<PAGE> 1
The Eaton Vance Municipals Trust
For the California Municipals Portfolio
Florida Municipals Portfolio
Massachusetts Municipals Portfolio
Mississippi Municipals Portfolio
New York Municipals Portfolio
Ohio Municipals Portfolio
Rhode Island Municipals Portfolio
West Virginia Municipals Portfolio
[LOGO]
Semi-Annual Shareholder Report
March 31, 1996
Investment Adviser of Eaton Vance Municipals Portfolio
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator
Eaton Vance Management
24 Federal Street
Boston, MA 02110
(617) 482-8260
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
89 South Street
PO Box 1537
Boston, MA 02205-1537
Transfer Agent
First Data Investor Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
<PAGE> 2
- --------------------------------------------------------------------------------
California Municipals Portfolio
Portfolio of Investments - March 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
COGENERATION - 5.6%
NR BBB- $ 4,985 Central Valley Financing
Authority, Carson Ice,
6.20%, 7/1/20 $ 4,850,455
NR BBB- 10,900 Sacramento Cogeneration
Authority, Procter &
Gamble, 6.50%, 7/1/21 11,011,071
NR BBB- 6,000 Sacramento Power
Authority, Cogeneration
Project, 6.00%, 7/1/22 5,718,000
-------------
$ 21,579,526
-------------
ESCROWED - 16.9%
NR NR $ 1,575 Fontana Public Financing
Authority, 7.75%, 12/1/20 $ 1,844,010
NR NR 4,000 Huntington Beach Public
Financing Authority,
8.375%, 5/1/18 4,402,120
NR NR 3,200 Oceanside Community
Development Commission,
8.40%, 6/1/18 3,288,512
Aaa AAA 6,400 Port of Oakland, (BIGI)
0%, 11/1/15 3,876,288
NR NR 3,000 Poway Redevelopment
Agency, 7.75%, 12/15/21 3,515,100
NR BBB 2,000 City of Rancho Mirage,
Joint Power Financing
Authority, 7.50%, 4/1/17 2,288,060
NR A- 2,360 Richmond Joint Power
Financing Authority,
7.00%, 5/15/07 2,618,585
Aaa AAA 8,000 County of Sacramento,
SFMR, (AMT), (GNMA)
8.125%, 7/1/16 (2) 10,141,680
Aaa AAA 14,285 County of Sacramento,
SFMR, (AMT), (GNMA) 8.50%,
11/1/16 (2) 18,883,199
Aaa AAA 6,000 County of Sacramento,
SFMR, (AMT), (GNMA) 8.25%,
1/1/21 (2) 7,822,020
Aaa AAA 3,000 City and County of San
Francisco Sewer System,
(AMBAC), Variable, 10/1/21
(1) 3,519,000
NR A- 2,375 City of San Luis Obispo,
8.25%, 6/1/06 2,440,122
-------------
$ 64,638,696
-------------
GENERAL OBLIGATIONS - 1.6%
Aa AA $ 5,000 East Bay Municipal
Utilities District, 5.00%,
4/1/15 $ 4,548,450
NR NR 1,500 Virgin Islands, 7.25%,
10/1/18 1,563,600
-------------
$ 6,112,050
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 1.2%
NR BBB+ $ 2,700 City of Stockton, Dameron
Hospital Association,
8.30%, 12/1/14 $ 2,830,923
NR BBB- 1,500 City of Woodland, Woodland
Memorial Hospital, 8.20%,
8/1/15 1,595,625
-------------
$ 4,426,548
-------------
HOUSING - 8.7%
NR NR $ 2,000 Los Angeles County,
Corporate Fund Housing
Authority, 10.50%, 12/1/29 $ 2,044,400
NR A+ 1,915 City of Oakland, Housing
Finance Agency, 7.10%,
1/1/10 1,954,621
Aa AA- 2,500 California Housing Finance
Agency, 8.20%, 8/1/17 2,582,325
Aa AA- 1,280 California Housing Finance
Agency, (AMT), 8.60%,
8/1/19 1,342,643
Aa AA- 2,500 California Housing Finance
Agency, 8.10%, 8/1/16 2,557,650
Aa AA- 3,680 California Housing Finance
Agency, (AMT), 7.375%,
8/1/11 3,833,971
Aa AA- 8,185 California Housing Finance
Agency, (AMT), (FHA)
7.65%, 8/1/23 8,557,172
Aa AA- 4,730 California Housing Finance
Agency, (AMT), 7.40%,
8/1/26 4,962,811
Aa AA- 3,855 California Housing Finance
Agency, (AMT), 7.50%,
8/1/25 3,980,172
A1 NR 845 Los Angeles County, SFMR,
7.875%, 8/1/16 842,039
NR AAA 455 Riverside County, SFMR,
(AMT), (GNMA) 6.85%,
10/1/16 484,120
-------------
$ 33,141,924
-------------
INSURED EDUCATION - 1.5%
Aaa AAA $ 3,330 University of California,
Multiple Purpose Project,
(MBIA) 4.75%, 9/1/21 $ 2,836,627
Aaa AAA 3,500 University of California,
Multiple Purpose Project,
(AMBAC) 5.00%, 9/1/23 3,082,975
-------------
$ 5,919,602
-------------
</TABLE>
34
<PAGE> 3
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED LEASE/CERTIFICATE OF
PARTICIPATION - 4.6%
Aaa AAA $ 3,300 California Statewide
Communities Development
Authority, $ 2,954,655
Aaa AAA Motion Picture and
Television Fund, (AMBAC)
5.68%, 1/1/24
Aaa AAA 7,700 Moulton Niguel Water
District, (AMBAC) 4.80%,
9/1/17 6,736,653
Aaa AAA 4,350 City of Stockton,
Wastewater Treatment
Plant, (FGIC) 6.80%,
9/1/24 4,756,856
Aaa AAA 13,985 Visalia Unified School
District, (MBIA) 0%,
12/1/17 3,358,777
-------------
$ 17,806,941
-------------
INSURED SPECIAL TAX - 1.1%
Aaa AAA $ 4,850 City of San Jose
Redevelopment Agency,
(MBIA) 4.75%, 8/1/24 $ 4,098,056
-------------
INSURED TRANSPORTATION - 4.2%
Aaa AAA $10,000 City and County of San
Francisco Airport, (MBIA)
6.75%, 5/1/13 $ 10,841,900
Aaa AAA 3,500 City and County of San
Francisco Airport, (AMT),
(MBIA) 5.625%, 5/1/21 3,339,420
Aaa AAA 10,000 Port of Oakland, (AMT),
(BIGI), 0%, 11/1/19 1,809,500
-------------
$ 15,990,820
-------------
INSURED UTILITIES - 6.4%
Aaa AAA $ 4,000 Anaheim Public Financing
Authority, (FGIC) 5.75%,
10/1/22 $ 3,878,400
Aaa AAA 8,000 Northern California Power
Agency, (MBIA), Variable,
8/1/25 (1) 8,896,000
Aaa AAA 3,500 Sacramento Municipal
Utilities District, (MBIA)
6.375%, 8/15/22 3,648,085
Aaa AAA 2,000 Southern California Public
Power Authority, (FGIC),
Variable, 7/1/12 (1) 1,812,000
Aaa AAA 6,915 Southern California Public
Power Authority, (MBIA),
5.00%, 1/1/20 6,100,620
-------------
$ 24,335,105
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED WATER & SEWER - 3.3%
Aaa AAA $ 5,000 East Bay Municipal Utility
District, (MBIA) 6/1/08
(1) $ 4,825,000
Aaa AAA 3,430 San Buenaventura Water
District, (AMBAC) 4.75%,
10/1/13 3,044,297
Aaa AAA 2,000 San Diego Public Finance
Authority, (FGIC) 5.00%,
5/15/25 1,763,480
Aaa AAA 3,000 San Diego County Water
Authority, (FGIC),
Variable, 4/22/09 (1) 3,102,000
-------------
$ 12,734,777
-------------
LEASE/CERTIFICATE OF
PARTICIPATION - 20.5%
A1 A- $ 8,000 California Public Works,
University of California,
5.50%, 6/1/14 $ 7,636,960
A1 A- 6,500 California Public Works,
University of California,
5.00%, 6/1/23 5,625,815
A1 A- 3,000 California Public Works,
University of California,
5.50%, 6/1/10 2,970,660
A A- 3,500 California Public Works,
Susanville Prison, 5.375%,
6/1/18 3,229,415
A A- 2,800 California Public Works,
State Prison System,
5.375%, 6/1/12 2,645,160
A1 A- 5,000 California Public Works,
University of California,
5.25%, 6/1/20 4,548,050
A1 A- 14,025 California Public Works,
University of California,
5.50%, 6/1/19 13,052,787
Aaa AAA 2,500 California Statewide
Public Works, J. Paul
Getty Trust, 5.00%,
10/1/23 2,220,500
A BBB 2,750 City of Inglewood, Civic
Center Improvement, 7.00%,
8/1/19 2,857,993
Baa1 BBB 3,100 County of Los Angeles,
Disney Parking Project,
0%, 3/1/20 613,645
Baa1 BBB 5,115 County of Los Angeles,
Disney Parking Project,
0%, 3/1/16 1,340,437
Baa1 BBB 1,925 County of Los Angeles,
Disney Parking Project,
0%, 3/1/17 466,909
Baa1 BBB 5,000 County of Los Angeles,
Disney Parking Project,
0%, 9/1/17 1,172,400
</TABLE>
35
<PAGE> 4
- --------------------------------------------------------------------------------
CALIFORNIA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
LEASE/CERTIFICATE OF
PARTICIPATION - (CONTINUED)
Baa1 BBB 5,370 County of Los Angeles,
Disney Parking Project,
0%, 3/1/18 1,217,218
Baa1 BBB 6,925 County of Los Angeles,
Disney Parking Project,
0%, 9/1/20 1,325,098
Baa1 BBB 1,000 County of Los Angeles,
Disney Parking Project,
6.50%, 3/1/23 1,003,940
NR NR 11,000 County of Los Angeles,
Marina Del Rey, 6.50%,
7/1/08 10,970,960
A1 A+ 5,000 Pasadena Parking Facility
Project, 6.25%, 1/1/18 5,187,250
Aa A+ 4,000 City of Sacramento
Financing Authority,
5.40%, 11/1/20 3,761,720
A A 3,000 San Bernadino Joint Power
Financing Authority,
5.50%, 12/1/20 2,753,820
Aa AA 4,425 Orange County Water
District, 5.00%, 8/15/18 3,834,792
-------------
$ 78,435,529
-------------
NURSING HOMES - 0.9%
NR NR $ 3,170 City of Banning, San
Gorgonio Pass
Convalescent, (AMT),
9.50%, 12/1/11 $ 3,286,339
-------------
SOLID WASTE - 0.6%
Baa1 NR $ 2,350 Mojave Desert and Mountain
Joint Power Authority,
(AMT), 7.875%, 6/1/20 $ 2,569,702
-------------
SPECIAL TAX - 14.6%
NR NR $ 3,000 Lincoln Unified School
District, 7.625%, 9/1/21 $ 3,108,450
NR NR 3,000 Riverside County Community
Facilities District,
7.55%, 9/1/17 3,036,930
NR NR 945 City of Fairfield, North
Cordelia District, 8.00%,
9/2/11 973,803
NR NR 2,090 City of Fairfield, North
Cordelia District, 7.375%,
9/2/18 2,118,528
Baa NR 9,725 City of Pleasanton, Joint
Power Financing Authority,
6.15%, 9/2/12 9,731,224
NR NR 2,915 City of Commerce, Joint
Power Financing Authority,
8.00%, 3/1/22 3,057,660
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR BBB 5,000 Contra Costa County,
Public Financing
Authority, 7.10%, 8/1/22 5,154,300
NR BBB 3,910 City of Fontana, Public
Financing Authority,
7.00%, 9/1/21 3,968,180
NR BBB 8,220 Fontana Redevelopment
Agency, Jurupa Hills,
7.00%, 10/1/14 8,388,346
NR BBB 2,500 City of Pittsburg
Redevelopment Agency,
7.40%, 8/15/20 2,619,525
NR BBB 600 City of Rancho Mirage,
Joint Power Financing
Authority, 7.50%, 4/1/17 633,636
NR BBB 2,500 Riverside County
Redevelopment Agency,
7.50%, 10/1/26 2,625,300
NR BBB 5,605 San Carlos Redevelopment
Agency, 7.10%, 9/1/17 5,802,632
NR NR 1,400 City of Simi Valley
Community Development,
Sycamore Plaza II, 8.20%,
9/1/12 1,412,698
Baa BBB+ 3,000 Westminster Redevelopment
Agency, Community
Redevelopment, 7.30%,
8/1/21 3,135,992
-------------
$ 55,767,204
-------------
TRANSPORTATION - 6.4%
NR BBB $ 3,050 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 3,097,001
A A- 1,400 Orange County, John Wayne
International Airport,
(AMT), 8.125%, 7/1/16 1,460,788
Baa1 BBB 1,500 Stockton Port District,
7.95%, 1/1/05 1,583,820
Baa1 BBB 1,500 Stockton Port District,
8.10%, 1/1/14 1,596,285
NR NR 12,000 San Joaquin Hills
Transportation Corridor
Agency, 0%, 1/1/14 3,732,960
NR NR 35,975 San Joaquin Hills
Transportation Corridor
Agency, 0%, 1/1/27 4,756,974
NR NR 5,765 San Joaquin Hills
Transportation Corridor
Agency, 0%, 1/1/26 814,191
</TABLE>
36
<PAGE> 5
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
TRANSPORTATION - (CONTINUED)
NR NR 4,940 San Joaquin Hills
Transportation Corridor
Agency, 7.00%, 1/1/30 5,148,863
AA AA- 2,000 City of Long Beach Harbor,
(AMT), 7.25%, 5/15/19 2,137,720
-------------
$ 24,328,602
-------------
UTILITIES - 1.0%
A1 AA- $ 1,490 Southern California Public
Power Authority, 6.875%,
7/1/15 $ 1,531,690
Aa A+ 7,070 Southern California Public
Power Authority, 0%,
7/1/15 2,211,991
-------------
$ 3,743,681
-------------
WATER AND SEWER - 0.9%
NR BBB $ 3,190 Orange Cove Irrigation
District, 6.625%, 2/1/17 $ 3,262,382
-------------
TOTAL TAX - EXEMPT
INVESTMENTS (IDENTIFIED
COST, $356,860,992) $ 382,177,484
=============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by California
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1996, 21.1% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 4.0% to 12.5% of total investments.
