<PAGE>
CALIFORNIA LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS
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 -- 5.1%
---------------------------------------------------------------------------------------
NR BBB- $1,500 Central Valley Financing Authority,
Cogeneration, 5.20%, 7/1/99 $ 1,507,965
---------------------------------------------------------------------------------------
$ 1,507,965
---------------------------------------------------------------------------------------
Electric Utilities -- 7.3%
---------------------------------------------------------------------------------------
A2 A-1 $1,000 California Pollution Control Financing
Authority, (San Diego Gas & Electric),
5.90%, 6/1/14(1) $ 1,118,050
NR A+ 1,000 California Pollution Control Financing
Authority, (Southern California Edison
Co.), 6.85%, 12/1/08 1,031,950
---------------------------------------------------------------------------------------
$ 2,150,000
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 16.7%
---------------------------------------------------------------------------------------
Aaa AAA $1,500 ABAG Finance Authority Certificates of
Participation, (Stanford University
Hospital), (MBIA), Escrowed to Maturity,
4.90%, 11/1/03 $ 1,583,744
Aaa AAA 1,000 ABAG Finance Authority Certificates of
Participation, (Stanford University
Hospital), (MBIA), Escrowed to Maturity,
5.125%, 11/1/05 1,075,000
NR A+ 1,000 California Statewide Communities
Development Corp., (Pacific Homes),
Prerefunded to 4/1/03, 5.90%, 4/1/09 1,081,630
NR NR 1,000 Sacramento Cogeneration Authority,
(Procter & Gamble), Prerefunded to
7/1/05, 6.50%, 7/1/21 1,163,170
---------------------------------------------------------------------------------------
$ 4,903,544
---------------------------------------------------------------------------------------
General Obligations -- 1.0%
---------------------------------------------------------------------------------------
NR NR $ 300 Capistrano Unified School District,
5.65%, 9/1/15(2) $ 299,793
---------------------------------------------------------------------------------------
$ 299,793
---------------------------------------------------------------------------------------
Hospital -- 5.0%
---------------------------------------------------------------------------------------
NR NR $ 380 Eastern Plumas Health Care, (District
Hospital), 7.50%, 8/1/07 $ 405,992
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Hospital (continued)
---------------------------------------------------------------------------------------
NR NR $ 300 San Benito Health Care District, 5.375%,
10/1/12 $ 295,899
NR NR 350 San Gorgonio Memorial Health Care
District, 5.80%, 5/1/14 347,137
NR BBB+ $ 400 Stockton Health Facilities, (Dameron
Hospital), 5.70%, 12/1/14 406,680
---------------------------------------------------------------------------------------
$ 1,455,708
---------------------------------------------------------------------------------------
Housing -- 1.8%
---------------------------------------------------------------------------------------
Aaa NR $ 510 Corona SFMR, 6.05%, 5/1/27 $ 522,898
---------------------------------------------------------------------------------------
$ 522,898
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 2.6%
---------------------------------------------------------------------------------------
Baa1 A- $ 750 California Pollution Control Financing
Authority, (Browning Ferris Industries),
(AMT), 5.80%, 12/1/16 $ 759,338
---------------------------------------------------------------------------------------
$ 759,338
---------------------------------------------------------------------------------------
Insured-Education -- 2.7%
---------------------------------------------------------------------------------------
Aaa NR $ 475 California Educational Facilities
Authority, (San Diego University),
(AMBAC), 0.00%, 10/1/15 $ 212,496
Aaa AAA 250 Golden West Schools Financing Authority,
(MBIA), 5.80%, 2/1/16(2) 277,245
Aaa AAA 285 Golden West Schools Financing Authority,
(MBIA), 5.80%, 8/1/16(2) 316,655
---------------------------------------------------------------------------------------
$ 806,396
---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 7.1%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Sacramento Municipal Utility District,
(AMBAC), 5.60%, 8/15/16 $ 1,068,710
Aaa AAA 1,000 Southern California Public Power
Authority Project, (AMBAC), 5.00%,
7/1/17 1,004,450
---------------------------------------------------------------------------------------
$ 2,073,160
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
39
<PAGE>
CALIFORNIA LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS 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 -- 6.8%
---------------------------------------------------------------------------------------
Aaa AAA $1,080 Fillmore Unified School District,
(FGIC), 0.00%, 7/1/15 $ 489,078
Aaa AAA 1,000 Mt. Diablo School District, (AMBAC),
5.70%, 8/1/14 1,079,640
Aaa AAA 705 Ukiah Unified School District, (FGIC),
0.00%, 8/1/10 424,100
---------------------------------------------------------------------------------------
$ 1,992,818
---------------------------------------------------------------------------------------
Insured-Hospital -- 5.7%
---------------------------------------------------------------------------------------
Aaa AAA $1,900 Riverside County, (Riverside County
Hospital), (MBIA), 0.00%, 6/1/21 $ 609,311
Aaa AAA 1,000 Tri City Hospital District, (MBIA),
5.625%, 2/15/17 1,053,440
---------------------------------------------------------------------------------------
$ 1,662,751
---------------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of Participation -- 9.1%
---------------------------------------------------------------------------------------
Aaa AAA $2,000 Anaheim Public Financing Authority,
(Public Improvements), (FSA), 0.00%,
9/1/19 $ 708,920
Aaa AAA 500 California State Public Works Board,
(California Community College), (AMBAC),
5.625%, 3/1/16 534,290
Aaa AAA 1,355 California State Public Works Board,
(Department of Corrections), (AMBAC),
5.25%, 12/1/13 1,441,395
---------------------------------------------------------------------------------------
$ 2,684,605
---------------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 7.1%
---------------------------------------------------------------------------------------
Aaa AAA $2,000 San Mateo County Transportation
District, (MBIA), 5.25%, 6/1/17 $ 2,092,039
---------------------------------------------------------------------------------------
$ 2,092,039
---------------------------------------------------------------------------------------
Insured-Transportation -- 4.6%
---------------------------------------------------------------------------------------
Aaa AAA $ 750 San Francisco, City and County Airports,
(MBIA), 5.60%, 5/1/13 $ 798,405
Aaa AAA 1,000 San Joaquin Hills, Transportation
Corridor Agency Bridge & Toll Road,
(MBIA), 0.00%, 1/15/12 551,010
---------------------------------------------------------------------------------------
$ 1,349,415
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 4.4%
---------------------------------------------------------------------------------------
NR A+ $ 750 California Statewide Communities
Development Authority, (San Gabriel
Valley), 5.50%, 9/1/14 $ 765,713
Baa2 NR 500 Corona PFA, Public Improvement Revenue,
5.95%, 7/1/07 528,670
---------------------------------------------------------------------------------------
$ 1,294,383
---------------------------------------------------------------------------------------
Nursing Home -- 2.6%
---------------------------------------------------------------------------------------
NR BBB $ 750 ABAG Finance Authority, (American
Baptist Homes), 5.75%, 10/1/17 $ 762,413
---------------------------------------------------------------------------------------
$ 762,413
---------------------------------------------------------------------------------------
Special Tax Revenue -- 6.9%
---------------------------------------------------------------------------------------
NR NR $ 300 Alameda Public Financing Authority,
5.45%, 9/2/14 $ 298,284
NR NR 300 Brentwood Infrastructure Financing
Authority, 5.50%, 9/2/12 291,807
NR NR 315 Industry, (Catellus Commerce Center
Assessment District), 5.55%, 9/2/13 311,998
NR NR 360 Irvine, Improvement Bond Act 1915,
(Assessment District North 97-16, Group
Two), 5.40%, 9/2/10 366,930
NR BBB 390 Pomona Redevelopment Agency, (West Holt
Avenue Redevelopment), 5.50%, 5/1/13 399,797
NR NR 365 Torrance Redevelopment Agency, 5.50%,
9/1/12 371,333
---------------------------------------------------------------------------------------
$ 2,040,149
---------------------------------------------------------------------------------------
Water and Sewer -- 3.5%
---------------------------------------------------------------------------------------
A1 A+ $1,000 Los Angeles City Wastewater System,
6.90%, 6/1/08(1) $ 1,026,310
---------------------------------------------------------------------------------------
$ 1,026,310
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $27,931,688) $ 29,383,685
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
40
<PAGE>
CALIFORNIA LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS CONT'D
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 March 31, 1999, 52.1% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from a low of 2.4% to a high of 28.4% of total
investments.
(1) Security (or a portion thereof) has been segregated to cover when-issued
securities.
(2) When-issued security.
SEE NOTES TO FINANCIAL STATEMENTS
41
<PAGE>
CONNECTICUT LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS
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>
--------------------------------------------------------------------------------------
Education -- 4.1%
--------------------------------------------------------------------------------------
NR BBB- $200 Connecticut HEFA, (Quinnipiac College),
6.00%, 7/1/13 $ 207,832
Baa3 BBB- 140 Connecticut HEFA, (Sacred Heart
University), 6.00%, 7/1/08 157,979
--------------------------------------------------------------------------------------
$ 365,811
--------------------------------------------------------------------------------------
Electric Utilities -- 2.7%
--------------------------------------------------------------------------------------
Baa1 BBB+ $250 Puerto Rico Electric Power Authority,
4.75%, 7/1/24 $ 238,488
--------------------------------------------------------------------------------------
$ 238,488
--------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 17.7%
--------------------------------------------------------------------------------------
Baa1 BBB+ $400 Connecticut HEFA, (Fairfield
University), Prerefunded to 7/1/99,
6.90%, 7/1/14 $ 411,608
NR NR 510 Connecticut HEFA, (New Britain
Hospital), Prerefunded to 7/1/02, 7.50%,
7/1/06 559,724
NR BBB- 300 Connecticut HEFA, (Quinnipiac College),
Prerefunded to 07/01/03, 6.00%, 7/1/13 329,712
Aaa AAA 250 South Central Connecticut Regional Water
Authority, (AMBAC), Prerefunded to
8/1/01, 6.50%, 8/1/07 271,273
--------------------------------------------------------------------------------------
$ 1,572,317
--------------------------------------------------------------------------------------
General Obligations -- 11.9%
--------------------------------------------------------------------------------------
Aaa NR $200 Avon, 5.00%, 1/15/12 $ 210,326
Aa3 AA 190 Connecticut State, 0.00%, 11/15/10 111,996
Aa3 AA 150 Connecticut State, 5.125%, 8/15/11 157,740
Aa2 AA 100 Danbury, 5.00%, 8/1/17 101,080
Baa1 A 115 Puerto Rico, 0.00%, 7/1/08 76,403
Baa1 A 400 Puerto Rico Aqueduct and Sewer
Authority, 5.00%, 7/1/19 393,712
--------------------------------------------------------------------------------------
$ 1,051,257
--------------------------------------------------------------------------------------
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
--------------------------------------------------------------------------------------
Hospital -- 1.5%
--------------------------------------------------------------------------------------
Baa2 NR $125 Connecticut HEFA, (Griffin Hospital),
6.00%, 7/1/13 $ 128,788
--------------------------------------------------------------------------------------
$ 128,788
--------------------------------------------------------------------------------------
Housing -- 1.1%
--------------------------------------------------------------------------------------
Aa NR $100 Connecticut HFA, MRB, (AMT), 7.40%,
11/15/99 $ 100,930
--------------------------------------------------------------------------------------
$ 100,930
--------------------------------------------------------------------------------------
Industrial Development Revenue -- 11.9%
--------------------------------------------------------------------------------------
A1 NR $625 Connecticut Development Authority,
(Frito Lay), 6.375%, 7/1/04 $ 634,099
Baa3 BBB- 250 Puerto Rico Port Authority, (American
Airlines), (AMT), 6.25%, 6/1/26 269,680
A3 BBB+ 150 Sprague, Environmental Improvement,
(International Paper Co.), (AMT), 5.70%,
10/1/21 153,029
--------------------------------------------------------------------------------------
$ 1,056,808
--------------------------------------------------------------------------------------
Insured-Education -- 5.0%
--------------------------------------------------------------------------------------
Aaa AAA $200 Connecticut HEFA, (Choate Rosemary
Hall), (MBIA), 5.00%, 7/1/14 $ 203,468
Aaa AAA 240 University of Connecticut, (FGIC),
5.00%, 2/1/15 243,149
--------------------------------------------------------------------------------------
$ 446,617
--------------------------------------------------------------------------------------
Insured-Electric Utilities -- 3.2%
--------------------------------------------------------------------------------------
Aaa AAA $250 Connecticut Municipal Electric
Authority, (MBIA), 6.00%, 1/1/07 $ 279,750
--------------------------------------------------------------------------------------
$ 279,750
--------------------------------------------------------------------------------------
Insured-General Obligations -- 13.7%
--------------------------------------------------------------------------------------
Aaa AAA $250 Bradford, (FGIC), 5.40%, 2/15/14 $ 261,700
Aaa AAA 400 Bridgeport, (AMBAC), 6.00%, 9/1/06 448,299
Aaa AAA 500 Old Saybrook, (AMBAC), 4.10%, 8/15/01 507,724
--------------------------------------------------------------------------------------
$ 1,217,723
--------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
42
<PAGE>
CONNECTICUT LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured-Hospital -- 12.8%
--------------------------------------------------------------------------------------
Aaa AAA $150 Connecticut HEFA, (Greenwich Hospital),
(MBIA), 5.75%, 7/1/06 $ 165,228
Aaa NR 300 Connecticut HEFA, (Middlesex Health
Services), (MBIA), 5.125%, 7/1/17 301,164
Aaa AAA 370 Connecticut HEFA, (St. Raphael
Hospital),
(AMBAC), 5.10%, 7/1/07 392,596
Aaa AAA 250 Connecticut HEFA, (Stamford Hospital),
(MBIA), 6.50%, 7/1/06 270,558
--------------------------------------------------------------------------------------
$ 1,129,546
--------------------------------------------------------------------------------------
Insured-Miscellaneous -- 1.8%
--------------------------------------------------------------------------------------
Aaa AAA $150 Woodstock, Special Obligation Bonds,
(AMBAC), 7.00%, 3/1/07 $ 159,290
--------------------------------------------------------------------------------------
$ 159,290
--------------------------------------------------------------------------------------
Insured-Transportation -- 7.9%
--------------------------------------------------------------------------------------
Aaa AAA $600 Connecticut State Airport, (Bradley
International Airport), (FGIC), 7.40%,
10/1/04 $ 700,373
--------------------------------------------------------------------------------------
$ 700,373
--------------------------------------------------------------------------------------
Solid Waste -- 2.9%
--------------------------------------------------------------------------------------
NR BBB+ $250 Eastern Connecticut Resources Recovery
Authority, (Wheelabrator Lisbon), (AMT),
5.00%, 1/1/03 $ 254,253
--------------------------------------------------------------------------------------
$ 254,253
--------------------------------------------------------------------------------------
Water and Sewer -- 1.8%
--------------------------------------------------------------------------------------
Aaa AAA $150 Connecticut State Clean Water Fund,
4.875%, 5/1/09 $ 155,604
--------------------------------------------------------------------------------------
$ 155,604
--------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $8,361,603) $ 8,857,555
--------------------------------------------------------------------------------------
</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 securitites 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 March 31, 1999, 47.5% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from a low of 13.6% to a high of 20.1% of total
investments.
