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Previous: OHIO LIMITED MATURITY MUNICIPALS PORTFOLIO, N-30D, 1996-11-26 |
Next: CONRAIL INC, SC 14D9/A, 1996-11-26 |
Limited Maturity California, Connecticut, Florida, Massachusetts, Michigan,
New Jersey, New York, Ohio and Pennsylvania Municipals Funds:
[LOGO]
Semi-Annual Shareholder Report
September 30, 1996
<TABLE>
<CAPTION>
California Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration - 3.0%
NR BBB- $1,500 Central Valley Finance
Authority, Carson Ice
Project, 5.20%, 7/1/99 $1,510,155
--------------
Education - 7.4%
Aaa AAA $1,500 California Educational
Facilities Authority, Stanford
University, 5.90%, 11/1/03 $2,112,820
Aaa AAA 2,000 California Educational
Facilities Authority,
California Institute of
Technology, 6.375%, 1/1/08 1,586,250
--------------
$3,699,070
--------------
Escrowed/Prerefunded - 21.8%
A1 AA- $2,400 California Health Facilities,
Sisters of Providence,
Prerefunded to 10/1/00,
7.50%, 10/1/10 $2,700,720
Aaa AAA 1,000 California State Public
Works Board, Department
of Corrections, Prerefunded
to 9/1/01, 6.50%, 9/1/19 1,103,270
Aa AA 1,500 Los Angeles Department of
Airports, Prerefunded to
5/1/97, 7.40%, 5/1/10 1,562,070
Aaa AAA 1,925 Moulton Niguel, California,
Water District, (AMBAC),
Prerefunded to 4/1/00,
7.30%, 4/1/12 2,137,058
NR AAA 3,000 San Bernadino, California,
Certificates of Participation,
Prerefunded to 8/1/01,
7.00%, 8/1/28 (2) 3,370,350
--------------
$10,873,468
--------------
Electric Utility - 6.3%
A2 A+ $1,000 California Pollution
Control Financing
Authority, Southern
California Edison
Company, Series D,
6.85%, 12/1/08 $1,074,590
A2 A 2,000 California Pollution
Control Financing
Authority, San Diego Gas
& Electric, 5.90%, 6/1/14 2,059,740
--------------
$3,134,330
--------------
General Obligations - 3.7%
Aa AA- $1,000 Palos Verdes CA, Library
District, 6.70%, 8/1/11 $1,061,690
Baa1 A 750 Commonwealth of
Puerto Rico, 6.35%, 7/1/10 794,610
--------------
$1,856,300
--------------
Housing - 2.1%
Aa A+ $1,000 Department of Veterans
Affairs of the State of
California, Home Purchase
Revenue Bonds, (AMT),
7.50%, 8/1/98 $1,035,180
--------------
Insured Electric Utility - 5.2%
Aaa AAA $1,500 Sacramento Municipal
Utility District, (AMBAC),
5.60%, 8/15/16 $1,489,230
Aaa AAA 1,000 Sacramento Municipal
Utility District, (MBIA),
6.20%, 8/15/05 1,077,380
--------------
$2,566,610
--------------
Insured General Obligation - 4.0%
Aaa AAA $2,000 Mt. Diablo, CA School
District (AMBAC),
5.70%, 8/1/14 $1,997,600
--------------
Insured Hospital Revenue - 18.5%
Aaa AAA $1,750 ABAG Finance Authority,
Certificates of Participation,
Stanford University Hospital,
(MBIA), 4.90%, 11/1/03 $1,743,718
Aaa AAA 1,000 ABAG Finance Authority,
Certificates of Participation,
Stanford University Hospital,
(MBIA), 5.125%, 11/1/05 997,440
Aaa AAA 3,750 Loma Linda, CA, Hospital
Revenue, (MBIA),
5.00%, 12/1/13 3,480,225
Aaa AAA 3,250 California Health Facilities
Financing Authority,
(Catholic Health West),
(AMBAC), 5.00%, 7/1/14 3,028,707
--------------
$9,250,090
--------------
Insured Lease Revenue/
Certificates of Participation - 5.2%
Aaa AAA $1,355 California State Public
Works Board - Department
of Corrections, (AMBAC),
5.25%, 12/1/13 $1,301,572
Aaa AAA 1,250 Merced County, California,
CSAC Lease Finance
Program, Certificates of
Participation, (FSA),
5.60%, 10/1/01 1,301,812
--------------
$2,603,384
--------------
Insured Special
Tax Revenue - 2.5%
Aaa AAA $1,250 Los Angeles Metropolitan
Transportation Authority
Sales Tax, (AMBAC),
5.70%, 7/1/12 $1,253,850
--------------
Insured Transportation - 3.8%
Aaa AAA $1,905 Los Angeles Department of
Airports, (Los Angeles
International Airport),
(FGIC), (AMT),
5.625%, 5/15/12 $1,878,597
--------------
Lease Revenue/
Certificate of Participation - 2.0%
A A $1,920 San Bernadino Joint Power
Finance Authority Lease
Revenue Bonds,
5.40%, 12/1/08 $976,420
--------------
Nursing Homes - 4.0%
NR A+ $2,000 California Statewide
Communities Development
Corporation, (Pacific
Homes), 5.90%, 4/1/09 $2,003,940
--------------
Special Tax Revenue - 4.1%
Aa AA $2,000 Orange County Local
Transportation Authority,
Sales Tax Revenue Bonds,
5.70%, 2/15/03 $2,070,981
--------------
Transportation - 2.1%
A1 NR $1,000 Contra Costa, California,
Transportation Authority,
6.40%, 3/1/01 $1,073,130
--------------
Water & Sewer Revenue - 4.3%
A1 A $2,000 The City of Los Angeles
Wastewater System,
6.90%, 6/1/08 (1) $2,154,480
--------------
Total Tax-Exempt
Investments (identified
cost, $48,626,770) $49,937,585
==============
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by California municipalities.
The ability of the issuers of the debt securities to meet their obligations may be
affected by economic developments in a specific industry or municipality. In order
to reduce the risk associated with such economic developments, at September 30, 1996,
39.2% of the securities in the portfolio of investments are backed by bond insurance
of various financial institutions and financial guaranty assurance agencies. The
aggregate percentage by financial institution range from 2.6% to 22.4% of total
investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Connecticut Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education - 11.1%
NR BBB- $500 State of Connecticut
HEFA, Quinnipiac College,
6.00%, 7/1/13 $478,580
NR BBB- 285 State of Connecticut
HEFA, University of
New Haven, 6.00% 7/1/06 283,723
Baa1 BBB+ 750 State of Connecticut
HEFA, Fairfield University,
6.90%, 7/1/14 (1) 782,438
--------------
$1,544,741
--------------
Electric Revenue - 3.9%
Baa1 A- $500 Puerto Rico Electric
Power Authority,
7.125%, 7/1/14 $535,690
--------------
Escrowed/Prerefunded - 4.0%
Aaa AAA $500 South Central Connecticut
Regional Water Authority,
(AMBAC), Prerefunded to
8/1/01, 6.50%, 8/1/07 $548,695
--------------
General Obligations - 14.0%
Aa AA $500 Brandford, Connecticut,
5.40%, 2/15/14 $491,125
Aa AA- 400 State of Connecticut,
5.125%, 8/15/11 382,912
Aa NR 190 Norwich, Connecticut,
5.00%, 8/1/14 180,104
Aa NR 190 Norwich, Connecticut,
5.00%, 8/1/15 178,718
Baa1 A- 500 Puerto Rico Aqueduct &
Sewer Authority,
5.00%, 7/1/19 451,525
Baa1 A- 250 Puerto Rico Municipal
Finance Agency,
5.875%, 7/1/06 256,297
--------------
$1,940,681
--------------
Hospital Revenue - 4.6%
NR BBB- $600 Connecticut Health and
Educational Facilities
Authority, New
Britain Hospital,
7.50%, 7/1/06 $639,576
--------------
Housing - 7.1%
Aa AA $200 Connecticut Housing
Finance Authority,
6.95%, 11/15/01 $209,320
Aa AA 750 Connecticut Housing
Finance Authority,
6.90%, 11/15/99 773,790
--------------
$983,110
--------------
Industrial Development
Revenue - 6.4%
A2 NR $625 Connecticut Development
Authority - Frito Lay
Project, 6.375%,
7/1/04 $637,144
Baa3 BB+ 250 Puerto Rico Port
Authority, (American
Airlines), 6.25%, 6/1/26 252,862
--------------
$890,006
--------------
Insured Education - 3.3%
Aaa AAA $500 University of Connecticut,
(FGIC), 5.00%, 2/1/16 (1) $460,925
--------------
Insured General Obligations - 11.4%
Aaa AAA $500 Bridgeport, Connecticut,
(AMBAC), 6.00%, 9/1/06 $533,040
Aaa AAA 250 Hartford, Connecticut,
(FGIC), 5.40%, 10/1/09 249,535
Aaa AAA 315 New Haven, Connecticut,
(FGIC), 5.25%, 8/1/06 317,621
Aaa AAA 500 Old Saybrook, Connecticut,
(AMBAC), 4.10%, 8/15/01 485,575
--------------
$1,585,771
--------------
Insured Hospitals - 13.7%
Aaa AAA $150 Connecticut HEFA,
Greenwich Hospital Issue,
(MBIA), 5.75% 7/1/06 $155,881
Aaa AAA 500 Connecticut HEFA,
Waterbury Hospital Issue,
(FSA), 7.00% 7/1/20 537,575
Aaa AAA 250 Connecticut HEFA,
Stamford Hospital Issue,
(MBIA), 6.50%, 7/1/06 267,620
Aaa AAA 470 Connecticut HEFA,
St. Raphael Hospital Issue,
(AMBAC), 6.50%, 7/1/06 464,224
Aaa AAA 500 Connecticut HEFA,
Veteran Memorial
Hospital Issue, (MBIA),
5.375%, 7/1/16 479,695
--------------
$1,904,995
--------------
Insured Miscellaneous - 3.9%
Aaa AAA $500 Woodstock, Connecticut
Special Obligation Bonds,
(AMBAC), 7.00%, 3/1/07 $545,135
--------------
Insured Transportation - 6.3%
Aaa AAA $750 Connecticut State Airport
Bonds, Bradley International
Airport, (FGIC),
7.40%, 10/1/04 $873,330
--------------
Insured Utility - 3.8%
Aaa AAA $500 Connecticut Municipal
Electric Authority,
(MBIA), 6.00%, 1/1/07 $528,560
--------------
Miscellaneous - 3.1%
Aa AA- $410 Connecticut State
Development Authority,
5.85%, 11/15/07 $428,434
--------------
Water & Sewer Revenue - 3.4%
Aaa AA+ $500 Connecticut State Clean
Water Revenue,
4.875%, 5/1/09 $472,306
--------------
Total Tax-Exempt
Investments (identified
cost, $13,652,704) $13,881,955
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by Connecticut
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with such
economic developments, at September 30, 1996, 42.4% of the securities in
the portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate
percentage by financial institution range from 3.9% to 18.6% of total
investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Florida Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Escrowed - 21.3%
Aaa AAA $1,015 Dade County, FL,
Educational Facilities
Authority,(MBIA),
Prerefunded to
10/1/01, 7.00%, 10/1/08 $1,138,769
Aaa AAA 1,500 Dade County, FL, Local
School District, (FGIC),
Prerefunded to
8/1/01, 6.00%, 8/1/06 1,593,210
Aaa AAA 1,000 Dunnedin, Florida,
Hospital, Mease Health
Care, (MBIA), Prerefunded
to 11/15/01, 6.75%,
11/15/21 1,112,810
Aa AAA 1,500 Florida Board of
Education Capital Outlay,
Prerefunded to 6/1/01
6.75%, 6/1/12 1,645,920
Aaa AAA 1,500 Florida Department of
Natural Resources,
Preservation 2000,
(MBIA), Prerefunded to
7/1/98,7.25%, 7/1/08 1,607,895
Aaa AAA 4,485 Jacksonville Electric
Authority, Bulk Power
Supply System, Prerefunded
to 10/1/00, 6.75%, 10/1/16 4,906,500
Aaa AAA 3,250 Orlando Utility
Community Water &
Electric, Prerefunded to
10/1/01, 6.50%, 10/1/20 3,574,513
Aaa AAA 2,000 Palm Bay, FL, Utility,
Palm Bay Utility
Corporation, (MBIA)
Prerefunded to 10/1/02,
6.20%, 10/1/17 2,185,400
Aaa AAA 2,805 Palm Beach County
Criminal Justice Facilities,
(FGIC), Prerefunded to
6/1/00, 7.00%, 6/1/01 3,086,706
Baa1 AAA 1,750 Puerto Rico Aqueduct &
Sewer Authority,
Prerefunded to 7/1/98,
7.875%, 7/1/17 1,895,652
--------------
$22,747,375
--------------
General Obligations - 18.1%