See notes to financial statements
37
<PAGE> 6
- --------------------------------------------------------------------------------
Florida Municipals Portfolio
Portfolio of Investments - March 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
COGENERATION - 3.8%
Baa3 BBB- $ 7,275 Martin County, Indian Town
Project, (AMT), 7.875%,
12/15/25 $ 8,169,389
NR NR 4,000 Palm Beach County,
Okeelanta Power L.P.
Project (AMT), 6.85%,
2/15/21 4,025,160
NR NR 9,250 Palm Beach County, Osceola
Power L.P. Project (AMT),
6.95%, 1/1/22 9,381,350
NR NR 3,100 Palm Beach County, Osceola
Power L.P. Project (AMT),
6.85%, 1/1/14 3,156,141
-------------
$ 24,732,040
-------------
EDUCATION - 0.9%
NR AAA $ 5,500 Volusia County Educational
Facilities, Embry-Riddle
Aeronautical University
Project (CLEE), 6.625%,
4/15/22 $ 5,832,200
-------------
ESCROWED - 7.4%
Aaa AAA $ 9,225 Dade County, Baptist
Hospital of Miami Project,
5.75%, 5/1/21 $ 9,347,324
Aaa AAA 5,000 Florida Municipal Power
Agency Stanton II Project
(AMBAC), Variable, 10/1/20
(1) 6,150,000
NR NR 1,675 Mid-Bay Bridge Authority,
6.875%, 10/1/22 1,917,188
Aaa AAA 2,000 Orlando & Orange County
Expressway Authority
(FGIC), 8.25%, 7/1/14 2,603,340
NR AAA 2,355 Pinellas County Health
Facilities Finance
Authority, Sun Coast
Health System, Series A,
8.50%, 3/1/20 2,728,809
A NR 14,000 City of Venice Health
Facilities, 6.00%, 12/1/14 15,207,500
A NR 9,810 City of Venice Health
Facilities, 5.75%, 12/1/24 10,485,026
-------------
$ 48,439,187
-------------
GENERAL OBLIGATIONS - 11.5%
Aa AA $22,000 Florida Board of
Education, 4.75%, 6/1/22 $ 18,698,680
Aa AA 7,700 Florida Board of
Education, 5.00%, 6/1/10 7,389,844
Aa AA 15,235 Florida Board of
Education, 5.00%, 6/1/20 13,605,769
Aa AA 8,000 Florida Board of General
Services, 6.60%, 7/1/17 8,612,480
NR BBB 4,675 Guam Government, 5.40%,
11/15/18 4,130,035
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A A 7,255 Hillsborough County,
Museum of Science &
Industry, 6.45%, 1/1/22 7,846,573
Baa1 A 2,000 Puerto Rico, 6.50%, 7/1/23 2,109,920
Baa1 A 3,235 Puerto Rico Public
Building Authority, 5.50%,
7/1/21 3,001,951
Baa1 A 7,350 Puerto Rico Public
Building Authority, 5.70%,
7/1/09 7,396,820
Baa1 A 3,055 Puerto Rico Public
Building Authority, 5.75%,
7/1/16 2,955,406
-------------
$ 75,747,478
-------------
HEALTH CARE - 4.8%
NR AAA $ 5,075 Dade County Industrial
Development Authority,
Gramercy Park Nursing Care
Center, 6.60%, 8/1/23 $ 5,275,158
NR AAA 4,285 Dade County Industrial
Development Authority,
Florida Club Care Center
(GNMA), 6.60%, 1/20/18 4,358,059
NR BBB+ 3,600 Escambia County Health
Facilities Authority,
Baptist Hospital, Inc. and
The Baptist Manor, Inc.,
6.75%, 10/1/14 3,673,188
NR BBB+ 9,995 Escambia County Health
Facilities Authority,
Baptist Hospital, Inc.,
6.00%, 10/1/14 9,410,492
Baa1 NR 3,750 Jacksonville Health
Facilities Authority,
National Benevolent
Association, Cypress
Village Florida Project,
7.00%, 12/1/22 3,793,088
NR NR 5,000 Osceola County IDA -
Community Pooled Loan,
7.75%, 7/1/17 5,068,100
-------------
$ 31,578,085
-------------
HOSPITAL REVENUE - 0.8%
NR AA+ $ 4,750 Jacksonville Health
Facilities Finance
Authority, St. Luke's
Hospital Association
Project, 6.75%, 11/15/13 $ 5,042,220
-------------
HOUSING - 11.0%
NR AAA $ 630 Broward County HFA SFMR
(GNMA), (AMT), 7.35%,
3/1/23 $ 650,897
NR AAA 1,300 Clay County HFA MFMR
(GNMA), 7.40%, 12/1/25 1,373,047
Aaa NR 2,750 Clay County HFA SFMR
(GNMA), (AMT), 6.55%,
3/1/28 2,665,163
Aaa NR 290 Dade County HFA SFMR
(GNMA), 7.10%, 3/1/17 300,788
</TABLE>
38
<PAGE> 7
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
Aaa NR 1,155 Dade County HFA SFMR
(GNMA), (AMT), 7.75%,
9/1/22 1,208,095
Aaa NR 1,160 Dade County HFA SFMR
(GNMA), (AMT), 7.25%,
9/1/23 1,210,994
Aaa NR 75 Dade County HFA SFMR
(GNMA), 7.00%, 3/1/24 77,687
NR AAA 5,100 Dade County HFA SFMR
(GNMA), (AMT) 6.55%,
10/1/27 5,131,671
NR AAA 5,850 Dade County HFA SFMR
(GNMA), (AMT) 6.70%,
4/1/28 5,982,327
Aaa NR 2,540 Escambia County HFA SFMR
(GNMA), (AMT), 7.40%,
10/1/23 2,630,830
Aaa AAA 7,500 Escambia County HFA SFMR
(GNMA), (AMT), 6.85%,
10/1/17 7,392,225
Aaa AAA 5,000 Escambia County HFA SFMR
(GNMA), (AMT), 6.90%,
10/1/21 4,923,350
Aaa AAA 6,250 Escambia County HFA SFMR
(GNMA), (AMT), 6.95%,
10/1/27 6,186,875
NR AAA 1,125 Florida HFA (FHA), 6.35%,
6/1/14 1,164,341
Aaa NR 925 Hillsborough County HFA
SFMR (GNMA), (AMT),
7.875%, 5/1/23 981,647
NR NR 3,445 City of North Miami Health
Care Facilities, The
Imperial Club Project,
9.25%, 1/1/13 3,753,672
NR AAA 1,695 Orange County HFA SFMR
(GNMA), (AMT), 7.375%,
9/1/24 1,776,919
Aaa NR 12,000 Orange County HFA SFMR
(GNMA), (AMT), 6.85%,
10/1/27 12,371,040
NR AAA 8,000 Orange County HFA SFMR
(GNMA), (AMT), 6.60%,
4/1/28 8,062,080
Aaa NR 845 Palm Beach County HFA SFMR
(GNMA), 7.60%, 3/1/23 885,763
Aaa NR 1,455 Polk County HFA SFMR
(GNMA), 7.15%, 9/1/23 1,521,654
Baa BBB 1,400 Puerto Rico Urban Renewal
& Housing Corp, 7.875%,
10/1/04 1,558,298
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 810 Puerto Rico Housing
Finance Corp SFMR (GNMA),
7.65%, 10/15/22 851,877
-------------
$ 72,661,240
-------------
INDUSTRIAL DEVELOPMENT
REVENUE/POLLUTION CONTROL
REVENUE - 3.4%
NR NR $ 6,000 NJ EDA - Holt Hauling
Project (AMT), 9.75%,
12/15/16 $ 6,244,680
B1 BB+ 15,200 Polk County IDA - IMC
Fertilizer Project (AMT),
7.525%, 1/1/15 15,917,744
-------------
$ 22,162,424
-------------
INSURED GENERAL
OBLIGATION - 0.8%
Aaa AAA $ 5,515 Florida Board of Education
Capital Outlay (MBIA),
5.60%, 6/1/25 $ 5,352,694
-------------
INSURED HEALTHCARE - 0.4%
Aaa AAA $ 500 Alachua County Health
Facility, Mental Health
Services Project (CGIC),
7.75%, 7/1/10 $ 561,685
Aaa AAA 2,050 Hillsborough County IDA,
Allegany Health Systems,
J. Knox Village (MBIA),
5.75%, 12/1/21 2,022,735
-------------
$ 2,584,420
-------------
INSURED HOSPITAL - 6.1%
Aaa AAA $ 8,000 Charlotte County Health
Care, Bon-Secours Health
System Project (FSA),
Variable, 8/30/27 (1) $ 8,140,000
Aaa AAA 23,355 Jacksonville FL Health
Authority, Daughters of
Charity (MBIA), 5.00%,
11/15/15 21,105,446
Aaa AAA 2,000 Lee County, Memorial
Hospital (MBIA), Variable,
4/1/20 (1) 2,245,000
Aaa AAA 5,275 Orange County Health
Facilities Finance
Authority, Pooled Hospital
Loan Program - Orlando
Regional Medical Center &
Indian River Memorial
Hospital (FGIC), 7.875%,
12/1/25 5,552,307
Aaa AAA 3,000 Orange County Health
Facilities Authority
(MBIA), Variable, 10/1/21
(1) 3,255,000
-------------
$ 40,297,753
-------------
</TABLE>
39
<PAGE> 8
- --------------------------------------------------------------------------------
FLORIDA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOUSING - 2.4%
Aaa AAA $ 1,355 Brevard County HFA SFMR
(FSA), 7.00%, 3/1/13 $ 1,412,804
Aaa AAA 1,720 Duval County HFA SFMR
(FGIC), 7.35%, 7/1/24 1,800,169
Aaa AAA 6,530 FL HEFA, Maitland Club
Apartment Project (AMBAC)
(AMT), 6.875%, 8/1/26 6,773,961
Aaa AAA 3,000 FL HFA, Brittany of
Rosemont Project (AMBAC)
(AMT), 6.875%, 8/1/26 3,112,080
Aaa AAA 2,675 Lee County SCA MFMR (FSA)
(AMT), 7.05%, 1/1/30 2,782,910
-------------
$ 15,881,924
-------------
INSURED IDR/PCR - 1.3%
Aaa AAA $ 8,200 Citrus County PCR (MBIA),
6.35%, 2/1/22 $ 8,548,664
-------------
INSURED LEASE - 0.3%
Aaa AAA $ 2,460 Polk County FL
Correctional Privatization
(AMBAC), 5.00%, 7/1/17 $ 2,220,716
-------------
INSURED MISCELLANEOUS - 0.5%
Aaa AAA $ 2,000 Escambia County (MBIA),
7.20%, 1/1/15 $ 2,145,180
Aaa AAA 799 Osceola County IDA
Community Provider Pooled
Loan Program, (CGIC),
7.75%, 7/1/10 850,959
-------------
$ 2,996,139
-------------
INSURED SOLID WASTE - 0.3%
Aaa AAA $ 1,500 St. John's County Solid
Waste Disposal (FGIC),
7.25%, 11/1/10 $ 1,675,455
-------------
INSURED SPECIAL TAX
REVENUE - 2.3%
Aaa AAA $ 1,500 FL Department of
Environmental Protection
(AMBAC), 5.75%, 7/1/10 $ 1,538,370
Aaa AAA 1,000 City of Jacksonville
(FGIC) (AMT), 0%, 10/1/10 435,380
Aaa AAA 1,000 City of Jacksonville
(FGIC) (AMT), 0%, 10/1/11 404,960
Aaa AAA 2,000 City of Jacksonville
(FGIC) (AMT), 0%, 10/1/12 757,920
Aaa AAA 1,185 City of Opa-Locka (FGIC),
7.00%, 1/1/14 1,332,924
Aaa AAA 5,000 St. Petersburg Excise Tax
(FGIC), 5.00%, 10/1/16 4,535,100
Aaa AAA 2,000 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/10 889,340
Aaa AAA 1,760 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/12 683,196
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 2,840 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/14 974,120