SEE NOTES TO FINANCIAL STATEMENTS
43
<PAGE>
FLORIDA LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS
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 -- 1.3%
---------------------------------------------------------------------------------------
NR NR $ 500 Palm Beach County, (Okeelanta Power),
(AMT), 6.85%, 2/15/21(1) $ 385,000
NR NR 500 Palm Beach County, (Osceola Power),
(AMT), 6.95%, 1/1/22(1) 380,000
---------------------------------------------------------------------------------------
$ 765,000
---------------------------------------------------------------------------------------
Electric Utilities -- 8.0%
---------------------------------------------------------------------------------------
Aa2 AA $2,500 Jacksonville Electric Authority, (St.
Johns River Power Park), 5.375%, 10/1/16 $ 2,583,675
A1 AA- 2,000 Tallahassee Electric, 5.90%, 10/1/05 2,156,620
---------------------------------------------------------------------------------------
$ 4,740,295
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 9.7%
---------------------------------------------------------------------------------------
Aaa AAA $1,015 Dade County, Educational Facilities
Authority, (MBIA), Prerefunded to
10/1/01, 7.00%, 10/1/08 $ 1,117,556
Aaa AAA 1,000 Hillsborough County Aviation Authority,
(Tampa International Airport), (FGIC),
Prerefunded to 10/01/99, 6.85%, 10/1/06 1,038,520
Aaa AAA 3,000 Jacksonville Health Facilities
Authority, (Baptist Medical Center),
(MBIA), Prerefunded to 6/1/99, 7.25%,
6/1/05(2) 3,080,309
Aaa AA- 500 Orlando Utility Community Water and
Electric, Prerefunded to 10/1/01, 6.50%,
10/1/20 544,590
---------------------------------------------------------------------------------------
$ 5,780,975
---------------------------------------------------------------------------------------
General Obligations -- 13.7%
---------------------------------------------------------------------------------------
Aa2 AA+ $3,000 Florida State Board of Education, 5.55%,
6/1/11 $ 3,212,549
Baa1 A 1,050 Puerto Rico, 0.00%, 7/1/08 697,589
Baa1 A- 2,000 Puerto Rico Municipal Finance Agency,
5.50%, 7/1/01 2,078,000
Baa1 A 1,000 Puerto Rico Public Building Authority,
6.50%, 7/1/03 1,091,640
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
General Obligations (continued)
---------------------------------------------------------------------------------------
NR AAA $1,000 Virgin Islands Public Finance Authority,
(Matching Loan Fund Notes), 6.80%,
10/1/00 $ 1,051,640
---------------------------------------------------------------------------------------
$ 8,131,418
---------------------------------------------------------------------------------------
Hospital -- 3.8%
---------------------------------------------------------------------------------------
NR BBB+ $1,250 Escambia County Health Facilities
Authority, (Baptist Hospital, Inc. and
Baptist Manor, Inc.), 6.00%, 10/1/14 $ 1,299,675
Baa1 NR 450 Jacksonville Health Facilities
Authority, (National Benevolent
Association-Cypress Village), 6.25%,
12/1/99 457,835
Baa1 NR 480 Jacksonville Health Facilities
Authority, (National Benevolent
Association-Cypress Village), 6.50%,
12/1/00 501,365
---------------------------------------------------------------------------------------
$ 2,258,875
---------------------------------------------------------------------------------------
Housing -- 0.7%
---------------------------------------------------------------------------------------
NR A $ 425 Clearwater Housing Authority, (Hamptons
at Clearwater), 5.40%, 5/1/13 $ 440,279
---------------------------------------------------------------------------------------
$ 440,279
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 3.6%
---------------------------------------------------------------------------------------
Baa2 BBB $2,000 Polk County IDR, (IMC Fertilizer),
(AMT), 7.525%, 1/1/15 $ 2,118,280
---------------------------------------------------------------------------------------
$ 2,118,280
---------------------------------------------------------------------------------------
Insured-Cogeneration -- 5.2%
---------------------------------------------------------------------------------------
Aaa AAA $2,000 Dade County, Resource Recovery
Facilities, (AMBAC), (AMT), 5.30%,
10/1/07 $ 2,136,000
Aaa NR 1,000 Tampa Solid Waste System, (McKay Bay
Refuse to Energy), (AMBAC), 4.75%,
10/1/17 961,300
---------------------------------------------------------------------------------------
$ 3,097,300
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
44
<PAGE>
FLORIDA LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS 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 -- 1.7%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Dade County, Water and Sewer System,
(FGIC), 5.25%, 10/1/21 $ 1,021,460
---------------------------------------------------------------------------------------
$ 1,021,460
---------------------------------------------------------------------------------------
Insured-General Obligations -- 7.9%
---------------------------------------------------------------------------------------
Aaa AAA $2,000 Dade County Local School District,
(MBIA), 5.00%, 2/15/15 $ 2,022,420
Aaa AAA 520 Dade County, (MBIA), 0.00%, 10/1/06 375,731
Aaa AAA 330 Dade County, (MBIA), 0.00%, 10/1/08 214,625
Aaa AAA 1,000 Miami-Dade County School District,
(FSA), 5.375%, 8/1/15 1,067,450
Aaa AAA 1,000 Reedy Creek Improvement District,
(MBIA), 5.25%, 6/1/14 1,039,380
---------------------------------------------------------------------------------------
$ 4,719,606
---------------------------------------------------------------------------------------
Insured-Hospital -- 7.0%
---------------------------------------------------------------------------------------
Aaa AAA $2,500 Naples, (Naples Community Hospital,
Inc.), (MBIA), 5.50%, 10/1/16 $ 2,608,025
Aaa AAA 1,000 Orange County Health Facilities
Authority, (Adventist Health System/
Sunbelt, Inc.), (FSA), 5.50%, 11/15/02 1,057,150
Aaa AAA 500 Sarasota County Public Hospital, (MBIA),
5.25%, 7/1/18 516,865
---------------------------------------------------------------------------------------
$ 4,182,040
---------------------------------------------------------------------------------------
Insured-Housing -- 4.2%
---------------------------------------------------------------------------------------
Aaa AAA $1,200 Florida Housing Finance Authority,
(Leigh Meadows Apartments), (AMBAC),
5.85%, 9/1/10 $ 1,283,244
Aaa AAA 1,110 Florida Housing Finance Authority,
(Stottert Arms Apartments), (AMBAC),
5.90%, 9/1/10 1,185,968
---------------------------------------------------------------------------------------
$ 2,469,212
---------------------------------------------------------------------------------------
Insured-Industrial Development Revenue -- 1.8%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Pinellas County Resource Recovery,
(MBIA), 5.125%, 10/1/04 $ 1,053,290
---------------------------------------------------------------------------------------
$ 1,053,290
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of Participation -- 1.8%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Palm Beach County Criminal Justice
Facilities, (FGIC), 5.375%, 6/1/10 $ 1,083,850
---------------------------------------------------------------------------------------
$ 1,083,850
---------------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 1.7%
---------------------------------------------------------------------------------------
Aaa AAA $2,000 Miami-Dade County Professional Sports
Franchise Facilities, (MBIA), 0.00%,
10/1/13 $ 992,660
---------------------------------------------------------------------------------------
$ 992,660
---------------------------------------------------------------------------------------
Insured-Transportation -- 10.8%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Broward County Airport System, (MBIA),
5.375%, 10/1/13 $ 1,047,100
Aaa AAA 1,500 Broward County Port Facilities, (MBIA),
5.375%, 9/1/12 1,578,165
Aaa AAA 2,000 Dade County, Seaport Revenue, (MBIA),
5.125%, 10/1/16 2,034,760
Aaa AAA 1,670 Hillsborough County Aviation Authority,
(Tampa International Airport), (FGIC),
6.85%, 10/1/06 1,732,525
---------------------------------------------------------------------------------------
$ 6,392,550
---------------------------------------------------------------------------------------
Insured-Water and Sewer -- 9.9%
---------------------------------------------------------------------------------------
Aaa AAA $ 380 Collier County, Water and Sewer Revenue,
(FGIC), 5.125%, 7/1/15(3) $ 390,146
Aaa AAA 2,000 Dade County, Water and Sewer System,
(FGIC), 5.25%, 10/1/11 2,111,560
Aaa AAA 2,000 Manatee County, Public Utilities,
(MBIA), 6.75%, 10/1/04 2,278,120
Aaa AAA 1,000 Pasco County, Water and Sewer Revenue,
(FGIC), 5.40%, 10/1/03 1,067,960
---------------------------------------------------------------------------------------
$ 5,847,786
---------------------------------------------------------------------------------------
Nursing Home -- 2.3%
---------------------------------------------------------------------------------------
NR NR $ 350 Citrus County IDA, (Beverly
Enterprises), 5.00%, 4/1/03 $ 349,248
NR NR 1,000 Volusia County, (Beverly Enterprises),
5.875%, 7/1/07 1,006,840
---------------------------------------------------------------------------------------
$ 1,356,088
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
45
<PAGE>
FLORIDA LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Senior Living / Life Care -- 3.7%
---------------------------------------------------------------------------------------
Baa1 A- $1,000 Highlands County HFA, (Adventist Health
System), 5.25%, 11/15/20 $ 980,930
NR NR 600 North Miami HFA, (Imperial Club), 6.75%,
1/1/33 589,038
NR NR 600 Okaloosa County, Retirement Rental
Housing, (Encore Retirement Partners),
6.125%, 2/1/14 599,070
---------------------------------------------------------------------------------------
$ 2,169,038
---------------------------------------------------------------------------------------
Special Tax Revenue -- 1.2%
---------------------------------------------------------------------------------------
NR NR $ 650 North Springs, Improvement District,
Special Assessment Revenue, (Heron Bay),
7.00%, 5/1/19 $ 692,387
---------------------------------------------------------------------------------------
$ 692,387
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $56,582,960) $ 59,312,389
---------------------------------------------------------------------------------------
</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 March 31, 1999, 60.9% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from a low of 3.6% to a high of 33.7% of total
investments.
(1) Non-income producing security.
(2) Security (or a portion thereof) has been segregated to cover when-issued
securities.
(3) When-issued security.
