),
6.25%, 6/1/26 272,855
A3 BBB+ 150 Sprague, Environmental Improvement,
(International Paper Co.), (AMT),
5.70%, 10/1/21 156,992
- -------------------------------------------------------------------------------
$1,064,102
- -------------------------------------------------------------------------------
Insured-Education -- 4.8%
- -------------------------------------------------------------------------------
Aaa AAA $200 Connecticut HEFA, (Choate Rosemary
Hall), (MBIA), 5.00%, 7/1/14 $ 206,614
Aaa AAA 240 University of Connecticut, (FGIC),
5.00%, 2/1/15 247,114
- -------------------------------------------------------------------------------
$ 453,728
- -------------------------------------------------------------------------------
Insured-Electric Utilities -- 3.0%
- -------------------------------------------------------------------------------
Aaa AAA $250 Connecticut Municipal Electric
Authority,(MBIA), 6.00%, 1/1/07 $ 286,060
- -------------------------------------------------------------------------------
$ 286,060
- -------------------------------------------------------------------------------
Insured-General Obligations -- 13.1%
- -------------------------------------------------------------------------------
Aaa AAA $250 Brandford, (FGIC), 5.40%,
2/15/14/(1)/ $ 265,150
Aaa AAA 400 Bridgeport, (AMBAC), 6.00%,9/1/06 456,012
Aaa AAA 500 Old Saybrook, (AMBAC),
4.10%, 8/15/01 507,340
- -------------------------------------------------------------------------------
$1,228,502
- -------------------------------------------------------------------------------
Insured-Hospital -- 12.3%
- -------------------------------------------------------------------------------
Aaa AAA $150 Connecticut Authority, (Greenwich
Hospital), (MBIA), 5.75%, 7/1/06 $ 168,137
Aaa NR 300 Connecticut HEFA, (Middlesex Health
Services), (MBIA), 5.125%, 7/1/17 305,943
Aaa AAA 370 Connecticut HEFA, (St. Raphael
Hospital), (AMBAC), 5.10%, 7/1/07 400,211
Aaa AAA 250 Connecticut HEFA, (Stamford
Hospital), (MBIA), 6.50%, 7/1/06 271,905
- -------------------------------------------------------------------------------
$1,146,196
- -------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
40
<PAGE>
CONNECTICUT LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Miscellaneous -- 2.9%
- --------------------------------------------------------------------------------
Aaa AAA $250 Woodstock, Special Obligation Bonds,
(AMBAC), 7.00%, 3/1/07 $ 268,355
- -------------------------------------------------------------------------------
$ 268,355
- -------------------------------------------------------------------------------
Insured-Transportation -- 9.5%
- -------------------------------------------------------------------------------
Aaa AAA $750 Connecticut State Airport, (Bradley
International Airport), (FGIC),
7.40%, 10/1/04 $ 889,154
- -------------------------------------------------------------------------------
$ 889,154
- -------------------------------------------------------------------------------
Solid Waste -- 2.7%
- -------------------------------------------------------------------------------
NR BBB+ $250 Eastern Connecticut Resources
Recovery Authority, (Wheelabrator
Lisbon), (AMT), 5.00%, 1/1/03 $ 256,133
- -------------------------------------------------------------------------------
$ 256,133
- -------------------------------------------------------------------------------
Water and Sewer -- 1.7%
- -------------------------------------------------------------------------------
Aaa AAA $150 Connecticut State Clean Water Fund,
4.875%, 5/1/09 $ 157,572
- -------------------------------------------------------------------------------
$ 157,572
- -------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $8,749,673) $9,349,974
- -------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by 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 September 30, 1998, 48.6% 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 range from 13.2% to 20.4% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes to financial statements
41
<PAGE>
FLORIDA LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 1.2%
- ----------------------------------------------------------------------------------------
NR NR $ 500 Palm Beach County, (Okeelanta
Power), (AMT),
6.85%, 2/15/21/(1)/ $ 400,000
NR NR 500 Palm Beach County, (Osceola
Power), (AMT), 6.95%,
1/1/22/(1)/ 395,000
- ----------------------------------------------------------------------------------------
$ 795,000
- ----------------------------------------------------------------------------------------
Electric Utilities -- 8.9%
- ----------------------------------------------------------------------------------------
Aa2 AA $1,000 Jacksonville Electric
Authority, (St. John's
River Power Park),
5.25%, 10/1/20 $ 1,022,620
Aa2 AA 2,500 Jacksonville Electric Authority,
(St. Johns River Power Park),
5.375%, 10/1/16 2,634,175
A1 AA- 2,000 Tallahassee Electric,
5.90%, 10/1/05 2,182,360
- ----------------------------------------------------------------------------------------
$ 5,839,155
- ----------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 15.0%
- ----------------------------------------------------------------------------------------
Aaa AAA $1,500 Dade County Local School
District, (FGIC),
Prerefunded to 8/1/01,
6.00%, 8/1/06 $ 1,596,645
Aaa AAA $1,015 Dade County, Educational
Facilities Authority,
(MBIA), Prerefunded to
10/1/01, 7.00%, 10/1/08 1,130,477
Aaa AAA 1,450 Hillsborough County
Aviation Authority, (Tampa
International Airport),
(FGIC), Prerefunded to
10/01/99, 6.85%, 10/1/06 1,528,373
Aaa AAA 4,000 Jacksonville Health
Facilities Authority,
(Baptist Medical Center),
(MBIA), Prerefunded to
6/1/99, 7.25%, 6/1/05/(2)//(3)/ 4,182,799
Aaa AA- 1,250 Orlando Utility Community
Water and Electric,
Prerefunded to 10/1/01,
6.50%, 10/1/20 1,374,950
- ----------------------------------------------------------------------------------------
$ 9,813,244
- ----------------------------------------------------------------------------------------
General Obligations -- 13.4%
- ----------------------------------------------------------------------------------------
Aa2 AA+ $3,000 Florida State Board of
Education, 5.55%, 6/1/11 $ 3,280,500
Baa1 A $1,050 Puerto Rico, 0.00%, 7/1/08 $ 700,067
Baa1 A- 2,000 Puerto Rico Municipal
Finance Agency, 5.50%,
7/1/01 2,088,220
Baa1 A 1,000 Puerto Rico Public Building
Authority, 6.50%, 7/1/03 1,101,190
NR NR 1,500 Virgin Islands Public
Finance Authority,
(Matching Loan Fund Notes),
6.80%, 10/1/00 1,593,090
- ----------------------------------------------------------------------------------------
$ 8,763,067
- ----------------------------------------------------------------------------------------
Hospital -- 5.4%
- ----------------------------------------------------------------------------------------
NR BBB+ $1,250 Escambia County Health
Facilities Authority,
(Baptist Hospital, Inc. and
Baptist Manor, Inc.),
6.00%, 10/1/14 $ 1,321,950
Baa1 NR 425 Jacksonville Health
Facilities Authority,
(National Benevolent
Association-Cypress
Village), 6.00%, 12/1/98 426,832
Baa1 NR 450 Jacksonville Health
Facilities Authority,
(National Benevolent
Association-Cypress
Village), 6.25%, 12/1/99 464,292
Baa1 NR 480 Jacksonville Health
Facilities Authority,
(National Benevolent
Association-Cypress
Village), 6.50%, 12/1/00 507,413
NR BBB 355 Valley, AL, Special Care
Facilities Financing
Authority, (Lanier Memorial
Hospital), 5.00%, 11/1/03 364,681
NR BBB 455 Valley, AL, Special Care
Facilities Financing
Authority, (Lanier Memorial
Hospital), 5.00%, 11/1/04 467,831
- ----------------------------------------------------------------------------------------
$ 3,552,999
- ----------------------------------------------------------------------------------------
Housing -- 1.0%
- ----------------------------------------------------------------------------------------
NR A $ 425 Clearwater Housing
Authority, (Hamptons at
Clearwater),
5.40%, 5/1/13 $ 444,682
Baa3 BBB 200 Puerto Rico Housing Bank
and Finance Agency, 5.10%,
12/1/03 206,856
- ----------------------------------------------------------------------------------------
$ 651,538
- ----------------------------------------------------------------------------------------
Industrial Development Revenue -- 3.3%
- ----------------------------------------------------------------------------------------
Baa2 BBB $2,000 Polk County IDR, (IMC
Fertilizer), (AMT), 7.525%,
1/1/15 $ 2,153,160
- ----------------------------------------------------------------------------------------
$ 2,153,160
- ----------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
42
<PAGE>
FLORIDA LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Cogeneration -- 3.3%
- --------------------------------------------------------------------------------
Aaa AAA $2,000 Dade County, Resource
Recovery Facilities,
(AMBAC), (AMT),
5.30%, 10/1/07 $ 2,168,980
- --------------------------------------------------------------------------------
$ 2,168,980
- --------------------------------------------------------------------------------
Insured-Electric Utilities -- 1.6%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Dade County, Water and
Sewer System, (FGIC),
5.25%, 10/1/21 $ 1,034,230
- --------------------------------------------------------------------------------
$ 1,034,230
- --------------------------------------------------------------------------------
Insured-General Obligations -- 7.3%
- --------------------------------------------------------------------------------
Aaa AAA $2,000 Dade County Local School
District, (MBIA), 5.00%,
2/15/15 $ 2,057,820
Aaa AAA 520 Dade County, (MBIA),
0.00%, 10/1/06 371,982
Aaa AAA 330 Dade County, (MBIA),
0.00%, 10/1/08 213,942
Aaa AAA 1,000 Miami-Dade County School
District, (FSA), 5.375%, 1,093,150
8/1/15
Aaa AAA 1,000 Reedy Creek Improvement
District, (MBIA), 5.25%,
6/1/14(4) 1,057,810
- --------------------------------------------------------------------------------
$ 4,794,704
- --------------------------------------------------------------------------------
Insured-Hospital -- 10.4%
- --------------------------------------------------------------------------------
Aaa AAA $2,500 Naples, (Naples Community
Hospital Inc.), (MBIA),
5.50%, 10/1/16 $ 2,659,175
Aaa AAA 2,450 North Broward Hospital
District, (MBIA), 5.25%,
1/15/17 2,535,505
Aaa AAA 1,000 Orange County Health
Facilities Authority,
(Adventist Health
System/Sunbelt, Inc.),
(FSA), 5.50%, 11/15/02 1,062,920
Aaa AAA 500 Sarasota County Public
Hospital, (MBIA), 5.25%,
7/1/18 532,765
- --------------------------------------------------------------------------------
$ 6,790,365
- --------------------------------------------------------------------------------
Insured-Housing -- 3.9%
- --------------------------------------------------------------------------------
Aaa AAA $1,240 Florida Housing Finance
Authority, (Leigh Meadows
Apartments), (AMBAC),
5.85%, 9/1/10 $ 1,339,708
Aaa AAA 1,140 Florida Housing Finance
Authority, (Stottert Arms
Apartments), (AMBAC),
5.90%, 9/1/10 1,230,527
- --------------------------------------------------------------------------------
$ 2,570,235
- --------------------------------------------------------------------------------
Insured-Industrial Development Revenue -- 1.6%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Pinellas County Resource
Recovery, (MBIA), 5.125%,
10/1/04 $ 1,060,880
- --------------------------------------------------------------------------------
$ 1,060,880
- --------------------------------------------------------------------------------
Insured-Lease Revenue /
Certificates of Participation -- 1.7%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Palm Beach County Criminal
Justice Facilities, (FGIC),
5.375%, 6/1/10 $ 1,105,030
- --------------------------------------------------------------------------------
$ 1,105,030
- --------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 1.5%
- --------------------------------------------------------------------------------
Aaa AAA $2,000 Miami-Dade County
Professional Sports
Franchise Facilities,
(MBIA), 0.00%, 10/1/13 $ 1,010,900
- --------------------------------------------------------------------------------
$ 1,010,900
- --------------------------------------------------------------------------------
Insured-Transportation -- 9.9%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Broward County Airport
System, (MBIA), 5.375%,
10/1/13 $ 1,070,000
Aaa AAA 1,500 Broward County Port
Facilities, (MBIA), 5.375%,
9/1/12 1,615,545
Aaa AAA 2,000 Dade County, Seaport
Revenue, (MBIA), 5.125%,
10/1/16 2,073,360
Aaa AAA 1,670 Hillsborough County
Aviation Authority, (Tampa
International Airport),
(FGIC), 6.85%, 10/1/06 1,756,823
- --------------------------------------------------------------------------------
$ 6,515,728
- --------------------------------------------------------------------------------
Insured-Water and Sewer -- 8.5%
- --------------------------------------------------------------------------------
Aaa AAA $2,000 Dade County, Water and
Sewer System, (FGIC),
5.25%, 10/1/11 $ 2,162,440
Aaa AAA 2,000 Manatee County, Public
Utilities, (MBIA), 6.75%,
10/1/04 2,311,120
Aaa AAA 1,000 Pasco County, Water and
Sewer Revenue, (FGIC),
5.40%, 10/1/03 1,075,810
- --------------------------------------------------------------------------------
$ 5,549,370
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
43
<PAGE>
FLORIDA LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- ------------------------------------------------------------------------------
Nursing Home -- 2.1%
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR NR $ 350 Citrus County IDA, (Beverly
Enterprises), 5.00%, 4/1/03 $ 356,206
NR NR 1,000 Volusia County, (Beverly
Enterprises), 5.875%, 7/1/07 1,021,390
- ------------------------------------------------------------------------------
$ 1,377,596
- ------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $61,462,844) $65,546,181
- ------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Florida
municipalities. The ability of issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments at September 30, 1998, 62.6% 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 range from 3.3% to 36.4% of total investments.