Aaa AAA 4,000 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/15 1,282,680
Aaa AAA 4,140 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/16 1,252,350
Aaa AAA 2,525 Sunrise Florida Public
Facilities (MBIA), 0%,
10/1/17 720,534
-------------
$ 14,806,874
-------------
INSURED TRANSPORTATION - 7.7%
Aaa AAA $ 4,000 Dade County Aviation
Facilities (MBIA) (AMT),
6.55%, 10/1/13 $ 4,240,200
Aaa AAA 7,500 Dade County Aviation
Facilities (MBIA) (AMT),
5.75%, 10/1/18 7,369,950
Aaa AAA 11,000 Dade County Aviation
Facilities (MBIA) (AMT),
5.75%, 10/1/26 10,617,090
Aaa AAA 1,000 Dade County Seaport
Revenue (MBIA), 5.125%,
10/1/26 896,120
Aaa AAA 8,455 FL State Turnpike
Authority (FGIC), 6.35%,
7/1/22 8,776,459
Aaa AAA 8,600 Greater Orlando Aviation
Authority, Orlando Airport
Facilities (FGIC), (AMT),
6.375%, 10/1/21 8,904,612
Aaa AAA 10,920 Orlando & Orange County
Expressway Authority
(FGIC), 5.125%, 7/1/20 9,926,280
-------------
$ 50,730,711
-------------
INSURED UTILITIES - 4.9%
Aaa AAA $11,465 FL Municipal Power Agency
Stanton II Project
(AMBAC), 4.50%, 10/1/27 $ 9,207,885
Aaa AAA 7,770 FL Municipal Power Agency
Stanton II Project
(AMBAC), 4.50%, 10/1/16 6,584,453
Aaa AAA 8,000 FL Municipal Power Agency
Stanton II Project
(AMBAC), 5.10%, 10/1/25 7,130,800
Aaa AAA 4,000 Lakeland Electric & Water
(FGIC), 6.00%, 10/1/13 4,060,720
Aaa AAA 1,540 Manatee County Public
Utility (FGIC), 0%,
10/1/12 593,978
Aaa AAA 1,750 Puerto Rico Electric Power
Authority (FSA), Variable,
7/1/02 (1) 1,919,750
Aaa AAA 2,200 Puerto Rico Electric Power
Authority (FSA), Variable,
7/1/03 (1) 2,442,000
-------------
$ 31,939,586
-------------
</TABLE>
40
<PAGE> 9
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED WATER & SEWER - 4.7%
Aaa AAA $11,450 Broward County Water &
Sewer (AMBAC), 5.125%,
10/1/15 $ 10,579,686
Aaa AAA 9,500 Dade County Water and
Sewer System (FGIC),
5.00%, 10/1/13 8,720,430
Aaa AAA 2,000 City of Fort Myers Utility
(FGIC), 5.00%, 10/1/16 1,814,040
Aaa AAA 4,000 Sanford Water and Sewer
(AMBAC), 4.50%, 10/1/21 3,298,280
Aaa AAA 1,700 St. John's County Water &
Sewer (MBIA), 0%, 6/1/16 524,348
Aaa AAA 5,600 St. Lucie County Utility
System (FGIC), 6.00%.
10/1/20 5,858,216
-------------
$ 30,795,000
-------------
LIFE CARE - 1.1%
NR NR $ 6,895 Atlantic Beach, Fleet
Landing Project, 8.00%,
10/1/24 $ 7,114,537
-------------
NURSING HOMES - 1.8%
NR NR $ 300 Broward County Industrial
Development Authority,
Beverly Enterprises -
Florida, Inc. Project,
9.80%, 11/1/10 $ 333,947
NR NR 475 Charlotte County
Industrial Development
Authority, Beverly
Enterprises, 10.00%,
6/1/11 539,087
NR NR 6,520 Citrus County Industrial
Development Authority,
Beverly Enterprises,
7.25%, 4/1/03 6,596,154
NR NR 2,135 Highlands County
Industrial Development
Authority, Beverly
Enterprises - Florida,
Inc. Project, 9.25%,
7/1/07 2,357,275
NR NR 410 Okaloosa County, Beverly
Enterprises, 10.75%,
10/1/03 442,370
NR NR 700 Orange County Industrial
Development Authority,
Beverly Enterprises,
9.25%, 8/1/10 774,221
NR NR 1,000 Winter Garden, Beverly
Enterprises, 8.75%, 7/1/12 1,090,660
-------------
$ 12,133,714
-------------
SOLID WASTE - 0.6%
A A $ 3,745 Broward County Waste
Energy Company, L.P. North
Project, 7.95%, 12/1/08 $ 4,153,055
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
SPECIAL TAX REVENUE - 6.0%
A1 A+ $ 8,020 Orange County 5.375%,
1/1/24 $ 7,365,968
A1 NR 3,000 City of Orlando, 6.00%,
10/1/22 3,017,940
Baa1 A 7,410 Puerto Rico Highway &
Transportation Authority,
5.50%, 7/1/19 6,930,351
Baa1 A 10,135 Puerto Rico Highway &
Transportation Authority,
5.00%, 7/1/22 8,778,836
Baa1 A 10,560 Puerto Rico Highway &
Transportation Authority,
5.25%, 7/1/21 9,510,442
Baa1 A 2,150 Puerto Rico Highway &
Transportation Authority,
5.00%, 7/1/36 1,796,647
NR AA 1,000 St. Lucie FL Special
Assessment, 6.10%, 11/1/20 1,011,520
NR AA 1,000 St. Lucie FL Special
Assessment, 6.20%, 11/1/25 1,015,620
-------------
$ 39,427,324
-------------
TRANSPORTATION - 1.5%
NR NR $10,140 Mid-Bay Bridge Authority,
6.125%, 10/1/22 $ 9,938,214
-------------
UTILITIES - 13.3%
A1 A+ $ 5,000 Citrus County PCR -
Florida Power. 6.625%,
1/1/27 $ 5,276,150
Aa AA 11,125 Gainesville Utility
System, 5.20%, 10/1/22 10,198,955
NR BBB 27,825 Guam Power Authority,
5.25%, 10/1/23 23,773,124
Aa1 AA 39,005 Jacksonville Electric
Authority, Bulk Power
Supply System, Scherer 4
Project, 5.25%, 10/1/21 35,972,361
Aa1 AA 2,850 Orlando Utilities
Commission Water and
Electric, 5.125%, 10/1/19 2,587,914
Aa AA- 1,750 Orlando Utilities
Commission Water and
Electric, 5.25%, 10/1/23 1,609,510
Aa AA- 2,965 Orlando Utilities
Commission Water and
Electric, 5.50%, 10/1/26 2,818,144
Baa1 A- 185 Puerto Rico Electric Power
Authority, 7.125%, 7/1/14 199,445
A2 A+ 2,515 St. Lucie County Solid
Waste Disposal, Florida
Power & Light Company
(AMT), 6.70%, 5/1/27 2,629,507
NR NR 2,000 Virgin Islands Water &
Power Authority, 7.40%,
7/1/11 2,093,000
-------------
$ 87,158,110
-------------
</TABLE>
41
<PAGE> 10
- --------------------------------------------------------------------------------
FLORIDA MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
WATER & SEWER - 0.4%
Baa1 BBB+ $ 2,500 Hillsborough County
Utility, 6.625%, 8/1/11 $ 2,627,525
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $624,599,013) $ 656,577,289
=============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
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 March 31, 1996, 31.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial guaranty assurance
agencies. The aggregate percentage by financial institution ranged from 0.1% to
12.8% of total investments.
See notes to financial statements
42
<PAGE> 11
- --------------------------------------------------------------------------------
Massachusetts Municipals Portfolio
Portfolio of Investments - March 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 6.4%
Aa1 AA+ $ 1,625 Massachusetts Health and
Educational Facilities
Authority, (HEFA), Amherst
College, 6.80%, 11/1/21 $ 1,758,998
A1 A+ 250 Massachusetts HEFA, Tufts
University, 7.75%, 8/1/13 272,715
NR BBB- 3,700 Massachusetts HEFA,
Merrimack College, 7.125%,
7/1/12 3,917,819
Aa AA- 7,605 Massachusetts HEFA, Smith
College, 5.75%, 7/1/24 7,427,803
Aa1 AA 2,300 Massachusetts Industrial
Finance Agency (IFA),
Phillips Academy, 5.375%,
9/1/23 2,148,591
A1 NR 2,000 New England Educational
Loan Marketing
Corporation, 6.90%,
11/1/09 2,110,140
NR BBB- 1,000 Puerto Rico Industrial,
Tourist, Educational,
Medical and Environmental
Control Authority,
Polytechnic University,
6.50%, 8/1/24 1,003,610
-------------
$ 18,639,676
-------------
ESCROWED - 0.7%
Baa1 AAA $ 1,900 Puerto Rico Aqueduct and
Sewer Authority,
Prerefunded to 7/1/98,
7.00%, 7/1/19 $ 2,055,800
-------------
GENERAL OBLIGATIONS - 9.2%
Baa1 NR $ 1,000 City of Lowell, 6.375%,
8/15/01 $ 1,071,220
A1 A+ 3,400 Commonwealth of
Massachusetts, 5.00%,
1/1/12 3,177,946
A1 A+ 8,765 Massachusetts Bay
Transportation Authority,
5.50%, 3/1/21 8,222,972
A1 A+ 1,000 Massachusetts Bay
Transportation Authority,
5.90%, 3/1/12 1,020,230
NR BBB 2,145 Government of Guam, 5.40%,
11/15/18 1,894,957
A NR 3,375 Town of Nantucket, 6.80%,
12/1/11 3,706,257
Baa1 A 100 Puerto Rico Public
Buildings Authority,
5.50%, 7/1/21 92,796
Baa1 A 2,000 Puerto Rico Aqueduct and
Sewer Authority, 5.00%,
7/1/15 1,798,620
A1 A+ 250 University of
Massachusetts Building
Authority, 7.20%, 5/1/04 286,285
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 A+ 2,500 University of
Massachusetts Building
Authority, 6.875%, 5/1/14 2,868,600
NR NR 3,350 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 2,449,640
-------------
$ 26,589,523
-------------
HEALTH CARE - 2.6%
NR AA $ 1,485 Massachusetts HEFA, (FHA),
Deutsches Altenheim,
7.70%, 11/1/31 (4) $ 1,592,484
NR AAA 2,100 Massachusetts IFA, Heights
Crossing, (AMT), 6.15%,
2/1/35 2,027,739
NR NR 9,000 Massachusetts IFA,
Biomedical Research
Corporation, 0%, 8/1/09 4,009,320
-------------
$ 7,629,543
-------------
HOSPITALS - 6.9%
A A $ 3,000 Massachusetts HEFA,
Charlton Memorial
Hospital, 7.25%, 7/1/13 $ 3,179,400
A1 A+ 530 Massachusetts HEFA,
Spaulding Rehabilitation
Hospital, 7.625%, 7/1/21 563,952
Baa1 BBB+ 2,000 Massachusetts HEFA, New
England Baptist Hospital,
7.35%, 7/1/17 2,110,860
Aa NR 3,100 Massachusetts HEFA,
Daughters of Charity
Health System, 6.10%,
7/1/14 3,132,550
A1 A 500 Massachusetts HEFA, Dana-