SEE NOTES TO FINANCIAL STATEMENTS
46
<PAGE>
MASSACHUSETTS LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS
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 -- 2.0%
---------------------------------------------------------------------------------------
NR BBB $1,000 Massachusetts IFA, (Ogden Haverhill),
(AMT), 5.50%, 12/1/13 $ 1,014,110
---------------------------------------------------------------------------------------
$ 1,014,110
---------------------------------------------------------------------------------------
Education -- 6.8%
---------------------------------------------------------------------------------------
NR A $ 500 Massachusetts IFA, (Belmont Hill
School), 5.15%, 9/1/13 $ 506,225
Baa3 BBB- 500 Massachusetts IFA, (Dana Hall), 5.90%,
7/1/27 515,935
A3 NR 1,030 Massachusetts IFA, (Park School), 5.50%,
9/1/16 1,079,687
Baa1 BBB+ 750 Massachusetts IFA, (St. Johns High
School, Inc.), 5.70%, 6/1/18 775,298
Baa1 NR 500 Massachusetts IFA, (Wentworth Institute
of Technology), 5.55%, 10/1/13 509,585
---------------------------------------------------------------------------------------
$ 3,386,730
---------------------------------------------------------------------------------------
Electric Utilities -- 2.1%
---------------------------------------------------------------------------------------
Baa2 BBB+ $1,000 Massachusetts Municipal Wholesale
Electric Co., 5.70%, 7/1/01 $ 1,040,870
---------------------------------------------------------------------------------------
$ 1,040,870
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 11.4%
---------------------------------------------------------------------------------------
Aa3 AA- $ 785 Massachusetts Bay Transportation
Authority, Prerefunded to 3/01/05,
5.75%, 3/1/18 $ 867,598
Aaa NR 905 Massachusetts HEFA, (Fairview Extended
Care), Prerefunded to 1/1/01, 10.125%,
1/1/11 1,022,107
Baa3 NR 793 Massachusetts HEFA, (Milford-
Whitinsville Hospital), Escrowed to
Maturity, 7.125%, 7/15/02 839,912
Aaa BBB 500 Massachusetts HEFA, (Sisters of
Providence Hospital), Escrowed to
Maturity, 6.00%, 11/15/00 521,295
Aaa AAA 400 Massachusetts Turnpike Authority,
(FGIC), Escrowed to Maturity, 5.125%,
1/1/23 406,484
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Escrowed / Prerefunded (continued)
---------------------------------------------------------------------------------------
Aaa NR $2,000 Massachusetts Turnpike Authority,
Escrowed to Maturity, 5.00%, 1/1/20 $ 2,024,420
---------------------------------------------------------------------------------------
$ 5,681,816
---------------------------------------------------------------------------------------
General Obligations -- 13.9%
---------------------------------------------------------------------------------------
Aa2 NR $ 500 Burlington, 5.00%, 2/1/15 $ 512,365
Aa2 NR 500 Burlington, 5.00%, 2/1/16 511,135
Aa3 AA- 1,000 Massachusetts, 5.00%, 11/1/14 1,014,790
Aa3 AA- 1,000 Massachusetts, 5.40%, 11/1/06 1,082,270
Aa3 AA- 1,260 Massachusetts Bay Transportation
Authority, 5.50%, 3/1/08 1,377,041
Aa3 AA- 215 Massachusetts Bay Transportation
Authority, 5.75%, 3/1/18 229,551
Aa3 NR 2,500 Massachusetts State Federal Highway,
Grant Anticipation Notes, 0.00%, 6/15/15 1,110,600
A1 AA- 1,000 Woods Hole, Martha's Vineyard and
Nantucket Steamship Authority, 6.60%,
3/1/03 1,096,200
---------------------------------------------------------------------------------------
$ 6,933,952
---------------------------------------------------------------------------------------
Health Care-Miscellaneous -- 1.0%
---------------------------------------------------------------------------------------
Ba2 BB $ 500 Massachusetts Development Finance
Agency, (New England Center for
Children), 5.30%, 11/1/08 $ 497,380
---------------------------------------------------------------------------------------
$ 497,380
---------------------------------------------------------------------------------------
Hospital -- 17.2%
---------------------------------------------------------------------------------------
Baa2 BBB $ 750 Massachusetts HEFA, (Caritas Christi
Obligation Group), 5.70%, 7/1/15 $ 758,250
Aa2 AA+ 3,000 Massachusetts HEFA, (Daughters of
Charity Issue), 5.75%, 7/1/02 3,167,190
NR BBB+ 770 Massachusetts HEFA, (Jordan Hospital),
5.00%, 10/1/11 778,262
Baa2 BBB- 1,000 Massachusetts HEFA, (Milford-
Whitinsville Regional Hospital), 5.75%,
7/15/13 1,024,110
Baa3 NR 860 Massachusetts HEFA, (New England Health
Systems), 6.125%, 8/1/13 880,038
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
47
<PAGE>
MASSACHUSETTS LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospital (continued)
---------------------------------------------------------------------------------------
NR BBB- $1,845 Massachusetts HEFA, (North Adams
Regional Hospital), 6.25%, 7/1/04 $ 1,984,519
---------------------------------------------------------------------------------------
$ 8,592,369
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 0.7%
---------------------------------------------------------------------------------------
NR BBB+ $ 350 Massachusetts Development Finance
Agency, (YMCA of Greater Boston), 5.25%,
11/1/13 $ 342,657
---------------------------------------------------------------------------------------
$ 342,657
---------------------------------------------------------------------------------------
Insured-Education -- 2.1%
---------------------------------------------------------------------------------------
Aaa AAA $1,015 Massachusetts IFA, (Dexter School),
(MBIA), 5.40%, 5/1/13 $ 1,070,074
---------------------------------------------------------------------------------------
$ 1,070,074
---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 4.4%
---------------------------------------------------------------------------------------
Aaa AAA $2,000 Massachusetts Municipal Wholesale
Electric Co., (AMBAC), 6.625%, 7/1/03 $ 2,202,560
---------------------------------------------------------------------------------------
$ 2,202,560
---------------------------------------------------------------------------------------
Insured-General Obligations -- 8.4%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Haverhill, (FGIC), 5.00%, 6/15/17 $ 1,001,110
Aaa AAA 2,000 Massachusetts Bay Transportation
Authority, (AMBAC), 5.25%, 3/1/11 2,147,960
Aaa AAA 1,000 Massachusetts, (AMBAC), 5.00%, 7/1/12 1,040,800
---------------------------------------------------------------------------------------
$ 4,189,870
---------------------------------------------------------------------------------------
Insured-Hospital -- 3.1%
---------------------------------------------------------------------------------------
Aaa AAA $1,500 Massachusetts HEFA, (Lowell General
Hospital), (FSA), 5.25%, 6/1/16 $ 1,533,705
---------------------------------------------------------------------------------------
$ 1,533,705
---------------------------------------------------------------------------------------
Insured-Industrial Development Revenue -- 3.0%
---------------------------------------------------------------------------------------
Aaa AAA $1,400 Massachusetts IFA, (Nantucket Electric),
(AMBAC), (AMT), 5.30%, 7/1/04 $ 1,477,518
---------------------------------------------------------------------------------------
$ 1,477,518
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 3.5%
---------------------------------------------------------------------------------------
NR BBB $1,650 Puerto Rico, ITEM & ECFA, (Guaynabo
Municipal Government), 5.375%, 7/1/06 $ 1,771,589
---------------------------------------------------------------------------------------
$ 1,771,589
---------------------------------------------------------------------------------------
Nursing Home -- 2.1%
---------------------------------------------------------------------------------------
NR NR $ 965 Massachusetts IFA, (Age Institute of
Massachusetts), 7.60%, 11/1/05 $ 1,023,952
---------------------------------------------------------------------------------------
$ 1,023,952
---------------------------------------------------------------------------------------
Pooled Loans -- 1.7%
---------------------------------------------------------------------------------------
Aaa AAA $1,595 Massachusetts Water Pollution Abatement
Trust, 0.00%, 8/1/12 $ 848,524
---------------------------------------------------------------------------------------
$ 848,524
---------------------------------------------------------------------------------------
Senior Living / Life Care -- 2.2%
---------------------------------------------------------------------------------------
NR BBB $ 600 Massachusetts Development Finance
Agency, (Berkshire Retirement), 5.60%,
7/1/19 $ 599,220
NR NR 500 Massachusetts IFA, (Forge Hill), (AMT),
6.75%, 4/1/30 476,985
---------------------------------------------------------------------------------------
$ 1,076,205
---------------------------------------------------------------------------------------
Special Tax Revenue -- 4.6%
---------------------------------------------------------------------------------------
Aa3 AA $ 500 Massachusetts Special Obligations,
5.00%, 6/1/14 $ 514,190
NR AAA 1,750 Virgin Islands Public Finance Authority,
(Matching Loan Fund Notes), 6.70%,
10/1/99 1,781,500
---------------------------------------------------------------------------------------
$ 2,295,690
---------------------------------------------------------------------------------------
Transportation -- 3.3%
---------------------------------------------------------------------------------------
Aa3 AA- $1,000 Massachusetts Port Authority Revenue,
6.00%, 7/1/13 $ 1,088,740
Baa1 A 500 Puerto Rico Highway and Transportation
Authority, 5.50%, 7/1/15 537,675
---------------------------------------------------------------------------------------
$ 1,626,415
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
48
<PAGE>
MASSACHUSETTS LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Water and Sewer -- 6.5%
---------------------------------------------------------------------------------------
Aa1 AA $2,100 Massachusetts Water Pollution Abatement
Trust, 5.25%, 8/1/14 $ 2,205,105
Aa3 AA+ 1,000 Massachusetts Water Pollution Abatement
Trust, 5.25%, 8/1/14 1,033,850
---------------------------------------------------------------------------------------
$ 3,238,955
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $47,451,800) $ 49,844,941
---------------------------------------------------------------------------------------
</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 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 March 31, 1999, 21.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from a low of 2.1% to a high of 13.8% of total
investments.
SEE NOTES TO FINANCIAL STATEMENTS
49
<PAGE>
MICHIGAN LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS
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>
---------------------------------------------------------------------------------------
Economic Development Revenue -- 1.3%
---------------------------------------------------------------------------------------
NR B+ $ 150 Michigan State Strategic Fund, (Crown
Paper), 6.25%, 8/1/12 $ 137,537
---------------------------------------------------------------------------------------
$ 137,537
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 16.8%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Grand Ledge Public School District,
(MBIA), Prerefunded to 5/1/04, 7.875%,
5/1/11 $ 1,196,799
Aa1 AA+ 500 Michigan Municipal Bond Authority,
Escrowed to Maturity, 7.00%, 10/1/02 553,790
---------------------------------------------------------------------------------------
$ 1,750,589
---------------------------------------------------------------------------------------
General Obligations -- 5.3%
---------------------------------------------------------------------------------------
Baa1 A- $ 495 Detroit, 6.40%, 4/1/05 $ 546,435
---------------------------------------------------------------------------------------
$ 546,435
---------------------------------------------------------------------------------------
Hospital -- 14.6%
---------------------------------------------------------------------------------------
Aa3 AA $ 500 Kent Hospital Finance Authority,
(Spectrum Health), 5.25%, 1/15/09 $ 523,540
NR BBB 100 Michigan Hospital Finance Authority,
(Central MI Community Hospital), 6.00%,
10/1/05 108,197
NR BBB 100 Michigan Hospital Finance Authority,
(Central MI Community Hospital), 6.10%,
10/1/06 109,225
NR BBB 225 Michigan Hospital Finance Authority,
(Central MI Community Hospital), 6.20%,
10/1/07 247,930
NR BBB 500 Michigan Hospital Finance Authority,
(Gratiot Community Hospital), 6.10%,
10/1/07 532,440
---------------------------------------------------------------------------------------
$ 1,521,332
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 3.6%
---------------------------------------------------------------------------------------
Baa3 BBB- $ 350 Puerto Rico Port Authority, (American
Airlines), (AMT), 6.25%, 6/1/26 $ 377,552
---------------------------------------------------------------------------------------
$ 377,552
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 5.3%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Monroe County, (The Detroit Edison Co.),
(AMBAC), (AMT), 6.35%, 12/1/04 $ 552,640
---------------------------------------------------------------------------------------
$ 552,640
---------------------------------------------------------------------------------------
Insured-General Obligations -- 18.2%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Detroit School District, (AMBAC), 6.50%,
5/1/10 $ 585,780
Aaa AAA 250 Fowlerville, Community Schools District,
(FSA), 4.50%, 5/1/15 242,880
Aaa AAA 500 Hartland School District, (FGIC),
5.125%, 5/1/17 504,440
Aaa AAA 100 Parchment School District, (MBIA),
5.00%, 5/1/25 99,923
Aaa AAA 225 Paw Paw, Public School District, (FGIC),
5.00%, 5/1/21 224,840
Aaa AAA 250 Portage, Public Schools, (FSA), 4.50%,
5/1/14 241,095
---------------------------------------------------------------------------------------
$ 1,898,958
---------------------------------------------------------------------------------------
Insured-Lease Revenue /
Certificates of Participation -- 1.9%
---------------------------------------------------------------------------------------
Aaa AAA $ 300 Michigan Building Authority, Facilities
Program, (AMBAC), 0.00%, 10/15/08 $ 195,864
---------------------------------------------------------------------------------------
$ 195,864
---------------------------------------------------------------------------------------
Insured-Transportation -- 3.2%
---------------------------------------------------------------------------------------
Aaa AAA $ 770 Puerto Rico Highway and Transportation
Authority, (AMBAC), 0.00%, 7/1/16 $ 335,751
---------------------------------------------------------------------------------------
$ 335,751
---------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 5.1%
---------------------------------------------------------------------------------------
Aa2 AA $ 500 Michigan Building Authority, 6.10%,
10/1/01 $ 529,940
---------------------------------------------------------------------------------------
$ 529,940
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
50
<PAGE>
MICHIGAN LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Miscellaneous -- 1.5%
---------------------------------------------------------------------------------------
NR NR $ 150 Pittsfield Township EDC, (Arbor
Hospice), 7.875%, 8/15/27 $ 157,526
---------------------------------------------------------------------------------------
$ 157,526
---------------------------------------------------------------------------------------
Nursing Home -- 4.1%
---------------------------------------------------------------------------------------
NR NR $ 395 Michigan Hospital Finance Authority,
(Presbyterian Villages), 6.20%, 1/1/06 $ 427,189
---------------------------------------------------------------------------------------
$ 427,189
---------------------------------------------------------------------------------------
Senior Living / Life Care -- 3.0%
---------------------------------------------------------------------------------------
NR BBB $ 300 Kalamazoo, (Friendship Village), 6.125%,
5/15/17 $ 314,739
---------------------------------------------------------------------------------------
$ 314,739
---------------------------------------------------------------------------------------
Special Tax Revenue -- 16.1%
---------------------------------------------------------------------------------------
NR BBB+ $1,000 Battle Creek Downtown Development
Authority, 6.65%, 5/1/02 $ 1,072,420
NR A- 2,000 Detroit Downtown Development Authority
Tax Increment, 0.00%, 7/1/21 598,060
---------------------------------------------------------------------------------------
$ 1,670,480
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $9,640,542) $ 10,416,532
---------------------------------------------------------------------------------------
</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 March 31, 1999, 40.1% 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 insured by
financial institutions ranged from a low of 4.6% to a high of 16.0% of total
investments.