Aa AA $4,000 Florida State Board of
Education, 5.00%, 6/1/14 $3,762,600
Aa AA 3,000 Florida State Board of
Education, 5.00%, 6/1/09 2,896,080
Aa AA 1,500 Florida State Board of
Education, 5.125%, 6/1/18 1,396,875
Aa AA 4,000 Florida State Board of
Education, 5.50%, 6/1/11 4,022,040
Baa1 A 1,000 Puerto Rico Public
Building Authority,
6.50%, 7/1/03 1,086,670
Baa1 A- 2,000 Puerto Rico Municipal
Finance Agency,
5.50%, 7/1/01 2,048,380
Baa1 A- 2,500 Puerto Rico Municipal
Finance Agency,
5.875%, 7/1/05 2,578,875
NR NR 1,500 Virgin Islands Public
Finance Authority,
6.80%, 10/1/00 1,587,210
--------------
$19,378,730
--------------
Hospitals - 2.3%
NR BBB $515 Escambia County Health
Facilities Authority,
(Baptist Hospital Inc., and
Baptist Manor Inc.),
6.00%, 10/1/97 $519,486
NR BBB 545 Escambia County Health
Facilities Authority, (Baptist
Hospital Inc., and Baptist
Manor Inc.) 6.25%, 10/1/98 554,984
Baa1 NR 425 Jacksonville Health
Facilities Authority,
(National Benevolent
Association-Cypress Village
Project), 6.00%, 12/1/98 437,338
Baa1 NR 450 Jacksonville Health
Facilities Authority,
(National Benevolent
Association-Cypress Village
Project), 6.25%, 12/1/99 467,955
Baa1 NR 480 Jacksonville Health
Facilities Authority,
(National Benevolent
Association-Cypress Village
Project), 6.50%, 12/1/00 503,582
--------------
$2,483,345
--------------
Housing - 1.8%
Baa BBB $2,000 Puerto Rico Housing
Bank and Finance Agency,
5.10%, 12/1/03 $1,969,260
--------------
Industrial Development
Revenue - 3.4%
Baa2 BBB $1,470 Nassau County PCR,
(ITT Rayonier Incorporated
Project), 5.60%, 6/1/00 $1,497,577
B1 BB+ 2,000 Polk County, Florida,
Industrial Development
Authority, (IMC Fertilizer),
(AMT), 7.525%, 1/1/15 2,091,040
--------------
$3,588,617
--------------
Insured Cogeneration - 3.2%
Aaa AAA $2,000 Dade County, Florida,
Resource Recovery
Facilities, (AMBAC),
(AMT), 5.30%, 10/1/07 $1,978,660
Aaa AAA 1,500 Dade County, Florida,
Resource Recovery
Facilities, (AMBAC),
(AMT), 5.35%, 10/1/08 1,476,540
--------------
$3,455,200
--------------
Insured General Obligation - 3.6%
Aaa AAA $2,000 Dade County Local School
District, (MBIA),
6.40%, 8/1/00 $2,133,540
Aaa AAA 1,580 Sarasota County, FL,
(FGIC), 6.25%, 10/1/05 1,701,202
--------------
$3,834,742
--------------
Insured Hospital - 9.3%
Aaa AAA $2,000 Hillsborough County
Hospital Authority,
(Tampa General Hospital
Project), (FSA),
6.375%, 10/1/13 $2,104,040
Aaa AAA 4,000 Jacksonville Health
Facilities Authority,
(Baptist Medical Center
Project), (MBIA),
7.25%, 6/1/05 (1) 4,342,640
Aaa AAA 1,000 City of Lakeland,
(Lakeland Regional
Medical Center Project),
(FGIC), 5.40%, 11/15/01 1,035,590
Aaa AAA $1,360 North Broward Hospital
District, (MBIA),
6.20%, 1/1/04 $1,464,489
Aaa AAA 1,000 Orange County Health
Facilities Authority,
(Adventist Health
System/Sunbelt Inc,)
(CGIC), 5.50%, 11/15/02 1,036,130
--------------
$9,982,889
--------------
Insured Housing - 2.2%
Aaa AAA $1,240 Florida Housing Finance
Agency, (Leigh Meadows
Apartments), (AMBAC),
5.85%, 9/1/10 $1,247,316
Aaa AAA 1,140 Florida Housing Finance
Agency, (Stottert Arms
Apartments), (AMBAC),
5.90%, 9/1/10 1,146,703
--------------
$2,394,019
--------------
Insured Miscellaneous - 2.0%
Aaa AAA $2,000 City of Jacksonville,
Guaranteed Entitlement,
(AMBAC), 5.50% 10/1/02 $2,086,980
--------------
Insured Special Tax - 4.6%
Aaa AAA $5,000 Florida Department of
Natural Resources,
(MBIA), 5.25%, 7/1/10 $4,894,200
--------------
Insured Transportation - 7.6%
Aaa AAA $2,000 Dade County, Florida,
Seaport Revenue, (MBIA),
5.125%, 10/1/16 $1,893,460
Aaa AAA 3,120 Hillsborough County
Aviation Authority, Tampa
International Airport,
(FGIC), 6.85%, 10/1/06 3,363,266
Aaa AAA 2,500 Palm Beach County,
Florida, Airport, (MBIA),
7.75%, 10/1/10 2,870,725
--------------
$8,127,451
--------------
Insured Water & Sewer - 7.6%
Aaa AAA $3,000 Dade County FL, Water &
Sewer Revenue, (FGIC),
5.00%, 10/1/09 $2,880,840
Aaa AAA 2,000 Manatee County FL,
Public Utilities, (MBIA),
6.75%, 10/1/04 2,247,920
Aaa AAA 1,000 Pasco County FL, Water &
Sewer Revenue,(FGIC),
5.40%, 10/1/03 1,037,690
Aaa AAA 2,000 Tampa, Florida, Water &
Sewer Revenue, (FGIC),
5.25%, 10/1/13 1,934,520
--------------
$8,100,970
--------------
Utility - 9.9%
Aa AA $2,000 Gainesville, Florida Utility
System Revenue,
5.00%, 10/1/15 $1,843,180
Aa1 AA 3,000 Jacksonville Electric
Authority, St. John's River
Power Park, 6.50%, 10/1/03 3,314,970
Aa1 AA 3,500 Jacksonville Electric
Authority, St. John's River
Power Park, 5.25%, 10/1/20 3,326,085
Aa AA- 2,000 City of Tallahassee, Electric
Refunding Bonds,
5.90%, 10/1/05 2,117,420
--------------
$10,601,655
--------------
Water & Sewer Revenue - 3.1%
A3 A+ $330 Dunes Community
Development District,
(Flagler County, Water &
Sewer Project), 5.40%,
10/1/00 $338,323
A3 A+ 345 Dunes Community
Development District,
(Flagler County, Water &
Sewer Project),
5.50%, 10/1/01 354,839
A3 A+ $365 Dunes Community
Development District,
(Flagler County, Water &
Sewer Project),
5.60%, 10/1/02 $376,220
A3 A+ 380 Dunes Community
Development District,
(Flagler County, Water &
Sewer Project),
5.70%, 10/1/03 393,269
Aa AA- 1,700 St. Petersburg, FL, Public
Utility Revenue,
6.65%, 10/1/03 1,833,571
--------------
$3,296,222
--------------
Total Tax-Exempt
Investments (identified
cost, $104,324,918) $106,941,655
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by Florida municipalities.
The ability of the issuers of the debt securities to meet their obligations may be
affected by economic developments in a specific industry or municipality. In order
to reduce the risk associated with such economic developments, at September 30, 1996,
40.1% of the securities in the portfolio of investments are backed by bond insurance
of various financial institutions and financial guaranty assurance agencies. The
aggregate percentage by financial institution range from 1.0% to 24.2% of total
investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Massachusetts Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education - 4.3%
A1 A+ $1,200 Massachusetts Health and
Education Finance
Authority, Tufts University,
7.40%, 8/1/18 $1,282,644
A A- 1,230 Massachusetts Health and
Education Finance
Authority, Suffolk
University,(CLEE),
5.85%, 7/1/16 1,232,977
A A- 1,030 Massachusetts Industrial
Finance Agency, Park
School, 5.50% 9/1/16 985,524
--------------
$3,501,145
--------------
Escrowed/Prerefunded - 12.8%
Aaa NR $1,000 Lowell, Massachusetts,
Prerefunded to 2/15/01,
7.625%, 2/15/10 $1,142,950
Aaa AAA 2,000 Lynn, Massachusetts, Water
and Sewer Commission,
(MBIA), Prerefunded to
12/1/00, 7.25%, 12/1/10 2,239,660
NR A+ 1,700 Massachusetts Health and
Educational Facilities
Authority, Baystate Medical
Center, Prerefunded to
7/1/99, 7.375%, 7/1/08 1,859,409
NR AAA 1,060 Massachusetts Health and
Educational Facilities
Authority, Jordan Hospital,
(FHA), Prerefunded to
8/15/98, 7.85%, 8/15/28 1,150,301
Aaa AAA 1,060 Massachusetts Health and
Educational Facilities
Authority, Berkshire
Health System, (MBIA),
Prerefunded to 10/1/98,
6.75%, 10/1/19 1,112,226
Aaa AAA 2,500 Massachusetts Water
Resource Authority,
Prerefunded to 4/1/00,
7.50%, 4/1/09 2,782,800
--------------
$10,287,346
--------------
General Obligations - 8.4%
Baa A- $1,000 City of Lawrence,
Massachusetts, State
Qualified Bonds, 5.00%,
9/15/02 $1,003,030
A1 A+ 1,240 The Commonwealth of
Massachusetts,
6.10%, 6/1/02 1,320,873
Baa1 A 3,000 Puerto Rico Aqueduct &
Sewer Authority, 5.00%,
7/1/15 2,753,310
Baa1 A 1,000 Puerto Rico Aqueduct &
Sewer Authority,
5.00%, 7/1/19 903,050
Baa1 A 750 Commonwealth of Puerto
Rico, 6.35%, 7/1/10 794,610
--------------
$6,774,873
--------------
Hospitals - 12.5%
Aa AA- $2,160 City of Boston,
Massachusetts, Boston
City Hospital, (FHA
Insured Mortgage),
5.15%, 2/15/01 $2,199,549
Baa BB 1,130 Massachusetts Health and
Educational Facilities
Authority, Milford
Whitinsville Hospital,
7.125% 7/15/02 1,138,577
NR BBB- 1,845 Massachusetts Health and
Educational Facilities
Authority, North Adams
Regional Hospital,
6.25%, 7/1/04 1,861,660
NR A- 500 Massachusetts Health and
Educational Facilities
Authority, Melrose
Wakefield Hospital,
5.375%, 7/1/05 496,570
NR A- 500 Massachusetts Health and
Educational Facilities
Authority, Sisters of
Providence Hospital,
6.00%, 11/15/00 508,510
Aa NR 3,000 Massachusetts Health and
Educational Facilities
Authority, Daughters of
Charity Issue,
5.75%, 7/1/02 3,132,150
A A 650 Massachusetts Health and
Educational Facilities
Authority, New England
Deaconess Hospital Issue,
6.50%, 4/1/04 687,843
--------------
$10,024,859
--------------
Housing - 0.2%
NR BBB+ $180 Massachusetts Housing
Finance Agency, (AMT),
8.10%, 8/1/23 $188,879
--------------
Insured Education - 3.6%
Aaa AAA $665 Massachusetts Educational
Financing Authority,
(AMBAC), (AMT),
6.65%, 1/1/01 $700,717
Aaa AAA 2,110 Massachusetts Educational
Financing Authority,
(MBIA), (AMT),
7.35%, 1/1/99 2,179,419
--------------
$2,880,136
--------------
Insured General Obligations - 10.3%
Aaa AAA $1,000 Chelsea, Massachusetts,
(AMBAC), 6.00%, 6/15/02 $1,063,750
Aaa AAA 1,500 The Commonwealth of
Massachusetts, (FGIC),
7.20%, 3/1/02 1,643,925
Aaa AAA 2,500 The Commonwealth of
Massachusetts, (FGIC),
6.50%, 6/1/01 2,689,450
Aaa AAA 1,000 Town of Rockport,
Massachusetts, (AMBAC),
6.80%, 12/15/04 1,090,610
Aaa AAA 1,800 Worcester, Massachusetts,
(MBIA), 5.75%, 10/1/14 1,823,400
--------------
$8,311,135
--------------
Insured Hospital - 1.3%
Aaa AAA $1,000 Massachusetts Health and
Educational Facilities
Authority, Central
Massachusetts Medical
Center, (AMBAC),
5.50%, 7/1/99 $1,026,770
--------------
Insured Housing - 16.8%
Aaa AAA $1,900 Massachusetts Housing
Finance Agency, (AMBAC),
(AMT), 5.90%, 1/1/03 $1,979,211
Aaa AAA 4,800 Massachusetts Housing
Finance Agency, (AMBAC),
(AMT), (Harborpoint
Development),
6.20%, 12/1/10 4,851,120
Aaa AAA 1,840 Massachusetts Housing
Finance Agency, (AMBAC),
(AMT), 6.00%, 7/1/04 1,931,485
Aaa AAA 4,730 Massachusetts Housing
Finance Agency, (MBIA),
6.125% 12/1/11 4,759,752
--------------
$13,521,568
--------------
Insured Industrial
Development Revenue - 1.8%
Aaa AAA $1,400 Massachusetts IFA
(Nantucket Electric),
(AMBAC), (AMT),
5.30%, 7/1/04 $1,408,708
--------------
Insured Solid Waste - 1.3%
Aaa AAA $1,000 Massachusetts Industrial
Finance Agency,
REFUSETECH Inc.