/(1)/ Non-income producing security.
/(2)/ Security (or a portion thereof) has been segregated to cover when-issued
securities.
/(3)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
/(4)/ When-issued security.
See notes to financial statements
44
<PAGE>
MASSACHUSETTS LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 1.9%
- ----------------------------------------------------------------------------------------
NR BBB $ 1,000 Massachusetts IFA, (Ogden Haverhill),
(AMT), 5.50%, 12/1/13 $ 1,028,540
- ----------------------------------------------------------------------------------------
$ 1,028,540
- ----------------------------------------------------------------------------------------
Education -- 6.5%
- ----------------------------------------------------------------------------------------
NR A $ 500 Massachusetts IFA, (Belmont Hill
School), 5.15%, 9/1/13 $ 510,935
Baa3 BBB- 500 Massachusetts IFA, (Dana Hall),
5.90%, 7/1/27 529,225
A3 NR 1,030 Massachusetts IFA, (Park School),
5.50%, 9/1/16 1,106,096
Baa1 BBB+ 750 Massachusetts IFA, (St. Johns High
School, Inc.), 5.70%, 6/1/18 792,983
Baa1 NR 500 Massachusetts IFA, (Wentworth
Institute of Technology), 5.55%,
10/1/13 520,240
- ----------------------------------------------------------------------------------------
$ 3,459,479
- ----------------------------------------------------------------------------------------
Electric Utilities -- 2.0%
- -----------------------------------------------------------------------------------------
Baa2 BBB+ $ 1,000 Massachusetts Municipal Wholesale
Electric Co., 5.70%, 7/1/01 $ 1,047,150
- -----------------------------------------------------------------------------------------
$ 1,047,150
- -----------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 11.3%
- -----------------------------------------------------------------------------------------
Aa3 AA- $ 785 Massachusetts Bay Transportation
Authority, Prerefunded to 3/01/05,
5.75%, 3/1/18 $ 877,803
Aaa NR 935 Massachusetts HEFA, (Fairview
Extended Care), Prerefunded to 1/1/01,
10.125%, 1/1/11 1,076,073
Baa3 NR 960 Massachusetts HEFA, (Milford-
Whitinsville Hospital), Escrowed to
Maturity, 7.125%, 7/15/02 1,018,032
Aaa BBB 500 Massachusetts HEFA, (Sisters of
Providence Hospital), Escrowed to
Maturity, 6.00%, 11/15/00 524,295
Aaa AAA 400 Massachusetts Turnpike Authority,
(FGIC), Escrowed to Maturity, 5.125%,
1/1/23 421,852
Aaa NR 2,000 Massachusetts Turnpike Authority,
Escrowed to Maturity, 5.00%, 1/1/20 2,073,120
- -----------------------------------------------------------------------------------------
$ 5,991,175
- -----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
General Obligations -- 11.8%
- -----------------------------------------------------------------------------------------
Aa2 NR $ 500 Burlington, 5.00%, 2/1/15 $ 523,055
Aa2 NR 500 Burlington, 5.00%, 2/1/16 521,550
Aa3 AA- 1,000 Massachusetts, 5.00%, 11/1/14 1,031,540
Aa3 AA- 1,500 Massachusetts, 5.40%, 11/1/06 1,651,980
Aa3 AA- 1,260 Massachusetts Bay Transportation
Authority, 5.50%, 3/1/08 1,391,065
Aa3 NR 2,500 Massachusetts State Federal Highway,
Grant Anticipation Notes, 0.00%,
6/15/15 1,135,450
- -----------------------------------------------------------------------------------------
$ 6,254,640
- -----------------------------------------------------------------------------------------
Hospital -- 16.5%
- -----------------------------------------------------------------------------------------
Aa2 AA+ $ 3,000 Massachusetts HEFA, (Daughters of
Charity Issue), 5.75%, 7/1/02 $ 3,202,079
NR BBB+ 770 Massachusetts HEFA, (Jordan Hospital),
5.00%, 10/1/11 784,984
Baa2 BBB- 750 Massachusetts HEFA, (Milford-
Whitinsville Regional Hospital), 4.90%,
7/15/06 768,743
Baa2 BBB- 1,000 Massachusetts HEFA, (Milford-
Whitinsville Regional Hospital), 5.75%,
7/15/13 1,064,290
Ba1 NR 860 Massachusetts HEFA, (New England Health
Systems), 6.125%, 8/1/13 900,420
NR BBB- 1,845 Massachusetts HEFA, (North Adams
Regional Hospital), 6.25%, 7/1/04 2,014,703
- -----------------------------------------------------------------------------------------
$ 8,735,219
- -----------------------------------------------------------------------------------------
Insured-Education -- 2.1%
- -----------------------------------------------------------------------------------------
Aaa AAA $ 1,015 Massachusetts IFA, (Dexter School),
(MBIA), 5.40%, 5/1/13 $ 1,095,926
- -----------------------------------------------------------------------------------------
$ 1,095,926
- -----------------------------------------------------------------------------------------
Insured-Electric Utilities -- 4.2%
- -----------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Massachusetts Municipal Wholesale
Electric Co., (AMBAC), 6.625%,
7/1/03 /(1)/ $ 2,228,960
- -----------------------------------------------------------------------------------------
$ 2,228,960
- -----------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------
Insured-General Obligations -- 13.1%
- -----------------------------------------------------------------------------------------
Aaa AAA $ 610 Attleboro, (FGIC), 4.95%, 7/1/11 $ 643,355
Aaa AAA 1,000 Haverhill, (FGIC), 5.00%, 6/15/17 1,021,140
</TABLE>
See notes to financial statements
45
<PAGE>
MASSACHUSETTS LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-General Obligations (continued)
- ----------------------------------------------------------------------------------------
Aaa AAA $2,000 Massachusetts Bay
Transportation Authority,
(AMBAC), 5.25%, 3/1/11 $ 2,121,320
Aaa AAA 1,000 Massachusetts Bay
Transportation Authority,
(FGIC), 5.00%, 3/1/19 1,014,160
Aaa AAA 1,000 Massachusetts, (AMBAC),
5.00%, 7/1/12 1,060,820
Aaa AAA 1,000 Massachusetts, (FGIC),
6.50%, 6/1/01 1,072,990
- ----------------------------------------------------------------------------------------
$ 6,933,785
- ----------------------------------------------------------------------------------------
Insured-Hospital -- 2.9%
- ----------------------------------------------------------------------------------------
Aaa AAA $1,500 Massachusetts HEFA, (Lowell
General Hospital), (FSA),
5.25%, 6/1/16 $ 1,562,745
- ----------------------------------------------------------------------------------------
$ 1,562,745
- ----------------------------------------------------------------------------------------
Insured-Housing -- 4.4%
- ----------------------------------------------------------------------------------------
Aaa AAA $2,150 Massachusetts HFA,
(Harborpoint Development),
(AMBAC), (AMT), 6.20%,
12/1/10 $ 2,356,399
- ----------------------------------------------------------------------------------------
$ 2,356,399
- ----------------------------------------------------------------------------------------
Insured-Industrial Development Revenue -- 2.8%
- ----------------------------------------------------------------------------------------
Aaa AAA $1,400 Massachusetts IFA,
(Nantucket Electric),
(AMBAC), (AMT),
5.30%, 7/1/04 $ 1,490,020
- ----------------------------------------------------------------------------------------
$ 1,490,020
- ----------------------------------------------------------------------------------------
Lease Revenue /
Certificates of Participation -- 3.4%
- ----------------------------------------------------------------------------------------
NR BBB $1,650 Puerto Rico, ITEM & ECFA,
(Guaynabo Municipal
Government),
5.375%, 7/1/06 $ 1,784,426
- ----------------------------------------------------------------------------------------
$ 1,784,426
- ----------------------------------------------------------------------------------------
Nursing Home -- 2.0%
- ----------------------------------------------------------------------------------------
NR NR $1,000 Massachusetts IFA, (Age
Institute of Massachusetts),
7.60%, 11/1/05 $ 1,081,600
- ----------------------------------------------------------------------------------------
$ 1,081,600
- ----------------------------------------------------------------------------------------
Senior Living / Life Care -- 0.9%
- ----------------------------------------------------------------------------------------
NR NR $ 500 Massachusetts IFA, (Forge
Hill), (AMT), 6.75%, 4/1/30 $ 494,530
- ----------------------------------------------------------------------------------------
$ 494,530
- ----------------------------------------------------------------------------------------
Special Tax Revenue -- 4.4%
- ----------------------------------------------------------------------------------------
Aa3 AA $ 500 Massachusetts Special
Obligations, 5.00%, 6/1/14 $ 524,700
NR NR 1,750 Virgin Islands Public
Finance Authority,
(Matching Loan Fund Notes),
6.70%, 10/1/99 1,807,873
- ----------------------------------------------------------------------------------------
$ 2,332,573
- ----------------------------------------------------------------------------------------
Transportation -- 3.6%
- ----------------------------------------------------------------------------------------
Aa3 AA- $ 215 Massachusetts Bay
Transportation Authority,
5.75%, 3/1/18 $ 233,000
Baa1 A 500 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 549,965
A1 AA- 1,000 Woods Hole, Martha's
Vineyard and Nantucket
Steamship Authority, 6.60%,
3/1/03 1,110,610
- ----------------------------------------------------------------------------------------
$ 1,893,575
- ----------------------------------------------------------------------------------------
Water and Sewer -- 6.2%
- ----------------------------------------------------------------------------------------
Aa1 AA $2,100 Massachusetts Water
Pollution Abatement Trust,
5.25%, 8/1/14 $ 2,249,499
Aa3 AA+ 1,000 Massachusetts Water
Pollution Abatement Trust,
5.25%, 8/1/14 1,054,360
- ----------------------------------------------------------------------------------------
$ 3,303,859
- ----------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $49,536,437) $53,074,601
- ----------------------------------------------------------------------------------------
</TABLE>
AMT- Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Massachusetts
municipalities. The ability of issuers of debt to meet their obligations may be
affected by economic developments in a specific industry or municipality. In
order to reduce the risk associated with such economic developments, at
September 30, 1998, 30.3% of the securities in the portfolio of investments are
backed by bond insurance of various financial institutions and financial
guaranty assurance agencies. The aggregate percentage by financial institution
range from 2.1% to 17.4% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes in financial statements
46
<PAGE>
MICHIGAN LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited)
<TABLE>
<CAPTION>
Tax-Exempt Investments -- 100.0%
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Economic Development Revenue -- 1.3%
- --------------------------------------------------------------------------------
NR BB- $ 150 Michigan State Strategic
Fund, (Crown Paper), 6.25%,
8/1/12 $ 141,635
- --------------------------------------------------------------------------------
$ 141,635
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 16.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,000 Grand Ledge Public School
District, (MBIA),
Prerefunded to 5/1/04,
7.875%, 5/1/11/(1)/ $1,215,279
Aa1 AA+ 500 Michigan Municipal Bond
Authority, Escrowed to
Maturity, 7.00%, 10/1/02 560,075
- --------------------------------------------------------------------------------