Farber Cancer Institute,
6.65%, 12/1/15 511,865
A A 4,250 Massachusetts HEFA. The
Medical Center of Central
Mass., 7.10%, 7/1/21 4,469,938
Baa BBB 1,825 Massachusetts HEFA,
Sisters of Providence
Health System, 6.50%,
11/15/08 1,815,528
Baa BBB 1,635 Massachusetts HEFA,
Sisters of Providence
Health System, 6.625%,
11/15/22 1,580,375
NR A- 1,020 Massachusetts HEFA, Jordan
Hospital, 6.875%, 10/1/15 1,048,672
NR A- 1,470 Massachusetts HEFA, Jordan
Hospital, 6.875%, 10/1/22 1,501,693
-------------
$ 19,914,833
-------------
</TABLE>
43
<PAGE> 12
- --------------------------------------------------------------------------------
MASSACHUSETTS MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - 12.0%
NR AAA $ 2,750 Framingham Housing
Authority, (GNMA), 6.65%,
2/20/32 $ 2,783,220
A1 A+ 5,855 Massachusetts Housing
Finance Agency, (HFA),
6.375%, 4/1/21 5,836,791
Aa A+ 400 Massachusetts HFA, 7.35%,
12/1/16 422,444
Aaa AAA 2,750 Massachusetts HFA, (FNMA),
6.90%, 11/15/21 2,901,525
Aaa AAA 1,000 Massachusetts HFA, (FNMA),
6.875%, 11/15/11 1,069,770
Aa A+ 2,795 Massachusetts HFA, (AMT),
7.125%, 6/1/25 2,914,710
Aa A+ 1,500 Massachusetts HFA, (AMT),
8.10%, 12/1/21 1,605,675
Aa A+ 2,195 Massachusetts HFA, (AMT),
8.10%, 6/1/20 2,302,665
Aa A+ 7,250 Massachusetts HFA, (AMT),
6.60%, 12/1/26 7,365,565
Aa A+ 6,400 Massachusetts HFA, (AMT),
6.60%, 12/1/26 6,502,016
Aa A+ 1,000 Massachusetts HFA, 6.35%,
6/1/17 1,008,640
-------------
$ 34,713,021
-------------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL - 2.7%
NR NR $ 2,075 Massachusetts IFA, Hingham
Water Company, (AMT),
6.60%, 12/1/15 $ 2,122,186
NR NR 3,000 Massachusetts IFA, Hingham
Water Company, (AMT),
6.90%, 12/1/29 3,079,410
A1 AA- 1,550 Puerto Rico Industrial,
Medical and Environmental
Pollution Control
Authority, The Upjohn
Company, 7.50%, 12/1/23 1,684,013
Baa3 BB+ 1,000 Puerto Rico Port
Authority, American
Airlines, (AMT), 6.30%,
6/1/23 1,008,880
-------------
$ 7,894,489
-------------
INSURED EDUCATION - 4.7%
Aaa AAA $ 335 Massachusetts Educational
Finance Authority, (MBIA),
(AMT), 7.25%, 1/1/09 $ 338,991
Aaa AAA 2,000 Massachusetts Educational
Finance Authority,
(AMBAC), (AMT), 7.375%,
1/1/12 2,092,420
Aaa AAA 250 Massachusetts HEFA,
Northeastern University,
(AMBAC), 7.50%, 10/1/08 272,668
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 400 Massachusetts HEFA, Boston
University "RIBS", (MBIA),
Variable, 10/1/31 (1) 452,000
NR AAA 2,500 Massachusetts HEFA,
Suffolk University,
(CLEE), 5.75%, 7/1/26 2,389,525
Aaa AAA 3,000 Massachusetts HEFA, Tufts
University, (FGIC), 5.95%,
8/15/18 3,029,220
NR AAA 5,470 Massachusetts HEFA,
Wentworth Institute,
(CLEE), 5.50%, 10/1/23 5,014,677
-------------
$ 13,589,501
-------------
INSURED GENERAL OBLIGATIONS - 1.2%
Aaa AAA $ 1,795 City of Boston, (FSA),
4.875%, 9/1/09 $ 1,705,806
Aaa AAA 1,000 Commonwealth of Puerto
Rico "RIBS", (AMBAC),
Variable, 7/1/15 (1) 1,011,000
Aaa AAA 600 Town of Tyngsborough,
(AMBAC), 6.90%, 5/15/08 677,976
-------------
$ 3,394,782
-------------
INSURED HOSPITALS - 14.6%
Aaa AAA $ 300 Massachusetts HEFA,
Berkshire Health Systems,
(MBIA), 7.60%, 10/1/14 $ 329,325
Aaa AAA 1,250 Massachusetts HEFA, Beth
Israel Hospital, (AMBAC),
Variable, 7/1/25 (1) 1,260,625
Aaa AAA 1,500 Massachusetts HEFA,
Capital Asset Program,
(MBIA), 7.20%, 7/1/09 1,643,940
Aaa AAA 2,050 Massachusetts HEFA, Fallon
Healthcare System (FSA),
6.75%, 6/1/20 (4) 2,214,759
Aaa AAA 4,500 Massachusetts HEFA, Fallon
Healthcare System (FSA),
6.875%, 6/1/11 4,948,965
Aaa AAA 2,040 Massachusetts HEFA,
Beverly Hospital, (MBIA),
7.30%, 7/1/13 2,234,697
Aaa AAA 1,320 Massachusetts HEFA,
Baystate Medical Center,
(FGIC), 5.00%, 7/1/20 1,167,685
Aaa AAA 1,000 Massachusetts HEFA,
Emerson Hospital, (FSA),
5.80%, 8/15/18 985,140
Aaa AAA 2,000 Massachusetts HEFA, Cooley
Dickenson Hospital,
(AMBAC), 5.50%, 11/15/25 1,875,220
</TABLE>
44
<PAGE> 13
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITALS - (CONTINUED)
Aaa AAA 3,000 Massachusetts HEFA, The
Medical Center of Central
Massachusetts, (AMBAC),
"CARS", Variable, 6/23/22
(1) 3,343,500
Aaa AAA 2,000 Massachusetts HEFA, St.
Elizabeth Hospital,
"LEVRRS", (FSA), Variable,
8/15/21 (1) 2,262,000
Aaa AAA 2,600 Massachusetts HEFA, Saint
Luke's Hospital, "Yield
Curve Notes", (MBIA),
Variable, 8/15/13 (1) 2,492,100
Aaa AAA 2,600 Massachusetts HEFA, Saint
Luke's Hospital, "Yield
Curve Notes", (MBIA),
Variable, 8/15/13 (1) 2,545,400
Aaa AAA 1,200 Massachusetts HEFA,
University Hospital,
(MBIA), 7.25%, 7/1/19 1,331,676
Aaa AAA 6,950 Massachusetts HEFA, Lahey
Clinic, (MBIA), 5.375%,
7/1/23 6,440,009
Aaa AAA 1,000 Massachusetts HEFA, New
England Medical Center,
(FGIC), 6.50%, 7/1/12 1,057,990
NR AAA 2,625 Massachusetts HEFA,
Winchester Hospital,
(CLEE), 5.75%, 7/1/14 2,558,194
NR AAA 3,650 Massachusetts HEFA,
Winchester Hospital,
(CLEE), 5.75%, 7/1/24 3,487,976
-------------
$ 42,179,201
-------------
INSURED HOUSING - 1.6%
Aaa AAA $ 2,500 Massachusetts HFA, (AMT),
(AMBAC), 6.40%, 12/1/15
(2) $ 2,508,325
Aaa AAA 2,000 Massachusetts HFA,
(AMBAC), 6.45%, 1/1/36 2,051,200
-------------
$ 4,559,525
-------------
INSURED TRANSPORTATION - 2.2%
Aaa AAA $ 5,860 Massachusetts Port
Authority, (AMT), (FGIC),
7.50%, 7/1/20 $ 6,510,753
-------------
INSURED WATER AND SEWER - 0.7%
Aaa AAA $ 2,500 Massachusetts Water
Resources Authority,
(MBIA), 4.75%, 12/1/21 $ 2,127,950
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
LEASE/CERTIFICATE OF
PARTICIPATION - 3.3%
NR A- $ 7,800 Plymouth County,
Massachusetts Correctional
Facility Project, 7.00%,
4/1/22 (3) $ 8,368,620
NR BBB 1,200 Puerto Rico Industrial,
Tourist, Educational,
Medical and Environmental
Control Authority,
Guaynabo Lease, 5.625%,
7/1/22 1,100,844
-------------
$ 9,469,464
-------------
NURSING HOMES - 2.1%
NR NR $ 2,400 Massachusetts HEFA,
Fairview Care Facilities,
10.25%, 1/1/21 $ 2,735,544
NR NR 3,225 Massachusetts IFA, Age
Institute of
Massachusetts, 8.05%,
11/1/25 3,221,033
-------------
$ 5,956,577
-------------
SOLID WASTE - 0.4%
NR NR $ 1,245 City of Pittsfield, Vicon
Recovery Associates
Project, 7.95%, 11/1/04 $ 1,301,648
-------------
SPECIAL TAX REVENUE - 3.4%
A1 AA $ 3,000 Commonwealth of
Massachusetts, 6.00%,
6/1/13 $ 3,049,020
A1 AA- 4,560 Commonwealth of
Massachusetts, 5.80%,
6/1/14 4,559,544
Baa1 A 2,000 Puerto Rico Highway and
Transportation Authority,
6.625%, 7/1/18 2,205,640
-------------
$ 9,814,204
-------------
TRANSPORTATION - 4.6%
NR BBB $ 7,950 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 6,041,690
Aa AA- 7,300 Massachusetts Port
Authority, 6.00%, 7/1/23 7,366,138
-------------
$ 13,407,828
-------------
UTILITIES - 7.9%
NR BBB $ 2,765 Guam Power Authority,
5.25%, 10/1/23 $ 2,362,361
A BBB+ 3,500 Massachusetts Municipal
Wholesale Electric
Company, 6.75%, 7/1/11 3,705,625
A BBB+ 5,610 Massachusetts Municipal
Wholesale Electric
Company, 6.00%, 7/1/18 5,602,538
A BBB+ 9,060 Massachusetts Municipal
Wholesale Electric
Company, 6.625%, 7/1/18 9,446,862
</TABLE>
45
<PAGE> 14
- --------------------------------------------------------------------------------
MASSACHUSETTS MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - (CONTINUED)
Baa1 A- 150 Puerto Rico Electric Power
Authority, 5.50%, 7/1/20 140,103
NR NR 1,500 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,569,750
-------------
$ 22,827,239
-------------
WATER AND SEWER - 12.8%
Baa1 BBB $12,185 City of Boston Harbor
Electric Energy Company
Project, (AMT), 7.375%,
5/15/15 (3) $ 13,103,871
A A 1,500 Massachusetts Water
Resources Authority,
5.25%, 3/1/13 1,393,440
A A 5,175 Massachusetts Water
Resources Authority,
5.00%, 3/1/22 4,516,999
A A 1,360 Massachusetts Water
Resources Authority,
5.50%, 3/1/17 1,276,428
A A 13,000 Massachusetts Water
Resources Authority,
4.75%, 12/1/23 10,788,050
A A 4,165 Massachusetts Water
Resources Authority,
5.25%, 12/1/15 3,865,744
NR NR 2,000 Virgin Islands Water and
Power Authority, 7.60%,
1/1/12 2,127,920
-------------
$ 37,072,452
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST $274,146,153) $ 289,648,009
=============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) When-issued security.
(3) Security has been segregated to cover when-issued securities.
(4) Security has been segregated to cover margin requirements for 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 March 31, 1996, 25.0% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 4.1% to 6.9% of total investments.