Project, (FSA),
5.45%, 7/1/01 $1,024,220
--------------
Insured Transportation - 3.6%
Aaa AAA $3,000 Massachusetts Bay
Transportation Authority,
(AMBAC), 5.25%, 3/1/11 $2,891,190
--------------
Insured Utility - 4.4%
Aaa AAA $2,000 Massachusetts Municipal
Wholesale Electric
Company, (AMBAC),
6.625%, 7/1/03 $2,193,500
Aaa AAA 1,225 Massachusetts Municipal
Wholesale Electric
Company, (MBIA),
6.40%, 7/1/02 1,326,736
--------------
$3,520,236
--------------
Insured Water and Sewer - 5.8%
Aaa AAA $2,000 Boston, MA Water &
Sewer Authority, (FGIC),
5.25%, 11/1/11 $1,921,380
Aaa AAA 3,000 Massachusetts Water &
Sewer Authority, (MBIA),
5.00%, 12/1/16 2,760,090
--------------
$4,681,470
--------------
Lease Revenue/Certificate
of Participation - 2.0%
NR BBB $1,650 Puerto Rico ITEM &
EC - Guaynabo Lease
Program, 5.375%, 7/1/06 $1,602,959
--------------
Nursing Homes - 2.7%
NR NR $1,000 Massachusetts Health and
Educational Facilities,
(1st Mortgage-Fairview
Extended Care),
10.125%, 1/1/11 $1,131,680
NR NR 1,000 Massachusetts Industrial
Finance Agency, Health
Care Facilities,(Age Institute
of Massachusetts),
7.60%, 11/1/05 1,004,450
--------------
$2,136,130
--------------
Special Tax Revenue - 2.3%
NR NR $1,750 Virgin Islands Public
Finance Authority,
6.70%, 10/1/99 $1,830,780
--------------
Transportation - 1.4%
A1 A+ $1,000 Woods Hole, Martha's
Vineyard and Nantucket
Steamship Authority,
6.60%, 3/1/03 $1,097,690
--------------
Utilities - 1.3%
A BBB+ $1,000 Massachusetts Municipal
Wholesale Electric
Company, 5.70%, 7/1/01 $1,026,181
--------------
Water & Sewer Revenue - 3.2%
A A $1,000 Massachusetts Water
Resources Authority,
6.25%, 11/1/10 $1,044,350
Aa NR 1,500 Massachusetts Water
Abatement - New Bedford
Loan Project,
5.70%, 2/1/12 1,523,640
--------------
$2,567,990
--------------
Total Tax-Exempt
Investments (identified
cost, $78,671,495) $80,304,265
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by Massachusetts
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with such
economic developments, at September 30, 1996, 48.9% 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
by financial institution range from 1.3% to 23.8% of total investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Michigan Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Escrowed/Prerefunded - 18.3%
Aaa AAA $1,500 Grand Ledge, Michigan
Public School District,
(MBIA), Prerefunded
to 5/1/04, 7.875%,
10/1/04 $1,805,655
Baa1 AAA 750 Puerto Rico Aqueduct &
Sewer Authority,
Prerefunded to 7/1/98,
7.875%, 7/1/17 812,423
Aaa AAA 2,305 Romulus, Michigan
Community School
District, Prerefunded to
5/1/07, 0.00%, 5/1/22 481,399
--------------
$3,099,477
--------------
General Obligations - 8.6%
Ba1 BBB $650 Detroit, Michigan,
6.25%, 4/1/05 $665,893
Ba1 BBB 495 Detroit, Michigan,
6.40%, 4/1/05 512,013
Baa1 A 250 Puerto Rico Public
Building Authority,
6.60%, 7/1/04 272,295
--------------
$1,450,201
--------------
Hospitals - 14.3%
Baa NR $525 Flint, Michigan Hospital
Authority, (Hurley Medical
Center), 6.00%, 7/1/05 $513,093
A NR 505 Marquette Michigan
Hospital Finance Authority,
6.625%, 4/1/07 509,954
NR BBB 100 Michigan Hospital Finance
Authority, (Central MI.
Community Hospital),
6.00%, 10/1/05 100,412
NR BBB 100 Michigan Hospital
Finance Authority,
(Central MI. Community
Hospital), 6.10%, 10/1/06 100,444
NR BBB 225 Michigan Hospital
Finance Authority,
(Central MI. Community
Hospital), 6.20%, 10/1/07 226,066
NR BBB 1,000 Michigan State Hospital
Finance Authority,
(Gratiot Community
Hospital), 6.10%, 10/1/07 974,260
--------------
$2,424,229
--------------
Housing - 6.2%
NR A+ $1,000 Michigan State Housing
Development Authority,
6.00%, 4/1/01 $1,050,050
--------------
Industrial Development
Revenue - 4.6%
NR BB $270 Richmond, Michigan
Economic Development
Corporation, K-MART
Project, 6.30%, 1/1/99 $269,131
Baa3 BB+ 500 Puerto Rico Port Authority
(American Airlines),
(AMT) 6.25%, 6/1/26 505,725
--------------
$774,856
--------------
Insured General Obligations - 16.2%
Aaa AAA $500 Comstock, Michigan
Public Schools, (CGIC),
6.80%, 5/1/02 $540,415
Aaa AAA 500 Detroit, Michigan, School
District,(AMBAC),
6.50%, 5/1/10 546,860
Aaa AAA 500 Imlay, Michigan, School
District, 5.40%, 5/1/17 481,935
Aaa AAA 500 State of Michigan
Municipal Bond Authority,
Local Government Loan
Project, (MBIA),
5.375%, 11/1/17 474,895
Aaa AAA 750 Willow Run, Michigan,
Community School District,
(AMBAC), 5.00%, 5/1/16 688,507
--------------
$2,732,612
--------------
Insured Industrial
Development Revenue - 6.3%
Aaa AAA $1,000 Monroe County, Michigan,
The Detroit Edison
Company, (AMBAC),
(AMT), 6.35%, 12/1/04 (1) $1,070,790
--------------
Insured Water & Sewer
Revenue - 3.0%
Aaa AAA $525 Detroit, Michigan, Water
Revenue, 5.10%, 7/1/07 $513,492
--------------
Lease Revenue/Certificate
of Participation - 3.1%
A1 AA- $1,000 State of Michigan Building
Authority, 6.10%, 10/1/01 $530,835
--------------
Nursing Homes - 2.3%
NR NR $395 Michigan Hospital Finance
Authority, (Presbyterian
Villages), 6.20%, 1/1/06 $395,778
--------------
Solid Waste - 2.0%
Ba1 BBB- $350 Central Wayne, Michigan,
Sanitation Authority,
6.40%, 7/1/06 $343,014
--------------
Special Tax Revenue - 11.8%
NR A- $2,000 Detroit, Michigan,
Downtown Development
Authority Tax Increment,
0.00%, 7/1/21 $407,840
NR BBB+ 1,500 Battle Creek, Michigan
Downtown Development
Authority, 6.65%, 5/1/02 1,583,280
--------------
$1,991,120
--------------
Water & Sewer Revenue - 3.3%
Aa AA 500 Michigan Municipal
Bond Authority,
7.00%, 10/1/02 $558,090
--------------
Total Tax-Exempt
Investments (identified
cost, $16,446,546) $16,934,544
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by Michigan
municipalities. The ability of the issuers of the debt securities to
meet their obligations may be affected by economic developments in a
specific industry or municipality. In order to reduce the risk associated
with such economic developments, at September 30, 1996, 25.5% of the
securities in the portfolio of investments are backed by bond insurance
of various financial institutions and financial guaranty assurance
agencies. The aggregate percentage by financial institution range from
2.8% to 19.3% of total investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
New Jersey Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration - 4.7%
NR BBB- $2,250 New Jersey Economic
Development Authority,
Heating & Cooling,
(Trigen-Trenton Project),
(AMT), 6.10%, 12/1/04 $2,264,130
NR BB+ 385 New Jersey Economic
Development Authority,
Electric Energy Facilities,
(Vineland Cogeneration),
(AMT), 7.875%, 6/1/19 416,000
NR NR 550 Port Authority of New York
& New Jersey, (KIAC
Project), (AMT),
6.50%, 10/1/01 564,806
--------------
$3,244,936
--------------
Education - 4.1%
NR BBB+ $380 New Jersey Educational
Facilities Authority, Drew
University, 5.875%, 7/1/03 $395,933
NR A+ 340 Higher Education Assistance
Authority, (State of New
Jersey), (AMT), NJ Class
Loan Program,
5.70%, 1/1/02 341,646
A1 AA 1,895 Rutgers, The State
University (The State of
New Jersey), (MBIA),
6.20%, 5/1/04 2,040,877
--------------
$2,778,456
--------------
Escrowed - 6.9%
Aa1 AA+ $1,000 State of New Jersey,
Prerefunded to 8/1/02,
6.00%, 8/1/04 $1,064,090
Aaa AAA 1,325 Port Authority of New York
& New Jersey, (AMBAC),
Pre-refunded to 10/1/02,
7.40%, 10/1/12 1,523,776
Baa1 AAA 1,985 Puerto Rico Aqueduct &
Sewer Authority,
Prerefunded to 7/1/98,
7.875%, 7/1/17 2,150,212
--------------
$4,738,078
--------------
General Obligations - 10.2%
Aaa AA+ $265 Middlesex County,
New Jersey, Improvement
Authority, 5.60%, 3/1/11 $264,984
Aaa AAA 1,000 County of Morris,
New Jersey, 6.50%, 8/1/02 1,097,150
A AA 2,195 Jersey City, New Jersey,
School District,
6.25%, 10/1/10 2,325,559
Baa1 A- 750 Puerto Rico Municipal
Finance Agency,
5.60%, 7/1/02 769,530
Baa1 A 1,285 Commonwealth of Puerto
Rico, 6.35%, 7/1/10 1,361,432
Aa AA 1,000 South Brunswick,
New Jersey,
7.125%, 7/15/02 1,119,850
Aaa AA+ 5 Union County,
New Jersey, Improvement
Authority, 5.50%, 11/15/08 5,101
--------------
$6,943,606
--------------
Hospitals - 3.2%
A A- $1,000 New Jersey Health
Care Facilities Financing
Authority, (Atlantic City
Medical Care Center),
6.45%, 7/1/02 $1,053,170
A A- 340 New Jersey Health Care
Facilities Financing
Authority, (Atlantic City
Medical Care Center),
6.25%, 7/1/00 353,729
A A- 750 New Jersey Health Care
Facilities Financing
Authority, (Atlantic City