$1,775,354
- --------------------------------------------------------------------------------
General Obligations -- 11.6%
- --------------------------------------------------------------------------------
Baa2 BBB+ $ 650 Detroit, 6.25%, 4/1/05 $ 724,750
Baa2 BBB+ 495 Detroit, 6.40%, 4/1/05 556,108
- --------------------------------------------------------------------------------
$1,280,858
- --------------------------------------------------------------------------------
Hospital -- 19.3%
- --------------------------------------------------------------------------------
Baa1 NR $ 525 Flint Hospital Authority,
(Hurley Medical Center),
6.00%, 7/1/05 $ 573,893
Aa3 AA 500 Kent Hospital Finance
Authority, (Spectrum
Health), 5.25%, 1/15/09 534,200
NR BBB 100 Michigan Hospital Finance
Authority, (Central MI
Community Hospital), 6.00%,
10/1/05 110,186
NR BBB 100 Michigan Hospital Finance
Authority, (Central MI
Community Hospital), 6.10%,
10/1/06 111,578
NR BBB 225 Michigan Hospital Finance
Authority, (Central MI
Community Hospital), 6.20%,
10/1/07 254,304
NR BBB 500 Michigan Hospital Finance
Authority, (Gratiot
Community Hospital),
6.10%, 10/1/07 544,660
- --------------------------------------------------------------------------------
$2,128,821
- --------------------------------------------------------------------------------
Industrial Development Revenue -- 5.4%
- --------------------------------------------------------------------------------
Baa3 BBB- $ 500 Puerto Rico Port Authority,
(American Airlines), (AMT),
6.25%, 6/1/26 $ 545,710
NR BB 55 Richmond Economic
Development Corp.,
(K-Mart), 6.30%, 1/1/99 55,235
- --------------------------------------------------------------------------------
$ 600,945
- --------------------------------------------------------------------------------
Insured-Electric Utilities -- 5.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 Monroe County, (The Detroit
Edison Co.), (AMBAC), (AMT),
6.35%, 12/1/04 $ 561,060
- --------------------------------------------------------------------------------
$ 561,060
- --------------------------------------------------------------------------------
Insured-General Obligations -- 11.0%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 Detroit School District,
(AMBAC), 6.50%, 5/1/10 $ 599,275
Aaa AAA 500 Hartland School District,
(FGIC), 5.125%, 5/1/17 512,060
Aaa AAA 100 Parchment School District,
(MBIA), 5.00%, 5/1/25 103,211
- --------------------------------------------------------------------------------
$1,214,546
- --------------------------------------------------------------------------------
Insured-Lease Revenue/
Certificates of Participation -- 1.8%
- --------------------------------------------------------------------------------
Aaa AAA $ 300 Michigan Building
Authority, Facilities
Program, (AMBAC),
0.00%, 10/15/08 $ 197,631
- --------------------------------------------------------------------------------
$ 197,631
- --------------------------------------------------------------------------------
Lease Revenue/
Certificates of Participation -- 4.8%
- --------------------------------------------------------------------------------
Aa2 AA $ 500 Michigan Building Authority,
6.10%, 10/1/01 $ 534,115
- --------------------------------------------------------------------------------
$ 534,115
- --------------------------------------------------------------------------------
Miscellaneous -- 1.4%
- --------------------------------------------------------------------------------
NR NR $ 150 Pittsfield Township EDC,
(Arbor Hospice), 7.875%,
8/15/27 $ 161,196
- --------------------------------------------------------------------------------
$ 161,196
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
47
<PAGE>
MICHIGAN LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Nursing Home -- 3.9%
- --------------------------------------------------------------------------------
NR NR $ 395 Michigan Hospital Finance
Authority, (Presbyterian
Villages),
6.20%, 1/1/06 $ 434,334
- --------------------------------------------------------------------------------
$ 434,334
- --------------------------------------------------------------------------------
Senior Living / Life Care -- 2.9%
- --------------------------------------------------------------------------------
NR BBB $ 300 Kalamazoo, (Friendship
Village), 6.125%, 5/15/17 $ 322,413
- --------------------------------------------------------------------------------
$ 322,413
- --------------------------------------------------------------------------------
Special Tax Revenue -- 15.4%
- --------------------------------------------------------------------------------
NR BBB+ $1,000 Battle Creek Downtown
Development Authority,
6.65%, 5/1/02 $ 1,087,320
NR A- 2,000 Detroit Downtown
Development Authority Tax
Increment, 0.00%, 7/1/21 612,380
- --------------------------------------------------------------------------------
$ 1,699,700
- --------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $9,947,771) $11,052,608
- --------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Michigan
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by the economic developments in a specific industry
or municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1998, 28.8% of such 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 range from 4.6% to 12.3% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open Financial futures contracts.
See notes to financial statements
48
<PAGE>
NEW JERSEY LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living -- 1.7%
- ----------------------------------------------------------------------
NR NR $ 650 New Jersey EDA,
(Chelsea at East
Brunswick), (AMT),
8.00%, 10/1/07 $ 728,845
- ----------------------------------------------------------------------
$ 728,845
- ----------------------------------------------------------------------
Cogeneration -- 10.1%
- ----------------------------------------------------------------------
NR BB+ $1,135 New Jersey EDA,
(Vineland
Cogeneration),
(AMT),
7.875%, 6/1/19 $1,248,114
NR BBB- 2,250 New Jersey EDA,
Heating and Cooling
(Trigen-Trenton),
(AMT),
6.10%, 12/1/05 2,442,533
NR NR 550 Port Authority of
New York and New
Jersey, (KIAC
Project), (AMT),
6.50%, 10/1/01 583,110
- ----------------------------------------------------------------------
$4,273,757
- ----------------------------------------------------------------------
Escrowed / Prerefunded -- 4.6%
- ----------------------------------------------------------------------
Aaa AAA $ 500 Elizabeth, (MBIA),
6.20%, 11/15/02 $ 533,940
NR NR 310 New Jersey EDA,
(Cadbury Corp.),
Prerefunded to
7/1/01,
8.00%, 7/1/15 352,389
Aaa NR 2,030 New Jersey EDA,
(Princeton
Custodial
Receipts), Escrowed
to Maturity, 0.00%,
12/15/12 1,063,801
- ----------------------------------------------------------------------
$1,950,130
- ----------------------------------------------------------------------
General Obligations -- 10.3%
- ----------------------------------------------------------------------
Aa3 AA $2,195 Jersey City School
District,
6.25%, 10/1/10 $2,573,878
Baa1 A 1,050 Puerto Rico, 0.00%,
7/1/08 700,067
Aa3 AA 1,000 South Brunswick,
7.125%, 7/15/02 1,117,950
- ----------------------------------------------------------------------
$4,391,895
- ----------------------------------------------------------------------
Hospital -- 10.2%
- ----------------------------------------------------------------------
Baa2 NR $ 500 Camden County
Improvement
Authority, (Cooper
Health),
5.60%, 2/15/07 $ 534,935
A3 A- $ 340 New Jersey Health
Care Facilities
Financing
Authority,
(Atlantic City
Medical Care
Center),
6.25%, 7/1/00 $ 354,470
A3 A- 1,000 New Jersey Health
Care Facilities
Financing
Authority,
(Atlantic City
Medical Care
Center),
6.45%, 7/1/02 1,088,400
A3 A 750 New Jersey Health
Care Facilities
Financing
Authority,
(Atlantic City
Medical Care
Center),
6.55%, 7/1/03 829,598
Baa2 BBB 1,380 New Jersey Health
Care Facilities
Financing
Authority, (St.
Elizabeth's
Hospital), 5.75%,
7/1/08 1,509,720
- ----------------------------------------------------------------------
$4,317,123
- ----------------------------------------------------------------------
Industrial Development Revenue -- 6.8%
- ----------------------------------------------------------------------
Aa3 NR $ 520 New Jersey EDA,
(Economic Growth),
LOC: Bank of Paris,
(AMT),
6.00%, 12/1/02 $ 543,686
NR NR 500 New Jersey EDA,
(Holt Hauling),
7.90%, 3/1/27 572,960
Baa3 BBB- 1,625 Port Authority of
New York and New
Jersey, (Delta
Airlines),
6.95%, 6/1/08 1,776,206
- ----------------------------------------------------------------------
$2,892,852
- ----------------------------------------------------------------------
Insured-Education -- 2.5%
- ----------------------------------------------------------------------
Aaa AAA $1,000 New Jersey
Educational
Facilities
Authority, (Seton
Hall University)
(FGIC), 6.10%,
7/1/01 $1,062,760
- ----------------------------------------------------------------------
$1,062,760
- ----------------------------------------------------------------------
Insured-Electric Utilities -- 2.5%
- ----------------------------------------------------------------------
Aaa AAA $1,000 Middlesex County
Utilities
Authority, (FGIC),
6.10%, 12/1/01 $1,073,050
- ----------------------------------------------------------------------
$1,073,050
- ----------------------------------------------------------------------
Insured-General Obligations -- 26.3%
- ----------------------------------------------------------------------
Aaa AAA $1,000 Atlantic City Board
of Education,
(AMBAC), 6.00%,
12/1/02(1) $1,089,060
Aaa AAA 1,175 Edison, (AMBAC),
4.70%, 1/1/04 1,224,009
</TABLE>
See notes to financial statements
49
<PAGE>
NEW JERSEY LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-General Obligations (continued)
Aaa AAA $1,200 Kearney, (FSA),
6.50%, 2/1/04 $ 1,319,328
Aaa AAA 725 Monroe Township
Board of Education,
(FGIC), 5.20%,
8/1/11 787,691
Aaa AAA 825 Monroe Township
Board of Education,
(FGIC), 5.20%,
8/1/14 887,428
Aaa AAA 850 Roselle, (MBIA),
4.65%, 10/15/03 884,630
Aaa AAA 1,000 South Brunswick
Township Board of
Education, (FGIC),
6.40%, 8/1/03 1,115,170
Aaa AAA 2,000 Washington Township
Board of Education,
(MBIA),
5.125%, 2/1/15
2,070,220
Aaa AAA 1,585 West Deptford
Township, (AMBAC),
5.90%, 3/1/09 1,814,033
- -----------------------------------------------------------------------
$11,191,577
- -----------------------------------------------------------------------
Insured-Hospital -- 8.7%
- -----------------------------------------------------------------------
Aaa AAA $1,300 New Jersey Health
Care Facilities
Financing
Authority, (AHS
Hospital Corp.),
(AMBAC), 6.00%,
7/1/12 $ 1,503,320
Aaa AAA 1,910 New Jersey Health
Care Facilities
Financing
Authority, (Dover
General Hospital
and Medical
Center), (MBIA),
7.00%, 7/1/04 2,207,540
- -----------------------------------------------------------------------
$ 3,710,860
- -----------------------------------------------------------------------
Insured-Solid Waste -- 0.6%
- -----------------------------------------------------------------------
Aaa AAA $ 250 Bergen County
Utilities
Authority, Solid
Waste System,
(FGIC),
6.00%, 6/15/02 $ 269,245
- -----------------------------------------------------------------------
$ 269,245
- -----------------------------------------------------------------------
Insured-Transportation -- 9.7%
- -----------------------------------------------------------------------
Aaa AAA $1,000 New Jersey Turnpike
Authority, (FSA),