SEE NOTES TO FINANCIAL STATEMENTS
51
<PAGE>
NEW JERSEY LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS
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 -- 1.8%
---------------------------------------------------------------------------------------
NR NR $ 650 New Jersey EDA, (Chelsea at East
Brunswick), (AMT), 8.00%, 10/1/07 $ 712,693
---------------------------------------------------------------------------------------
$ 712,693
---------------------------------------------------------------------------------------
Cogeneration -- 9.3%
---------------------------------------------------------------------------------------
NR BBB- $2,150 New Jersey EDA, (Trigen-Trenton), (AMT),
6.10%, 12/1/05 $ 2,287,062
NR BB+ 735 New Jersey EDA, (Vineland Cogeneration),
(AMT), 7.875%, 6/1/19 793,602
NR NR 550 Port Authority of New York and New
Jersey, (KIAC), (AMT), 6.50%, 10/1/01 577,462
---------------------------------------------------------------------------------------
$ 3,658,126
---------------------------------------------------------------------------------------
Education -- 1.5%
---------------------------------------------------------------------------------------
Baa1 BBB $ 585 New Jersey Educational Facilities
Authority, (Georgian Court College),
4.80%, 7/1/08 $ 584,526
---------------------------------------------------------------------------------------
$ 584,526
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 4.9%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Elizabeth, (MBIA), Prerefunded to
11/15/00, 6.20%, 11/15/02 $ 530,480
NR NR 310 New Jersey EDA, (Cadbury Corp.),
Prerefunded to 7/1/01, 8.00%, 7/1/15 346,809
Aaa NR 2,030 New Jersey EDA, (Princeton Custodial
Receipts), Escrowed to Maturity, 0.00%,
12/15/12 1,066,765
---------------------------------------------------------------------------------------
$ 1,944,054
---------------------------------------------------------------------------------------
General Obligations -- 6.0%
---------------------------------------------------------------------------------------
Aa3 AA $ 500 Jersey City School District, 6.25%,
10/1/10 $ 577,155
Baa1 A 1,050 Puerto Rico, 0.00%, 7/1/08 697,589
Aa2 AA- 1,000 South Brunswick, 7.125%, 7/15/02 1,103,890
---------------------------------------------------------------------------------------
$ 2,378,634
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Hospital -- 8.1%
---------------------------------------------------------------------------------------
A3 A- $ 340 New Jersey Health Care Facilities
Financing Authority, (Atlantic City
Medical Care Center), 6.25%, 7/1/00 $ 351,631
A3 A- 1,000 New Jersey Health Care Facilities
Financing Authority, (Atlantic City
Medical Care Center), 6.45%, 7/1/02 1,074,120
A3 A- 750 New Jersey Health Care Facilities
Financing Authority, (Atlantic City
Medical Care Center), 6.55%, 7/1/03 818,348
Baa2 BBB 880 New Jersey Health Care Facilities
Financing Authority, (St. Elizabeth's
Hospital), 5.75%, 7/1/08 942,058
---------------------------------------------------------------------------------------
$ 3,186,157
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 7.0%
---------------------------------------------------------------------------------------
Aa3 NR $ 425 New Jersey EDA, (Economic Growth),
(AMT), 6.00%, 12/1/02 $ 440,772
NR NR 500 New Jersey EDA, (Holt Hauling), (AMT),
7.90%, 3/1/27 560,315
Baa3 BBB- 1,625 Port Authority of New York and New
Jersey, (Delta Airlines), 6.95%, 6/1/08 1,760,330
---------------------------------------------------------------------------------------
$ 2,761,417
---------------------------------------------------------------------------------------
Insured-Education -- 1.3%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 New Jersey Educational Facilities
Authority, (Seton Hall University),
(FGIC), 6.10%, 7/1/01 $ 527,585
---------------------------------------------------------------------------------------
$ 527,585
---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 2.7%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Middlesex County Utilities Authority,
(FGIC), 6.10%, 12/1/01 $ 1,065,620
---------------------------------------------------------------------------------------
$ 1,065,620
---------------------------------------------------------------------------------------
Insured-General Obligations -- 28.0%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Atlantic City Board of Education,
(AMBAC), 6.00%, 12/1/02 $ 1,079,020
Aaa AAA 1,175 Edison, (AMBAC), 4.70%, 1/1/04 1,217,136
Aaa AAA 1,200 Kearney, (FSA), 6.50%, 2/1/04 1,307,064
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
52
<PAGE>
NEW JERSEY LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS 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 $ 725 Monroe Township Board of Education,
(FGIC), 5.20%, 8/1/11 $ 770,117
Aaa AAA 825 Monroe Township Board of Education,
(FGIC), 5.20%, 8/1/14 869,195
Aaa AAA 850 Roselle, (MBIA), 4.65%, 10/15/03 881,467
Aaa AAA 1,000 South Brunswick Township Board of
Education, (FGIC), 6.40%, 8/1/03 1,103,460
Aaa AAA 2,000 Washington Township Board of Education,
(MBIA), 5.125%, 2/1/15 2,042,679
Aaa AAA 1,585 West Deptford Township, (AMBAC), 5.90%,
3/1/09 1,781,793
---------------------------------------------------------------------------------------
$ 11,051,931
---------------------------------------------------------------------------------------
Insured-Hospital -- 9.3%
---------------------------------------------------------------------------------------
Aaa AAA $1,300 New Jersey Health Care Facilities
Financing Authority, (AHS Hospital
Corp.), (AMBAC), 6.00%, 7/1/12 $ 1,465,854
Aaa AAA 1,910 New Jersey Health Care Facilities
Financing Authority, (Dover General
Hospital and Medical Center), (MBIA),
7.00%, 7/1/04 2,179,252
---------------------------------------------------------------------------------------
$ 3,645,106
---------------------------------------------------------------------------------------
Insured-Solid Waste -- 0.7%
---------------------------------------------------------------------------------------
Aaa AAA $ 250 Bergen County Utilities Authority, Solid
Waste System, (FGIC), 6.00%, 6/15/02 $ 267,253
---------------------------------------------------------------------------------------
$ 267,253
---------------------------------------------------------------------------------------
Insured-Transportation -- 7.8%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 New Jersey Turnpike Authority, (FSA),
5.90%, 1/1/03 $ 1,071,580
Aaa AAA 895 New Jersey Turnpike Authority, (FSA),
6.40%, 1/1/02 956,576
Aaa AAA 1,000 Port Authority of New York and New
Jersey, (AMBAC), 5.125%, 7/15/14 1,025,610
---------------------------------------------------------------------------------------
$ 3,053,766
---------------------------------------------------------------------------------------
Insured-Water and Sewer -- 1.7%
---------------------------------------------------------------------------------------
Aaa AAA $ 565 Pennsville Sewer Authority, (MBIA),
0.00%, 11/1/16 $ 240,583
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Insured-Water and Sewer (continued)
---------------------------------------------------------------------------------------
Aaa AAA $ 565 Pennsville Sewer Authority, (MBIA),
0.00%, 11/1/17 $ 227,932
Aaa AAA 565 Pennsville Sewer Authority, (MBIA),
0.00%, 11/1/18 215,412
---------------------------------------------------------------------------------------
$ 683,927
---------------------------------------------------------------------------------------
Solid Waste -- 2.1%
---------------------------------------------------------------------------------------
A1 AA- $ 500 Gloucester County Improvement Authority,
Solid Waste System, 5.40%, 9/1/00 $ 514,015
B1 NR 300 The Atlantic County Utilities Authority,
Solid Waste System, 7.00%, 3/1/08 299,622
---------------------------------------------------------------------------------------
$ 813,637
---------------------------------------------------------------------------------------
Transportation -- 7.8%
---------------------------------------------------------------------------------------
Aa2 NR $1,000 New Jersey Transportation Trust,
Variable Rate, 6.56%, 6/15/17(1)(2) $ 1,002,220
A1 AA- 1,000 Port Authority of New York and New
Jersey, 5.375%, 10/15/16 1,030,830
A1 AA- 1,000 Port Authority of New York and New
Jersey, 5.375%, 3/1/28 1,057,450
---------------------------------------------------------------------------------------
$ 3,090,500
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $36,941,483) $ 39,424,932
---------------------------------------------------------------------------------------
</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 March 31, 1999, 52.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from a low of 8.5% to a high of 16.7% of total
investments.
(1) Security has been issued as an inverse floater bond.
(2) Security exempt from registration under Rule 144A of the Securities Act of
1993. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
1999, the value of these securities amounted to $1,002,220 or 2.5% of the
Portfolio's net assets.
SEE NOTES TO FINANCIAL STATEMENTS
53
<PAGE>
NEW YORK LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS
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 $ 560 Glen Cove IDA, (Regency at Glen Cove),
9.50%, 7/1/99 $ 563,562
NR NR 500 Glen Cove IDA, (Regency at Glen Cove),
9.50%, 7/1/12 533,875
---------------------------------------------------------------------------------------
$ 1,097,437
---------------------------------------------------------------------------------------
Cogeneration -- 2.4%
---------------------------------------------------------------------------------------
NR NR $ 950 Port Authority of New York and New
Jersey, (KIAC), (AMT), 6.50%, 10/1/01 $ 997,434
NR NR 600 Suffolk County IDA, (Nissequogue
Cogeneration Partners Facility), (AMT),
5.50%, 1/1/23 603,144
---------------------------------------------------------------------------------------
$ 1,600,578
---------------------------------------------------------------------------------------
Education -- 0.3%
---------------------------------------------------------------------------------------
A3 A- $ 100 New York State Dormitory Authority,
(State University Educational
Facilities), 5.25%, 5/15/15 $ 104,148
A3 A- 105 New York State Dormitory Authority,
(State University Educational
Facilities), 5.25%, 5/15/19 107,963
---------------------------------------------------------------------------------------
$ 212,111
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 5.9%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 New York State Medical Care Facilities
Finance Agency, (New York State
Hospital), (AMBAC), Escrowed to
Maturity, 6.10%, 2/15/04 $ 1,094,160
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 2,778,950
---------------------------------------------------------------------------------------
$ 3,873,110
---------------------------------------------------------------------------------------
General Obligations -- 4.9%
---------------------------------------------------------------------------------------
A3 A- $ 750 New York City, 0.00%, 8/1/07 $ 518,033
A3 A- 1,000 New York City, 0.00%, 8/1/08 657,110
A3 A- 1,000 New York City, 0.00%, 8/1/08 657,110
A3 A- 1,285 New York City, 6.375%, 8/1/06 1,395,741
---------------------------------------------------------------------------------------
$ 3,227,994
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Hospital -- 4.9%
---------------------------------------------------------------------------------------
Baa1 BBB+ $2,000 New York State Dormitory Authority,
(Department of Health), 5.375%, 7/1/08 $ 2,124,080
Baa NR 1,000 New York State Dormitory Authority,
(Nyack Hospital), 6.00%, 7/1/06 1,081,430
---------------------------------------------------------------------------------------
$ 3,205,510
---------------------------------------------------------------------------------------
Hotel -- 0.7%
---------------------------------------------------------------------------------------
NR NR $1,210 Niagara County IDA, (Wintergarden Inn
Associates), 9.75%, 6/1/11(1) $ 484,000
---------------------------------------------------------------------------------------
$ 484,000
---------------------------------------------------------------------------------------
Housing -- 10.8%
---------------------------------------------------------------------------------------
Aa AA $3,870 New York City Housing Development Corp.,
MFMR, 5.625%, 5/1/12 $ 4,117,293
Aa2 NR 1,500 New York State Mortgage Agency Revenue,
(AMT), 6.45%, 10/1/21 1,627,830
Aa2 NR 1,300 New York State Mortgage Agency, (AMT),
5.20%, 10/1/08 1,349,647
---------------------------------------------------------------------------------------
$ 7,094,770
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 11.6%
---------------------------------------------------------------------------------------
NR NR $ 500 Chautauqua County IDA, (Womans Christian
Association), 6.35%, 11/15/17 $ 500,640
A3 A 2,000 New York City, (Terminal One Group),
6.00%, 1/1/07 2,156,560
Baa3 BBB- 2,875 Port Authority of New York and New
Jersey, (Delta Airlines), 6.95%, 6/1/08 3,114,430
Baa3 BBB- 1,700 Puerto Rico Port Authority, (American
Airlines), (AMT), 6.25%, 6/1/26 1,833,824
---------------------------------------------------------------------------------------
$ 7,605,454
---------------------------------------------------------------------------------------
Insured-Education -- 7.0%
---------------------------------------------------------------------------------------
Aaa AAA $2,250 Nassau County IDA, (Hofstra University),
(MBIA), 5.25%, 7/1/10 $ 2,396,498
Aaa AAA 1,075 New York State Dormitory Authority, (Mt.