Medical Care Center),
6.55%, 7/1/03 795,525
--------------
$2,202,424
--------------
Housing - 7.8%
NR A+ $1,500 New Jersey Housing and
Mortgage Finance
Agency, 6.30%, 11/1/01 $1,582,980
NR A+ 2,570 New Jersey Housing and
Mortgage Finance Agency,
6.50%, 11/1/03 (1) 2,709,602
NR A+ 1,000 New Jersey Housing and
Mortgage Finance Agency,
6.00%, 11/1/02 1,035,910
--------------
$5,328,492
--------------
Industrial Development
Revenue - 1.0%
Aa3 NR $690 New Jersey Economic
Development Authority,
LOC: Bank of Paris,
(AMT), 6.00%, 12/1/02 $707,036
--------------
Insured Education - 3.0%
Aaa AAA $1,000 Essex County, New Jersey,
Improvement Authority,
(Guaranteed County
College Project), (AMBAC),
5.25%, 12/1/16 $959,110
Aaa AAA 1,000 New Jersey State
Educational Facilities,
Seton Hall University,
(FGIC), 6.10%, 7/1/01 1,063,630
--------------
$2,022,740
--------------
Insured General Obligations - 21.4%
Aaa AAA $1,000 Atlantic City, New Jersey,
Board of Education,
(AMBAC), 6.00%, 12/1/02 $1,062,180
Aaa AAA 1,175 Edison, New Jersey,
(AMBAC), 4.70%, 1/1/04 1,149,514
Aaa AAA 500 City of Elizabeth, Union
County, New Jersey,
(MBIA) 6.10%, 11/15/99 526,260
Aaa AAA 500 City of Elizabeth, Union
County, New Jersey,
(MBIA) 6.20%, 11/15/01 535,365
Aaa AAA 500 City of Elizabeth, Union
County, New Jersey,
(MBIA) 6.20%, 11/15/02 536,390
Aaa AAA 2,000 Essex County, New Jersey,
(AMBAC), 5.375%,
9/1/10 1,968,160
Aaa AAA 1,200 Jackson Township,
New Jersey, Local School
District, (FGIC),
6.60%, 6/1/02 1,313,328
Aaa AAA 1,200 Jackson Township,
New Jersey, Local School
District, (FGIC),
6.60%, 6/1/03 1,323,240
Aaa AAA 1,200 Kearney, New Jersey, (FSA),
6.50%, 2/1/04 1,311,660
Aaa AAA 850 Roselle, New Jersey, (MBIA),
4.65%, 10/15/03 839,953
Aaa AAA 1,000 South Brunswick Township,
New Jersey, Board of
Education, (FGIC),
6.40%, 8/1/03 1,084,260
Aaa AAA $1,000 South River, New Jersey,
School District, (FGIC),
5.00%, 12/1/09 $1,052,854
Aaa AAA 2,000 Washington Township,
New Jersey, Board of
Education, 5.125%, 2/1/15 1,887,460
--------------
$14,590,624
--------------
Insured Hospital - 3.2%
Aaa AAA $1,910 New Jersey Health Care
Facilities & Financing
Authority, (Dover General
Hospital & Medical Center),
(MBIA), 7.00%, 7/1/04 $2,152,589
--------------
Insured Industrial
Development Revenue - 1.6%
Aaa AAA $1,000 New Jersey Economic
Development Authority,
Market Transition
5.80%, 7/1/09 $1,020,030
Aaa AAA 100 Warren County
New Jersey Pollution
Control Finance Authority,
Resource Recovery,
(MBIA), 6.55%, 12/1/06 109,766
--------------
$1,129,796
--------------
Insured Lease Revenue/
Certificate of Participation - 0.9%
Aaa AAA $595 Hudson County,
New Jersey, Certificates of
Participation, (MBIA),
6.20%, 6/1/03 $628,772
--------------
Insured Solid Waste - 0.4%
Aaa AAA $250 The Bergen County
Utilities Authority, Solid
Waste System, (FGIC),
6.00%, 6/15/02 $266,708
--------------
Insured Transportation - 13.6%
Aaa AAA $2,000 New Jersey Transportation
Trust Fund Authority,
(MBIA), 5.00%, 6/15/15 $1,877,260
Aaa AAA 1,500 New Jersey Turnpike
Authority, (FSA),
5.90%, 1/1/03 1,572,330
Aaa AAA 1,000 New Jersey Turnpike
Authority, (MBIA),
5.90%, 1/1/04 1,051,560
Aaa AAA $895 New Jersey Turnpike
Authority, (FSA),
6.40%, 1/1/02 $958,044
Aaa AAA 2,000 Port Authority of New York
& New Jersey, (AMBAC),
5.125%, 7/15/14 1,908,860
Aaa AAA 2,000 Port Authority of New York
& New Jersey, (AMBAC),
5.20%, 7/15/21 1,872,980
--------------
$9,241,034
--------------
Insured Utility - 1.6%
Aaa AAA $1,000 Middlesex County,
New Jersey, Utility
Authority, (FGIC)
6.10%, 12/1/01 $1,065,310
--------------
Lease Revenue/Certificates
Of Participation - 2.4%
A1 A+ $720 New Jersey Economic
Development Authority,
Lease Revenue,
(Green Lights Energy
Project), 5.00%, 1/15/06 $705,809
A1 A+ 875 State of New Jersey,
Certificates of Participation,
5.90%, 4/1/99 900,681
--------------
$1,606,490
--------------
Life Care - 0.5%
NR NR $310 New Jersey Economic
Development Authority,
(Cadbury Corporation
Project), 8.00%, 7/1/15 $322,239
--------------
Solid Waste - 4.2%
Baa NR $300 The Atlantic County
Utilities Authority
(New Jersey), Solid Waste
System, 7.00%, 3/1/08 $296,502
A1 AA- 500 Gloucester County
Improvement Authority of
New Jersey, (Landfill
Project), 5.20%, 9/1/99 511,450
A1 NR 300 The Passaic County
Utilities Authority
(New Jersey), Solid
Waste Disposal,
5.70%, 3/1/98 305,058
NR A 1,700 The Union County
Utilities Authority
(New Jersey), Solid
Waste System, (AMT),
7.20%, 6/15/04 1,729,818
--------------
$2,842,828
--------------
Transportation - 3.7%
A1 AA- $250 New Jersey Highway
Authority, (Garden State
Parkway), 6.10%, 1/1/06 $264,960
Baa3 BB+ 1,625 Port Authority of New York
& New Jersey, (Delta
Airlines), 6.10%, 12/1/04 1,731,746
A1 AA- 500 Port Authority of New York
& New Jersey,
5.50%, 7/1/06 510,160
--------------
$2,506,866
--------------
Utility - 5.6%
Baa1 BBB+ $1,000 Puerto Rico Electric
Power Authority,
6.125%, 7/1/08 $1,045,789
Baa1 BBB+ 1,785 Puerto Rico Electric
Power Authority,
6.125%, 7/1/09 1,853,100
Baa1 BBB+ 1,000 Puerto Rico Electric
Power Authority,
6.125%, 7/1/08 915,860
--------------
$3,814,749
--------------
Total Tax-Exempt
Investments (identified
cost, $66,515,858) $68,133,773
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by New Jersey
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with such
economic developments, at September 30, 1996, 45.7% of the securities in
the portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate percentage
by financial institution range from 5.6% to 16.4% of total investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
New York Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration - 0.8%
NR NR $950 Port Authority of New York
& New Jersey - KIAC
Project, 6.50%, 10/1/01 $975,574
--------------
Education - 10.4%
Baa1 BBB $1,000 City University of
New York, John Jay College,
6.00%, 8/15/06 $1,013,280
NR AA 1,000 Dormitory Authority of the
State of New York,
Manhattan College,
6.10%, 7/1/04 1,049,530
A1 A+ 5,955 Dormitory Authority of the
State of New York,
University of Rochester,
6.50%, 7/1/09 (1) 6,146,989
Baa1 BBB 1,000 Dormitory Authority of the
State of New York, City
University, 6.10%, 7/1/01 1,039,860
NR AA 1,000 Dormitory Authority of the
State of New York, Nursing
Home, (Our Lady of
Consolation), (FHA),
5.20%, 8/1/05 995,730
Baa1 BBB+ 1,000 Dormitory Authority of the
State of New York, State
University, 7.25%, 5/15/99 1,064,560
Baa1 BBB+ 1,000 Dormitory Authority of
The State of New York,
State University,
5.20%, 5/15/03 997,170
--------------
$12,307,119
--------------
Escrowed/Prerefunded - 9.5%
Aaa NR $1,250 Dormitory Authority of
the State of New York,
State University,
Prerefunded to
5/15/02, 6.75%, 5/15/21 $1,394,375
Aaa AAA 2,000 New York State Housing
Finance Agency, Escrowed
to Maturity, 6.80%, 5/15/01 2,179,660
Aaa AA- 2,500 Port Authority of New York
& New Jersey, (AMBAC),
Prerefunded to
10/1/02, 7.40%, 10/1/12 2,875,050
NR AA- 2,000 Power Authority of the
State of New York,
Prerefunded to
1/1/98, 8.00%, 1/1/17 2,130,240
Aaa AAA 2,500 Suffolk County, New York
Water Authority, (AMBAC),
Prerefunded to 6/1/02,
6.00%, 6/1/17 2,698,150
--------------
$11,277,475
--------------
General Obligations - 10.2%
Baa1 BBB+ $1,000 The City of New York,
6.375%, 8/1/05 $1,033,120
Baa1 BBB+ 3,000 The City of New York,
6.40%, 8/1/03 3,148,200
Baa1 BBB+ 1,500 The City of New York,
6.375%, 8/1/06 1,543,050
A A- 1,500 State of New York,
7.50%, 11/15/00 1,650,720
A A- 1,000 State of New York,
7.50%, 11/15/01 1,119,690
A A- 2,000 State of New York,
7.00%, 11/15/02 2,221,740
Baa1 A 1,350 Puerto Rico
Commonwealth,
6.35%, 7/1/10 1,430,298
--------------
$12,146,818
--------------
Hospitals - 7.1%
Baa1 BBB $2,340 Dormitory Authority of
New York, Department of
Health, 5.375%, 7/1/08 $2,255,900
NR AAA 2,000 New York State Medical
Care Facilities Finance
Agency, Mount Sinai
Hospital, 5.40%, 8/15/00 2,050,260
NR AAA 3,000 New York State Medical
Care Facilities Finance
Agency, Mount Sinai
Hospital, 5.50%, 8/15/01 3,103,140
Baa NR 1,000 New York State Dormitory
Authority, Nyack Hospital,
6.00%, 7/1/06 1,005,750
--------------
$8,415,050
--------------
Housing - 4.2%
Aa AA $5,100 New York City Housing
Development Corporation,
(Multi-Family),
5.625%, 5/1/12 $5,014,116
--------------
Industrial Development
Revenue - 1.5%
Baa3 BB+ $1,700 Puerto Rico Port
Authority - American
Airlines, 6.25%, 6/1/26 $1,719,465