See notes to financial statements
46
<PAGE> 15
- --------------------------------------------------------------------------------
Mississippi Municipals Portfolio
Portfolio of Investments - March 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ESCROWED - 1.6%
Aaa NR $1,500 Mississippi Housing Finance
Corporation, SFMR, (AMT),
0%, 6/1/15 $ 483,210
------------
GENERAL OBLIGATIONS - 9.3%
NR A- $1,000 Mississippi Development
Bank, Golden Triangle,
6.00%, 7/1/15 $ 979,780
Aa AA- 500 State of Mississippi,
5.75%, 6/1/14 503,510
Aa AA- 200 State of Mississippi,
5.10%, 11/15/12 190,508
Aa AA- 500 State of Mississippi,
6.75%, 12/1/14 542,915
Baa1 A 250 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 229,733
------------
$ 2,446,446
------------
HOSPITAL - 3.5%
A NR $1,000 Mississippi Hospital
Equipment & Facilities
Authority, Rankin Medical
Center, 5.60%,
3/1/19 $ 915,650
------------
HOUSING - 9.3%
Aa NR $ 500 Hinds County, Woodridge
Apartments, (FHA) 6.25%,
11/1/27 $ 502,630
Aaa NR 300 Vicksburg Leased Housing
Corporation, Magnolia
Manor, (FHA) 5.95%, 8/15/22 296,433
Aaa NR 1,000 Mississippi Home
Corporation, SFMR, Access
Program, (AMT), (GNMA)
8.125%, 12/1/24 1,102,460
Aaa NR 485 Mississippi Home
Corporation, SFMR, Access
Program, (AMT), (GNMA)
8.10%, 12/1/24 534,116
------------
$ 2,435,639
------------
INDUSTRIAL DEVELOPMENT
REVENUE - 11.3%
NR A- $ 600 Jackson County,
International Paper
Company, (AMT), 5.55%,
10/1/17 $ 568,314
A2 A 1,000 Lowndes County,
Weyerhaeuser Company,
6.80%, 4/1/22 1,100,430
NR AA- 500 Port of Gulfport, E.I. du
Pont de Nemours and
Company, (AMT), 7.15%,
5/1/16 543,285
A2 NR 145 Commonwealth of Puerto
Rico, American Home
Products, 5.10%, 12/1/18 130,091
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
A3 A- 600 Warren County,
International Paper
Company, (AMT), 6.60%,
3/1/19 609,744
------------
$ 2,951,864
------------
INSURED EDUCATION - 4.0%
Aaa AAA $1,000 Mississippi Educational
Facilities Authority,
Milsaps College, (MBIA)
6.50%, 11/1/19 $ 1,049,860
------------
INSURED GENERAL OBLIGATIONS - 5.4%
Aaa AAA $ 500 Hinds County, (MBIA) 6.25%,
3/1/11 $ 536,730
Aaa AAA 1,000 Desoto County School
District, (MBIA) 4.75%,
2/1/13 887,070
------------
$ 1,423,800
------------
INSURED HOSPITALS - 18.2%
Aaa AAA $1,000 Alcorn County, Magnolia
Regional Health Center,
(AMBAC) 5.75%, 10/1/13 $ 975,250
Aaa AAA 1,000 City of Gulfport, Gulfport
Memorial Hospital, (MBIA)
6.20%, 7/1/18 1,028,900
Aaa AAA 1,275 Hinds County, Mississippi
Methodist Hospital, (AMBAC)
5.60%, 5/1/12 1,265,591
Aaa AAA 500 Mississippi Hospital
Equipment and Facilities
Authority, Methodist Health
Systems, (MBIA) 5.50%,
8/15/13 482,620
Aaa AAA 1,000 Mississippi Hospital
Equipment and Facilities
Authority, Mississippi
Baptist Medical Center,
(MBIA) 6.00%, 5/1/13 1,018,570
------------
$ 4,770,931
------------
INSURED HOUSING - 2.0%
Aaa NR $ 500 Mississippi Home
Corporation, SFMR, (AMT),
(GNMA) 6.625%, 4/1/27 $ 511,950
------------
INSURED LEASE/CERTIFICATE OF
PARTICIPATION - 5.7%
Aaa AAA $1,500 Medical Center Building
Corporation, University of
Mississippi Medical Center,
(MBIA) 5.80%, 12/1/14 $ 1,488,045
------------
INSURED UTILITIES - 7.6%
Aaa AAA $1,600 Jackson County, Gautier
Utility District, (MBIA)
6.375%, 3/1/12 $ 1,671,008
Aaa AAA 300 Commonwealth of Puerto
Rico, Electric Power
Authority, (FSA) Variable,
7/1/03 (1) 333,000
------------
$ 2,004,008
------------
</TABLE>
47
<PAGE> 16
- --------------------------------------------------------------------------------
MISSISSIPPI MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED WATER & SEWER - 1.9%
Aaa AAA $ 500 City of Natchez, Combined
Water and Sewer System,
(MBIA) 5.70%, 8/1/17 $ 489,685
------------
HEALTH CARE - 2.6%
NR NR $ 500 Mississippi Business
Finance Corporation,
Magnolia Healthcare, 7.99%,
7/1/25 $ 487,775
NR NR 200 City of Ridgeland Urban
Renewal, The Orchard, LTD.,
7.75%, 12/1/15 (2) 199,966
------------
$ 687,741
------------
LEASE/CERTIFICATE OF
PARTICIPATION - 3.9%
A NR $1,000 Mississippi University
Educational Building Corp.,
Facilities Renovation,
6.15%, 6/15/15 $ 1,013,900
------------
SPECIAL TAX - 6.4%
Baa1 A $ 500 Commonwealth of Puerto
Rico, Highway and
Transportation Authority,
5.25%, 7/1/20 $ 451,180
Baa1 A 1,000 Commonwealth of Puerto
Rico, Highway and
Transportation Authority,
5.25%, 7/1/21 900,610
Baa1 A 375 Commonwealth of Puerto
Rico, Highway and
Transportation Authority,
5.00%, 7/1/36 (2) 313,369
------------
$ 1,665,159
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES - 7.1%
NR BBB $ 810 Guam Power Authority,
6.625%, 10/1/14 $ 831,237
Baa3 NR 1,000 Warren County, Mississippi
Power & Light Company
Project, 7.00%, 4/1/22 1,040,050
------------
$ 1,871,287
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $25,016,825) $ 26,209,175
============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Mississippi
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 29, 1996, 44.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 1.3% to 27.0% of total investments.
See notes to financial statements
48
<PAGE> 17
- --------------------------------------------------------------------------------
New York Municipals Portfolio
Portfolio of Investments - March 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSISTED LIVING - 0.3%
NR NR $ 1,970 Village of North Syracuse
Housing Authority, (AJM
Senior Housing, Inc. Janus
Park Project), 8.00%,
6/1/24 $ 1,961,135
-------------
EDUCATION - 14.5%
A NR $ 1,000 Dutchess County IDA, Bard
College, 7.00%, 11/1/17 $ 1,077,270
A1 NR 6,170 Monroe County IDA,
University of Rochester,
7.25%, 12/1/16 6,448,884
Baa BBB- 1,660 City of New Rochelle IDA
Civic Facilities, College
of New Rochelle, 6.75%,
7/1/22 1,705,102
Baa1 BBB+ 9,000 Dormitory Authority, State
University Educational
Facilities, 6.25%, 5/15/17 8,978,220
Baa1 BBB+ 1,300 Dormitory Authority, State
University Educational
Facilities, 7.50%, 5/15/11 1,498,939
Baa1 BBB+ 11,500 Dormitory Authority, State
University Educational
Facilities, 5.25%, 5/15/13 10,618,870
Aaa AA+ 6,895 Dormitory Authority, State
University Educational
Facilities, 4.75%, 7/1/14 6,215,290
Aa AA 2,650 Dormitory Authority, State
University Educational
Facilities, 5.00%, 7/1/15 2,437,550
Baa1 BBB+ 415 Dormitory Authority, State
University Educational
Facilities, 7.375%,
5/15/14 454,911
Baa1 BBB+ 9,850 Dormitory Authority, State
University Educational
Facilities, 5.25%, 5/15/15 8,984,382
Baa1 BBB+ 7,605 Dormitory Authority, State
University Educational
Facilities, 5.25%, 5/15/19 6,843,663
Baa1 BBB+ 6,805 Dormitory Authority, State
University Educational
Facilities, 5.25%, 5/15/21 6,081,901
NR AA 1,300 Dormitory Authority, New
York Medical College
(Asset Guaranty), 6.875%,
7/1/21 1,402,453
Baa1 BBB+ 28,975 Dormitory Authority, State
University Educational
Facilities, 5.50%, 5/15/13 27,495,247
-------------
$ 90,242,682
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ELECTRIC UTILITIES - 4.9%
A1 A $ 2,500 New York State Energy
Resources & Development
Authority, Brooklyn Union
Gas (RIBS)(AMT), Variable,
7/1/26 (1) $ 2,963,750
A1 A+ 500 New York State Energy
Resource & Development
Authority, Consolidated
Edison (AMT), 7.75%,
1/1/24 529,000
A1 A+ 2,365 New York State Energy
Resource & Development
Authority, Consolidated
Edison (AMT), 7.50%,
7/1/25 2,544,480
A1 A+ 1,000 New York State Energy
Resource & Development
Authority, Consolidated
Edison (AMT), 7.50%,
1/1/26 1,081,500
Aa AA- 19,445 Power Authority of the
State of New York, 5.25%,
1/1/18 17,950,457
Baa1 A- 1,500 Puerto Rico Electric Power
Authority, 0%, 7/1/17 404,085
Baa1 A- 2,250 Puerto Rico Electric Power
Authority, 5.50%, 7/1/20 2,101,545
NR NR 3,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 3,139,500
-------------
$ 30,714,397
-------------
ESCROWED - 11.4%
Aaa AAA $ 725 Albany Municipal Water
(MBIA), 7.50%, 12/1/17 $ 799,501
Aaa BBB 1,000 Dormitory Authority, City
University, 7.625%, 7/1/20 1,140,150
Aaa BBB+ 1,530 Dormitory Authority, State
University Educational
Facilities, 7.70%, 5/15/12 1,743,695
NR BBB 1,000 Dormitory Authority, City
University, 8.125%, 7/1/08 1,102,480
Baa1 BBB- 2,250 Dormitory Authority,
Upstate Community College,
7.20%, 7/1/21 2,560,725
Baa1 NR 2,000 Dormitory Authority,
Upstate Community College,
7.30%, 7/1/21 2,285,440
Baa BBB+ 13,380 New York State Housing
Finance Agency Health
Facilities, 6.00%, 5/1/16 13,379,197
Aaa AAA 500 Erie County Water
Authority, Water Works
System, 6.00%, 12/1/08 535,280
Aaa AAA 500 Metropolitan
Transportation Authority
Commuter Facilities Bonds,
7.50%, 7/1/19 565,600
</TABLE>
49
<PAGE> 18
- --------------------------------------------------------------------------------
NEW YORK MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ESCROWED - (CONTINUED)
Aaa AAA 1,000 New York Local Government
Assistance Corporation,
7.00%, 4/1/16 1,126,720
Aaa AAA 1,500 New York Local Government
Assistance Corporation,
6.75%, 4/1/21 1,690,125
Aaa BBB 1,000 New York State Housing
Finance Agency Service
Contracts, 7.80%, 9/15/11 1,160,990
Aaa AAA 1,775 New York State Housing
Finance Agency Service
Contracts, 7.375%, 9/15/21 2,055,876
Aaa BBB+ 90 New York State Medical
Care Facilities Finance
Agency, (MCFFA), Mental
Health Services
Facilities, 7.75%, 8/15/10 102,127
Aaa AAA 450 New York State MCFFA,
Mental Health Services
Facilities, 7.875%,
8/15/08 518,917
Aaa AAA 3,320 New York State MCFFA,
Mental Health Services
Facilities, 7.50%, 2/15/21 3,804,189
Aaa NR 8,100 New York State Urban
Development Corporation
Correctional Facilities,
6.50%, 1/1/21 8,784,450
Baa1 BBB 4,750 New York State Thruway
Authority, Local Highway
and Bridge Service
Contract Bonds, 7.25%,
1/1/10 (2) 5,357,145
Baa1 BBB 7,200 New York State Urban
Development Corporation,
5.70%, 4/1/20 6,839,496
Baa1 BBB 500 New York State Urban
Development Corporation,
Alfred Technology, 7.875%,
1/1/20 567,825
Baa1 BBB 750 New York State Urban
Development Corporation,
Clarkson Center, 7.80%,
1/1/20 864,997
Baa1 BBB 750 New York State Urban
Development Corporation,
Clarkson Center, 8.00%,
1/1/20 841,538
Aaa AAA 5,350 New York State UDC,
Onondaga Co. Convention
Center, 7.875%, 1/1/10 6,199,741
NR AA- 500 Power Authority of the
State of New York, 8.00%,
1/1/17 542,215
NR A 1,760 Puerto Rico Highway &
Transportation Authority,
6.625%, 7/1/18 1,976,339
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 AAA 3,750 Puerto Rico Aqueduct &
Sewer Authority, 7.875%,
7/1/17 4,127,212
-------------
$ 70,671,970
-------------
GENERAL OBLIGATIONS - 2.3%
A A- $ 5,965 New York State, 6.125%,
6/15/14 $ 6,186,421
Baa1 A- 120 New York City, 8.25%,
5/15/16 138,904
Baa1 A- 4,000 New York City, 7.50%,
2/1/18 4,333,440
Aa AA 1,700 Onondaga County, 5.875%,
2/15/11 1,776,364
Aa AA 1,600 Onondaga County, 5.875%,
2/15/12 1,659,392
-------------
$ 14,094,521
-------------
HEALTH CARE - 15.3%
NR AAA $ 6,705 Dormitory Authority,
United Health Services,
FHA, 7.35%, 8/1/29 $ 7,243,344
NR AA 1,000 Dormitory Authority, St.