Sinai School of Medicine), (MBIA),
6.75%, 7/1/09 1,165,365
Aaa AAA 500 New York State Dormitory Authority, (New
York University), (AMBAC), 5.75%,
7/1/12(2) 527,740
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
54
<PAGE>
NEW YORK LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS 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 (continued)
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Niagara County IDA, (Niagara
University), (AMBAC), 5.25%, 10/1/18 $ 510,615
---------------------------------------------------------------------------------------
$ 4,600,218
---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 8.0%
---------------------------------------------------------------------------------------
Aaa AAA $5,000 New York State Energy Research and
Development Authority, (Central Hudson
Gas), (FGIC), 7.375%, 10/1/14 $ 5,244,549
---------------------------------------------------------------------------------------
$ 5,244,549
---------------------------------------------------------------------------------------
Insured-General Obligations -- 2.1%
---------------------------------------------------------------------------------------
Aaa AAA $2,750 New York State Local Government
Assistance Corp., (MBIA), 0.00%, 4/1/13 $ 1,404,013
---------------------------------------------------------------------------------------
$ 1,404,013
---------------------------------------------------------------------------------------
Insured-Hospital -- 0.8%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 New York State Dormitory Authority,
(Methodist Hospital), (AMBAC), 5.00%,
7/1/10 $ 516,265
---------------------------------------------------------------------------------------
$ 516,265
---------------------------------------------------------------------------------------
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 $ 525,360
---------------------------------------------------------------------------------------
$ 525,360
---------------------------------------------------------------------------------------
Insured-Transportation -- 3.7%
---------------------------------------------------------------------------------------
Aaa AAA $2,240 Metropolitan Transportation Authority
for the City of New York, (FGIC), 5.70%,
7/1/10(3) $ 2,453,942
---------------------------------------------------------------------------------------
$ 2,453,942
---------------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 12.5%
---------------------------------------------------------------------------------------
Baa1 BBB+ $2,180 New York State Energy Research and
Development Authority, (Western NY
Nuclear Service Center), 6.00%, 4/1/06 $ 2,384,767
Baa1 A- 2,000 New York State HFA, 6.375%, 11/1/03(3) 2,186,540
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Lease Revenue /
Certificates of Participation (continued)
---------------------------------------------------------------------------------------
NR BBB $1,485 New York State Thruway Authority, 0.00%,
1/1/04 $ 1,216,675
Baa1 BBB+ 1,300 New York State Thruway Authority, 5.25%,
4/1/13 1,322,399
Baa1 BBB+ 1,000 New York State Urban Development Corp.,
(Youth Facilities), 5.75%, 4/1/10 1,084,890
---------------------------------------------------------------------------------------
$ 8,195,271
---------------------------------------------------------------------------------------
Senior Living / Life Care -- 0.8%
---------------------------------------------------------------------------------------
Baa3 BBB- $ 500 New York City, Health and Hospital
Corp., 5.25%, 2/15/17 $ 496,530
---------------------------------------------------------------------------------------
$ 496,530
---------------------------------------------------------------------------------------
Special Tax Revenue -- 7.1%
---------------------------------------------------------------------------------------
A3 A+ $4,500 New York State Local Government
Assistance Corp., 5.25%, 4/1/16 $ 4,682,925
---------------------------------------------------------------------------------------
$ 4,682,925
---------------------------------------------------------------------------------------
Transportation -- 6.6%
---------------------------------------------------------------------------------------
Baa1 BBB+ $1,000 Port Authority of New York and New
Jersey, (AMT), 5.75%, 4/1/16 $ 1,066,890
A1 AA- 3,000 Port Authority of New York and New
Jersey, (AMT), 6.00%, 7/1/14 3,257,490
---------------------------------------------------------------------------------------
$ 4,324,380
---------------------------------------------------------------------------------------
Water and Sewer -- 7.4%
---------------------------------------------------------------------------------------
A1 A $3,000 New York City Municipal Water Finance
Authority, 5.125%, 6/15/21 $ 2,968,380
A1 A 1,825 New York City Municipal Water Finance
Authority, 5.70%, 6/15/02 1,929,463
---------------------------------------------------------------------------------------
$ 4,897,843
---------------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $62,315,489) $ 65,742,260
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
55
<PAGE>
NEW YORK LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS CONT'D
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 March 31, 1999, 28.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from a low of 7.6% to a high of 11.7% of total
investments.
(1) Non-income producing security.
(2) When-issued security.
(3) Security (or a portion thereof) has been segregated to cover when-issued
securities.
SEE NOTES TO FINANCIAL STATEMENTS
56
<PAGE>
OHIO LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS
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>
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 5.9%
---------------------------------------------------------------------------------------
Aaa NR $ 240 Greene County IDA, (Fairview Extended
Care), Prerefunded to 1/1/01, 10.125%,
1/1/11 $ 271,229
Aa2 NR 1,000 Warren County, (Otterbein Homes),
Prerefunded to 7/1/01, 7.20%, 7/1/11 1,094,579
---------------------------------------------------------------------------------------
$ 1,365,808
---------------------------------------------------------------------------------------
General Obligations -- 14.0%
---------------------------------------------------------------------------------------
NR NR $ 300 Kings County Local School District,
7.60%, 12/1/10 $ 348,156
Aa3 NR 250 Oak Hills, 5.60%, 12/1/17 263,623
Aa1 AA+ 675 Ohio, 0.00%, 8/1/04 545,616
Aa1 AA+ 500 Ohio, 0.00%, 8/1/05 385,710
Aa1 AA+ 250 Ohio, 0.00%, 8/1/08 166,543
A3 NR 1,000 Wauseon School District, 7.25%, 12/1/10 1,082,900
NR NR 410 Youngstown County School District,
6.40%, 7/1/00 418,221
---------------------------------------------------------------------------------------
$ 3,210,769
---------------------------------------------------------------------------------------
Hospital -- 7.0%
---------------------------------------------------------------------------------------
A A $1,000 Erie County, (Firelands Community
Hospital), 6.75%, 1/1/08 $ 1,085,509
Baa2 BBB 250 Hamilton County Health System,
(Providence Hospital), 6.00%, 7/1/01 259,438
NR A- 250 Parma, Hospital Improvement Revenue,
(Parma Community General Hospital
Association), 5.25%, 11/1/13 252,475
---------------------------------------------------------------------------------------
$ 1,597,422
---------------------------------------------------------------------------------------
Housing -- 7.3%
---------------------------------------------------------------------------------------
NR AAA $1,000 Cuyahoga County, (National Terminal
Apts.), 6.40%, 7/1/16 $ 1,084,130
NR NR 295 Cuyahoga County, (Rolling Hills Apts.),
(AMT), 8.00%, 1/1/28 301,121
NR NR 290 Lucas County, (Country Creek), (AMT),
8.00%, 7/1/26 291,351
---------------------------------------------------------------------------------------
$ 1,676,602
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 13.6%
---------------------------------------------------------------------------------------
NR NR $ 500 Cuyahoga County, (Rock and Roll Hall of
Fame), 5.45%, 12/1/05 $ 524,920
NR NR 250 Cuyahoga County, (Rock and Roll Hall of
Fame), 5.85%, 12/1/08 268,713
NR BBB 500 Dayton, Special Facilities Revenue,
(Emery Airline Freight), 5.625%, 2/1/18 503,995
NR A- 1,020 Ohio Economic Development Commission,
(ABS Industries), (AMT), 6.00%, 6/1/04 1,078,823
NR A- 450 Ohio Economic Development Commission,
(Progress Plastics Products), (AMT),
6.80%, 12/1/01 465,521
NR NR 250 Ohio Solid Waste Revenue, (Republic
Engineered Steels, Inc.), (AMT), 9.00%,
6/1/21 267,725
---------------------------------------------------------------------------------------
$ 3,109,697
---------------------------------------------------------------------------------------
Insured-Education -- 4.4%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Ohio Public Facilities Commission,
(Higher Educational Facilities),
(AMBAC), 4.30%, 12/1/08 $ 1,001,040
---------------------------------------------------------------------------------------
$ 1,001,040
---------------------------------------------------------------------------------------
Insured-General Obligations -- 26.9%
---------------------------------------------------------------------------------------
Aaa NR $ 265 Clinton Massie Local School District,
(AMBAC), 0.00%, 12/1/11 $ 147,947
Aaa NR 265 Clinton Massie Local School District,
(MBIA), 0.00%, 12/1/09 165,283
Aaa AAA 225 Finneytown Local School District,
(FGIC), 6.15%, 12/1/11 261,716
Aaa AAA 500 Forest Hills Local School District,
(MBIA), 6.00%, 12/1/09 571,845
Aaa AAA 500 South-Western City School District,
Franklin and Pickway Counties, (AMBAC),
4.75%, 12/1/26 473,815
Aaa AAA 1,000 Southwest Licking School Facilities
Improvement, (FGIC), 7.10%, 12/1/16 1,173,549
Aaa AAA 500 Strongsville City School District,
(MBIA), 5.375%, 12/1/12 539,750
Aaa AAA 1,500 West Clermont School District, (AMBAC),
6.90%, 12/1/12 1,745,969
Aaa AAA 500 West Clermont School District, (AMBAC),
7.125%, 12/1/19 579,980
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
57
<PAGE>
OHIO LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS 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 $ 460 Wyoming, School District, (FGIC), 5.75%,
12/1/17 $ 508,332
---------------------------------------------------------------------------------------
$ 6,168,186
---------------------------------------------------------------------------------------
Insured-Hospital -- 3.5%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Cuyahoga County, (Metrohealth System),
(MBIA), 5.50%, 2/15/12 $ 539,030
NR AA 250 Knox County Hospital Facilities Revenue,
(Knox Community Hospital), (AGR), 5.00%,
6/1/12 253,968
---------------------------------------------------------------------------------------
$ 792,998
---------------------------------------------------------------------------------------
Insured-Industrial Development Revenue -- 2.5%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Akron Economic Development, (MBIA),
6.00%, 12/1/12 $ 569,035
---------------------------------------------------------------------------------------
$ 569,035
---------------------------------------------------------------------------------------
Insured-Lease Revenue /
Certificates of Participation -- 2.2%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Cleveland, (Cleveland Stadium), (AMBAC),
5.25%, 11/15/17 $ 509,145
---------------------------------------------------------------------------------------
$ 509,145
---------------------------------------------------------------------------------------
Insured-Transportation -- 2.3%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Cleveland Airport, (FSA), (AMT), 5.50%,
1/1/07 $ 536,260
---------------------------------------------------------------------------------------
$ 536,260
---------------------------------------------------------------------------------------
Insured-Water and Sewer -- 2.4%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Hamilton County Sewer System, (FGIC),
5.50%, 12/1/11 $ 546,575
---------------------------------------------------------------------------------------
$ 546,575
---------------------------------------------------------------------------------------
Nursing Home -- 3.6%
---------------------------------------------------------------------------------------
NR NR $ 600 Cuyahoga County HFA, (Benjamin Rose
Institute), 5.50%, 12/1/17 $ 597,870
NR NR 210 Fairfield EDA, (Beverly Enterprises),
8.50%, 1/1/03 223,558
---------------------------------------------------------------------------------------
$ 821,428
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Pooled Loans -- 0.9%
---------------------------------------------------------------------------------------
NR NR $ 200 Toledo Lucas County Port Authority
Development Revenue, (Northwest Ohio
Bond Fund), 5.10%, 5/15/12 $ 199,212
---------------------------------------------------------------------------------------
$ 199,212
---------------------------------------------------------------------------------------
Senior Living / Life Care -- 1.9%
---------------------------------------------------------------------------------------
NR NR $ 200 Ohio Housing Finance Agency, Retirement
Rental Housing, (Encore Retirement
Partners), 6.75%, 3/1/19 $ 200,414
NR NR 250 Summit County Healthcare Facilities
Revenue, (Village at Saint Edward),
5.75%, 12/1/25 243,660
---------------------------------------------------------------------------------------
$ 444,074
---------------------------------------------------------------------------------------
Special Tax Revenue -- 1.6%
---------------------------------------------------------------------------------------
NR NR $ 353 Columbus Special Assessment, 6.05%,
9/15/05 $ 367,241
---------------------------------------------------------------------------------------
$ 367,241
---------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $21,838,423) $ 22,915,492
---------------------------------------------------------------------------------------
</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 March 31, 1999, 44.2% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage insured by
financial institutions ranged from a low of 1.1% to a high of 19.5% of total
investments.