--------------
Insured Education - 4.7%
Aaa AAA $1,075 Dormitory Authority of
the State of New York,
Mt. Sinai School of
Medicine, (MBIA),
6.75%, 7/1/09 $1,159,581
Aaa AAA 2,550 Dormitory Authority of
the State of New York,
State University,
(AMBAC), 5.25%, 7/1/14 2,444,670
Aaa AAA 2,000 Dormitory Authority of
the State of New York,
State University, (AMBAC),
5.25%, 7/1/06 1,975,000
--------------
$5,579,251
--------------
Insured Hospital - 6.3%
Aaa AAA $4,450 New York State Medical
Care Facilities Finance
Agency, New York State
Hospital, (AMBAC),
6.10%, 2/15/04 $4,736,936
Aaa AAA 2,500 New York State Medical
Care Facilities Finance
Agency, New York State
Hospital, (AMBAC),
6.20%, 2/15/05 2,695,800
--------------
$7,432,736
--------------
Insured Lease Revenue/
Certificate of Participation - 1.6%
Aaa AAA $2,000 City University of
New York - John Jay
College, (AMBAC),
6.00%, 8/15/08 $1,923,660
--------------
Insured Miscellaneous - 0.9%
Aaa AAA $1,000 New York State Municipal
Bond Bank Agency,
(AMBAC), 6.625%,
3/15/06 $1,084,270
--------------
Insured Transportation - 9.7%
Aaa AAA $2,240 Metropolitan Transportation
Authority for the City of
New York, (MBIA),
5.70%, 7/1/10 $2,256,934
Aaa AAA 3,500 The Port Authority of
New York and New Jersey,
(MBIA), 6.375%, 10/15/17 3,713,850
Aaa AAA 1,000 The Port Authority of
New York and New Jersey,
(AMBAC), 5.20%, 7/15/15 956,030
Aaa AAA 2,000 Triborough Bridge and
Tunnel Authority, (MBIA),
6.20%, 1/1/01 2,121,140
Aaa AAA 2,290 Triborough Bridge and
Tunnel Authority, (FGIC),
5.80%, 1/1/02 2,390,554
--------------
$11,438,508
--------------
Insured Utility - 5.1%
Aaa AAA $500 New York State Energy
Research and Development
Authority, Gas Facilities,
(Brooklyn Union Gas),
(MBIA), 5.50%, 1/1/21 $486,255
Aaa AAA 5,000 New York State Energy
Research and Development
Authority, Central Hudson
Gas, (FGIC), 7.375%,
10/1/14 5,503,000
--------------
$5,989,255
--------------
Insured Water and Sewer - 1.7%
Aaa AAA $1,000 New York City Municipal
Water Finance Authority,
(AMBAC), 5.80%, 6/15/03 $1,051,950
Aaa AAA 1,000 Suffolk County, New York,
Water Authority, (MBIA),
5.00%, 6/1/15 922,300
--------------
$1,974,250
--------------
Lease Revenue/Certificates
of Participation - 6.8%
A1 AA $3,500 Housing New York
Corporation, 6.00%,
11/1/03 $3,655,435
Baa1 BBB 4,715 New York Urban
Development Corporation,
5.375%, 1/1/15 4,346,192
--------------
$8,001,627
--------------
Special Tax Revenue - 4.6%
A A $3,725 New York Local
Government Assistance
Corporation, 5.25%,
4/1/16 $3,541,805
A A 1,750 New York Local
Government Assistance
Corporation, 7.00%, 4/1/04 1,928,517
--------------
$5,470,322
--------------
Transportation - 12.4%
A1 A $1,750 New York State Thruway
Authority, 5.375%, 1/1/02 $1,794,398
A A- 1,645 New York State Thruway
Authority, 5.80%, 4/1/09 1,661,730
Baa1 BBB 1,000 New York State Thruway
Authority, 6.00%, 4/1/03 1,039,150
Baa1 BBB 3,000 New York State Thruway
Authority, 5.75%, 4/1/16 2,924,550
A1 AA- 3,000 Port Authority of New York
& New Jersey, (AMT),
6.00%, 7/1/14 3,055,380
Baa3 BB+ 2,875 Port Authority of New York
& New Jersey,
(Delta Airlines),
6.95%, 6/1/08 3,063,858
Aa A+ 1,250 Triborough Bridge &
Tunnel Authority,
4.75%, 1/1/19 1,102,663
--------------
$14,641,729
--------------
Water & Sewer Revenue - 2.5%
A A- $1,825 New York City Municipal
Water Finance Authority,
5.70%, 6/15/02 $1,901,285
Aaa AAA 1,000 New York State
Environmental Facilities
Corporation, County of
Westchester Project,
5.60%, 9/15/13 1,001,281
--------------
$2,902,566
--------------
Total Tax-Exempt
Investments (identified
cost, $116,927,363) $118,293,791
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by New York
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with such
economic developments, at September 30, 1996, 30.0% of the securities in
the portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate
percentage by financial institution range from 8.0% to 18.1% of total
investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Ohio Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education - 5.8%
A1 A+ $500 The Student Loan Funding
Corporation of Cincinnati,
(AMT), 5.75%, 8/1/03 $505,290
A1 NR 1,200 The Student Loan Funding
Corporation of Cincinnati,
(AMT), 5.95%, 8/1/05 1,212,600
--------------
$1,717,890
--------------
Escrowed - 7.4%
Aaa AAA $650 Clermont County, Ohio,
Water Works, (AMBAC),
Prerefunded to 12/1/01,
6.625%, 12/1/16 $721,676
NR NR 350 Cuyahoga County, Ohio,
(Judson Retirement
Community), Escrowed to
11/15/99, 8.875%,
11/15/19 403,175
Baa1 AAA 1,000 Puerto Rico Aqueduct &
Sewer Authority,
Prerefunded to 7/1/98
7.875%, 7/1/17 1,083,230
--------------
$2,208,081
--------------
General Obligations - 14.2%
NR NR $500 Cleveland, Ohio, City
School District, 6.50%,
6/15/97 $500,680
Aa NR 500 Hamilton County, Ohio,
5.00%, 12/1/16 458,330
NR A+ 300 Kings County, Ohio, Local
School District, 7.60%,
12/1/10 336,789
Baa1 A 1,000 Commonwealth of Puerto
Rico, 6.25%, 7/1/08 1,058,980
A NR 1,000 Wauseon, Ohio School
District, 7.25%, 12/1/10 1,079,760
NR NR 770 Youngstown, Ohio,
County School District,
6.40%, 7/1/00 789,419
--------------
$4,223,958
--------------
Hospitals - 15.7%
A A- $1,000 Erie County Hospital
Improvement (Fireland
Community Hospital
Project), 6.75%, 1/1/08 $1,057,240
Aa NR 1,000 Franklin County, Ohio,
Hospital Improvement,
(Children' s Hospital),
5.75%, 11/1/15 995,360
Baa BBB 500 Hamilton County Ohio
Health System (Providence
Hospital Project),
6.00%, 7/1/01 506,105
NR NR 990 Mt. Vernon Ohio Hospital,
(Knox Community
Hospital), 7.875%,6/1/12 1,020,225
Aa2 NR 1,000 Warren County, Ohio,
Hospital Facilities,
(Otterbein Homes
Project), 7.20%, 7/1/11 1,093,830
--------------
$4,672,760
--------------
Housing - 4.3%
NR AAA $1,000 Cuyahoga County, Ohio,
Multifamily Housing,
(National Terminal
Apts. Project),
6.40%, 7/1/16 $1,006,430
NR NR 300 Lucas County, Ohio,
Economic Development
Multifamily Housing
(County Creek Project),
8.00%, 7/1/26 285,012
--------------
$1,291,442
--------------
Industrial Development
Revenue - 8.5%
Aa NR $650 Cuyahoga County, Ohio,
IDR, (Chippewa Place
Project), 5.80% 8/1/05 $663,436
NR A- 1,020 Ohio Economic
Development Commission,
(ABS Industries)
(AMT), 6.00%, 6/1/04 1,046,316
NR A- 765 Ohio Economic
Development Commission,
(Ohio Enterprise Bond
Fund-Progress Plastics
Products), (AMT),
6.80%, 12/1/01 828,694
--------------
$2,538,446
--------------
Insured Education - 3.8%
Aaa AAA $1,250 Ohio State Public
Facilities Commission,
(Higher Educational
Facilities), (AMBAC),
4.30%, 12/1/08 $1,127,450
--------------
Insured General Obligations - 24.4%
Aaa AAA $1,000 Cleveland, Ohio, (MBIA),
6.50%, 11/15/01 $1,088,050
Aaa AAA 300 Huron County, Ohio,
(Landfill Refunding),
(MBIA), 5.50%, 12/1/08 302,625
Aaa AAA 1,350 Mt. Vernon County, Ohio,
Local School District,
(FGIC), 7.50%, 12/1/14 1,566,040
Aaa AAA 1,760 Southwest Licking Ohio
School Facilities
Improvement, (FGIC),
7.10%, 12/1/16 1,700,640
Aaa AAA 400 St. Henry, Ohio, Local
School District, (MBIA),
5.25%, 12/1/19 377,468
Aaa AAA 1,000 West Clermont Ohio
School District, (AMBAC),
7.125%, 12/1/19 570,175
Aaa AAA 1,500 West Clermont Ohio
School District, (AMBAC),
6.90%, 12/1/12 (1) 1,672,245
--------------
$7,277,243
--------------
Insured Hospital - 3.7%
Aaa AAA $1,000 Portage County Ohio
Hospital Revenue Bonds,
(Robinson Hospital Project),
(MBIA), 6.50%, 11/15/04 $1,097,600
--------------
Insured Transportation - 3.2%
Aaa AAA $1,000 Dayton, Ohio, Airport
Revenue, (James M. Cox -
Dayton International
Airport), (AMBAC),
5.25%, 12/1/15 $952,340
--------------
Insured Utility - 1.8%
Aaa AAA $500 Cleveland, Ohio, Public
Power System, (MBIA),
6.10%, 11/15/03 $538,760
--------------
Insured Water & Sewer - 2.1%
Aaa AAA $690 Bellefontaine, Ohio,
Water System Mortgage
Revenue, (AMBAC),
5.00%, 12/1/15 $635,580
--------------
Life Care - 2.2%
NR BBB- $680 Marion County, Ohio,
Health Care Facilities,
(United Church Homes
Project), 5.25%, 11/15/98 $675,131
--------------
Nursing Homes - 1.2%
NR NR $300 Greene County, Ohio,
First Mortgage, (Fairview
Extended Care),
10.125%, 1/1/11 $339,504
--------------
Special Tax - 1.7%
NR NR $504 Columbus Ohio Special
Assessment, 6.05%, 9/15/05 $501,221
--------------
Total Tax-Exempt
Investments (identified
cost, $29,217,526) $29,797,406
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by Ohio municipalities.