5.90%, 1/1/03 $ 1,080,190
Aaa AAA 895 New Jersey Turnpike
Authority, (FSA),
6.40%, 1/1/02 965,481
Aaa AAA 2,000 Port Authority of
New York and New
Jersey, (AMBAC),
5.125%, 7/15/14 2,082,040
- -----------------------------------------------------------------------
$ 4,127,711
- -----------------------------------------------------------------------
Insured-Water and Sewer -- 1.6%
Aaa AAA $ 565 Pennsville Sewer
Authority, (MBIA),
0.00%, 11/1/16 $ 243,436
Aaa AAA 565 Pennsville Sewer
Authority, (MBIA),
0.00%, 11/1/17 231,062
Aaa AAA 565 Pennsville Sewer
Authority, (MBIA),
0.00%, 11/1/18 219,627
- -----------------------------------------------------------------------
$ 694,125
- -----------------------------------------------------------------------
Solid Waste -- 1.9%
- -----------------------------------------------------------------------
A1 AA- $ 500 Gloucester County
Improvement
Authority, Solid
Waste System,
5.40%, 9/1/00 $ 516,420
B1 NR 300 The Atlantic County
Utilities
Authority, Solid
Waste System,
7.00%, 3/1/08 301,407
- -----------------------------------------------------------------------
$ 817,827
- -----------------------------------------------------------------------
Transportation -- 2.5%
- -----------------------------------------------------------------------
A1 AA- $1,000 Port Authority of
New York and New
Jersey, 5.375%,
10/15/16 $ 1,049,230
- -----------------------------------------------------------------------
$ 1,049,230
- -----------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
- -----------------------------------------------------------------------
(identified cost $39,109,881) $49,550,987
- -----------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by New 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 September 30, 1998, 53.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 7.9% to 18.1% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes to financial statements
50
<PAGE>
NEW YORK LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living -- 1.6%
- ---------------------------------------------------------------------------------------
NR NR $ 560 Glen Cove IDA, (Regency at
Glen Cove), 9.50%, 7/1/99 $ 571,228
NR NR 500 Glen Cove IDA, (Regency at
Glen Cove), 9.50%, 7/1/12 532,630
- ---------------------------------------------------------------------------------------
$ 1,103,858
- ---------------------------------------------------------------------------------------
Cogeneration -- 1.5%
- ---------------------------------------------------------------------------------------
NR NR $ 950 Port Authority of New York and New
Jersey, (KIAC Project), (AMT),
6.50%, 10/1/01 $ 1,007,190
- ---------------------------------------------------------------------------------------
$ 1,007,190
- ---------------------------------------------------------------------------------------
Education -- 0.3%
- ---------------------------------------------------------------------------------------
A3 A- $ 100 New York State Dormitory Authority,
(State University Educational
Facilities), 5.25%, 5/15/15 $ 106,829
A3 A- 105 New York State Dormitory Authority,
(State University Educational
Facilities), 5.25%, 5/15/19 111,066
- ---------------------------------------------------------------------------------------
$ 217,895
- ---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 7.6%
- ---------------------------------------------------------------------------------------
Aaa A- $ 215 New York City, Series A, Prerefunded
to 8/1/02, 6.375%, 8/1/06 $ 238,368
Aaa AAA 2,000 New York State Medical Care Facilities
Finance Agency, (New York State
Hospital), (AMBAC), Escrowed to
Maturity, 6.10%, 2/15/04 2,216,000
Aaa AAA 2,500 New York State Medical Care Facilities
Finance Agency, (New York State
Hospital), (AMBAC), Escrowed to
Maturity, 6.20%, 2/15/05 2,820,900
- ---------------------------------------------------------------------------------------
$ 5,275,268
- ---------------------------------------------------------------------------------------
General Obligations -- 4.6%
- ---------------------------------------------------------------------------------------
A3 A- $ 750 New York City, 0.00%, 8/1/07 $ 512,325
A3 A- 1,000 New York City, 0.00%, 8/1/08 649,240
A3 A- 1,000 New York City, 0.00%, 8/1/08 644,270
A3 A- 1,285 New York City, 6.375%, 8/1/06 1,406,510
- ---------------------------------------------------------------------------------------
$ 3,212,345
- ---------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospital -- 4.7%
- ---------------------------------------------------------------------------------------
Baa1 BBB+ $ 2,000 New York State Dormitory Authority,
(Department of Health), 5.375%,
7/1/08 $ 2,168,400
Baa NR 1,000 New York State Dormitory Authority,
(Nyack Hospital), 6.00%, 7/1/06 1,103,720
- ---------------------------------------------------------------------------------------
$ 3,272,120
- ---------------------------------------------------------------------------------------
Hotel -- 0.7%
- ---------------------------------------------------------------------------------------
NR NR $ 1,210 Niagara County IDA, (Wintergarden Inn
Associates), 9.75%, 6/1/11(1) $ 484,000
- ---------------------------------------------------------------------------------------
$ 484,000
- ---------------------------------------------------------------------------------------
Housing -- 10.5%
- ---------------------------------------------------------------------------------------
Aa AA $ 4,000 New York City Housing Development
Corp., MFMR, 5.625%, 5/1/12 $ 4,244,680
Aa2 NR 1,500 New York State Mortgage Agency
Revenue, (AMT), 6.45%, 10/1/21 1,643,430
Aa2 NR 1,300 New York State Mortgage Agency,
Homeowner Mtg. Bond Ser. 65, (AMT),
5.20%, 10/1/08 1,360,164
- ---------------------------------------------------------------------------------------
$ 7,248,274
- ---------------------------------------------------------------------------------------
Industrial Development Revenue -- 10.4%
- ---------------------------------------------------------------------------------------
A3 A $ 2,000 New York City, (Terminal One
Group), 6.00%, 1/1/07(2) $ 2,186,720
Baa3 BBB- 2,875 Port Authority of New York and New
Jersey, (Delta Airlines), 6.95%,
6/1/08 3,142,519
Baa3 BBB- 1,700 Puerto Rico Port Authority, (American
Airlines), (AMT), 6.25%, 6/1/26 1,855,414
- ---------------------------------------------------------------------------------------
$ 7,184,653
- ---------------------------------------------------------------------------------------
Insured-Education -- 5.3%
- ---------------------------------------------------------------------------------------
Aaa AAA $ 2,250 Nassau County IDA, (Hofstra
University Project), (MBIA),
5.25%, 7/1/10 $ 2,450,858
Aaa AAA 1,075 New York State Dormitory Authority,
(Mt. Sinai School of Medicine),
(MBIA), 6.75%, 7/1/09 1,177,630
- ---------------------------------------------------------------------------------------
$ 3,628,488
- ---------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
51
<PAGE>
NEW YORK LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Electric Utilities -- 7.7%
- --------------------------------------------------------------------------------
Aaa AAA $5,000 New York State
Energy Research and
Development
Authority, (Central
Hudson Gas),
(FGIC),
7.375%, 10/1/14 $ 5,315,599
- --------------------------------------------------------------------------------
$ 5,315,599
- --------------------------------------------------------------------------------
Insured-General Obligations -- 5.8%
- --------------------------------------------------------------------------------
Aaa AAA $2,750 New York State
Local Government
Assistance Corp.,
(MBIA),
0.00%, 4/1/13 $ 1,428,020
Aaa AAA 1,000 New York State
Local Government
Assistance Corp.,
(MBIA),
5.00%, 4/1/21 1,003,910
Aaa AAA 1,500 Syracuse, (FSA),
5.25%, 10/1/14 1,581,420
- --------------------------------------------------------------------------------
$ 4,013,350
- --------------------------------------------------------------------------------
Insured-Lease Revenue/
Certificates of Participation -- 0.8%
- --------------------------------------------------------------------------------
Aaa AAA $500 City University of
New York, (John Jay
College), (AMBAC),
5.00%, 8/15/08 $ 533,080
- --------------------------------------------------------------------------------
$ 533,080
- --------------------------------------------------------------------------------
Insured-Transportation -- 4.4%
- --------------------------------------------------------------------------------
Aaa AAA $2,240 Metropolitan
Transportation
Authority for the
City of New York,
(FGIC), 5.70%, 7/1/10 $ 2,487,162
Aaa AAA 500 New York State
Thruway Authority,
(MBIA), 5.375%, 4/1/16 533,005
- --------------------------------------------------------------------------------
$ 3,020,167
- --------------------------------------------------------------------------------
Lease Revenue/
Certificates of Participation -- 12.0%
- --------------------------------------------------------------------------------
Baa1 BBB+ $2,180 New York State
Energy Research and
Development
Authority, (Western
NY Nuclear Service Center),
6.00%, 4/1/06 $ 2,437,000
Baa1 BBB+ 2,000 New York State HFA,
6.375%, 11/1/03 2,218,500
NR BBB 1,485 New York State
Thruway Authority,
0.00%, 1/1/04 1,191,282
Baa1 BBB+ 1,300 New York State
Thruway Authority,
5.25%, 4/1/13 1,337,830
Baa1 BBB+ $1,000 New York State
Urban Development
Corp., (Youth
Facilities),
5.75%, 4/1/10 $ 1,106,080
- --------------------------------------------------------------------------------
$ 8,290,692
- --------------------------------------------------------------------------------
Special Tax Revenue -- 7.0%
- --------------------------------------------------------------------------------
A3 A+ $4,500 New York State
Local Government
Assistance Corp.,
5.25%, 4/1/16 $ 4,818,149
- --------------------------------------------------------------------------------
$ 4,818,149
- --------------------------------------------------------------------------------
Transportation -- 6.4%
- --------------------------------------------------------------------------------
Baa1 BBB+ $1,000 Port Authority of
New York and New
Jersey, (AMT),
5.75%, 4/1/16 $ 1,063,570
A1 AA- 3,000 Port Authority of
New York and New
Jersey, (AMT),
6.00%, 7/1/14 3,328,380
- --------------------------------------------------------------------------------
$ 4,391,950
- --------------------------------------------------------------------------------
Water and Sewer -- 8.7%
- --------------------------------------------------------------------------------
A2 A- $4,000 New York City
Municipal Water
Finance Authority,
5.125%, 6/15/21 $ 4,033,200
A2 A- 1,825 New York City
Municipal Water
Finance Authority,
5.70%, 6/15/02 1,943,443
- --------------------------------------------------------------------------------
$ 5,976,643
- --------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
- --------------------------------------------------------------------------------
(identified cost $64,417,807) $68,993,721
- --------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The portfolio invests primarily in debt securities issued by New York
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1998, 31.2% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 2.3% to 11.3% of total investments.
/(1)/ Non-income producing security.
/(2)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes to financial statements.