SEE NOTES TO FINANCIAL STATEMENTS
58
<PAGE>
PENNSYLVANIA LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS
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 -- 4.4%
---------------------------------------------------------------------------------------
NR NR $ 885 Chester County IDA, (Kimberton), 8.00%,
9/1/05 $ 956,322
NR NR 1,120 Delaware County IDA, (Glen Riddle),
(AMT), 8.125%, 9/1/05(1) 1,220,587
---------------------------------------------------------------------------------------
$ 2,176,909
---------------------------------------------------------------------------------------
Certificates of Participation -- 1.0%
---------------------------------------------------------------------------------------
NR NR $ 500 Cliff House Trust, (AMT), 6.625%, 6/1/27 $ 500,000
---------------------------------------------------------------------------------------
$ 500,000
---------------------------------------------------------------------------------------
Cogeneration -- 3.3%
---------------------------------------------------------------------------------------
NR BBB- $1,500 Pennsylvania EDA, (Resources
Recovery-Colver), (AMT), 7.05%,
12/1/10(1) $ 1,646,490
---------------------------------------------------------------------------------------
$ 1,646,490
---------------------------------------------------------------------------------------
Education -- 2.7%
---------------------------------------------------------------------------------------
Baa3 NR $ 740 Pennsylvania HEFA, (Delaware Valley
College of Science and Agriculture),
5.25%, 4/5/12 $ 734,124
NR BBB- 625 Pennsylvania HEFA, (Gwynedd-Mercy
College), 5.60%, 11/1/22 629,806
---------------------------------------------------------------------------------------
$ 1,363,930
---------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 9.9%
---------------------------------------------------------------------------------------
Aaa AAA $ 500 Harrisburg Authority, (FSA), Escrowed to
Maturity, 6.25%, 6/1/01 $ 527,940
Aaa AAA 1,500 Somerset County, General Authority,
(FGIC), Escrowed to Maturity, 6.50%,
10/15/01 1,606,230
NR NR 920 Virgin Islands Water and Power
Authority, Prerefunded to 7/1/01, 7.40%,
7/1/11 1,002,239
Aaa AAA 5,000 Westmoreland County, Municipal
Authority, (FGIC), Escrowed to Maturity,
0.00%, 8/15/19 1,795,850
---------------------------------------------------------------------------------------
$ 4,932,259
---------------------------------------------------------------------------------------
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
General Obligations -- 0.4%
---------------------------------------------------------------------------------------
Baa1 A $ 500 Puerto Rico, 0.00%, 7/1/16 $ 212,945
---------------------------------------------------------------------------------------
$ 212,945
---------------------------------------------------------------------------------------
Hospital -- 15.0%
---------------------------------------------------------------------------------------
NR BBB $1,000 Allentown, Area Hospital Authority,
(Sacred Heart Hospital), 6.50%, 11/15/08 $ 1,071,490
Baa3 BBB+ 650 Hazleton Health Services Authority, (St.
Joseph's Hospital), 5.85%, 7/1/06 690,417
A3 A 1,200 Lehigh County, General Purpose
Authority, (Muhlenberg Hospital), 5.75%,
7/15/10 1,315,500
NR BBB- 200 McKean County Hospital Authority,
(Bradford Hospital), 5.375%, 10/1/03 204,718
Caa1 B 1,000 Monroeville Hospital Authority, (Forbes
Health), 5.75%, 10/1/05 961,250
Baa2 NR 1,030 Montgomery County HEFA, (Montgomery
Hospital), 6.25%, 7/1/06 1,099,010
Baa1 NR 500 New Castle Area Hospital Authority, (St.
Francis Hospital of New Castle), 5.90%,
11/15/00 516,230
NR BBB 245 Northhampton County Hospital Authority,
(Easton Hospital), 6.90%, 1/1/02 254,342
NR A- 1,350 South Fork Municipal Authority, (Lee
Hospital), 5.50%, 7/1/11 1,364,445
---------------------------------------------------------------------------------------
$ 7,477,402
---------------------------------------------------------------------------------------
Housing -- 2.1%
---------------------------------------------------------------------------------------
Aa2 AA+ $1,000 Pennsylvania Housing Finance Agency,
Single Family, (AMT), 5.85%, 10/1/27 $ 1,046,380
---------------------------------------------------------------------------------------
$ 1,046,380
---------------------------------------------------------------------------------------
Industrial Development Revenue -- 2.5%
---------------------------------------------------------------------------------------
A3 BBB+ $1,200 Erie IDA, (International Paper), (AMT),
5.85%, 12/1/20 $ 1,238,340
---------------------------------------------------------------------------------------
$ 1,238,340
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
59
<PAGE>
PENNSYLVANIA LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS 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 -- 6.2%
---------------------------------------------------------------------------------------
Aaa AAA $2,000 Allegheny County, Higher Education
Building Authority, (Dusquesne
University), (AMBAC), 5.00%, 3/1/16 $ 2,003,480
NR AAA 700 Montgomery County HEFA, (Saint Joseph's
University), (CLEE), 6.00%, 12/15/02 752,087
Aaa AAA 300 Pennsylvania Public School Building
Authority, (Community College), (MBIA),
5.25%, 10/15/13 312,888
---------------------------------------------------------------------------------------
$ 3,068,455
---------------------------------------------------------------------------------------
Insured-Electric Utilities -- 9.7%
---------------------------------------------------------------------------------------
Aaa AAA $2,000 Cambria County IDA, (Pennsylvania
Electric Co.), (MBIA), 5.35%, 11/1/10 $ 2,153,020
Aaa AAA 2,500 Indiana County IDA, (Pennsylvania
Electric Co.), (MBIA), 5.35%, 11/1/10 2,691,275
---------------------------------------------------------------------------------------
$ 4,844,295
---------------------------------------------------------------------------------------
Insured-General Obligations -- 6.3%
---------------------------------------------------------------------------------------
Aaa NR $1,635 Harrisburg, (AMBAC), 0.00%, 9/15/12 $ 850,135
Aaa AAA 1,355 McKeesport, (FGIC), 0.00%, 10/1/11 760,453
Aaa AAA 1,000 Pennsylvania, (AMBAC), 5.00%, 11/15/15 1,010,220
Aaa AAA 500 Pleasant Valley School District, (FGIC),
5.00%, 9/1/10 528,760
---------------------------------------------------------------------------------------
$ 3,149,568
---------------------------------------------------------------------------------------
Insured-Hospital -- 12.4%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Allegheny County Hospital Development
Authority, (South Hills Health), (MBIA),
5.50%, 5/1/08 $ 1,080,020
Aaa AAA 1,000 Erie County Hospital Authority, (Hamot
Health System), (AMBAC), 7.10%, 2/15/10 1,081,890
NR AAA 1,030 Indiana County Hospital Authority,
(Indiana Hospital), (CLEE), 5.75%,
7/1/00 1,059,252
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
Insured-Hospital (continued)
---------------------------------------------------------------------------------------
NR AAA $ 825 Indiana County Hospital Authority,
(Indiana Hospital), (CLEE), 5.875%,
7/1/01 $ 863,437
Aaa AAA 2,050 Sayre Health Care Facilities Authority,
(Guthrie Medical Center), (AMBAC),
6.50%, 3/1/00 2,108,405
---------------------------------------------------------------------------------------
$ 6,193,004
---------------------------------------------------------------------------------------
Insured-Lease Revenue /
Certificates of Participation -- 2.1%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Northumberland County Authority, (MBIA),
6.50%, 10/15/01 $ 1,070,820
---------------------------------------------------------------------------------------
$ 1,070,820
---------------------------------------------------------------------------------------
Insured-Solid Waste -- 2.1%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Lancaster County, Solid Waste Management
Authority Resources Recovery System,
(AMBAC), 5.375%, 12/15/15 $ 1,035,090
---------------------------------------------------------------------------------------
$ 1,035,090
---------------------------------------------------------------------------------------
Insured-Special Tax Revenue -- 2.1%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Pennsylvania Intergovernmental
Cooperative Authority, (Philadelphia
Funding Program), (FGIC), 5.25%,
6/15/11(2) $ 1,047,830
---------------------------------------------------------------------------------------
$ 1,047,830
---------------------------------------------------------------------------------------
Insured-Transportation -- 7.7%
---------------------------------------------------------------------------------------
Aaa AAA $1,000 Allegheny County Airport Revenue,
(MBIA), 5.75%, 1/1/10 $ 1,089,940
Aaa AAA 590 Allegheny County Airport Revenue,
(MBIA), 5.75%, 1/1/12 643,826
Aaa AAA 1,000 Philadelphia Airport Revenue, (FGIC),
5.375%, 7/1/14 1,041,070
Aaa AAA 1,000 Southeastern Pennsylvania Transportation
Authority, (FGIC), 5.55%, 3/1/14 1,064,680
---------------------------------------------------------------------------------------
$ 3,839,516
---------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
60
<PAGE>
PENNSYLVANIA LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
----------- PRINCIPAL
AMOUNT
STANDARD (000'S
MOODY'S & POOR'S OMITTED) SECURITY VALUE
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Nursing Home -- 1.5%
---------------------------------------------------------------------------------------
NR NR $ 250 Chartiers Valley, Industrial and
Commercial Development Authority,
(Beverly Enterprises), 5.30%, 6/1/02 $ 253,930
NR NR 250 Chartiers Valley, Industrial and
Commercial Development Authority,
(Beverly Enterprises), 5.35%, 6/1/03 253,838
NR NR 250 Green County IDA, (Beverly Enterprises,
Inc.), 5.50%, 3/1/08 247,560
---------------------------------------------------------------------------------------
$ 755,328
---------------------------------------------------------------------------------------
Senior Living / Life Care -- 2.8%
---------------------------------------------------------------------------------------
NR NR $ 245 Delaware County Authority, (White Horse
Village), 6.30%, 7/1/03 $ 259,457
NR NR 505 Delaware County Authority, (White Horse
Village), 6.40%, 7/1/04 540,946
Baa2 BBB+ 590 Hazleton Health Services Authority,
(Hazleton General Hospital), 5.50%,
7/1/07 615,936
---------------------------------------------------------------------------------------
$ 1,416,339
---------------------------------------------------------------------------------------
Solid Waste -- 3.7%
---------------------------------------------------------------------------------------
Baa2 A- $ 500 Greater Lebanon Refuse Authority, 6.20%,
5/15/99 $ 501,800
Baa2 A- 500 Greater Lebanon Refuse Authority, 6.20%,
11/15/99 509,075
Baa2 A- 300 Greater Lebanon Refuse Authority, 6.40%,
5/15/00 309,081
Baa2 A- 500 Greater Lebanon Refuse Authority, 6.40%,
11/15/00 520,720
---------------------------------------------------------------------------------------
$ 1,840,676
---------------------------------------------------------------------------------------
Transportation -- 2.1%
---------------------------------------------------------------------------------------
Aa3 AA- $1,000 Southeastern Pennsylvania Transportation
Authority, 6.00%, 6/1/01 $ 1,050,130
---------------------------------------------------------------------------------------
$ 1,050,130
---------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $47,736,936) $ 49,905,706
---------------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Fedreral 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 March 31, 1999, 56.5% 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 insured by
financial institutions ranged from a low of 1.1% to a high of 18.1% of total
investments.
(1) Security (or a portion thereof) has been segregated to cover when-issued
securities.
(2) When-issued security.