The ability of the issuers of the debt securities to meet their obligations may be
affected by economic developments in a specific industry or municipality. In order
to reduce the risk associated with such economic developments, at September 30,
1996, 39.0% of the securities in the portfolio of investments are backed by bond
insurance of various financial institutions and financial guaranty assurance
agencies. The aggregate percentage by financial institution range from 11.0% to
19.1% of total investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Pennsylvania Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- --------------------------------- ------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living - 1.5%
NR NR $1,120 Delaware County,
Pennsylvania, Industrial
Development Authority,
(Glen Riddle Project),
(AMT),8.125%, 9/1/05 $1,181,141
--------------
Cogeneration - 4.3%
NR BBB- 2,000 Pennsylvania Economic
Development Financing
Authority, (Resource
Recovery - Culver Project),
(AMT), 7.05%, 12/1/10 $2,094,260
NR NR 1,200 Pennsylvania Economic
Development Financing
Authority, (Resource
Recovery for Northampton),
6.75%, 1/1/07 1,221,120
--------------
$3,315,380
--------------
Education - 8.8%
NR AAA $700 Montgomery County
Higher Education and
Health Authority, (Saint
Joseph's University),
(CLEE), 6.00%, 12/15/02 $741,447
Aa A+ 1,500 Pennsylvania Higher
Educational Facilities
Authority, (Thomas
Jefferson University),
5.90%, 8/15/00 1,567,170
Aa AA 4,500 Pennsylvania Higher
Educational Facilities
Authority, (University of
Pennsylvania Hospital),
5.875%, 1/1/15 4,545,630
--------------
$6,854,247
--------------
Escrowed - 16.2%
Aaa AAA $3,200 Philadelphia Municipal
Authority, Justice Lease
Revenue Bonds, (FGIC),
Prerefunded to 11/15/01,
7.10%, 11/15/11 $3,603,712
Aaa NR 2,500 Philadelphia, Pennsylvania,
Hospital & Higher
Education, (Children's
Hospital), Prerefunded to
2/15/02, 6.50%, 2/15/21 2,743,800
Aaa AAA $2,070 Pennsylvania
Intragovernmental
Cooperative Authority,
(City of Philadelphia
Funding Program), (FGIC),
Escrowed to Maturity,
6.00%, 6/15/02 $2,197,698
Baa BBB 500 Pennsylvania State Higher
Education, (Medical
College of Pennsylvania),
Prefunded to 3/1/01,
7.25%, 3/1/05 558,380
Aaa AAA 1,500 Somerset County,
Pennsylvania, General
Authority, (FGIC),
Escrowed to Maturity,
6.50%, 10/15/01 1,623,225
Aaa AAA 7,000 Westmoreland County,
Pennsylvania, Municipal
Authority, 0.00%, 8/15/19 1,851,990
--------------
$12,578,805
--------------
General Obligations - 4.2%
Aa AA $1,575 Delaware County,
Pennsylvania, 5.50%,
10/1/15 $1,556,714
Baa1 A 750 Puerto Rico Aqueduct &
Sewer Authority, 5.00%,
7/1/15 688,328
Baa1 A 1,000 The Commomwealth of
Puerto Rico, Public
Improvement Refunding
Bonds, 5.50%, 7/1/01 1,034,870
--------------
$3,279,912
--------------
Hospitals - 21.4%
Aa AA $2,000 Geisinger, Pennsylvania,
Health System, 7.375%,
7/1/02 $2,153,500
NR AAA 1,030 Indiana County,
Pennsylvania, Hospital
Authority, (Indiana
Hospital Project),
(CLEE), 5.75%, 7/1/00 1,062,723
NR AAA 825 Indiana County,
Pennsylvania, Hospital
Authority, (Indiana
Hospital Project), (CLEE),
5.875%, 7/1/01 859,320
A BBB+ $1,000 Monroeville, Pennsylvania,
Hospital Authority,
(Forbes Health),
5.75%, 10/1/05 $1,003,470
Baa NR 1,030 Montgomery County,
Pennsylvania, Higher
Education & Health
Authority, (Montgomery
Hospital), 6.25%, 7/1/06 1,043,359
Baa NR 1,100 Montgomery County,
Pennsylvania, Higher
Education & Health
Authority, (Montgomery
Hospital), 6.375%, 7/1/07 1,117,380
A NR 500 New Castle Area Hospital
Authority, (St. Francis
Hospital of New Castle),
5.90%, 11/15/00 513,905
NR BBB 445 Northampton County
Hospital Authority,
(Easton Hospital)
6.90%, 1/1/02 457,504
Baa1 BBB+ 1,500 The Hospitals and Higher
Education Facilities
Authority of Philadelphia,
(Graduate Health System),
7.00%, 7/1/05 1,533,885
Baa1 BBB+ 2,500 Philadelphia, Pennsylvania,
Hospital and Higher
Education Facilities
Authority, (Pennsylvania
Hospital), 6.05%, 7/1/04 2,536,700
Aa NR 4,750 Pottsville, PA, Hospital
Authority, (Daughters of
Charity), 5.00%,
8/15/12 (1) 4,368,195
--------------
$16,649,941
--------------
Industrial Development
Revenue - 1.2%
NR NR $885 Chester County, PA,
Industrial Development
Authority, 8.00%, 9/1/05 $926,153
--------------
Insured Education - 3.1%
Aaa AAA $2,280 Lycoming County
Authority, Pennnsylvania,
College Revenue Bonds,
(AMBAC), 6.00%, 11/1/01 $2,409,253
--------------
Insured General Obligations - 6.1%
Aaa AAA $2,000 Bucks County,
Pennsylvania, Technical
School Authority,
(AMBAC), 5.375%,
8/15/15 $1,920,840
Aaa AAA 3,000 Commonwealth of
Pennsylvania, (AMBAC),
5.00%, 11/15/11 2,838,330
--------------
$4,759,170
--------------
Insured Hospitals - 12.6%
Aaa AAA $1,250 Allegheny County,
Pennsylvania, Hospital
Development Authority,
(South Hills Health),
(MBIA), 5.50%, 5/1/08 $1,255,250
Aaa AAA 1,000 The Hospital Authority of
Beaver County,
Pennsylvania, (The Medical
Center of Beaver, PA),
(AMBAC), 5.90%,
7/1/00 1,043,810
Aaa AAA 1,985 Chester County,
Pennsylvania, Health &
Educational Facilities,
(Chester County Hospital),
(MBIA), 5.625%, 7/1/09 1,977,656
Aaa AAA 1,000 Erie County, Pennsylvania,
Hospital Authority, (Hamot
Health System), (AMBAC),
7.10%, 2/15/10 1,087,220
Aaa AAA 2,050 Sayre Health Care Facilities
Authority, (Guthrie Medical
Center), (AMBAC),
6.50%, 3/1/00 2,169,556
Aaa AAA 2,100 Washington County
Hospital Authority,
(Shadyside Hospital
Project), (AMBAC),
5.80%, 12/15/02 2,215,899
--------------
$9,749,391
--------------
Insured Lease Revenue/
Certificates of Participation - 2.1%
Aaa AAA $500 The Harrisburg Authority
(Dauphin County,
Pennsylvania), Lease
Revenue Bonds, (CGIC),
6.25%, 6/1/01 $535,300
Aaa AAA 1,000 Northumberland County
Authority, Pennsylvania,
Lease Revenue Bonds,
(MBIA), 6.50%, 10/15/01 1,082,150
--------------
$1,617,450
--------------
Insured Transportation - 5.7%
Aaa AAA $4,250 Pennsylvania State
Turnpike Commisssion,
(AMBAC), 6.25%,
6/1/11 (1) $4,437,383
--------------
Life Care - 1.0%
NR NR $245 Delaware County,
Pennsylvania, Authority,
(White Horse Village),
6.30%, 7/1/03 $245,368
NR NR 505 Delaware County,
Pennsylvania, Authority,
(White Horse Village),
6.40%, 7/1/04 505,848
--------------
$751,216
--------------
Nursing Home - 0.7%
NR NR $500 Wilkins Area,
Pennsylvania, Industrial
Development Authority,
(Fairview Extended Care),
10.25%, 1/1/21 $568,095
--------------
Solid Waste - 2.4%
Baa A- $500 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue,
6.20%, 5/15/99 511,805
Baa A- 500 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue,
6.20%, 5/15/99 513,890
Baa A- 300 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue,
6.20%, 5/15/99 310,011
Baa A- 500 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue,
6.20%, 5/15/99 518,755
--------------
$1,854,461
--------------
Special Tax Revenue - 0.3%
NR NR $250 Virgin Islands Public
Finance Authority,
(V.I. General Obligation/
Matching Loan Fund
Notes), 6.70%, 10/1/99 $261,540
--------------
Transportation - 4.8%
Aa3 AA- $2,550 Southeastern Pennsylvania
Transportation Authority,
LOC:Canadian Imperial
Bank of Commerce,
6.00%, 6/1/99 $2,646,033
Aa3 AA- 1,000 Southeastern Pennsylvania
Transportation Authority,
LOC: Canadian Imperial
Bank of Commerce,
6.00%, 6/1/99 1,052,490
--------------
$3,698,523
--------------
Utility - 1.4%
NR NR $1,000 Virgin Island Water &
Authority, 7.40%, 7/1/11 $1,058,840
--------------
Water & Sewer - 2.2%
NR AA $1,600 Pennsylvania Infrastucture
Investment Authority,
(Pennvest Pool Program),
6.45%, 9/1/04 $1,743,855
--------------
Total Tax-Exempt
Investments (identified
cost, $76,000,297) $77,694,756
==============
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
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 developments in a specific industry or municipality. In order to reduce the
risk associated with such economic developments, at September 30, 1996, 29.6% of the
securities in the portfolio of investments are backed by bond insurance of various
financial institutions and financial guaranty assurance agencies. The aggregate
percentage by financial institution range from 0.7% to 22.9% of total investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Limited Maturity Municipals Portfolios
Financial Statements
Statments of Assets and Liabilities
September 30, 1996 (Unaudited)
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 $48,626,770 $13,652,704 $104,324,918 $78,671,495 $16,446,546
Unrealized appreciation 1,310,815 229,251 2,616,737 1,632,770 487,998
------------ ------------ ------------ ------------ ------------
Total investments, at value
(Note 1A) $49,937,585 $13,881,955 $106,941,655 $80,304,265 $16,934,544
Cash 300,741 24,512 128 628 540
Receivable for daily variation
margin on open financial
futures contracts (Note 1E) 14,063 3,938 15,469 11,250 4,500
Receivable for investments sold 1,710,228 -- 490,000 2,152,342 --
Interest receivable 872,066 219,245 2,387,597 1,234,078 398,525
Deferred organization expenses
(Note 1D) 2,401 1,064 6,679 6,480 1,811
------------ ------------ ------------ ------------ ------------
Total assets $52,837,084 $14,130,714 $109,841,528 $83,709,043 $17,339,920
------------ ------------ ------------ ------------ ------------
Liabilities:
Demand note payable (Note 5) $-- $ -- $89,000 $870,000 $16,000
Payable for investments purchased 1,988,773 -- -- 519,843 --
Payable to affiliate --
Trustees' fee 1,543 41 2,044 1,544 1,237
Accrued expenses 4,508 1,651 10,872 7,347 1,010
------------ ------------ ------------ ------------ ------------
Total liabilities $1,994,824 $1,692 $101,916 $1,398,734 $18,247
------------ ------------ ------------ ------------ ------------
Net Assets applicable to
investors' interest in
Portfolio $50,842,260 $14,129,022 $109,739,612 $82,310,309 $17,321,673
============ ============ ============ ============ ============
Sources of Net Assets:
Net proceeds from capital
contributions and withdrawals $49,591,121 $13,918,106 $107,188,518 $80,725,279 $16,854,396
Unrealized appreciation of
investments and financial
futures contracts (computed on the
basis of identified cost) 1,251,139 210,916 2,551,094 1,585,030 467,277
------------ ------------ ------------ ------------ ------------
Total $50,842,260 $14,129,022 $109,739,612 $82,310,309 $17,321,673
============ ============ ============ ============ ============
<CAPTION>
Statements of Assets and Liabilities
September 30, 1996 (Unaudited)
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Assets:
Investments --
Identified cost $66,515,858 $116,927,363 $29,124,986 $76,000,297
Unrealized appreciation 1,617,915 1,366,428 672,420 1,694,459
------------ ------------ ------------ ------------
Total investments, at value
(Note 1A) $68,133,773 $118,293,791 $29,797,406 $77,694,756
Cash 315 2,175,768 110,001 471,553
Receivable for daily variation
margin on open financial futures
contracts (Note 1E) 17,156 11,250 4,219 14,063
Receivable for investments sold 1,301,997 -- 574,868 2,680,360
Interest receivable 1,110,661 2,082,335 561,895 1,311,314
Deferred organization expenses
(Note 1D) 2,785 4,070 1,261 4,244
------------ ------------ ------------ ------------
Total assets $70,566,687 $122,567,214 $31,049,650 $82,176,290
------------ ------------ ------------ ------------
Liabilities:
Demand note payable (Note 5) $912,000 $ -- $ -- $ --
Payable for investments purchased -- 1,993,130 301,742 2,903,787
Payable to affiliate --
Trustees' fee 1,544 2,044 417 1,544
Accrued expenses 6,126 10,816 2,612 6,471
------------ ------------ ------------ ------------
Total liabilities $919,670 $2,005,990 $304,771 $2,911,802
------------ ------------ ------------ ------------
Net Assets applicable to investors'
interest in Portfolio $69,647,017 $120,561,224 $30,744,879 $79,264,488
============ ============ ============ ============
Sources of Net Assets:
Net proceeds from capital
contributions and withdrawals $68,106,374 $119,242,536 $30,086,705 $77,629,704
Unrealized appreciation of
investments and financial futures
contracts (computed on the basis of
identified cost) 1,540,643 1,318,688 658,174 1,634,784
------------ ------------ ------------ ------------
Total $69,647,017 $120,561,224 $30,744,879 $79,264,488
============ ============ ============ ============
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Statements of Operations
Six Months Ended September 30, 1996 (Unaudited)
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest income $1,536,294 $393,886 $3,194,008 $2,429,471 $563,180
------------ ------------ ------------ ------------ ------------
Expenses --