52
<PAGE>
OHIO LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- ------------------------------------------------------------------------------------
Escrowed/Prerefunded -- 7.8 %
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR NR $ 350 Cuyahoga County, (Judson
Retirement Community),
Prerefunded to 11/15/99,
8.875%, 11/15/19 $ 380,793
Aaa NR 285 Greene County IDA,
(Fairview Extended Care),
Prerefunded to 1/1/01,
10.125%, 1/1/11 328,346
Aa2 NR 1,000 Warren County, (Otterbein
Homes), Prerefunded to
7/1/01, 7.20%, 7/1/11 1,109,560
- ------------------------------------------------------------------------------------
$ 1,818,699
- ------------------------------------------------------------------------------------
General Obligations -- 13.9%
- ------------------------------------------------------------------------------------
NR NR $ 300 Kings County Local School
District, 7.60%, 12/1/10 $ 353,205
Aa3 NR 250 Oak Hills, 5.60%, 12/1/17 268,530
Aa1 AA+ 675 Ohio, 0.00%, 8/1/04 534,782
Aa1 AA+ 500 Ohio, 0.00%, 8/1/05 379,620
Aa1 AA+ 250 Ohio, 0.00%, 8/1/08 165,625
A3 NR 1,000 Wauseon School District,
7.25%, 12/1/10 1,094,780
NR NR 410 Youngstown County School
District, 6.40%, 7/1/00 422,431
- ------------------------------------------------------------------------------------
$ 3,218,973
- ------------------------------------------------------------------------------------
Hospital -- 12.1%
- ------------------------------------------------------------------------------------
A A $1,000 Erie County, (Firelands
Community Hospital), 6.75%,
1/1/08 $ 1,095,450
Baa1 BBB 500 Hamilton County Health
System, (Providence
Hospital), 524,590
6.00%, 7/1/01
NR NR 920 Mt. Vernon, (Knox Community
Hospital), 7.875%, 6/1/12 940,847
NR A- 250 Parma, Hospital Improvement
Revenue, (Parma Community
General Hospital
Association),
5.25%, 11/1/13 257,140
- ------------------------------------------------------------------------------------
$ 2,818,027
- ------------------------------------------------------------------------------------
Housinsg -- 7.3%
- ------------------------------------------------------------------------------------
NR AAA $1,000 Cuyahoga County MFMR,
(National Terminal Apts.),
6.40%, 7/1/16 $ 1,093,130
NR NR 300 Cuyahoga County, (Rolling
Hills Apts.), (AMT), 8.00%, 305,958
1/1/28
NR NR 295 Lucas County, (Country
Creek), (AMT), 8.00%, 7/1/26 298,331
- ------------------------------------------------------------------------------------
$ 1,697,419
- ------------------------------------------------------------------------------------
Industrial Development Revenue -- 11.7%
- ------------------------------------------------------------------------------------
NR NR $ 500 Cuyahoga County, (Rock and
Roll Hall of Fame), 5.45%,
12/1/05 $ 537,675
NR NR 250 Cuyahoga County, (Rock and
Roll Hall of Fame), 5.85%,
12/1/08 278,578
NR A- 1,020 Ohio Economic Development
Commission, (ABS
Industries), (AMT), 6.00%,
6/1/04 1,079,527
NR A- 520 Ohio Economic Development
Commission, (Progress
Plastics Products), (AMT),
6.80%, 12/1/01 545,366
NR NR 250 Ohio Solid Waste Revenue,
(Republic Engineered
Steels, Inc.), (AMT), 271,773
9.00%, 6/1/21
- ------------------------------------------------------------------------------------
$ 2,712,919
- ------------------------------------------------------------------------------------
Insured-Education -- 4.4%
- ------------------------------------------------------------------------------------
Aaa AAA $1,000 Ohio Public Facilities
Commission, (Higher
Educational Facilities),
(AMBAC), 4.30%, 12/1/08 $ 1,011,960
- ------------------------------------------------------------------------------------
$ 1,011,960
- ------------------------------------------------------------------------------------
Insured-General Obligations -- 22.7%
- ------------------------------------------------------------------------------------
Aaa NR $ 265 Clinton Massie Local School
District, (AMBAC), 0.00%,
12/1/11 $ 147,478
Aaa NR 265 Clinton Massie Local School
District, (MBIA), 0.00%,
12/1/09 164,766
Aaa AAA 225 Finneytown Local School
District, (FGIC), 6.15%,
12/1/11 266,132
Aaa AAA 500 Forest Hills Local School
District, (MBIA), 6.00%, 581,735
12/1/09
Aaa AAA 1,000 Southwest Licking School
Facilities Improvement,
(FGIC), 1,196,490
7.10%, 12/1/16
Aaa AAA 500 Strongsville City School
District, (MBIA), 5.375%,
12/1/12 551,240
</TABLE>
See notes to financial statemaents
53
<PAGE>
OHIO LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-General Obligations (continued)
- --------------------------------------------------------------------------------
Aaa AAA $1,500 West Clermont School
District, (AMBAC), 6.90%,
12/1/12(1) $ 1,779,390
Aaa AAA 500 West Clermont School
District, (AMBAC), 7.125%,
12/1/19 590,080
- --------------------------------------------------------------------------------
$ 5,278,111
- --------------------------------------------------------------------------------
Insured-Hospital -- 2.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 Cuyahoga County,
(Metrohealth System),
(MBIA), 5.50%, 2/15/12 $ 551,135
- --------------------------------------------------------------------------------
$ 551,135
- --------------------------------------------------------------------------------
Insured-Industrial Development Revenue -- 2.5%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 Akron EDA, (MBIA),
6.00%, 12/1/12 $ 581,635
- --------------------------------------------------------------------------------
$ 581,635
- --------------------------------------------------------------------------------
Insured-Lease Revenue /
Certificates of Participation -- 2.3%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 Cleveland, (Cleveland
Stadium), (AMBAC), 5.25%,
11/15/17 $ 524,250
- --------------------------------------------------------------------------------
$ 524,250
- --------------------------------------------------------------------------------
Insured-Water and Sewer -- 2.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 Hamilton County Sewer
System Revenue, (FGIC),
5.50%, 12/1/11 $ 558,485
- --------------------------------------------------------------------------------
$ 558,485
- --------------------------------------------------------------------------------
Nursing Home -- 3.8%
- --------------------------------------------------------------------------------
NR NR $ 600 Cuyahoga County, Health
Care Facilities Revenue,
(Benjamin Rose Institute),
5.50%, 12/1/17 $ 605,184
NR NR 260 Fairfield EDA, (Beverly
Enterprises), 8.50%, 1/1/03 281,408
- --------------------------------------------------------------------------------
$ 886,592
- --------------------------------------------------------------------------------
Senior Living / Life Care -- 5.1%
- --------------------------------------------------------------------------------
VMIG-1 NR $ 500 Hamilton County Hospital
Facilities Revenue,
(Retirement Homes), 5.00%,
7/1/15 $ 515,540
- --------------------------------------------------------------------------------
Senior Living / Life Care (continued)
- --------------------------------------------------------------------------------
NR BBB- $ 680 Marion County Health Care
Facilities, (United Church
Homes),
5.25%, 11/15/98 $ 681,421
- --------------------------------------------------------------------------------
$ 1,196,961
- --------------------------------------------------------------------------------
Special Tax Revenue -- 1.6%
- --------------------------------------------------------------------------------
NR NR $ 353 Columbus Special
Assessment, 6.05%, 9/15/05 $ 373,623
- --------------------------------------------------------------------------------
$ 373,623
- --------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $21,831,004) $23,228,789
- --------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative
Minimum Tax.
The Portfolio invests primarily in debt securities issued by Ohio
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1998, 36.6% 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 range from 8.7% to 17.4% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes to financial statements
54
<PAGE>
PENNSYLVANIA LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living -- 4.2%
- --------------------------------------------------------------------------------
NR NR $ 885 Chester County IDA,
(Kimberton), 8.00%, 9/1/05 $ 975,553
NR NR 1,120 Delaware County, IDA, (Glen
Riddle), (AMT), 8.125%,
9/1/05 1,245,720
- --------------------------------------------------------------------------------
$ 2,221,273
- --------------------------------------------------------------------------------
Cogeneration -- 4.2%
- --------------------------------------------------------------------------------
NR BBB- $2,000 Pennsylvania Economic
Development Financing
Authority, (Resources
Recovery), (AMT), 7.05%,
12/1/10 $ 2,241,259
- --------------------------------------------------------------------------------
$ 2,241,259
- --------------------------------------------------------------------------------
Education -- 1.2%
- --------------------------------------------------------------------------------
NR BBB- $ 625 Pennsylvania Higher
Educational Facilities
Authority, (Gwynedd-Mercy
College), 5.60%, 11/1/22 $ 641,188
- --------------------------------------------------------------------------------
$ 641,188
- --------------------------------------------------------------------------------
Electric Utilities -- 1.9%
- --------------------------------------------------------------------------------
NR NR $ 920 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 $ 1,013,444
- --------------------------------------------------------------------------------
$ 1,013,444
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 10.0%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 Harrisburg Authority, Lease
Revenue Bonds, Escrowed to
Maturity, (CGIC), 6.25%,
6/1/01 $ 533,170
Aaa AAA 1,500 Somerset County, General
Authority, (FGIC) Escrowed
to Maturity,
6.50%, 10/15/01 1,623,030
Aaa AAA 7,000 Westmoreland County,
Municipal Authority,
(FGIC), Escrowed to
Maturity, 0.00%, 8/15/19 2,553,319
NR NR 500 Wilkins Area, IDA,
(Fairview Extended Care),
Prerefunded to 1/1/01,
10.25%, 1/1/21 584,160
- --------------------------------------------------------------------------------
$ 5,293,679
- --------------------------------------------------------------------------------
General Obligations -- 0.4%
- --------------------------------------------------------------------------------
Baa1 A $ 500 Puerto Rico, 0.00%, 7/1/16 $ 215,785
- --------------------------------------------------------------------------------
$ 215,785
- --------------------------------------------------------------------------------
Hospital -- 21.6%
- --------------------------------------------------------------------------------
NR BBB $1,000 Allentown, Area Hospital
Authority, (Sacred Heart
Hospital),
6.50%, 11/15/08 $ 1,089,890
NR BBB 2,355 Clearfield, Hospital
Authority, (Clearfield
Hospital),
6.875%, 6/1/16 2,586,990
Baa3 BBB+ 650 Hazleton Health Services
Authority, (St. Joseph's
Hospital),
5.85%, 7/1/06 701,766
A3 A 1,200 Lehigh County, General
Purpose Authority,
(Muhlenberg Hospital),
5.75%, 7/15/10 1,326,144
NR BBB- 200 McKean County, (Bradford
Hospital), 5.375%, 10/1/03 208,216
A3 BBB+ 1,000 Monroeville Hospital
Authority, (Forbes Health),
5.75%, 10/1/05 950,000
Baa2 NR 1,030 Montgomery County, HEFA,
(Montgomery Hospital),
6.25%, 7/1/06 1,122,515
Baa2 NR 1,100 Montgomery County, HEFA,
(Montgomery Hospital),
6.375%, 7/1/07 1,213,025
A NR 500 New Castle Area Hospital
Authority, (St. Francis
Hospital of New Castle),
5.90%, 11/15/00 521,010
NR BBB 315 Northhampton County
Hospital Authority, (Easton
Hospital),
6.90%, 1/1/02 331,764
NR A- 1,350 South Fork Municipal
Authority, (Lee Hospital),
5.50%, 7/1/11 1,395,590
- --------------------------------------------------------------------------------
$11,446,910
- --------------------------------------------------------------------------------
Industrial Development Revenue -- 2.4%
- --------------------------------------------------------------------------------
A3 A- $1,200 Erie IDA, (International
Paper), (AMT), 5.85%,
12/1/20 $ 1,271,100
- --------------------------------------------------------------------------------
$ 1,271,100
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statement
55
<PAGE>
PENNSYLVANIA LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- -------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Education -- 5.3%
- --------------------------------------------------------------------------------
Aaa AAA $2,000 Allegheny County, Higher
Education Building
Authority, (Dusquesne
University), (AMBAC),
5.00%, 3/1/16 $ 2,042,880
NR AAA 700 Montgomery County, HEFA,
(Saint Joseph's
University), (CLEE),
6.00%, 12/15/02 758,051
- --------------------------------------------------------------------------------
$ 2,800,931
- --------------------------------------------------------------------------------
Insured-Electric Utilities -- 9.4%
- --------------------------------------------------------------------------------
Aaa AAA $2,000 Cambria County IDA, (PA
Electric Co.), (MBIA),
5.35%, 11/1/10 $ 2,201,220
Aaa AAA 2,500 Indiana County, IDA, (PA
5.35%, 11/1/10 2,751,524
- --------------------------------------------------------------------------------
$ 4,952,744
- --------------------------------------------------------------------------------
Insured-General Obligations -- 6.0%
- --------------------------------------------------------------------------------
Aaa NR $1,635 Harrisburg, (AMBAC),
0.00%, 9/15/12 $ 860,713
Aaa AAA 1,355 McKeesport, (FGIC),
0.00%, 10/1/11 750,101
Aaa AAA 1,000 Pennsylvania, (AMBAC),
5.00%, 11/15/15 1,026,740
Aaa AAA 500 Pleasant Valley School
District, (FGIC), 5.00%,
9/1/10 525,595
- --------------------------------------------------------------------------------
$ 3,163,149
- --------------------------------------------------------------------------------
Insured-Hospital -- 11.8%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Allegheny County Hospital
Development Authority,
(South Hills Health),
(MBIA), 5.50%, 5/1/08 $ 1,101,350
Aaa AAA 1,000 Erie County Hospital
Authority, (Hamot Health
System), (AMBAC), 7.10%,
2/15/10 1,096,250
NR AAA 1,030 Indiana County Hospital
Authority, (Indiana
Hospital), (CLEE),
5.75%, 7/1/00 1,065,185
NR AAA 825 Indiana County Hospital
Authority, (Indiana
Hospital), (CLEE),
5.875%, 7/1/01 869,402
Aaa AAA 2,050 Sayre Health Care
Facilities Authority,
(Guthrie Medical Center),
(AMBAC), 6.50%, 3/1/00 2,128,269
- --------------------------------------------------------------------------------
$ 6,260,456
- --------------------------------------------------------------------------------
Insured-Lease Revenue /
Certificates of Participation -- 2.0%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Northumberland County
Authority, Lease Revenue
Bonds, (MBIA), 6.50%,
10/15/01 $ 1,082,020
- --------------------------------------------------------------------------------
$ 1,082,020
- --------------------------------------------------------------------------------
Insured-Transportation -- 7.4%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Allegheny County Airport
Revenue, (MBIA), 5.75%,
1/1/10 $ 1,117,320
Aaa AAA 590 Allegheny County Airport
Revenue, (MBIA), 5.75%,
1/1/12 662,659
Aaa AAA 1,000 Philadelphia Airport
Revenue, (FGIC), 5.375%,
7/1/14 1,054,980
Aaa AAA 1,000 Southeastern Pennsylvania
Transportation Authority,
(FGIC), 5.55%, 3/1/14 1,087,580
- --------------------------------------------------------------------------------
$ 3,922,539
- --------------------------------------------------------------------------------
Nursing Home -- 1.0%
- --------------------------------------------------------------------------------
NR NR $ 250 Chartiers Valley,
Industrial and Commercial
Development Authority,
(Beverly Enterprises),
5.30%, 6/1/02 $ 254,733
NR NR 250 Chartiers Valley,
Industrial and Commercial
Development Authority,
(Beverly Enterprises),
5.35%, 6/1/03 255,673
- --------------------------------------------------------------------------------
$ 510,406
- --------------------------------------------------------------------------------
Senior Living/Life Care -- 2.7%
- --------------------------------------------------------------------------------
NR NR $ 245 Delaware County Authority,
(White Horse Village),
6.30%, 7/1/03 $ 263,010
NR NR 505 Delaware County Authority,
(White Horse Village),
6.40%, 7/1/04 549,915
Baa2 BBB+ 590 Hazleton Health Services
Authority, (Hazleton
General Hospital),
5.50%, 7/1/07 634,905
- --------------------------------------------------------------------------------
$ 1,447,830
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
56
<PAGE>
PENNSYLVANIA LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Solid Waste -- 3.5%
- ---------------------------------------------------------------------------------------
Baa A- $ 500 Greater Lebanon Refuse Authority,
6.20%, 5/15/99 $ 508,395
Baa A- 500 Greater Lebanon Refuse Authority,
6.20%, 11/15/99 514,645
Baa A- 300 Greater Lebanon Refuse Authority,
6.40%, 5/15/00 312,210
Baa A- 500 Greater Lebanon Refuse Authority,
6.40%, 11/15/00 525,800
- ---------------------------------------------------------------------------------------
$ 1,861,050
- ---------------------------------------------------------------------------------------
Transportation -- 5.0%
- ---------------------------------------------------------------------------------------
Aa3 AA- $ 1,550 Southeastern Pennsylvania
Transportation Authority,
LOC: Canadian Imperial Bank
of Commerce, 6.00%, 6/1/99(1) $ 1,557,141
Aa3 AA- 1,000 Southeastern Pennsylvania
Transportation Authority,
LOC: Canadian Imperial Bank
of Commerce, 6.00%, 6/1/01 $ 1,057,760
- ---------------------------------------------------------------------------------------
$ 2,634,901
- ---------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $49,562,514) $ 52,980,664
- ---------------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
- ----------------------------------------------------------------------------
The Portfolio invests primarily in debt securities issued by Pennsylvania
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic development in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1998, 50.8% of the securities in the portfolio of
investments are backed by bond issuance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 0.1% to 16.8% of total investments.