SEE NOTES TO FINANCIAL STATEMENTS
61
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
AS OF MARCH 31, 1999
<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 $ 27,931,688 $ 8,361,603 $ 56,582,960 $47,451,800 $ 9,640,542
Unrealized appreciation 1,451,997 495,952 2,729,429 2,393,141 775,990
- --------------------------------------------------------------------------------------------------------------------
INVESTMENTS, AT VALUE $ 29,383,685 $ 8,857,555 $ 59,312,389 $49,844,941 $ 10,416,532
- --------------------------------------------------------------------------------------------------------------------
Cash $ 750 $ 117,488 $ 559 $ 1,014,263 $ 922
Interest receivable 406,394 123,403 1,163,596 687,100 211,306
- --------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 29,790,829 $ 9,098,446 $ 60,476,544 $51,546,304 $ 10,628,760
- --------------------------------------------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------------------------------------------
Payable for when-issued securities $ 883,572 $ -- $ 386,901 $ -- $ --
Demand note payable 227,000 -- 138,000 -- 13,000
Other accrued expenses 2,152 533 3,433 2,859 30
- --------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 1,112,724 $ 533 $ 528,334 $ 2,859 $ 13,030
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $ 28,678,105 $ 9,097,913 $ 59,948,210 $51,543,445 $ 10,615,730
- --------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions
and withdrawals $ 27,226,108 $ 8,601,961 $ 57,218,781 $49,150,304 $ 9,839,740
Net unrealized appreciation (computed on
the basis of identified cost) 1,451,997 495,952 2,729,429 2,393,141 775,990
- --------------------------------------------------------------------------------------------------------------------
TOTAL $ 28,678,105 $ 9,097,913 $ 59,948,210 $51,543,445 $ 10,615,730
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
62
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF ASSETS AND LIABILITIES
AS OF MARCH 31, 1999
<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 $ 36,941,483 $ 62,315,489 $ 21,838,423 $ 47,736,936
Unrealized appreciation 2,483,449 3,426,771 1,077,069 2,168,770
- ----------------------------------------------------------------------------------------------------
INVESTMENTS, AT VALUE $ 39,424,932 $ 65,742,260 $ 22,915,492 $ 49,905,706
- ----------------------------------------------------------------------------------------------------
Cash $ 2 $ 269 $ 658 $ 1,163,007
Interest receivable 562,003 1,196,373 366,745 747,368
Receivable for daily variation margin on
financial futures contracts -- -- -- 7,177
- ----------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 39,986,937 $ 66,938,902 $ 23,282,895 $ 51,823,258
- ----------------------------------------------------------------------------------------------------
Liabilities
- ----------------------------------------------------------------------------------------------------
Payable for investments purchased $ -- $ -- $ 200,652 $ --
Payable for when-issued securities -- 528,820 -- 1,050,005
Demand note payable 202,000 535,000 280,000 --
Other accrued expenses 4,246 2,329 1,390 2,561
- ----------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 206,246 $ 1,066,149 $ 482,042 $ 1,052,566
- ----------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $ 39,780,691 $ 65,872,753 $ 22,800,853 $ 50,770,692
- ----------------------------------------------------------------------------------------------------
Sources of Net Assets
- ----------------------------------------------------------------------------------------------------
Net proceeds from capital contributions
and withdrawals $ 37,297,242 $ 62,445,982 $ 21,723,784 $ 48,601,922
Net unrealized appreciation (computed on
the basis of identified cost) 2,483,449 3,426,771 1,077,069 2,168,770
- ----------------------------------------------------------------------------------------------------
TOTAL $ 39,780,691 $ 65,872,753 $ 22,800,853 $ 50,770,692
- ----------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
63
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1999
<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 $ 1,679,122 $507,449 $ 3,463,508 $2,808,095 $ 609,481
- ----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 1,679,122 $507,449 $ 3,463,508 $2,808,095 $ 609,481
- ----------------------------------------------------------------------------------------------------------------
Expenses
- ----------------------------------------------------------------------------------------------------------------
Investment adviser fee $ 145,652 $ 43,610 $ 301,844 $ 244,974 $ 51,653
Trustees fees and expenses 1,814 186 6,125 8,079 185
Legal and accounting services 19,363 17,262 22,562 22,463 17,362
Custodian fee 24,474 12,787 44,966 39,437 15,567
Bond pricing -- 4,546 -- -- --
Amortization of organization expenses 136 -- 378 354 --
Miscellaneous 7,316 480 11,530 7,341 6,029
- ----------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 198,755 $ 78,871 $ 387,405 $ 322,648 $ 90,796
- ----------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 4,392 $ 2,917 $ 12,287 $ 17,586 $ 3,575
Reduction of investment adviser fee -- 21,626 -- -- --
- ----------------------------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 4,392 $ 24,543 $ 12,287 $ 17,586 $ 3,575
- ----------------------------------------------------------------------------------------------------------------
NET EXPENSES $ 194,363 $ 54,328 $ 375,118 $ 305,062 $ 87,221
- ----------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 1,484,759 $453,121 $ 3,088,390 $2,503,033 $ 522,260
- ----------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- ----------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 508,612 $ 49,350 $ 848,816 $ 732,983 $ 169,914
Financial futures contracts (130,540) (29,661) (208,377) (284,350) (53,859)
- ----------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN $ 378,072 $ 19,689 $ 640,439 $ 448,633 $ 116,055
- ----------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $ (263,755) $ 13,577 $ (716,010) $ (473,609) $ (183,643)
Financial futures contracts (209) 3,630 11,838 15,948 2,436
- ----------------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) $ (263,964) $ 17,207 $ (704,172) $ (457,661) $ (181,207)
- ----------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) $ 114,108 $ 36,896 $ (63,733) $ (9,028) $ (65,152)
- ----------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 1,598,867 $490,017 $ 3,024,657 $2,494,005 $ 457,108
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
64
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
NEW JERSEY NEW YORK OHIO PENNSYLVANIA
LIMITED LIMITED LIMITED LIMITED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Investment Income
- -------------------------------------------------------------------------------------------------
Interest $ 2,292,343 $ 3,689,798 $ 1,291,008 $2,910,538
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 2,292,343 $ 3,689,798 $ 1,291,008 $2,910,538
- -------------------------------------------------------------------------------------------------
Expenses
- -------------------------------------------------------------------------------------------------
Investment adviser fee $ 196,075 $ 319,237 $ 109,528 $ 248,326
Trustees fees and expenses 2,292 8,079 229 8,080
Legal and accounting services 22,461 22,606 17,168 22,466
Custodian fee 28,180 32,874 20,899 36,372
Amortization of organization expenses 105 219 -- 240
Miscellaneous 14,628 23,713 8,898 15,678
- -------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 263,741 $ 406,728 $ 156,722 $ 331,162
- -------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ -- $ -- $ 5,946 $ 10,902
- -------------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ -- $ -- $ 5,946 $ 10,902
- -------------------------------------------------------------------------------------------------
NET EXPENSES $ 263,741 $ 406,728 $ 150,776 $ 320,260
- -------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 2,028,602 $ 3,283,070 $ 1,140,232 $2,590,278
- -------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- -------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 302,337 $ 654,504 $ 126,261 $ 722,466
Financial futures contracts (135,039) (287,095) (100,635) (166,778)
- -------------------------------------------------------------------------------------------------
NET REALIZED GAIN $ 167,298 $ 367,409 $ 25,626 $ 555,688
- -------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $ (313,608) $ (30,963) $ (85,291) $ (771,207)
Financial futures contracts 10,457 17,434 3,457 (3,369)
- -------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) $ (303,151) $ (13,529) $ (81,834) $ (774,576)
- -------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) $ (135,853) $ 353,880 $ (56,208) $ (218,888)
- -------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 1,892,749 $ 3,636,950 $ 1,084,024 $2,371,390
- -------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
65
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
CALIFORNIA CONNECTICUT FLORIDA MASSACHUSETTS MICHIGAN
LIMITED LIMITED LIMITED LIMITED LIMITED
Increase (Decrease) in Net Assets PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 1,484,759 $ 453,121 $ 3,088,390 $ 2,503,033 $ 522,260
Net realized gain 378,072 19,689 640,439 448,633 116,055
Net change in unrealized appreciation
(depreciation) (263,964) 17,207 (704,172) (457,661) (181,207)
- ----------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 1,598,867 $ 490,017 $ 3,024,657 $ 2,494,005 $ 457,108
- ----------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 4,228,958 $ 1,959,442 $ 7,572,648 $ 10,696,524 $ 1,993,253
Withdrawals (11,447,139) (3,186,038) (22,890,275) (18,230,235) (3,931,845)
- ----------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM CAPITAL
TRANSACTIONS $ (7,218,181) $ (1,226,596) $ (15,317,627) $ (7,533,711) $ (1,938,592)
- ----------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $ (5,619,314) $ (736,579) $ (12,292,970) $ (5,039,706) $ (1,481,484)
- ----------------------------------------------------------------------------------------------------------------------
Net Assets
- ----------------------------------------------------------------------------------------------------------------------
At beginning of year $ 34,297,419 $ 9,834,492 $ 72,241,180 $ 56,583,151 $ 12,097,214
- ----------------------------------------------------------------------------------------------------------------------
AT END OF YEAR $ 28,678,105 $ 9,097,913 $ 59,948,210 $ 51,543,445 $ 10,615,730
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
66
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED MARCH 31, 1999
<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 $ 2,028,602 $ 3,283,070 $ 1,140,232 $ 2,590,278
Net realized gain 167,298 367,409 25,626 555,688
Net change in unrealized appreciation
(depreciation) (303,151) (13,529) (81,834) (774,576)
- ------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 1,892,749 $ 3,636,950 $ 1,084,024 $ 2,371,390
- ------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 6,467,196 $ 10,991,896 $ 4,003,683 $ 7,028,085
Withdrawals (14,119,117) (23,447,532) (6,502,512) (16,336,396)
- ------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM CAPITAL
TRANSACTIONS $ (7,651,921) $ (12,455,636) $ (2,498,829) $ (9,308,311)
- ------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $ (5,759,172) $ (8,818,686) $ (1,414,805) $ (6,936,921)
- ------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------
At beginning of year $ 45,539,863 $ 74,691,439 $ 24,215,658 $ 57,707,613
- ------------------------------------------------------------------------------------------------------
AT END OF YEAR $ 39,780,691 $ 65,872,753 $ 22,800,853 $ 50,770,692
- ------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
67
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
CALIFORNIA CONNECTICUT FLORIDA MASSACHUSETTS MICHIGAN
LIMITED LIMITED LIMITED LIMITED LIMITED
Increase (Decrease) in 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) $ (2,439,475) $ (20,668,012) $ (13,386,785) $ (2,899,218)
- ----------------------------------------------------------------------------------------------------------------------
Net Assets
- ----------------------------------------------------------------------------------------------------------------------
At beginning of year $ 43,194,441 $ 12,273,967 $ 92,909,192 $ 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
68
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED MARCH 31, 1999
<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
69
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
CALIFORNIA LIMITED PORTFOLIO
------------------------------------------------------------------------
YEAR ENDED MARCH 31,
------------------------------------------------------------------------
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.62% 0.61% 0.63% 0.58% 0.53%
Expenses after custodian fee reduction 0.61% 0.59% 0.61% 0.55% --
Net investment income 4.67% 4.86% 4.98% 4.82% 4.72%
Portfolio Turnover 29% 40% 57% 36% 56%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S OMITTED) $28,678 $34,297 $43,194 $59,216 $82,344
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) 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 ratio for the year ended March 31, 1995 has not been adjusted
to reflect this change.
SEE NOTES TO FINANCIAL STATEMENTS
70
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
CONNECTICUT LIMITED PORTFOLIO
------------------------------------------------------------------------
YEAR ENDED MARCH 31,
------------------------------------------------------------------------
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- ------------------------------------------------------------------------------------------------------------------
Net expenses(1) 0.60% 0.54% 0.54% 0.39% 0.17%
Net expenses after custodian fee
reduction 0.57% 0.52% 0.50% 0.35% --
Net investment income 4.79% 4.96% 5.09% 4.91% 4.95%
Portfolio Turnover 5% 23% 46% 52% 73%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S OMITTED) $9,098 $9,834 $12,274 $14,862 $17,316
- ------------------------------------------------------------------------------------------------------------------
+ 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(1) 0.83% 0.77% 0.78% 0.72% 0.67%
Expenses after custodian fee reduction 0.80% 0.75% 0.74% 0.68% --
Net investment income 4.56% 4.73% 4.85% 4.58% 4.45%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) 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 the year ended March 31, 1995 have not been adjusted
to reflect this change.
SEE NOTES TO FINANCIAL STATEMENTS
71
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
FLORIDA LIMITED PORTFOLIO
------------------------------------------------------------------------
YEAR ENDED MARCH 31,
------------------------------------------------------------------------
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.59% 0.58% 0.59% 0.55% 0.52%
Expenses after custodian fee reduction 0.57% 0.55% 0.57% 0.54% --
Net investment income 4.68% 4.90% 4.90% 4.73% 4.73%
Portfolio Turnover 16% 38% 66% 20% 44%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S OMITTED) $59,948 $72,241 $92,909 $127,835 $164,579
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) 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 ratio for the year ended March 31, 1995 has not been adjusted
to reflect this change.
SEE NOTES TO FINANCIAL STATEMENTS
72
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
MASSACHUSETTS LIMITED PORTFOLIO
------------------------------------------------------------------------
YEAR ENDED MARCH 31,
------------------------------------------------------------------------
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.60% 0.60% 0.60% 0.57% 0.54%
Expenses after custodian fee reduction 0.57% 0.56% 0.58% 0.55% --
Net investment income 4.67% 4.90% 4.97% 4.72% 4.90%
Portfolio Turnover 19% 46% 60% 27% 46%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S OMITTED) $51,543 $56,583 $69,970 $97,135 $119,120
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) 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 ratio for the year ended March 31, 1995 has not been adjusted
to reflect this change.