Investment adviser fee (Note 2) $128,123 $33,271 $270,842 $205,650 $45,718
Compensation of Trustees not
members of the Investment
Adviser's organization 3,224 123 4,216 3,738 82
Custodian fees (Note 1G) 16,619 6,784 32,239 19,711 8,174
Legal and accounting services 18,520 14,220 20,420 20,420 18,420
Amortization of organization
expenses (Note 1D) 499 1,288 2,108 2,050 1,561
Miscellaneous 10,674 4,325 17,769 17,526 5,647
------------ ------------ ------------ ------------ ------------
Total expenses $177,659 $60,011 $347,594 $269,095 $79,602
------------ ------------ ------------ ------------ ------------
Deduct --
Reduction of investment
adviser fee (Note 2) $ -- $16,677 $ -- $ -- $ --
Reduction of custodian
fee (Note 1G) 1,815 3,346 3,859 7,880 2,416
------------ ------------ ------------ ------------ ------------
Total $1,815 $20,023 $3,859 $7,880 $2,416
------------ ------------ ------------ ------------ ------------
Net expenses $175,844 $39,988 $343,735 $261,215 $77,186
------------ ------------ ------------ ------------ ------------
Net investment income $1,360,450 $353,898 $2,850,273 $2,168,256 $485,994
------------ ------------ ------------ ------------ ------------
Realized and Unrealized Gain
(Loss) on Investments:
Net realized gain (loss) --
Investment transactions
(identified cost basis) ($122,600) $11,875 ($447,887) ($209,918) $162,171
Financial futures contracts (350,046) (44,410) (604,420) (328,595) (98,059)
------------ ------------ ------------ ------------ ------------
Net realized gain (loss) ($472,646) ($32,535) ($1,052,307) ($538,513) $64,112
------------ ------------ ------------ ------------ ------------
Change in unrealized
appreciation (depreciation) --
Investments $272,386 $2,525 $312,799 $2,712 ($90,436)
Financial futures contracts (59,675) (15,159) (65,643) (47,740) (15,958)
------------ ------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation) of investments $212,711 ($12,634) $247,156 ($45,028) ($106,394)
------------ ------------ ------------ ------------ ------------
Net realized and unrealized loss ($259,935) ($45,169) ($805,151) ($583,541) ($42,282)
------------ ------------ ------------ ------------ ------------
Net increase in net assets
from operations $1,100,515 $308,729 $2,045,122 $1,584,715 $443,712
============ ============ ============ ============ ============
<CAPTION>
Statements of Operations (Continued)
Six Months Ended September 30, 1996 (Unaudited)
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Investment Income:
Interest income $2,065,062 $3,511,702 $929,511 $2,431,381
------------ ------------ ------------ ------------
Expenses --
Investment adviser fee (Note 2) $173,692 $300,218 $75,224 $200,015
Compensation of Trustees not
members of the Investment
Adviser's organization 3,225 4,217 828 3,225
Custodian fees (Note 1G) 22,025 36,484 11,385 25,483
Legal and accounting services 18,420 20,420 18,420 20,420
Amortization of organization
expenses (Note 1D) 897 1,289 1,288 1,339
Miscellaneous 9,408 14,611 6,201 15,954
------------ ------------ ------------ ------------
Total expenses $227,667 $377,239 $113,346 $266,436
Deduct --
Reduction of custodian
fee (Note 1G) 9,927 4,890 3,217 3,941
------------ ------------ ------------ ------------
Net expenses $217,740 $372,349 $110,129 $262,495
------------ ------------ ------------ ------------
Net investment income $1,847,322 $3,139,353 $819,382 $2,168,886
------------ ------------ ------------ ------------
Realized and Unrealized Gain
(Loss) on Investments:
Net realized gain (loss) --
Investment transactions
(identified cost basis) $13,590 ($55,254) $170,489 $292,280
Financial futures contracts (286,485) (553,518) (89,321) (576,904)
------------ ------------ ------------ ------------
Net realized gain (loss) ($272,895) ($608,772) $81,168 ($284,624)
------------ ------------ ------------ ------------
Change in unrealized
appreciation (depreciation) --
Investments $127,275 ($16,010) ($1,381) ($208,107)
Financial futures contracts (63,883) (47,740) (14,246) (59,675)
------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation) of investments $63,392 ($63,750) ($15,627) ($267,782)
------------ ------------ ------------ ------------
Net realized and unrealized
gain (loss) ($209,503) ($672,522) $65,541 ($552,406)
------------ ------------ ------------ ------------
Net increase in net assets
from operations $1,637,819 $2,466,831 $884,923 $1,616,480
============ ============ ============ ============
See notes to financial statments
</TABLE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
Six Months Ended September 30, 1996 (Unaudited)
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Increase (Decrease)
in Net Assets:
From operations --
Net investment income $1,360,450 $353,898 $2,850,273 $2,168,256 $485,994
Net realized gain (loss)
on investments (472,646) (32,535) (1,052,307) (538,513) 64,112
Change in unrealized appreciation
of investments 212,711 (12,634) 247,156 (45,028) (106,394)
------------ ------------ ------------ ------------ ------------
Net increase in net assets
from operations $1,100,515 $308,729 $2,045,122 $1,584,715 $443,712
------------ ------------ ------------ ------------ ------------
Capital transactions --
Contributions $7,819,944 $639,611 $21,639,528 $16,916,097 $251,914
Withdrawals (17,294,279) (1,680,844) (41,780,049) (33,325,779) (4,565,359)
------------ ------------ ------------ ------------ ------------
Decrease in net assets resulting
from capital transactions ($9,474,335) ($1,041,233) ($20,140,521) ($16,409,682) ($4,313,445)
------------ ------------ ------------ ------------ ------------
Total decrease in net assets ($8,373,820) ($732,504) ($18,095,399) ($14,824,967) ($3,869,733)
Net Assets:
At beginning of period 59,216,080 14,861,526 127,835,011 97,135,276 21,191,406
------------ ------------ ------------ ------------ ------------
At end of period $50,842,260 $14,129,022 $109,739,612 $82,310,309 $17,321,673
============ ============ ============ ============ ============
<CAPTION>
Statements of Changes in Net Assets (Continued)
Six Months Ended September 30, 1996 (Unaudited)
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------
Increase (Decrease)
in Net Assets:
From operations --
Net investment income $1,847,322 $3,139,353 $819,382 $2,168,886
Net realized gain (loss)
on investments (272,895) (608,772) 81,168 (284,624)
Change in unrealized appreciation
of investments 63,392 (63,750) (15,627) (267,782)
------------ ------------ ------------ ------------
Net increase in net assets
from operations $1,637,819 $2,466,831 $884,923 $1,616,480
------------ ------------ ------------ ------------
Capital transactions --
Contributions $15,071,160 $21,586,967 $446,624 $19,231,304
Withdrawals (27,234,538) (42,221,053) (4,116,043) (33,777,296)
------------ ------------ ------------ ------------
Decrease in net assets resulting
from capital transactions ($12,163,378) ($20,634,086) ($3,669,419) ($14,545,992)
------------ ------------ ------------ ------------
Total decrease in net assets ($10,525,559) ($18,167,255) ($2,784,496) ($12,929,512)
Net Assets:
At beginning of period 80,172,576 138,728,479 33,529,375 92,194,000
------------ ------------ ------------ ------------
At end of period $69,647,017 $120,561,224 $30,744,879 $79,264,488
============ ============ ============ ============
<CAPTION>
Statements of Changes in Net Assets(Continued)
Year Ended March 31, 1996
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------ ------------
Increase (Decrease)
in Net Assets:
From operations --
Net investment income $3,416,052 $795,358 $6,849,405 $5,212,102 $1,341,190
Net realized gain (loss)
on investments 690,889 16,771 295,731 (63,095) 313,930
Change in unrealized appreciation
of investments 500,309 283,601 1,590,260 1,762,463 87,479
------------ ------------ ------------ ------------ ------------
Net increase in net assets
from operations $4,607,250 $1,095,730 $8,735,396 $6,911,470 $1,742,599
------------ ------------ ------------ ------------ ------------
Capital transactions --
Contributions $2,502,298 $1,702,174 $10,648,982 $4,408,033 $748,500
Withdrawals (30,237,193) (5,251,996) (56,128,282) (33,303,769) (14,497,709)
------------ ------------ ------------ ------------ ------------
Decrease in net assets resulting
from capital transactions ($27,734,895) ($3,549,822) ($45,479,300) ($28,895,736) ($13,749,209)
------------ ------------ ------------ ------------ ------------
Total decrease in net assets ($23,127,645) ($2,454,092) ($36,743,904) ($21,984,266) ($12,006,610)
Net Assets:
At beginning of year 82,343,725 17,315,618 164,578,915 119,119,542 33,198,016
------------ ------------ ------------ ------------ ------------
At end of year $59,216,080 $14,861,526 $127,835,011 $97,135,276 $21,191,406
============ ============ ============ ============ ============
<CAPTION>
Statements of Changes in Net Assets (Continued)
Year Ended March 31, 1996
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Increase (Decrease)
in Net Assets:
From operations --
Net investment income $4,281,726 $7,387,952 $1,869,100 $4,991,356
Net realized gain (loss)
on investments 83,359 217,916 230,400 (470,305)
Change in unrealized appreciation
of investments 875,687 2,312,427 179,256 1,828,795
------------ ------------ ------------ ------------
Net increase in net assets
from operations $5,240,772 $9,918,295 $2,278,756 $6,349,846
------------ ------------ ------------ ------------
Capital transactions --
Contributions $2,138,038 $7,273,143 $1,242,994 $4,976,577
Withdrawals (24,485,909) (52,095,383) (9,427,749) (32,738,468)
------------ ------------ ------------ ------------
Decrease in net assets resulting
from capital transactions ($22,347,871) ($44,822,240) ($8,184,755) ($27,761,891)
------------ ------------ ------------ ------------
Total decrease in net assets ($17,107,099) ($34,903,945) ($5,905,999) ($21,412,045)
Net Assets:
At beginning of year 97,279,675 173,632,424 39,435,374 113,606,045
------------ ------------ ------------ ------------
At end of year $80,172,576 $138,728,479 $33,529,375 $92,194,000
============ ============ ============ ============
See notes to financial statments
</TABLE>
<TABLE>
<CAPTION>
Supplementary Data
California Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, ----------------------------------
(Unaudited) 1996 1995 1994**
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.65%+ 0.58% 0.53% 0.46%+
Net Expenses after
custodian fee reduction 0.64%+ 0.55% -- --
Net investment income 4.95%+ 4.82% 4.72% 4.50%+
Portfolio Turnover 18% 36% 56% 6%
Net Assets, end of period
(000 omitted) $50,842 $59,216 $82,344 $95,704
++ The operating expenses of The Portfolios may reflect a reduction of The investment
adviser fee and/or an allocation of expenses to the Investment Adviser. Had such
actions not been taken, the ratios would have been as follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1) 0.52%+
Expenses after custodian
fee reduction --
Net investment income 4.44%+
<CAPTION>
Supplementary Data (continued)
Connecticut Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1996 ----------------------------------
(Unaudited) 1996 1995 1994*
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.60%+ 0.39% 0.17% 0.00%+
Net Expenses after
custodian fee reduction 0.56%+ 0.35% -- --
Net investment income 4.92%+ 4.91% 4.95% 4.53%+
Portfolio Turnover 33% 52% 73% 39%
Net Assets, end of period
(000 omitted) $14,129 $14,862 $17,316 $16,767
++ The operating expenses of The Portfolios may reflect a reduction of The investment
adviser fee and/or an allocation of expenses to the Investment Adviser. Had such
actions not been taken, the ratios would have been as follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1) 0.83%+ 0.72% 0.67% 0.62%+
Expenses after custodian
fee reduction 0.79%+ -- -- --
Net investment income 4.69%+ 4.58% 4.45% 3.92%+
<CAPTION>
Supplementary Data (continued)
Florida Limited Portfolio
-------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, ----------------------------------
(Unaudited) 1996 1995 1994**
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.60%+ 0.55% 0.52% 0.49%+
Net expenses after
custodian fee reduction 0.59%+ 0.54% -- --
Net investment income 4.86%+ 4.73% 4.73% 4.53%+
Portfolio Turnover 28% 20% 44% 8%
Net Assets, end of period
(000 omitted) $109,740 $127,835 $164,579 $185,977
Supplementary Data (Continued)
Massachusetts Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1996 --------------------------------
(Unaudited 1996 1995 1994**
------------------ --------- ------- ------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets):