/(1)/ Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
See notes to financial statements
57
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS (Unaudited)
Statements of Assets and Liabilities
As of September 30, 1998
<TABLE>
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $29,829,184 $8,749,673 $61,462,844 $49,536,437 $ 9,947,771
Unrealized appreciation 2,201,856 600,301 4,083,337 3,538,164 1,104,837
- ------------------------------------------------------------------------------------------------------------------------------------
Investments, at value $32,031,040 $9,349,974 $65,546,181 $53,074,601 11,052,608
- ------------------------------------------------------------------------------------------------------------------------------------
Cash $ 107 $ 85,643 $ 525,873 $ 374,578 $ 419
Interest receivable 496,869 132,605 1,247,689 732,983 237,225
- ------------------------------------------------------------------------------------------------------------------------------------
Total assets $32,528,016 $9,568,222 $67,319,743 $54,182,162 $11,290,252
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Payable for when-issued securities $ 298,706 $ -- $ 1,034,875 $ -- $ --
Demand note payable 92,000 -- -- -- 202,000
Payable for daily variation margin on
open financial futures contracts 15,055 4,387 16,875 36,785 7,199
Other accrued expenses 2,467 736 2,965 2,480 1,117
- ------------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 408,228 $ 5,123 $ 1,054,715 $ 39,265 $ 210,316
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors'
interest in Portfolio $32,119,788 $9,563,099 $66,265,028 $54,142,897 $11,079,936
- ------------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions
and withdrawals $29,959,465 $8,967,385 $62,234,871 $50,646,607 $ 9,983,385
Net unrealized appreciation (computed on
the basis of identified cost) 2,160,323 595,714 4,030,157 3,496,290 1,096,551
- ------------------------------------------------------------------------------------------------------------------------------------
Total $32,119,788 $9,563,099 $66,265,028 $54,142,897 $11,079,936
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
58
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Assets and Liabilities
As of September 30, 1998
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
- --------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $39,109,881 $64,417,807 $ 21,831,004 $ 49,562,514
Unrealized appreciation 3,441,106 4,575,914 1,397,785 3,418,150
- --------------------------------------------------------------------------------------------------------------------------------
Investments, at value $42,550,987 $68,993,721 $ 23,228,789 $ 52,980,664
- --------------------------------------------------------------------------------------------------------------------------------
Cash $ 915 $ 609,895 $ 403 $ 2
Interest receivable 615,864 1,198,317 391,420 799,187
- --------------------------------------------------------------------------------------------------------------------------------
Total assets $43,167,766 $70,801,933 $ 23,620,612 $ 53,779,853
- --------------------------------------------------------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ -- $ 995,980 $ -- $ --
Demand note payable 638,000 -- 102,000 26,000
Payable for daily variation margin on open
financial futures contracts 16,424 22,049 2,812 35,042
Other accrued expenses 3,936 4,480 1,683 3,451
- --------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 658,360 $ 1,022,509 $ 106,495 $ 64,493
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in
Portfolio $42,509,406 $69,779,424 $ 23,514,117 $ 53,715,360
- --------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and
withdrawals $39,089,377 $65,233,235 $ 22,125,219 $ 50,376,761
Net unrealized appreciation (computed on the basis of
identified cost) 3,420,029 4,546,189 1,388,898 3,338,599
- --------------------------------------------------------------------------------------------------------------------------------
Total $42,509,406 $69,779,424 $ 23,514,117 $ 53,715,360
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
59
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Operations
For the Six Months Ended September 30, 1998
<TABLE>
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income
- ----------------------------------------------------------------------------------------------------------------------------------
Interest $ 888,012 $258,024 $1,807,224 $1,437,473 $ 316,088
- ----------------------------------------------------------------------------------------------------------------------------------
Total income $ 888,012 $258,024 $1,807,224 $1,437,473 $ 316,088
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses
- ----------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee $ 76,357 $ 22,066 $ 156,626 $ 124,147 $ 26,520
Trustees fees and expenses 473 52 1,308 3,263 51
Legal and accounting services 18,975 16,875 22,175 22,075 16,975
Custodian fee 12,355 6,623 23,470 19,502 7,928
Amortization of organization expenses 136 -- 378 354 --
Miscellaneous 4,807 3,182 6,834 4,275 4,611
- ----------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 113,103 $ 48,798 $ 210,791 $ 173,616 $ 56,085
- ----------------------------------------------------------------------------------------------------------------------------------
Deduct --
Preliminary reduction of custodian fee $ 3,345 $ 1,380 $ 8,597 $ 9,899 $ 1,492
Preliminary reduction of investment adviser
fee -- 10,851 -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 3,345 $ 12,231 $ 8,597 $ 9,899 $ 1,492
- ----------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 109,758 $ 36,567 $ 202,194 $ 163,717 $ 54,593
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 778,254 $221,457 $1,605,030 $1,273,756 $ 261,495
- ----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost $ 273,711 $ 30,519 $ 492,416 $ 417,313 $ 42,627
basis)
Financial futures contracts (133,366) (18,425) (127,751) (241,643) (45,344)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) $ 140,345 $ 12,094 $ 364,665 $ 175,670 $ (2,717)
- ----------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $ 486,104 $117,926 $ 637,898 $ 671,414 $ 145,204
Financial futures contracts (41,742) (957) (41,342) (25,926) (5,850)
- ----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) $ 444,362 $116,969 $ 596,556 $ 645,488 $ 139,354
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain $ 584,707 $129,063 $ 961,221 $ 821,158 $ 136,637
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $1,362,961 $350,520 $2,566,251 $2,094,914 $ 398,132
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
60
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Operations
For the Six Months Ended September 30, 1998
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income
- -------------------------------------------------------------------------------------------------------------------------------
Interest $1,179,055 $1,883,858 $659,464 $1,521,402
- -------------------------------------------------------------------------------------------------------------------------------
Total investment income $1,179,055 $1,883,858 $659,464 $1,521,402
- -------------------------------------------------------------------------------------------------------------------------------
Expenses
- -------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee $ 100,566 $ 163,433 $ 55,496 $ 128,261
Trustees fees and expenses 950 3,263 95 3,263
Legal and accounting services 22,074 22,074 16,776 22,078
Custodian fee 14,290 14,830 10,750 18,704
Interest -- 11,641 -- --
Amortization of organization expenses 105 219 -- 240
Miscellaneous 7,739 3,624 5,081 10,238
- ---------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 145,724 $ 219,084 $ 88,198 $ 182,784
- ---------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ -- $ -- $ 2,212 $ 3,304
- ---------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ -- $ -- $ 2,212 $ 3,304
- ---------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 145,724 $ 219,084 $ 85,986 $ 179,480
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income $1,033,331 $1,664,774 $573,478 $1,341,922
- ---------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- ----------------------------------------------------------------------------------------------------------------------------------
- -Net realized gain (loss) --
Investment transactions (identified cost basis) $ 51,461 $ 442,151 $103,927 $ 307,121
Financial futures contracts (119,015) (241,162) (78,256) (205,571)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) $ (67,554) $ 200,989 $ 25,671 $ 101,550
- ----------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 644,049 $1,118,180 $235,425 $ 478,173
Financial futures contracts (10,620) (12,291) (5,430) (82,920)
- ----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $ 633,429 $1,105,889 $229,995 $ 395,253
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain $ 565,875 $1,306,878 $255,666 $ 496,803
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $1,599,206 $2,971,652 $829,144 $1,838,725
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
61
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Changes in Net Assets
For the Six Months Ended September 30, 1998
<TABLE>
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Increase (Decrease) in Limited Limited Limited Limited Limited
Net Assets Portfolio Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
From operations --
Net investment income $ 778,254 $ 221,457 $ 1,605,030 $ 1,273,756 $ 261,495
Net realized gain (loss) 140,345 12,094 364,665 175,670 (2,717)
Net change in unrealized
appreciation (depreciation) 444,362 116,969 596,556 645,488 139,354
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
operations $ 1,362,961 $ 350,520 $ 2,566,251 $ 2,094,914 $ 398,132
- -----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 3,097,276 $ 1,172,053 $ 4,594,657 $ 5,571,471 $ 1,268,924
Withdrawals (6,637,868) (1,793,966) (13,137,060) (10,106,639) (2,684,334)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from
capital transactions $ (3,540,592) $ (621,913) $ (8,542,403) $ (4,535,168) $ (1,415,410)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (2,177,631) $ (271,393) $ (5,976,152) $ (2,440,254) $ (1,017,278)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
At beginning of period $ 34,297,419 $ 9,834,492 $ 72,241,180 $ 56,583,151 $ 12,097,214
- -----------------------------------------------------------------------------------------------------------------------------------
At end of period $ 32,119,788 $ 9,563,099 $ 66,265,028 $ 54,142,897 $ 11,079,936
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
62
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Changes in Net Assets
For the Six Months Ended September 30, 1998
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 1,033,331 $ 1,664,774 $ 573,478 $ 1,341,922
Net realized gain (loss) (67,554) 200,989 25,671 101,550
Net change in unrealized appreciation
(depreciation) 633,429 1,105,889 229,995 395,253
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 1,599,206 $ 2,971,652 $ 829,144 $ 1,838,725
- ----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 4,820,266 $ 7,964,604 $ 1,693,294 $ 4,243,372
Withdrawals (9,449,929) (15,848,271) (3,223,979) (10,074,350)
- ----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital transactions $ (4,629,663) $ (7,883,667) $(1,530,685) $ (5,830,978)
- ----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (3,030,457) $ (4,912,015) $ (701,541) $ (3,992,253)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
At beginning of period $ 45,539,863 $ 74,691,439 $24,215,658 $ 57,707,613
- ----------------------------------------------------------------------------------------------------------------------------------
At end of period $ 42,509,406 $ 69,779,424 $23,514,117 $ 53,715,360
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
63
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended March 31, 1998
<TABLE>
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Increase (Decrease) in Limited Limited Limited Limited Limited
Net Assets Portfolio Portfolio Portfolio Portfolio Portfolio
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
From operations --
Net investment income $ 1,871,830 $ 536,076 $ 4,031,956 $ 3,067,243 $ 661,189
Net realized gain (loss) 461,548 3,686 (130,866) (1,637) (127,469)
Net change in unrealized
appreciation (depreciation) 1,003,947 369,866 2,784,387 2,081,917 563,973
- --------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
operations $ 3,337,325 $ 909,628 $ 6,685,477 $ 5,147,523 $ 1,097,693
- --------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 1,661,073 $ 1,135,100 $ 7,486,705 $ 4,381,569 $ 1,024,096
Withdrawals (13,895,420) (4,484,203) (34,840,194) (22,915,877) (5,021,007)
- --------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from