Johns, FHA Insured Nursing
Home, 6.05%, 2/1/16 1,010,840
Aa AA 750 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.35%, 2/15/29 809,108
NR AAA 3,550 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.125%, 2/15/14 3,640,809
NR AA 9,000 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.70%, 8/15/23 9,402,750
Aa AA 6,600 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.25%, 2/15/31 7,119,354
Aa AA 1,500 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.95%, 2/15/32 1,591,065
Aa AA 2,190 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
7.00%, 8/15/32 2,342,577
Aa AA 1,050 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.75%, 2/15/12 1,110,837
</TABLE>
50
<PAGE> 19
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HEALTH CARE - (CONTINUED)
Aa AA 1,000 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.55%, 8/15/12 1,037,680
NR AA 2,670 New York State MCFFA,
Hospital and Nursing
Insured Mortgage (FHA),
6.10%, 8/15/15 2,676,461
Aa AA 3,500 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.20%, 8/15/14 3,588,445
Aa AA 2,425 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.20%, 2/15/10 2,500,199
Aa AA 2,500 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.50%, 2/15/35 2,546,525
Aa AA 6,550 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.25%, 8/15/15 6,720,824
Aa AA 6,625 New York State MCFFA,
Insured Mortgage Project
(FHA), 6.20%, 8/15/15 6,678,133
Aa AA 950 New York State MCFFA,
Insured Mortgage Project
(FHA), 7.45%, 8/15/31 1,027,511
Baa1 BBB+ 1,610 New York State MCFFA,
Mental Health Services
Facilities, 7.625%,
8/15/17 1,797,404
Baa1 BBB+ 145 New York State MCFFA,
Mental Health Services
Facilities, 7.75%, 8/15/10 159,949
Baa1 BBB+ 495 New York State MCFFA,
Mental Health Services
Facilities, 7.875%,
8/15/08 554,821
Baa1 BBB+ 1,230 New York State MCFFA,
Mental Health Services
Facilities, 7.50%, 2/15/21 1,365,940
Baa1 BBB+ 4,785 New York State MCFFA,
Mental Health Services
Facilities,, Series 1994
A, 5.25%, 8/15/23 4,149,887
Baa NR 5,540 New York State MCFFA,
Secured Hospital, 7.35%,
8/15/11 5,919,435
Baa BBB 19,700 New York State MCFFA,
Secured Hospital
(Brookdale), 6.80%,
8/15/12 20,323,701
-------------
$ 95,317,579
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - 0.7%
Aa AAA $ 1,500 Dormitory Authority, Long
Island Jewish Medical
Center (FHA), 7.75%,
8/15/27 $ 1,605,150
NR AAA 1,000 Dormitory Authority, St.
Francis Hospital (FHA),
7.65%, 8/1/30 1,106,890
Baa1 BBB+ 1,800 Syracuse Industrial
Development Agency (IDA),
St. Joseph's Hospital
Health Center, 7.50%,
6/1/18 1,904,688
-------------
$ 4,616,728
-------------
HOUSING - 5.8%
NR NR $ 4,704 New York City Housing
Development Corporation
(HDC), Allerville Project,
6.50%, 11/15/18 $ 4,770,839
NR NR 2,062 New York City HDC, Dayton
Project, 6.50%, 11/15/18 2,067,436
NR AAA 2,550 New York City HDC, Multi-
Unit Management, 7.35%,
6/1/19 2,678,163
Baa A 4,750 New York City HDC, General
Housing, 6.50%, 5/1/22 4,797,785
Aa AAA 235 New York State Housing
Finance Agency, Baytown,
7.10%, 8/15/35 248,468
Aa NR 565 New York State Mortgage
Agency, 7.70%, 10/1/12 606,754
Aaa AAA 250 New York State Mortgage
Agency, 6.90%, 4/1/03 262,945
Aa NR 8,750 New York State Mortgage
Agency, 6.90%, 4/1/15 9,266,950
Aa NR 500 New York State Mortgage
Agency, 6.65%, 4/1/22 515,280
Aa NR 1,000 New York State Mortgage
Agency, 7.50%, 4/1/15 1,083,300
Aa NR 270 New York State Mortgage
Agency, 8.00%, 10/1/17 284,880
Aa NR 275 New York State Mortgage
Agency, 7.65%, 4/1/19 290,820
Aa NR 1,600 New York State Mortgage
Agency (AMT), 7.95%,
10/1/21 1,715,344
Aa NR 6,350 New York State Mortgage
Agency (AMT), 6.40%,
10/1/20 6,431,280
Baa BBB 350 Puerto Rico Commonwealth
Urban Renewal & Housing
Corporation, 7.875%,
10/1/04 389,575
</TABLE>
51
<PAGE> 20
- --------------------------------------------------------------------------------
NEW YORK MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOUSING - (CONTINUED)
Aaa AAA 380 Puerto Rico Housing
Financial Corporation
Single-Family (GNMA),
7.65%, 10/15/22 399,646
-------------
$ 35,809,465
-------------
INSURED COLLEGE & UNIVERSITY - 1.9%
Aaa AAA $ 2,485 Dormitory Authority, State
University (AMBAC), 5.25%,
7/1/14 $ 2,353,544
Aaa AAA 6,950 Dormitory Authority,
Marist College (MBIA),
6.00%, 7/1/22 7,025,685
Aaa AAA 2,000 Dormitory Authority, New
York University (MBIA),
5.00%, 7/1/11 1,893,560
Aaa AAA 450 Dormitory Authority,
Colgate University, 6.00%,
7/1/16 466,592
-------------
$ 11,739,381
-------------
INSURED GENERAL OBLIGATIONS - 0.8%
Aaa AAA $ 1,035 Erie County Water
Authority (AMBAC), 0%,
12/1/17 $ 218,965
Aaa AAA 2,480 New York State
Environmental Facilities
Corporation (EFC), Jamaica
Water Supply Company (AMT)
(AMBAC), 7.625%, 4/1/29 2,686,584
Aaa AAA 1,955 New York State Dorm
Authority, City
University, 5.75%, 7/1/13 1,980,474
-------------
$ 4,886,023
-------------
INSURED GENERAL OBLIGATIONS
LOCAL - 1.8%
Aaa AAA $ 465 Chautauqua County
Unlimited Tax (FGIC),
7.30%, 4/1/07 $ 548,128
Aaa AAA 520 Chautauqua County
Unlimited Tax (FGIC),
6.40%, 9/15/08 574,132
Aaa AAA 770 Chautauqua County
Unlimited Tax (FGIC),
6.40%, 9/15/09 846,800
Aaa AAA 725 Jamestown, (Secondary
AMBAC), 7.00%, 3/15/07 836,164
Aaa AAA 600 Jamestown, (Secondary
AMBAC), 7.00%, 3/15/08 692,304
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/09 813,372
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/10 815,542
Aaa AAA 700 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/11 817,033
Aaa AAA 675 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/12 788,683
Aaa AAA 675 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/13 788,947
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 515 Jamestown, (Secondary
AMBAC), 7.10%, 3/15/14 601,736
Aaa AAA 2,000 New York City (AMBAC),
7.00%, 8/1/17 2,227,220
Aaa AAA 500 Oyster Bay (FGIC), 6.60%,
2/15/12 554,610
Aaa AAA 450 Oyster Bay (GDIC), 6.60%,
2/15/13 499,149
-------------
$ 11,403,820
-------------
INSURED GENERAL OBLIGATIONS
SCHOOL DISTRICT - 0.3%
Aaa AAA $ 700 Bethlehem Central School
District (AMBAC), 7.10%,
11/1/08 $ 819,497
Aaa AAA 700 Bethlehem Central School
District (AMBAC), 7.10%,
11/1/09 822,332
-------------
$ 1,641,829
-------------
INSURED GENERAL OBLIGATIONS
TERRITORY - 0.7%
Aaa AAA $ 4,500 Commonwealth of Puerto
Rico Public Improvement
Residual Interest Tax
Exempt Securities (FSA),
Variable, 7/1/22 (1) $ 4,628,250
-------------
INSURED HEALTH CARE - 4.8%
Aaa AAA $ 9,130 New York State Dormitory
Authority, Mental Health
Facilities (MBIA), 5.125%,
8/15/21 $ 8,282,188
Aaa AAA 1,500 New York State MCFFA, Long
Term Health Care (CGIC),
6.80%, 11/1/14 1,600,530
Aaa AAA 1,300 New York State MCFFA, New
York Hospital FHA Insured
Mortgage (AMBAC), 6.60%,
2/15/11 1,417,156
Aaa AAA 5,400 New York State MCFFA, New
York Hospital FHA Insured
Mortgage (AMBAC), 6.75%,
8/15/14 5,845,014
Aaa AAA 13,025 New York State MCFFA,
Mental Health Services
Facilities (MBIA), 5.375%,
2/15/14 12,330,116
-------------
$ 29,475,004
-------------
INSURED HOUSING - 0.1%
Aaa AAA $ 500 New York City HDC, Charter
Oaks (MBIA), 7.375%,
4/1/17 $ 520,650
-------------
</TABLE>
52
<PAGE> 21
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED MISCELLANEOUS - 3.7%
Aaa AAA $ 500 New York City IDA, (USTA
National Tennis Center
Incorporated Project)
(FSA), 6.375%, 11/15/14 $ 523,725
Aaa AAA 2,000 New York State Dormitory
Authority, City
University, (Sec. AMBAC),
5.75%, 7/1/13 2,026,060
Aaa AAA 21,500 New York State Energy
Research & Development
Authority, Brooklyn Union
Gas, 5.50%, 1/1/21 20,601,515
-------------
$ 23,151,300
-------------
INSURED SOLID WASTE - 1.6%
Aaa AAA $ 1,650 Dutchess County Resource
Recovery Solid Waste
(FGIC), 7.50%, 1/1/09 $ 1,805,232
Aaa AAA 6,795 Islip Resource Recovery
Agency (MBIA), 6.50%,
7/1/09 7,426,052
Aaa AAA 1,000 Montgomery, Otesgo,
Schoharie Solid Waste
Management Authority
(MBIA), 5.25%, 1/1/14 943,690
-------------
$ 10,174,974
-------------
INSURED TOLL & TURNPIKE - 0.5%
Aaa AAA $ 3,000 Triborough Bridge & Tunnel
Authority Residual
Interest Tax Exempt
Securities (MBIA),
Variable, 1/1/19 (1) $ 3,030,000
-------------
INSURED TRANSIT - 0.5%
Aaa AAA $ 3,000 Triborough Bridge & Tunnel
Authority Residual
Interest Tax Exempt
Securities (MBIA),
Variable, 1/1/12 (1) $ 3,225,000
-------------
INSURED WATER & SEWER - 0.1%
Aaa AAA $ 275 Albany Municipal Water
Financial Authority
(MBIA), 7.50%, 12/1/17 $ 297,014
-------------
LEASE/CERTIFICATE OF PARTICIPATION -
6.1%
Baa1 BBB $ 5,100 Dormitory Authority, City
University, 7.00%, 7/1/09 $ 5,634,735
Baa1 BBB 4,325 Dormitory Authority, City
University, 7.50%, 7/1/10 4,994,034
Baa1 BBB 15,815 Dormitory Authority, City
University, 5.75%, 7/1/13 15,326,000
Baa1 BBB 250 Dormitory Authority, City
University, 6.375%, 7/1/08 256,977
NR BBB 5,865 New York State Thruway
Authority, 0%, 1/1/01 4,535,932
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa1 BBB 5,775 New York State Urban
Development Corporation
(UDC) Correctional
Facilities, 5.50%, 1/1/14 5,461,706
A A 1,825 Syracuse - Hancock
International Airport
Certificates of
Participation, 6.625%,
1/1/12 1,909,535
-------------
$ 38,118,919
-------------
MISCELLANEOUS - 1.6%
Aa AA- $ 200 City of New York Municipal
Assistance Corporation,
7.50%, 7/1/08 $ 216,092
Aa AA- 485 City of New York Municipal
Assistance Corporation,
7.625%, 7/1/08 524,110
Aa AA- 635 City of New York Municipal
Assistance Corporation,
7.625%, 7/1/08 703,377
NR NR 1,300 New York City IDA, (YMCA
of Greater New York),
8.00%, 8/1/16 1,393,392
VRDC - IVRC Trust,
Variable, 6/26/02 (1) 7,200,900
7,000
-------------
$ 10,037,871
-------------
SOLID WASTE - 2.1%
Baa1 A- $ 2,665 Hempstead IDA Resource
Recovery, American
Refunding Fuel Co., 7.40%,
12/1/10 $ 2,754,731
Baa NR 9,530 New York State EFC
Resource Recovery,
Huntington Project, 7.50%,
10/1/12 10,037,091
-------------
$ 12,791,822
-------------
SPECIAL TAX REVENUE - 11.2%
A A $ 4,750 New York State LGAC,
5.25%, 4/1/16 $ 4,411,325
A A 5,225 New York State LGAC,
5.50%, 4/1/17 4,999,437
A A 7,420 New York State LGAC,
5.50%, 4/1/18 6,927,238
A A 33,135 New York State LGAC,
5.50%, 4/1/21 30,801,633
New York State LGAC,
5.00%, 4/1/23 4,550,856
5,270
A A 5,000 New York State LGAC,
5.00%, 4/1/21 4,409,650
NR BBB+ 2,630 New York State Municipal
Bond Bank Agency, 6.875%,
3/15/06 2,837,323
</TABLE>
53
<PAGE> 22
- --------------------------------------------------------------------------------
NEW YORK MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
SPECIAL TAX REVENUE - (CONTINUED)
Baa1 A 4,840 Puerto Rico Highway and
Transportation Authority,
6.625%, 7/1/18 5,337,649
Baa1 A 2,000 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 1,926,280
Baa1 BBB 3,335 Triborough Bridge & Tunnel
Authority, Convention
Center, 6.00%, 1/1/11 3,331,398
-------------
$ 69,532,789
-------------
TRANSPORTATION - 3.7%
Baa1 BBB $ 2,000 MTA Transit Facilities
Service Contract, 5.75%,
7/1/13 $ 1,952,800
Baa1 BBB 725 MTA Transit Facilities
Service Contract, 5.75%,
7/1/13 711,711
NR BBB 2,350 New York State Thruway
Authority, Cross
Westchester Expressway
Project, 0%, 1/1/03 1,609,633
Ba1 BB 2,800 Port Authority of New York
and New Jersey, Delta
Airlines LaGuardia
Airport, 6.95%, 6/1/08 2,967,496
A1 AA- 1,500 Port Authority of New York
and New Jersey (AMT),
Variable, 1/15/27 (1) 1,560,750
Aa A+ 11,580 TBTA General Purpose,
5.50%, 1/1/17 11,230,630
Aa A+ 2,500 TBTA General Purpose,
6.125%, 1/1/21 2,629,475
-------------
$ 22,662,495
-------------
WATER & SEWER REVENUE - 3.3%
Aa A $11,050 New York State EFC, State
Water Pollution Control,
6.875%, 6/15/10 $ 12,211,797
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa A+ 4,545 New York State EFC, State
Water Pollution Control,
7.20%, 3/15/11 4,979,138
Aa A 2,750 New York State EFC, State
Water Pollution Control,
7.00%, 6/15/12 3,028,053
Aa A 150 New York State EFC, State
Water Pollution Control,
7.50%, 6/15/12 166,228
-------------
$ 20,385,216
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $591,994,397) $ 621,130,834
=============
</TABLE>
(1) The above securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by New York
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1996, 16.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.3% to 9.1% of total investments.