Net expenses (1) 0.61%+ 0.57% 0.54% 0.52%+
Net expenses after
custodian fee reduction 0.59%+ 0.55% -- --
Net investment income 4.89%+ 4.72% 4.90% 4.57%+
Portfolio Turnover 29% 27% 46% 8%
Net Assets, end of period
(000 omitted) $82,310 $97,135 $119,120 $119,772
+ Annualized.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
** For the period from the start of business, May 3, 1993, to March 31, 1994.
(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 each Portfolio
to increase its expense ratio by the effect of any offset arrangements with
its service providers. The expense ratios for each of the periods ended
March 31, 1995 and 1994 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Supplementary Data (continued)
Michigan Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1996 ----------------------------------
(Unaudited) 1996 1995 1994*
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.83%+ 0.68% 0.48% 0.00%+
Net expenses after
custodian fee reduction 0.80%+ 0.64% -- --
Net investment income 5.04%+ 5.00% 4.88% 4.62%+
Portfolio Turnover 14% 40% 111% 30%
Net Assets, end of period
(000 omitted) $17,322 $21,191 $33,198 $35,608
++ The operating expenses of The Portfolios may reflect a reduction of The
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1) 0.59% 0.54%+
Net investment income 4.77% 4.08%+
<CAPTION>
Supplementary Data (continued)
New Jersey Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, ----------------------------------
(Unaudited) 1996 1995 1994**
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.61%+ 0.57% 0.54% 0.54%+
Net Expenses after
custodian fee reduction 0.58%+ 0.55% -- --
Net investment income 4.93%+ 4.78% 4.73% 4.53%+
Portfolio Turnover 18% 42% 44% 10%
Net Assets, end of period
(000 omitted) $69,647 $80,173 $97,280 $102,948
++ The operating expenses of The Portfolios may reflect a reduction of The
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1)
Net investment income
<CAPTION>
Supplementary Data (continued)
New York Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, ----------------------------------
(Unaudited) 1996 1995 1994**
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.58%+ 0.55% 0.52% 0.47%+
Net Expenses after
custodian fee reduction 0.57%+ 0.53% -- --
Net investment income 4.80%+ 4.66% 4.79% 4.50%+
Portfolio Turnover 21% 32% 31% 5%
Net Assets, end of period
(000 omitted) $120,561 $138,728 $173,632 $183,768
++ The operating expenses of The Portfolios may reflect a reduction of The investment
adviser fee and/or an allocation of expenses to the Investment Adviser. Had such actions
not been taken, the ratios would have been as follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1)
Net investment income
<CAPTION>
Supplementary Data (continued)
Ohio Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, --------------------------------
(Unaudited) 1996 1995 1994**
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net assets)
Net expenses (1) 0.71%+ 0.63% 0.46% 0.00%+
Net Expenses after
custodian fee reduction 0.69%+ 0.61% -- --
Net investment income 5.16%+ 5.06% 4.96% 4.68%+
Portfolio Turnover 17% 47% 120% 33%
Net Assets, end of period
(000 omitted) $30,745 $33,529 $39,435 $37,978
++ The operating expenses of The Portfolios may reflect a reduction of The investment
adviser fee and/or an allocation of expenses to the Investment Adviser. Had such actions
not been taken, the ratios would have been as follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1) 0.58% 0.54%+
Net investment income 4.84% 4.14%+
+ Annualized.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
** For the period from the start of business, May 3, 1993, to March 31, 1994.
(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 each Portfolio to increase its expense ratio by the effect of any offset arrangements
with its service providers. The expense ratios for each of the periods ended March 31, 1995
and 1994 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Supplementary Data (Continued)
Pennsylvania Limited Portfolio
-------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1996 ---------------------------------
(Unaudited 1996 1995 1994*
------------------- ------ -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets):
Net expenses (1) 0.63%+ 0.58% 0.53% 0.50%+
Net expenses after
custodian fee
reduction (1) 0.62%+ 0.56% -- --
Net investment income 5.09%+ 4.81% 4.77% 4.59%+
Portfolio Turnover 25% 24% 39% 12%
Net Assets, end of period
(000 omitted) $79,264 $92,194 $113,606 $123,620
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
(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 each Portfolio to increase its expense ratio by the effect of
any offset arrangements with its service providers. The expense ratios for each
of the periods ended March 31, 1995 and 1994 have not been adjusted to reflect this
change.
See notes to financial statements
</TABLE>
Notes to Financial Statements
(Unaudited)
(1) Significant Accounting Policies
California Limited Maturity Municipals Portfolio (California Limited
Portfolio), Connecticut Limited Maturity Municipals Portfolio
(Connecticut Limited Portfolio), Florida Limited Maturity Municipals
Portfolio (Florida Limited Portfolio), 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), and
Ohio Limited Maturity Municipals Portfolio (Ohio 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. Income Taxes -- The Portfolios are treated as partnerships for
Federal tax purposes. No provision is made by the Portfolios for federal
or state taxes on any taxable income of the Portfolios because each
investor in the Portfolios is ultimately responsible for the payment of
any taxes. Since some of the Portfolios' investors are regulated
investment companies that invest all or substantially all of their
assets in the Portfolios, the Portfolios normally must satisfy the
applicable source of income and diversification requirements (under the
Internal Revenue Code) in order for their respective investors to
satisfy them. The Portfolios will allocate at least annually among their
respective investors each investor's distributive share of the
Portfolios' net taxable (if any) and tax-exempt investment income, net
realized capital gains, and any other items of income, gain, loss,
deduction or credit. Interest income received by the Portfolios on
investments in municipal bonds, which is excludable from gross income
under the Internal Revenue Code, will retain its status as income exempt
from federal income tax when allocated to each Portfolio's investors.
The portion of such interest, if any, earned on private activity bonds
issued after August 7, 1986, may be considered a tax preference item for
investors.
D. Deferred Organization Expenses -- Costs incurred by a Portfolio in
connection with its organization are being amortized on the straight-
line basis over five years 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
payment 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 cash balances each Portfolio maintains with IBT.
All significant credit balances used to reduce each Portfolio's
custodian fees are reflected as a reduction of operating expenses in the
Statements of Operations.
H. Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expense during the
reporting period. Actual results could differ from those estimates.
I. Other -- Investment transactions are accounted for on a trade date
basis.
J. Interim Financial Information -- The interim financial statements
relating to September 30, 1996 and for the six month period then ended
have not been audited by independent certified public accountants, but
in the opinion of the Portfolios' management reflect all adjustments
consisting only of normal recurring adjustments, necessary for the fair
presentation of the financial statements.
(2) Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research
(BMR), a wholly-owned subsidiary of Eaton Vance Management (EVM), as
compensation for management and investment advisory services rendered to
each Portfolio. The fee is based upon a percentage of average daily net
assets plus a percentage of gross income (i.e., income other than gains
from the sale of securities). For the six months ended September 30,
1996, each Portfolio paid advisory fees as follows:
Portfolio Amount Effective Rate*
- ---------- ---------- ---------------
California Limited $128,123 0.47%
Connecticut Limited 33,271 0.46%
Florida Limited 270,842 0.46%
Massachusetts Limited 205,650 0.46%
Michigan Limited 45,718 0.47%
New Jersey Limited 173,692 0.46%
New York Limited 300,218 0.46%
Ohio Limited 75,224 0.47%
Pennsylvania Limited 200,015 0.47%
To enhance the net income of the Connecticut Limited Portfolio, BMR made
a reduction of its fee in the amount of $16,677 for the six months ended
September 30, 1996.
Except as to Trustees of the Portfolios who are not members of EVM's or
BMR's organization, officers and Trustees receive remuneration for their
services to the Portfolios out of such investment adviser fee. Certain
of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations.
Trustees of the Portfolios that are not affiliated with the Investment
Adviser may elect to defer receipt of all or a percentage of their
annual fees in accordance with the terms of the Trustees Deferred
Compensation Plan. For the six months ended September 30, 1996, no
significant amounts have been deferred.
* Annualized
<TABLE>
<CAPTION>
(3) Investments
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, for the six months ended September 30, 1996 were as follows:
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
--------------- ------------ --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Purchases $ 9,811,742 $4,681,367 $31,836,410 $26,876,803 $2,664,204
Sales 19,585,647 5,271,602 48,849,046 46,394,716 6,163,875
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
--------------- ------------ --------- -----------
Purchases $ 12,912,676 $26,377,260 $5,244,592 $21,317,093
Sales 23,491,569 44,229,354 8,943,987 34,158,774
</TABLE>
<TABLE>
<CAPTION>
(4) Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at September 30, 1996, as computed
on a federal income tax basis, are as follows:
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ---------- -------------- ----------
<S> <C> <C> <C> <C> <C>
Aggregate
cost $ 48,626,770 $ 13,652,704 $104,324,918 $ 78,671,495 $ 16,446,546
============ ============ ============ ============== ==========
Gross
unrealized
appreciation $1,386,454 $ 268,245 $ 2,806,678 $1,661,900 $597,550
Gross
unrealized
depreciation 75,639 38,994 189,941 29,130 109,552
------------ ------------ ---------- -------------- ----------
Net
unrealized
appreciation $1,310,815 $ 229,251 $2,616,737 $1,632,770 $ 487,998
============ ============ ============ ============== ==========
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ -------------
Aggregate
cost $ 66,515,858 $116,927,363 $ 29,124,986 $ 76,000,297
============ ============ ============ ==============
Gross
unrealized
appreciation $1,807,450 $ 1,897,947 $ 752,648 $ 1,962,817
Gross
unrealized
depreciation 189,535 531,519 80,228 268,358
------------ ------------ ------------ -------------
Net
unrealized
appreciation $1,617,915 $ 1,366,428 $ 672,420 $ 1,694,459
============ ============ ============ ==============
(5) Line of Credit
The Portfolios participate with other portfolios and funds managed by
BMR and EVM in a $120 million unsecured line of credit agreement with a
bank, a portion of which is discretionary. Each portfolio may
temporarily borrow up to 5% of its total assets to satisfy redemption
requests or settle transactions. Interest is charged to each portfolio
or fund based on its borrowings at an amount above either the bank's
adjusted certificate of deposit rate, a variable adjusted certificate of
deposit rate, or a federal funds effective rate.
In addition, a fee computed at an annual rate of 1/4 of 1% on the daily
unused portion of the facility is allocated among the participating
funds and portfolios at the end of each quarter. At September 30, 1996,
the Florida Limited Portfolio, Michigan Limited Portfolio and New Jersey
Limited Portfolio had balances outstanding pursuant to this line of
credit of $89,000, $16,000 and $912,000, respectively. The Portfolios
did not have any significant borrowings or allocated fees during the six
months ended September 30, 1996.
(6) Financial Instruments
The Portfolios regularly trade in financial instruments with off-balance
sheet risk in the normal course of their investing activities to assist
in managing exposure to various market risks. These financial
instruments include written options and futures contracts and may
involve, to a varying degree, elements of risk in excess of the amounts
recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial
instruments and does not necessarily represent the amounts potentially
subject to risk. The measurement of the risks associated with these
instruments is meaningful only when all related and offsetting
transactions are considered.
A summary of obligations under these financial instruments at September
30, 1996 is as follows:
Futures Contracts
Expiration Net Unrealized
Portfolio Date Contracts Position Depreciation
- ----------- ----- --------------------- --------- --------------
California
Limited 12/96 50 U.S. Treasury Bonds Short $59,676
Connecticut
Limited 12/96 14 U.S. Treasury Bonds Short 18,335
Florida
Limited 12/96 55 U.S. Treasury Bonds Short 65,643
Massachusetts
Limited 12/96 40 U.S. Treasry Bonds Short 47,740
Michigan
Limited 12/96 16 U.S. Treasury Bonds Short 20,721
New Jersey
Limited 12/96 61 U.S. Treasury Bonds Short 77,272
New York
Limited 12/96 40 U.S. Treasury Bonds Short 47,740
Ohio
Limited 12/96 15 U.S. Treasury Bonds Short 14,246
Pennsylvania
Limited 12/96 50 U.S. Treasury Bonds Short 59,675
Portfolios
- -----------------------------------------------------------
Officers
Thomas J. Fetter
President
James B. Hawkes
Vice President, Trustee
Robert B. MacIntosh
Vice President
Raymond E. Hender
Vice President and Portfolio Manager of Florida, Massachusetts, New York and
Pennsylvania Limited Maturity Municipals Portfolios
James L. O'Connor
Treasurer
Thomas Otis
Secretary
Independent Trustees
Donald R. Dwight
President, Dwight Partners, Inc.
Chairman, Newspaper of New England, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking, Harvard University
Graduate School of Business Administration
Norton H. Reamer
President and Director, United Asset Management Corporation
John L. Thorndike
Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
Investment Adviser of Limited Maturity Municipals Portfolios
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator of EV Traditional Limited Maturity Municipals Funds
Eaton Vance Management
24 Federal Street
Boston, MA 02110
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
89 South Street
P.O. Box 1537
Boston, MA 02205-1537
Transfer Agent
First Data Investor Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
This report must be preceded or accompanied by a current prospectus
which contains more complete information on the Funds, including
distribution plan, sales charges and expenses. Please read the
prospectus carefully before you invest or send money.
Eaton Vance Investment Trust
24 Federal Street
Boston, MA 02110
M-10LTFCSRC-10/96
</TABLE>
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