capital transactions $(12,234,347) $ (3,349,103) $(27,353,489) $(18,534,308) $ (3,996,911)
- --------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (8,897,022) $ (9,439,475) $(20,668,012) $(13,386,785) $ (2,899,218)
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
Beginning of year $ 43,194,441 $ 12,273,967 $ 93,909,192 $ 69,969,936 $ 14,996,432
- --------------------------------------------------------------------------------------------------------------------------------
At end of year $ 34,297,419 $ 9,834,492 $ 72,241,180 $ 56,583,151 $ 12,097,214
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
64
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended March 31, 1998
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 2,529,742 $ 4,189,775 $ 1,365,120 $ 3,105,101
Net realized gain (loss) (191,388) 1,126,492 148,476 430,385
Net change in unrealized appreciation
(depreciation) 1,679,398 2,952,942 773,615 2,258,821
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 4,017,752 $ 8,269,209 $ 2,287,211 $ 5,794,307
- ---------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 2,886,225 $ 3,255,202 $ 1,303,141 $ 2,758,619
Withdrawals (19,630,053) (36,846,720) (7,844,546) (18,720,920)
- ---------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $(16,743,828) $(33,591,518) $ (6,541,405) $(15,962,301)
- ---------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $(12,726,076) $(25,322,309) $ (4,254,194) $(10,167,994)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ---------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 58,265,939 $100,013,748 $ 28,469,852 $ 67,875,607
- ---------------------------------------------------------------------------------------------------------------------------------
At end of year $ 45,539,863 $ 74,691,439 $ 24,215,658 $ 57,707,613
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
65
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
California Limited Portfolio
----------------------------------------------------------------------------------
Six Months Ended
September 30, 1998 Year Ended March 31,
-------------------------------------------------------------
(Unaudited) 1998 1997 1996 1995 1994/(1)/
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets/+/
- --------------------------------------------------------------------------------------------------------------------------------
Net Expenses /(2)/ 0.68%/(3)/ 0.61% 0.63% 0.58% 0.53% 0.46%/(3)/
Net expenses after custodian fee reduction 0.66%/(3)/ 0.59% 0.61% 0.55% -- --
Net investment income 4.67%/(3)/ 4.86% 4.98% 4.82% 4.72% 4.50%/(3)/
Portfolio Turnover 19% 40% 57% 36% 56% 6%
- -------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $32,120 $34,297 $43,194 $59,216 $82,344 $95,704
- -------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolios may reflect a reduction of the
investment adviser fee, an allocation of expenses to the Investment Adviser,
or both. Had such actions not been taken, the ratios would have been as
follows:
Expenses/(2)/ 0.52%/(3)/
Net investment income 4.44%/(3)/
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
/(1)/ For the period from the start of business, May 3, 1993, to March 31, 1994.
/(2)/ The expense ratios for the year ended March 31, 1996, and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the prior periods have not been adjusted to reflect this change.
/(3)/ Annualized.
See notes to financial statements
66
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Connecticut Limited Portfolio
------------------------------------------------------------------------
Six Months Ended
September 30, 1998 Year Ended March 31,
----------------------------------------------------
(Unaudited) 1998 1997 1996 1995 1994(1)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets/+/
- --------------------------------------------------------------------------------------------------------------------------
Net Expenses/(2)/ 0.79%/(3)/ 0.54% 0.54% 0.39% 0.17% 0.00%/(3)/
Net expenses after custodian fee reduction 0.76%/(3)/ 0.52% 0.50% 0.35% -- --
Net investment income 4.61%/(3)/ 4.96% 5.09% 4.91% 4.95% 4.53%/(3)/
Portfolio Turnover 2% 23% 46% 52% 73% 39%
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $9,563 $9,834 $12,274 $14,862 $17,316 $16,767
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
/+/ The operating expenses of the Portfolios may reflect a reduction of the
investment adviser fee, an allocation of expenses to the Investment
Adviser, or both. Had such actions not been taken, the ratios would have
been as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Expenses/(2)/ 1.02%/(3)/ 0.77% 0.78% 0.72% 0.67% 0.62%/(3)/
Expenses after custodian fee reduction 0.99%/(3)/ 0.75% 0.74% 0.68% -- --
Net investment income 4.38%/(3)/ 4.73% 4.85% 4.58% 4.45% 3.92%/(3)/
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
/(1)/ For the period from the start of business, April 16, 1993, to March 31,
1994.
/(2)/ The expense ratios for the year ended March 31, 1996, and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the prior periods have not been adjusted to reflect this change.
/(3)/ Annualized.
See notes to financial statements
67
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Florida Limited Portfolio
Six Months Ended
September 30, 1998 Year Ended March 31,
---------------------------------------------------------------
(Unaudited) 1998 1997 1996 1995 1994(1)
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets
- -----------------------------------------------------------------------------------------------------------------------------
Expenses/(2)/ 0.62%/(3)/ 0.58% 0.59% 0.55% 0.52% 0.49%/(3)/
Expenses after custodian fee reduction 0.59%/(3)/ 0.55% 0.57% 0.54% -- --
Net investment income 4.68%/(3)/ 4.90% 4.90% 4.73% 4.73% 4.53%/(3)/
Portfolio Turnover 9% 38% 66% 20% 44% 8%
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $66,265 $72,241 $92,909 $127,835 $164,579 $185,977
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
/(1)/ For the period from the start of business, May 3, 1993, to March 31, 1994.
/(2)/ The expense ratios for the year ended March 31, 1996, and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the prior periods have not been adjusted to reflect this change.
/(3)/ Annualized.
See notes to financial statements
68
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Massachusetts Limited Portfolio
------------------------------------------------------------------------------
Six Months Ended
September 30, 1998 Year Ended March 31,
------------------------------------------------------------
(Unaudited) 1998 1997 1996 1995 1994/(1)/
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ----------------------------------------------------------------------------------------------------------------------
Expenses/(2)/ 0.64%/(3)/ 0.60% 0.60% 0.57% 0.54% 0.52%/(3)/
Expenses after custodian fee reduction 0.60%/(3)/ 0.56% 0.58% 0.55% -- --
Net investment income 4.69%/(3)/ 4.90% 4.97% 4.72% 4.90% 4.57%/(3)/
Portfolio Turnover 12% 46% 60% 27% 46% 8%
- ----------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $54,143 $56,583 $69,970 $97,135 $119,120 $119,772
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
/(1)/For the period from the start of business, May 3, 1993, to March 31, 1994.
/(2)/The expense ratios for the year ended March 31, 1996, and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset arrangements
with its service providers. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
/(3)/Annualized.
See notes to financial statements
69
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Michigan Limited Portfolio
--------------------------------------------------------------------------------------
Six Months Ended
September Year Ended March 31,
-------------------------------------------------------------------
30, 1998
(Unaudited) 1998 1997 1996 1995 1994/(1)/
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets/+/
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses/(2)/ 0.99%/(3)/ 0.71% 0.79% 0.68% 0.48% 0.00%/(3)/
Net expenses after custodian fee reduction 0.96%/(3)/ 0.67% 0.76% 0.64% -- --
Net investment income 4.61%/(3)/ 5.00% 5.09% 5.00% 4.88% 4.62%/(3)/
Portfolio Turnover 5% 21% 28% 40% 111% 30%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $ 11,080 $ 12,097 $ 14,996 $ 21,191 $ 33,198 $ 35,608
- ----------------------------------------------------------------------------------------------------------------------------------
/+/ The operating expenses of the Portfolios may reflect a reduction of the
investment adviser fee, an allocation of expenses to the Investment
Adviser, or both. Had such actions not been taken, the ratios would have
been as follows:
Expenses/(2)/ 0.59% 0.54%/(3)/
Net investment income 4.77% 4.08%/(3)/
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
/(1)/ For the period from the start of business, April 16, 1993, to March 31,
1994.
/(2)/ The expense ratios for the year ended March 31, 1996, and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the prior periods have not been adjusted to reflect this change.
/(3)/ Annualized.
See notes to financial statements.
70
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
New Jersey Limited Portfolio
----------------------------------------------------------------------------------
Six Months Ended
September Year Ended March 31,
30, 1998 ----------------------------------------------------------------
(Unaudited) 1998 1997 1996 1995 1994(1)
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets
- -----------------------------------------------------------------------------------------------------------------------------
Expenses/(2)/ 0.67%/(3)/ 0.62% 0.61% 0.57% 0.54% 0.54%/(3)/
Expenses after custodian fee reduction 0.67%/(3)/ 0.61% 0.58% 0.55% -- --
Net investment income 4.73%/(3)/ 4.91% 4.96% 4.78% 4.73% 4.53%/(3)/
Portfolio Turnover 7% 21% 37% 42% 44% 10%
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $ 42,509 $ 45,540 $ 58,266 $ 80,173 $ 97,280 $102,948
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
/(1)/ For the period from the start of business, May 3, 1993, to March 31, 1994.
/(2)/ The expense ratios for the year ended March 31, 1996, and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the prior periods have not been adjusted to reflect this change.
/(3)/ Annualized.
See notes to financial statements
71
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
New York Limited Portfolio
----------------------------------------------------------------------------------
Six Months Ended
September 30, 1998 Year Ended March 31,
-------------------------------------------------------------
(Unaudited) 1998 1997 1996 1995 1994/(1)/
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets
- ----------------------------------------------------------------------------------------------------------------------------
Expenses/(2)/ 0.61%/(3)/ 0.61% 0.58% 0.55% 0.52% 0.47%/(3)/
Expenses after custodian fee reductio n 0.61%/(3)/ 0.59% 0.56% 0.53% -- --
Net investment income 4.67%/(3)/ 4.81% 4.87% 4.66% 4.79% 4.50%/(3)/
Portfolio Turnover 14% 53% 58% 32% 31% 5%
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $69,779 $74,691 $100,014 $138,728 $173,632 $183,768
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
/(1)/ For the period from the start of business, May 3, 1993, to March 31, 1994.
/(2)/ The expense ratios for the year ended March 31, 1996, and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the prior periods have not been adjusted to reflect this change.
/(3)/ Annualized.
See notes to financial statements
72
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Ohio Limited Portfolio
-------------------------------------------------------------------------------
Six Months
Ended
September
30, 1998 Year Ended March 31,
------------------------------------------------------------------
(Unaudited) 1998 1997 1996 1995 1994/(1)/
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets+
- -------------------------------------------------------------------------------------------------------------------------------
Net expenses /(2)/ 0.74%/(3)/ 0.64% 0.68% 0.63% 0.46% 0.00%/(3)/
Net expenses after custodian fee reduction 0.72%/(3)/ 0.64% 0.65% 0.61% -- --
Net investment income 4.82%/(3)/ 5.05% 5.20% 5.06% 4.96% 4.68%/(3)/
Portfolio Turnover 6% 29% 34% 47% 120% 33%
- -------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $23,514 $24,216 $28,470 $33,529 $39,435 $37,978
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The operating expenses of the Portfolio may reflect a reduction of the
investment adviser fee, an allocation of expenses to the Investment
Adviser, or both. Had such actions not been taken, the ratios would have
been as follows:
<TABLE>
<S> <C> <C>
Expenses /(2)/ 0.58% 0.54%/(3)/
Net investment income 4.84% 4.14%/(3)/
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
/(1)/For the period from the start of business, April 16, 1993, to March 31,
1994.