See notes to financial statements
54
<PAGE> 23
- --------------------------------------------------------------------------------
Ohio Municipals Portfolio
Portfolio of Investments - March 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 7.4%
A A+ $ 1,000 University of Cincinnati,
6.50%, 12/1/11 $ 1,036,680
A1 AA- 650 University of Cincinnati,
6.50%, 6/1/11 689,956
Aa AA- 550 Ohio State Higher
Educational Facilities,
Case Western University,
6.50%, 10/1/20 596,222
NR AAA 2,100 Ohio Higher Educational
Facilities, Ohio Northern
University (CLEE), 5.60%,
5/1/13 2,079,399
NR AAA 1,750 Ohio Higher Educational
Facilities, Ohio Northern
University (CLEE), 5.65%,
5/1/18 1,708,945
A1 A+ 1,300 Ohio State Higher
Educational Facilities,
Public Facilities, 5.50%,
12/1/07 1,328,626
A1 NR 7,000 Ohio State Student Loan
Funding Corp (AMT),
6.10%, 8/1/07 7,144,130
A1 NR 7,000 Ohio State Student Loan
Funding Corp (AMT),
6.10%, 8/1/08 7,102,340
A1 AA- 1,500 Ohio State University
Revenue, 5.75%, 12/1/09 1,535,805
-------------
$ 23,222,103
-------------
ESCROWED - 1.4%
A AAA $ 2,760 Middleburg Heights
Hospital - Southwest
General, 6.75%, 8/15/21 $ 3,089,406
Baa1 NR 1,000 Scioto City Ohio, 7.15%,
8/1/11 1,127,040
-------------
$ 4,216,446
-------------
GENERAL OBLIGATIONS - 6.2%
NR NR $ 3,035 Belmont County, 7.30%,
12/1/17 $ 3,179,314
NR NR 2,450 Cleveland City School
District, 7.25%, 6/15/98 2,486,260
Aaa AAA 1,035 City of Columbus, 5.50%,
11/1/12 1,029,380
A1 NR 1,360 Copley-Fairlawn City
School District, 6.25%,
12/1/15 1,419,976
A1 NR 500 Huber Heights, Ohio,
6.75%, 12/1/11 544,610
A1 NR 725 City of Medina, Ohio Fire
Station Improvement,
3.00%, 12/1/10 535,754
Aa AA 1,500 Ohio State Infrastructure
Improvement, 0%, 8/1/11 633,810
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR NR 1,000 Tuscarawas Public Library
Improvement, 6.90%,
12/1/11 1,076,350
Baa NR 1,000 Youngstown, Ohio, 7.55%,
12/1/11 1,103,900
NR NR 6,855 Youngstown, Ohio, 7.35%,
6/15/05 7,397,436
-------------
$ 19,406,790
-------------
HEALTH CARE - 2.5%
NR AAA $ 1,000 Allen County Ohio, LIMA
Convalescent Home
Foundation (GNMA), 6.40%,
1/1/21 $ 1,018,790
Aa2 NR 1,600 Hamilton County,
Episcopal Retirement
Homes, 6.80%, 1/1/08 1,715,248
NR BBB- 1,800 Marion County, United
Church Homes, 6.30%,
11/15/15 1,754,406
Baa BBB 2,925 Puerto Rico Urban Renewal
& Housing Corporation,
0%, 10/1/99 2,473,994
Aa2 NR 600 Warren County, Otterbein
Home Project, 7.20%,
7/1/11 656,604
-------------
$ 7,619,042
-------------
HOSPITALS - 18.2%
Baa BBB- $ 1,000 Butler County,
Hamilton-Hughe Hospital,
7.50%, 1/1/10 $ 1,044,840
NR BBB 1,000 Cambridge Ohio, Guernsey
Memorial Hospital, 8.00%,
12/1/11 1,071,600
A1 A 2,100 Cuyahoga County, Fairview
General Hospital, 6.25%,
8/15/10 2,139,837
A1 A 2,370 Cuyahoga County, Meridia
Health System, 7.00%,
8/15/23 2,484,803
A1 A 2,000 Cuyahoga County, Meridia
Health System, 6.50%,
8/15/12 2,039,600
Aa AA 750 Cuyahoga County,
University Hospitals
Health System, 6.50%,
1/15/19 775,313
Aa AA 4,450 Cuyahoga County,
University Hospitals
Health System, 6.00%,
1/15/22 4,474,208
NR BBB 4,130 Defiance Hospital, Inc.,
7.625%, 11/1/03 4,236,389
Baa BBB- 765 East Liverpool City
Hospital-Series A, 8.00%,
10/1/21 806,287
Baa BBB- 1,000 East Liverpool City
Hospital-Series B, 8.00%,
10/1/21 1,053,970
</TABLE>
55
<PAGE> 24
- --------------------------------------------------------------------------------
OHIO MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
HOSPITALS - (CONTINUED)
A A- 4,000 Erie County, Firelands
Community Hospital,
6.75%, 1/1/08 4,208,440
Aa NR 3,000 Franklin County,
Children's Hospital,
6.60%, 5/1/13 3,151,920
A A 1,015 City of Garfield Heights,
Marymount Hospital,
6.65%, 11/15/11 1,048,454
A A 1,000 City of Garfield Heights,
Marymount Hospital,
6.70%, 11/15/15 1,036,270
Aa2 NR 1,000 Hamilton County, Wesley
Hall Project, 6.50%,
3/1/15 1,056,770
A1 A 4,000 Hamilton County, Bethesda
Hospital, Inc., 6.25%,
1/1/12 4,015,520
A1 A+ 1,095 Lorain County, Humility
of Mary Health Care
Corp., 7.125%, 12/15/06 1,189,707
A1 A+ 5,900 Lorain County, Humility
of Mary Health Care
Corp., 5.90%, 12/15/08 6,012,571
A1 A+ 1,000 Lorain County, Humility
of Mary Health Care
Corp., 7.20%, 12/15/11 1,073,370
NR A+ 1,750 Lorain County, Lakeland
Community Hospital, Inc.,
6.50%, 11/15/12 1,787,993
NR BBB+ 1,000 Lucas County, Flowers
Hospital, 6.125%, 12/1/13 935,960
NR A 1,000 Muskingham County-
Bethesda Care System
(CLEE), 5.40%, 12/1/16 924,930
NR NR 10,000 Mt Vernon, Knox Community
Hospital, 7.875%, 6/1/12 10,063,500
-------------
$ 56,632,252
-------------
HOUSING - 9.3%
Aa NR $ 1,300 City of Clermont, Laurels
Project (FHA), 6.00%,
9/1/20 $ 1,294,956
Aa NR 1,000 Franklin County, Hamilton
Creek Apartments (FHA),
(AMT), 5.80%, 7/1/14 949,230
Aa NR 3,650 Franklin County, Hamilton
Creek Apartments (FHA),
(AMT), 5.55%, 7/1/24 3,259,669
Aa NR 2,500 Franklin County MFMR-
Tuttle Park Project
(FHA), (AMT), 6.50%,
3/1/26 2,539,650
Aa NR 5,985 Franklin County MFMR-
Tuttle Park Project
(FHA), (AMT), 6.50%,
3/1/36 6,086,625
NR AAA 3,490 Ohio HFA, (GNMA), (AMT),
6.375%, 3/1/25 3,525,424
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NR AAA 4,735 Ohio HFA, (GNMA), (AMT),
6.70%, 3/1/25 4,844,994
NR AAA 1,250 Ohio HFA, MFMR-Asbury
Woods (FHA), 7.00%,
10/1/24 1,277,900
Aa NR 2,850 Ohio HFA, Oakleaf Village
Project, (FHA), 5.70%,
9/1/26 2,666,916
Aa NR 1,000 Ohio HFA, Aristocrat
South Board & Care
Project (FHA), (AMT),
7.30%, 8/1/31 1,031,250
Aaa AAA 1,035 Ohio HFA SFMR, (GNMA)
(AMT), Variable, 3/31/31
(1) 1,098,777
A1 A+ 500 Ohio Building Authority
Juvenile Correctional
Building, 5.80%, 10/1/07 517,480
-------------
$ 29,092,871
-------------
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL
REVENUES - 8.3%
Baa1 NR $ 3,750 Ohio Air Quality
Development Authority,
Ashland Oil Inc, 6.85%,
4/1/10 $ 3,988,425
NR A- 585 Ohio IDR, Enterprise Bond
Fund, Burrows Paper Corp.
(AMT), 7.625%, 6/1/11 646,197
NR A- 300 Ohio IDR, Enterprise Bond
Fund, Cheryl & Co.,
(AMT), 5.50%, 12/1/04 299,157
NR A- 530 Ohio IDR, Enterprise Bond
Fund, Cheryl & Co.,
(AMT), 5.90%, 12/1/09 533,281
NR A- 1,775 Ohio IDR, Enterprise Bond
Fund, Consolidated
Biscuit, (AMT), 7.00%,
12/1/09 1,970,694
NR A- 3,385 Ohio IDR, Enterprise Bond
Fund, J J & W LP Project
(AMT), 6.70%, 12/1/14 3,509,399
NR A- 750 Ohio IDR, Enterprise Bond
Fund, Luigino's Inc.