SEE NOTES TO FINANCIAL STATEMENTS
73
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
MICHIGAN LIMITED PORTFOLIO
------------------------------------------------------------------------
YEAR ENDED MARCH 31,
------------------------------------------------------------------------
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- ------------------------------------------------------------------------------------------------------------------
Net expenses(1) 0.82% 0.71% 0.79% 0.68% 0.48%
Net expenses after custodian fee
reduction 0.79% 0.67% 0.76% 0.64% --
Net investment income 4.72% 5.00% 5.09% 5.00% 4.88%
Portfolio Turnover 16% 21% 28% 40% 111%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S OMITTED) $10,616 $12,097 $14,996 $21,191 $33,198
- ------------------------------------------------------------------------------------------------------------------
+ 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(1) 0.59%
Net investment income 4.77%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) 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 the year ended March 31, 1995 have not been adjusted
to reflect this change.
SEE NOTES TO FINANCIAL STATEMENTS
74
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
NEW JERSEY LIMITED PORTFOLIO
------------------------------------------------------------------------
YEAR ENDED MARCH 31,
------------------------------------------------------------------------
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.62% 0.62% 0.61% 0.57% 0.54%
Expenses after custodian fee reduction 0.62% 0.61% 0.58% 0.55% --
Net investment income 4.78% 4.91% 4.96% 4.78% 4.73%
Portfolio Turnover 13% 21% 37% 42% 44%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S OMITTED) $39,781 $45,540 $58,266 $80,173 $97,280
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) 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 ratio for the year ended March 31, 1995 has not been adjusted
to reflect this change.
SEE NOTES TO FINANCIAL STATEMENTS
75
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
NEW YORK LIMITED PORTFOLIO
------------------------------------------------------------------------
YEAR ENDED MARCH 31,
------------------------------------------------------------------------
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.59% 0.61% 0.58% 0.55% 0.52%
Expenses after custodian fee reduction 0.59% 0.59% 0.56% 0.53% --
Net investment income 4.74% 4.81% 4.87% 4.66% 4.79%
Portfolio Turnover 17% 53% 58% 32% 31%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S OMITTED) $65,873 $74,691 $100,014 $138,728 $173,632
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) 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 ratio for the year ended March 31, 1995 has not been adjusted
to reflect this change.
SEE NOTES TO FINANCIAL STATEMENTS
76
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
OHIO LIMITED PORTFOLIO
------------------------------------------------------------------------
YEAR ENDED MARCH 31,
------------------------------------------------------------------------
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- ------------------------------------------------------------------------------------------------------------------
Net expenses(1) 0.67% 0.64% 0.68% 0.63% 0.46%
Net expenses after custodian fee
reduction 0.64% 0.64% 0.65% 0.61% --
Net investment income 4.85% 5.05% 5.20% 5.06% 4.96%
Portfolio Turnover 19% 29% 34% 47% 120%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S OMITTED) $22,801 $24,216 $28,470 $33,529 $39,435
- ------------------------------------------------------------------------------------------------------------------
+ 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:
Expenses(1) 0.58%
Net investment income 4.84%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) 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 ratio for the year ended March 31, 1995 has not been adjusted
to reflect this change.
SEE NOTES TO FINANCIAL STATEMENTS
77
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
PENNSYLVANIA LIMITED PORTFOLIO
------------------------------------------------------------------------
YEAR ENDED MARCH 31,
------------------------------------------------------------------------
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.62% 0.60% 0.61% 0.58% 0.53%
Expenses after custodian fee reduction 0.60% 0.58% 0.59% 0.56% --
Net investment income 4.83% 5.03% 5.11% 4.81% 4.77%
Portfolio Turnover 16% 36% 51% 24% 39%
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S OMITTED) $50,771 $57,708 $67,876 $92,194 $113,606
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) 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 ratio for the year ended March 31, 1995 has not been adjusted
to reflect this change.
SEE NOTES TO FINANCIAL STATEMENTS
78
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
NOTES TO FINANCIAL STATEMENTS
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
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.
79
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
NOTES TO FINANCIAL STATEMENTS CONT'D
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.
2 Investment Adviser Fee and Other Transactions with Affiliates
- -------------------------------------------
The investment adviser fee is earned by Boston Management and Research (BMR),
a wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation
for management and investment advisory services rendered to each Portfolio.
The fee is based upon a percentage of average daily net assets plus a
percentage of gross income (i.e., income other than gains from the sale of
securities). For the year ended March 31, 1999, each Portfolio paid advisory
fees as follows:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT EFFECTIVE RATE*
<S> <C> <C>
- ---------------------------------------------------------------------
California Limited $ 145,652 0.46%
Connecticut Limited $ 43,610 0.46%
Florida Limited $ 301,844 0.46%
Massachusetts Limited $ 244,974 0.46%
Michigan Limited $ 51,653 0.47%
New Jersey Limited $ 196,075 0.46%
New York Limited $ 319,237 0.46%
Ohio Limited $ 109,528 0.47%
Pennsylvania Limited $ 248,326 0.46%
</TABLE>
* As a percentage of average daily net assets.
To enhance the net income of the Connecticut Limited Portfolio, BMR made a
reduction of its fee in the amount of $21,626.
Except as to Trustees of the Portfolios who are not members of EVM's or BMR's
organization, officers and Trustees receive remuneration for their services
to the Portfolios out of such investment adviser fee. Trustees of the
Portfolios that are not affiliated with the Investment Adviser may elect to
defer receipt of all or a percentage of their annual fees in accordance with
the terms of the Trustees Deferred Compensation Plan. For the year ended
March 31, 1999, no significant amounts have been deferred.
Certain of the officers and one Trustee 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 year ended March 31, 1999 were as follows:
<TABLE>
<CAPTION>
CALIFORNIA LIMITED PORTFOLIO CONNECTICUT LIMITED PORTFOLIO
<S> <C> <C>
- ----------------------------------------------------------------------------------------
Purchases $ 9,214,224 $ 464,365
Sales 13,658,473 1,303,628
<CAPTION>
FLORIDA LIMITED PORTFOLIO MASSACHUSETTS LIMITED PORTFOLIO
<S> <C> <C>
- ----------------------------------------------------------------------------------------
Purchases $ 10,356,183 $ 10,233,856
Sales 22,776,891 16,444,858
<CAPTION>
MICHIGAN LIMITED PORTFOLIO NEW JERSEY LIMITED PORTFOLIO
<S> <C> <C>
- ----------------------------------------------------------------------------------------
Purchases $ 1,766,466 $ 5,272,918
Sales 3,497,701 10,750,504
<CAPTION>
NEW YORK LIMITED PORTFOLIO OHIO LIMITED PORTFOLIO
<S> <C> <C>
- ----------------------------------------------------------------------------------------
Purchases $ 12,014,567 $ 4,313,016
Sales 21,758,268 4,816,807
<CAPTION>
PENNSYLVANIA LIMITED PORTFOLIO
<S> <C> <C>
- -----------------------------------------------------
Purchases $ 8,691,342
Sales 15,149,837
</TABLE>
4 Federal Income Tax Basis of Investments
- -------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at March 31, 1999, as computed on a
federal income tax basis, are as follows:
<TABLE>
<CAPTION>
CALIFORNIA CONNECTICUT
LIMITED PORTFOLIO LIMITED PORTFOLIO
<S> <C> <C>
- -----------------------------------------------------------------------
AGGREGATE COST $ 27,931,688 $ 8,361,603
- -----------------------------------------------------------------------
Gross unrealized appreciation $ 1,464,257 $ 496,289
Gross unrealized depreciation (12,260) (337)
- -----------------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 1,451,997 $ 495,952
- -----------------------------------------------------------------------
</TABLE>
80
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
NOTES TO FINANCIAL STATEMENTS CONT'D
<TABLE>
<CAPTION>
FLORIDA MASSACHUSETTS
LIMITED PORTFOLIO LIMITED PORTFOLIO
- -----------------------------------------------------------------------
<S> <C> <C>
AGGREGATE COST $ 56,582,960 $ 47,451,800
- -----------------------------------------------------------------------
Gross unrealized appreciation $ 2,753,436 $ 2,441,970
Gross unrealized depreciation (24,007) (48,829)
- -----------------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 2,729,429 $ 2,393,141
- -----------------------------------------------------------------------
<CAPTION>
MICHIGAN NEW JERSEY
LIMITED PORTFOLIO LIMITED PORTFOLIO
<S> <C> <C>
- -----------------------------------------------------------------------
AGGREGATE COST $ 9,640,542 $ 36,941,483
- -----------------------------------------------------------------------
Gross unrealized appreciation $ 796,029 $ 2,518,767
Gross unrealized depreciation (20,039) (35,318)
- -----------------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 775,990 $ 2,483,449
- -----------------------------------------------------------------------
<CAPTION>
NEW YORK OHIO
LIMITED PORTFOLIO LIMITED PORTFOLIO
<S> <C> <C>
- -----------------------------------------------------------------------
AGGREGATE COST $ 62,315,489 $ 21,838,423
- -----------------------------------------------------------------------
Gross unrealized appreciation $ 3,440,520 $ 1,086,496
Gross unrealized depreciation (13,749) (9,427)
- -----------------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 3,426,771 $ 1,077,069
- -----------------------------------------------------------------------
<CAPTION>
PENNSYLVANIA
LIMITED PORTFOLIO
<S> <C> <C>
- --------------------------------------------------
AGGREGATE COST $ 47,736,936
- --------------------------------------------------
Gross unrealized appreciation $ 2,231,709
Gross unrealized depreciation (62,939)
- --------------------------------------------------
NET UNREALIZED APPRECIATION $ 2,168,770
- --------------------------------------------------
</TABLE>
5 Line of Credit
- -------------------------------------------
The Portfolios participate with other portfolios and funds managed by BMR and
EVM and its affiliates in a $130 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 March 31, 1999, the California
Limited Portfolio, Florida Limited Portfolio, Michigan Limited Portfolio, New
Jersey Limited Portfolio, New York Limited Portfolio and Ohio Limited
Portfolio, had balances outstanding pursuant to this line of credit of
$227,000, $138,000, $13,000, $202,000, $535,000, and $280,000, respectively.
The Portfolios did not have any significant borrowings or allocated fees
during the year ended March 31, 1999.
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.
At March 31, 1999 there were no outstanding obligations under these financial
instruments.
81
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF MARCH 31, 1999
INDEPENDENT AUDITORS' REPORT
TO THE TRUSTEES AND INVESTORS OF
CALIFORNIA LIMITED MATURITY MUNICIPALS PORTFOLIO
CONNECTICUT LIMITED MATURITY MUNICIPALS PORTFOLIO
FLORIDA LIMITED MATURITY MUNICIPALS PORTFOLIO
MASSACHUSETTS LIMITED MATURITY MUNICIPALS PORTFOLIO
MICHIGAN LIMITED MATURITY MUNICIPALS PORTFOLIO
NEW JERSEY LIMITED MATURITY MUNICIPALS PORTFOLIO
NEW YORK LIMITED MATURITY MUNICIPALS PORTFOLIO
OHIO LIMITED MATURITY MUNICIPALS PORTFOLIO
PENNSYLVANIA LIMITED MATURITY MUNICIPALS PORTFOLIO:
- --------------------------------------------------
We have audited the accompanying statements of assets and liabilities of
California Limited Maturity Municipals Portfolio, Connecticut Limited Maturity
Municipals Portfolio, Florida Limited Maturity Municipals Portfolio,
Massachusetts Limited Maturity Municipals Portfolio, Michigan Limited Maturity
Municipals Portfolio, New Jersey Limited Maturity Municipals Portfolio, New York
Limited Maturity Municipals Portfolio, Ohio Limited Maturity Municipals
Portfolio, and Pennsylvania Limited Maturity Municipals Portfolio, (the
Portfolios) as of March 31, 1999, the related statements of operations for the
year then ended, and the statements of changes in net assets for the years ended
March 31, 1999, and 1998 and the supplementary data for each of the years in the
five year period ended March 31, 1999. These financial statements and
supplementary data are the responsibility of each Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
supplementary data based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and supplementary
data are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at March
31, 1999 by correspondence with the custodian and brokers; where replies were
not received from brokers, we performed other auditing procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and supplementary data present fairly,
in all material respects, the financial position of aforementioned Portfolios,
as of March 31, 1999, the results of their operations, the changes in their net
assets and their supplementary data for the respective stated periods in
conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
April 30, 1999
82
<PAGE>
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, Massachusetts, Michigan,
New Jersey, New York and Ohio Limited
Maturity Municipals Portfolios
Cynthia J. Clemson
Vice President and Portfolio Manager of
California and Florida Limited Maturity
Municipals Portfolios
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
Jessica M. Bibliowicz
President and Chief Executive Officer,
National Financial Partners
Donald R. Dwight
President, Dwight Partners, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking
Emeritus, Harvard University Graduate School
of Business Administration
Norton H. Reamer
Chairman and Chief Executive Officer,
United Asset Management Corporation
Lynn A. Stout
Professor of Law,
Georgetown University Law Center
John L. Thorndike
Former Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