/(2)/The expense ratios for the year ended March 31, 1996, and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset arrangements
with its service providers. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
/(3)/Annualized.
See notes to financial statements
73
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Pennsylvania Limited Portfolio
---------------------------------------------------------------------------------
Six Months Ended
September 30, 1998 Year Ended March 31,
-------------------------------------------------------------
(Unaudited) 1998 1997 1996 1995 1994/(1)/
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets
- ----------------------------------------------------------------------------------------------------------------------------
Expenses/(2)/ 0.66%/(3)/ 0.60% 0.61% 0.58% 0.53% 0.50%/(3)/
Expenses after custodian fee reduction 0.65%/(3)/ 0.58% 0.59% 0.56% -- --
Net investment income 4.85%/(3)/ 5.03% 5.11% 4.81% 4.77% 4.59%/(3)/
Portfolio Turnover 5% 36% 51% 24% 39% 12%
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $53,715 $57,708 $67,876 $92,194 $113,606 $123,620
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
/(1)/For the period from the start of business, May 3, 1993, to March 31, 1994.
/(2)/The expense ratios for the year ended March 31, 1996, and periods
thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require the Portfolio to
increase its expense ratio by the effect of any expense offset arrangements
with its service providers. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
/(3)/Annualized.
See notes to Financial Statements
74
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
NOTES TO FINANCIAL STATEMENTS (Unaudited)
/1/Significant Accounting Policies
- -------------------------------------------------------------------------------
California Limited Maturity Municipals Portfolio (California Limited
Portfolio), Connecticut Limited Maturity Municipals Portfolio (Connecticut
Limited Portfolio), Florida Limited Maturity Municipals Portfolio (Florida
Limited Portfolio), Massachusetts Limited Maturity Municipals Portfolio
(Massachusetts Limited Portfolio), Michigan Limited Maturity Municipals
Portfolio (Michigan Limited Portfolio), New Jersey Limited Maturity
Municipals Portfolio (New Jersey Limited Portfolio), New York Limited
Maturity Municipals Portfolio (New York Limited Portfolio), Ohio Limited
Maturity Municipals Portfolio (Ohio Limited Portfolio) and Pennsylvania
Limited Maturity Municipals Portfolio (Pennsylvania Limited Portfolio),
collectively the Portfolios, are registered under the Investment Company Act
of 1940 as non-diversified open-end management investment companies which
were organized as trusts under the laws of the State of New York on May 1,
1992. The Declarations of Trust permit the Trustees to issue interests in the
Portfolios. The following is a summary of significant accounting policies of
the Portfolios. The policies are in conformity with generally accepted
accounting principles.
A Investment Valuations -- Municipal bonds are normally valued on the basis
of valuations furnished by a pricing service. Taxable obligations, if any,
for which price quotations are readily available are normally valued at the
mean between the latest bid and asked prices. Futures contracts listed on
commodity exchanges are valued at closing settlement prices. Short-term
obligations, maturing in sixty days or less, are valued at amortized cost,
which approximates value. Investments for which valuations or market
quotations are unavailable are valued at fair value using methods determined
in good faith by or at the direction of the Trustees.
B Income -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for federal
income tax purposes.
C Federal Taxes -- The Portfolios are treated as partnerships for Federal tax
purposes. No provision is made by the Portfolios for federal or state taxes
on any taxable income of the Portfolios because each investor in the
Portfolios is ultimately responsible for the payment of any taxes. Since some
of the Portfolios' investors are regulated investment companies that invest
all or substantially all of their assets in the Portfolios, the Portfolios
normally must satisfy the applicable source of income and diversification
requirements (under the
Internal Revenue Code) in order for their respective investors to satisfy
them. The Portfolios will allocate at least annually among their respective
investors each investor's distributive share of the Portfolios' net taxable
(if any) and tax-exempt investment income, net realized capital gains, and
any other items of income, gain, loss, deduction or credit.
Interest income received by the Portfolios on investments in municipal bonds,
which is excludable from gross income under the Internal Revenue Code, will
retain its status as income exempt from federal income tax when allocated to
each Portfolio's investors. The portion of such interest, if any, earned on
private activity bonds issued after August 7, 1986, may be considered a tax
preference item for investors.
D Deferred Organization Expenses -- Costs incurred by a Portfolio in
connection with its organization, including registration costs, are being
amortized on the straight-line basis over five years, beginning on the date
each Portfolio commenced operations.
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 When-issued and Delayed Delivery Transactions -- The Portfolios may engage
in when-issued and delayed delivery transactions. The Portfolios record
when-issued securities on trade date and maintain security positions such
that sufficient liquid assets will be available to make payments for the
securities purchased. Securities purchased on a when-issued or delayed
delivery basis are marked-to-market daily and begin earning interest on
settlement date.
G Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolios. Pursuant to the respective custodian agreements,
IBT
75
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
receives a fee reduced by credits which are determined based on the average
daily cash balances each Portfolio maintains with IBT. All significant credit
balances used to reduce the Portfolios' custodian fees are reflected as a
reduction of operating expense on the Statement of Operations.
H Use of Estimates -- The preparation of the financial statements in
conformity with generally accepted accounting principles requires management
to make estimates and assumptions that affect the reported amounts of assets
and liabilities at the date of the financial statements and the reported
amounts of revenue and expense during the reporting period. Actual results
could differ from those estimates.
I Other -- Investment transactions are accounted for on a trade date basis.
J Interim Financial Statements -- The interim financial statements relating
to September 30, 1998, and for the six months then ended have not been
audited by independent certified public accountants, but in the opinion of
the Funds' 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 month period ended September 30,
1998, each Portfolio paid advisory fees as follows:
Portfolio Amount Effective Rate*
-----------------------------------------------------
California Limited $76,357 0.46%
Connecticut Limited $22,066 0.46%
Florida Limited $156,626 0.46%
Massachusetts Limited $124,147 0.46%
Michigan Limited $26,520 0.47%
New Jersey Limited $100,566 0.46%
New York Limited $163,433 0.46%
Ohio Limited $55,496 0.47%
Pennsylvania Limited $128,261 0.46%
* As a percentage of average daily net assets (annualized).
To enhance the net income of the Connecticut Limited Portfolio, BMR made a
reduction of its fee in the amount of $10,851.
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 month
period ended September 30, 1998, 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 and
short-term obligations, for the six month period ended September 30, 1998
were as follows:
California Limited Connecticut Limited
Portfolio Portfolio
-----------------------------------------------
Purchases $ 6,119,755 $ 228,808
Sales 8,376,271 661,658
Florida Limited Massachusetts
Portfolio Limited Portfolio
-----------------------------------------------
Purchases $ 6,126,530 $ 6,650,705
Sales 13,727,452 9,621,352
Michigan Limited New Jersey Limited
Portfolio Portfolio
-----------------------------------------------
Purchases $ 617,098 $ --
Sales 1,953,337 3,028,200
New York Limited Ohio Limited
Portfolio Portfolio
----------------------------------------------
Purchases $ 10,317,762 $ 1,385,208
Sales 17,669,871 2,555,653
Pennsylvania
Limited Portfolio
-----------------------------------------------
Purchases $ 2,794,032
Sales 6,954,060
76
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
4. Federal Income Tax Basis of Investments
-----------------------------------------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at September 30, 1998, as computed on a
federal income tax basis, are as follows:
<TABLE>
<CAPTION>
California Connecticut
Limited Limited
Portfolio Portfolio
-----------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 29,829,184 $ 8,749,673
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 2,201,856 $ 600,301
Gross unrealized depreciation -- --
-----------------------------------------------------------------------------
Net unrealized appreciation $ 2,201,856 $ 600,301
-----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Florida Limited Massachusetts Limited
Portfolio Portfolio
-----------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 61,462,844 $ 49,536,437
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 4,083,337 $ 3,538,164
Gross unrealized depreciation -- --
-----------------------------------------------------------------------------
Net unrealized appreciation $ 4,083,337 $ 3,538,164
-----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Michigan Limited New Jersey Limited
Portfolio Portfolio
-----------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 9,947,771 $ 39,109,881
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 1,113,203 $ 3,450,010
Gross unrealized depreciation (8,366) (8,904)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 1,104,837 $ 3,441,106
-----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
New York Limited Ohio Limited
Portfolio Portfolio
-----------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 64,417,807 $ 21,831,004
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 4,575,914 $ 1,399,938
Gross unrealized depreciation -- (2,153)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 4,575,914 $ 1,397,785
-----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Pennsylvania
Limited
Portfolio
-----------------------------------------------------------------------
<S> <C>
Aggregate Cost $ 49,562,514
-----------------------------------------------------------------------
Gross unrealized appreciation $ 3,452,253
-----------------------------------------------------------------------
Gross unrealized depreciation (34,103)
-----------------------------------------------------------------------
Net unrealized appreciation $ 3,418,150
-----------------------------------------------------------------------
</TABLE>
5 Line of Credit
-----------------------------------------------------------------------------
The Portfolios participate with other portfolios and funds managed by BMR and
EVM and its affiliates in a $100 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 either the Eurodollar rate or federal funds effective rate. In
addition, a fee computed at an annual rate of 0.10% on the daily unused
portion of the line of credit is allocated among the participating portfolios
and funds at the end of each quarter. At September 30, 1998, the California
Limited Portfolio, Michigan Limited Portfolio, New Jersey Limited Portfolio,
Ohio Limited Portfolio, and Pennsylvania Limited Portfolio had balances
outstanding pursuant to this line of credit of $92,000, $202,000, $638,000,
$102,000, and $26,000, respectively. The Portfolios did not have any
significant borrowings or allocated fees during the six month period ended
September 30, 1998.
6 Financial Instruments
--------------------------------------------------------------------------
The Portfolios regularly trade in financial instruments with off-balance
sheet risk in the normal course of their investing activities to assist in
managing exposure to various market risks. These financial instruments
include futures contracts and may involve, to a varying degree, elements of
risk in excess of the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
77
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
A summary of obligations under these financial instruments at September 30,
1998, is as follows:
<TABLE>
<CAPTION>
Limited Expiration Futures Net Unrealized
Portfolio Date Contracts Position Depreciation
------------- ---------- ---------------------- -------- --------------
<S> <C> <C> <C> <C>
California 12/98 13 U.S. Treasury Bonds Short $ (41,533)
Connecticut 12/98 4 U.S. Treasury Bonds Short $ (4,587)
Florida 12/98 12 U.S. Treasury Bonds Short $ (53,180)
Massachusetts 12/98 31 U.S. Treasury Bonds Short $ (41,874)
Michigan 12/98 6 U.S. Treasury Bonds Short $ (8,286)
New Jersey 12/98 13 U.S. Treasury Bonds Short $ (21,077)
New York 12/98 17 U.S. Treasury Bonds Short $ (29,725)
Ohio 12/98 2 U.S. Treasury Bonds Short $ (8,887)
Pennsylvania 12/98 28 U.S. Treasury Bonds Short $ (79,551)
</TABLE>
At September 30, 1998, the Portfolios had sufficient cash and/or securities
to cover margin requirements on open futures contracts.
78
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO as of September 30, 1998
INVESTMENT MANAGEMENT
Limited Maturity Municipals Portfolios
Officers
Thomas J. Fetter
President
James B. Hawkes
Vice President and Trustee
Robert B. MacIntosh
Vice President
William H. Ahern, Jr.
Vice President and Portfolio
Manager of Connecticut,
Florida, Massachusetts,
Michigan, New Jersey,
New York and Ohio Limited
Maturity Municipals Portfolios
Cynthia J. Clemson
Vice President and Portfolio
Manager of California Limited
Maturity Municipals Portfolio
Timothy T. Browse
Vice President and Portfolio
Manager of Pennsylvania
Limited Maturity
Municipals Portfolio
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
Independent Trustees
Donald R. Dwight
President, Dwight Partners, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking, Harvard University Graduate
School of Business Administration
Norton H. Reamer
Chairman and Chief Executive Officer,
United Asset Management Corporation
John L. Thorndike
Formerly, Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
79