(AMT), 6.85%, 6/1/01 766,793
NR A- 935 Ohio IDR, Enterprise Bond
Fund, Progress Plastic
Products, (AMT), 6.80%,
12/1/01 1,012,699
NR A- 1,525 Ohio IDR, Enterprise Bond
Fund, Progress Plastic
Products, (AMT), 7.80%,
12/1/09 1,770,357
NR A- 680 Ohio IDR, Enterprise Bond
Fund, Royal Appliance
Manufacturing Co., Series
1991 #9 (AMT), 7.625%,
12/1/11 755,888
</TABLE>
56
<PAGE> 25
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT/
POLLUTION CONTROL
REVENUE - (CONTINUED)
NR A- 1,000 Ohio IDR, Enterprise Bond
Fund, Royal Appliance
Manufacturing Co., Series
1991 #5 (AMT), 7.625%,
12/1/11 1,111,600
NR A- 880 Ohio IDR, Enterprise Bond
Fund, VSM Corp., (AMT),
7.375%, 12/1/11 967,666
NR AA- 1,000 Ohio Pollution Control,
Standard Oil Company,
6.75%, 12/1/15 1,129,480
NR BB 1,020 Ohio Economic
Development, KMART Corp.,
6.75%, 5/15/07 901,790
Baa2 BBB 3,990 Ohio Water Development
Authority, Union Carbide
Corp. Project, 5.50%,
1/15/07 5.50%, 1/15/07 3,885,263
Ba2 NR 1,500 Portage County, Kroger
Corporation, 7.25%,
7/1/99 1,580,940
Ba2 NR 1,000 Summit County, Kroger
Corporation, 6.85%,
7/1/99 1,044,020
-------------
$ 25,873,649
-------------
INSURED EDUCATION - 0.3%
Aaa AAA $ 1,000 Ohio Higher Education,
University of Dayton
Project (FGIC), 5.80%,
12/1/14 $ 1,005,430
-------------
INSURED GENERAL OBLIGATIONS - 2.3%
Aaa AAA $ 1,000 Hilliard Ohio School
District (FGIC), 5.00%,
12/1/20 $ 894,460
Aaa AAA 1,595 Marion County Local
School District (MBIA),
5.375%, 12/1/19 1,514,086
Aaa AAA 1,700 Puerto Rico (AMBAC),
Variable, 7/1/15 (1) 1,718,700
Aaa AAA 3,000 Puerto Rico (FSA),
Variable, 7/1/22 (1) 3,085,500
-------------
$ 7,212,746
-------------
INSURED HEALTH CARE - 2.4%
Aaa AAA $ 1,945 Hamilton County, Sisters
of Charity Health Care
System (MBIA), 5.25%,
5/15/13 $ 1,833,765
Aaa AAA 5,925 Montgomery County,
Sisters of Charity Health
Care System (MBIA),
5.25%, 5/15/11 5,732,556
-------------
$ 7,566,321
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED HOSPITAL - 13.1%
Aaa AAA $ 2,500 Akron, Bath and Copley
Townships Children's
Hospital Medical Center
of Akron, (AMBAC), 5.25%,
11/15/20 $ 2,302,375
Aaa AAA 1,000 Clermont County, Mercy
Health System (AMBAC),
Variable, 10/5/21 (1) 1,157,000
Aaa AAA 1,500 Cuyahoga County, Fairview
Hospital, (MBIA), 5.50%,
8/15/19 1,400,925
Aaa AAA 4,000 Cuyahoga County, Fairview
Hospital, (MBIA), 5.50%,
1/15/17 3,823,200
Aaa AAA 10,500 Franklin County,
Riverside United
Methodist (AMBAC), 5.75%,
5/15/20 10,258,290
Aaa AAA 6,700 Franklin County,
Riverside United
Methodist (MBIA), 5.75%,
5/15/20 6,587,976
Aaa AAA 2,750 Mansfield General
Hospital (AMBAC), 6.70%,
12/1/09 2,967,003
Aaa AAA 5,000 Middleburg Heights
Hospital-Southwestern
General (FSA), 5.75%,
8/15/21 4,895,100
Aaa AAA 1,000 Montgomery County, Ohio
Miami Valley Hospital,
(AMBAC), 6.25%, 11/15/16 1,036,270
Aaa AAA 6,565 Portage County, Robinson
Memorial Hospital,
(MBIA), 5.80%, 11/15/15 6,319,140
-------------
$ 40,747,279
-------------
INSURED HOUSING - 0.9%
Aaa AAA $ 985 Ohio Capital Corporation
FHA Insured Mortgage
Loans, (MBIA), 7.25%,
7/1/24 $ 1,026,990
Aaa AAA 750 Ohio Capital Corporation
FHA Insured Mortgage
Loans, (MBIA), 6.50%,
1/1/25 763,388
Aaa AAA 1,100 Ohio Capital Corporation
MFMR-Horizon Apts.
(MBIA), 6.50%, 1/1/23 1,124,662
-------------
$ 2,915,040
-------------
INSURED IDR/IDB - 2.3%
Aaa AAA $ 7,000 Ohio Air Quality
Development Authority,
JMG Funding, L.P.
Project, (AMBAC), (AMT),
6.375%, 1/1/29 $ 7,207,690
-------------
INSURED LEASE - 0.2%
Aaa AAA $ 1,000 Ohio Higher Education,
University of Dayton,
(FGIC), 0%, 12/1/06 $ 572,530
-------------
</TABLE>
57
<PAGE> 26
- --------------------------------------------------------------------------------
OHIO MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED SPECIAL TAX REVENUES - 0.7%
Aaa AAA $ 2,110 Hudson Local School
District, (FGIC), 0%,
12/15/09 $ 1,008,728
Aaa AAA 1,000 Hudson Local School
District, (FGIC), 0%,
12/15/10 449,770
Aaa AAA 1,400 Pickerington Local School
District, (AMBAC), 0%,
12/1/11 582,344
-------------
$ 2,040,842
-------------
INSURED UTILITIES - 2.0%
Aaa AAA $ 1,650 Cleveland Public Power
System, (MBIA), 7.00%,
11/15/17 $ 1,810,034
Aaa AAA 2,000 Cuyahoga County Medical
Center Utility System
(AMT) (MBIA), 6.10%,
8/15/15 2,011,220
Aaa AAA 2,300 Puerto Rico Electric
Power Authority, (FSA),
Variable, 7/1/02 (1) 2,523,100
-------------
$ 6,344,354
-------------
LEASE/CERTIFICATE OF
PARTICIPATION - 0.8%
Baa1 A $ 2,500 Puerto Rica Public
Building Authority,
6.00%, 7/1/12 $ 2,504,800
-------------
LIFE CARE - 0.7%
Aa NR $ 2,000 Franklin County,
Kensington Place Project,
6.75%, 1/1/34 $ 2,046,060
-------------
NURSING HOMES - 1.7%
NR NR $ 1,650 Cuyahoga County-Judson
Retirement Community,
8.875%, 11/15/19 $ 1,788,485
NR NR 3,100 Green County-Fairview
Extended Care, 10.125%,
1/1/11 3,496,180
-------------
$ 5,284,665
-------------
SPECIAL TAX REVENUE - 4.7%
Baa1 A $ 3,000 Puerto Rico Highway &
Transportation Authority,
6.625%, 7/1/12 $ 3,209,700
Baa1 A 5000 Puerto Rico Highway &
Transportation Authority,
5.25%, 7/1/20 4,511,800
Baa1 A 4995 Puerto Rico Highway &
Transportation Authority,
5.00%, 7/1/22 4,326,616
Baa1 A 1850 Puerto Rico Highway &
Transportation Authority,
5.50%, 7/1/36 1,684,055
Baa1 A 1000 Puerto Rico Highway &
Transportation Authority,
5.00%, 7/1/36 835,650
-------------
$ 14,567,821
-------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
TRANSPORTATION - 3.2%
NR BBB $ 5,630 Guam Airport Authority,
(AMT), 6.70%, 10/1/23 $ 5,716,759
A1 AA- 4,330 Ohio Turnpike Commission,
5.75%, 2/15/24 4,235,519
-------------
$ 9,952,278
-------------
UTILITIES - 10.5%
NR BBB $ 5,500 Guam Power Authority,
5.25%, 10/1/13 (3) $ 4,903,690
A1 A+ 18,335 OH State Air Quality
Development Authority,
6.10%, 9/01/30 18,281,279
Baa1 A- 3,000 Puerto Rico Electric
Power Authority, 5.00%,
7/1/12 2,714,220
Baa1 A- 360 Puerto Rico Electric
Power Authority, 7.125%,
7/1/14 388,109
Baa1 A- 20,165 Puerto Rico Electric
Power Authority, 0%,
7/1/17 5,432,249
NR NR 1,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,046,500
-------------
$ 32,766,047
-------------
WATER & SEWER REVENUE - 0.9%
NR NR $ 800 The Mahoning Valley
Sanitary District, 7.00%,
12/15/08 $ 849,672
NR NR 950 The Mahoning Valley
Sanitary District, 7.00%,
12/15/09 1,006,069
NR NR 1,000 City of Vermilion, Ohio
Water System, 7.25%,
8/15/15 1,070,950
-------------
$ 2,926,691
-------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $300,256,227) $ 311,723,747
=============
</TABLE>
(1) The above security has been issued as an inverse floater bond.
The Portfolio invests primarily in debt securities issued by Ohio
municipalities. The ability of the issuers of the debt securities to meet their
debt obligations may be affected by economic developments in a specific industry
or municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1996, 24.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 1.3% to 10.9% of total investments.
See notes to financial statements
58
<PAGE> 27
- --------------------------------------------------------------------------------
Rhode Island Municipals Portfolio
Portfolio of Investments - March 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
EDUCATION - 5.1%
Aa AA $ 1,500 Rhode Island Health and
Educational Building
Corporation, Brown
University, 5.375%, 9/1/23 $ 1,395,465
A NR 750 Rhode Island Student Loan
Authority, 5.60%, 12/1/12 703,590
------------
$ 2,099,055
------------
ELECTRIC UTILITIES - 3.8%
Baa1 A- $ 710 Puerto Rico Electric Power
Authority, 5.00%, 7/1/12 $ 642,365
Baa1 A- 1,000 Puerto Rico Electric Power
Authority, 5.50%, 7/1/25 934,020
------------
$ 1,576,385
------------
GENERAL OBLIGATIONS
(LOCAL) - 0.8%
Ba NR $ 310 West Warwick, 6.80%,
7/15/98 $ 317,034
------------
GENERAL OBLIGATIONS
(TERRITORY) - 2.8%
Baa1 A $ 500 Puerto Rico Public
Improvement, 5.50%, 7/1/13 $ 484,265
NR BBB 750 Government of Guam, 5.40%,
11/15/18 662,572
------------
$ 1,146,837
------------
HOSPITALS - 7.7%
NR AA $ 1,500 Rhode Island Health and
Educational Building
Corporation, Landmark
Medical Center, 5.875%,
10/1/19 $ 1,454,505
NR A 1,015 Rhode Island Health and
Educational Building
Corporation, Butler
Hospital, 5.125%, 1/1/08 953,014
Baa BBB+ 830 Rhode Island Health and
Educational Building
Corporation, Westerly
Hospital, 6.00%, 7/1/14 755,433
------------
$ 3,162,952
------------
HOUSING - 16.2%
Aa AA+ $ 1,500 Rhode Island Housing and
Mortgage Finance
Corporation (AMT), 6.60%,
10/1/25 $ 1,579,093
Aa AA 100 Rhode Island Housing and
Mortgage Finance
Corporation (AMT), 6.70%,
10/1/12 103,692
Aa AA+ 270 Rhode Island Housing and
Mortgage Finance
Corporation, 6.70%, 10/1/14 280,760
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa AA+ 875 Rhode Island Housing and
Mortgage Finance
Corporation (AMT), 6.80%,
10/1/25 (2) 904,173
Aa AA+ 1,000 Rhode Island Housing and
Mortgage Finance
Corporation (AMT), 7.10%,
10/1/23 (2) 1,035,740
Aa AA+ 2,000 Rhode Island Housing and
Mortgage Finance
Corporation (AMT), 7.55%,
10/1/22 2,123,840
Aa A 35 Rhode Island Housing and
Mortgage Finance
Corporation, 7.875%,
10/1/22 36,261
Aa AA+ 500 Rhode Island Housing and
Mortgage Finance
Corporation, 6.20%, 10/1/06 513,100
Aa AA+ 95 Rhode Island Housing and
Mortgage Finance
Corporation, 6.85%, 4/1/27 98,303
------------
$ 6,674,962
------------
INDUSTRIAL DEVELOPMENT
REVENUE - 3.6%
Baa3 BB+ $ 500 Puerto Rico Port Authority,
American Airlines,
Inc.(AMT), 6.30%, 6/1/23 $ 504,440
Aa2 AA 1,000 Rhode Island Industrial
Facilities Corp., Mobil
Corp., 6.00%, 11/1/14 1,012,160
------------
$ 1,516,600
------------
INSURED COLLEGE AND
UNIVERSITY - 10.1%
Aaa AAA $ 1,000 Rhode Island Health and
Educational Building,
Providence College Issue
(MBIA), 5.60%, 11/1/15 $ 966,510
Aaa AAA 730 Rhode Island Health and
Educational Building,
Providence College Issue
(MBIA), 5.60%, 11/1/22 696,989
Aaa AAA 500 Rhode Island Health and
Educational Building,
Board of Governors
University of Rhode Island
(MBIA), 5.50%, 9/15/13 485,255
Aaa AAA 2,200 Rhode Island Health and
Educational Building,
Board of Governors
University of Rhode Island
(MBIA), 5.25%, 9/15/23 2,006,664
------------
$ 4,155,418
------------
</TABLE>
59
<PAGE> 28
- --------------------------------------------------------------------------------
RHODE ISLAND MUNICIPALS PORTFOLIO (CONTINUED)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATIONS - 16.8%
Aaa AAA $ 1,500 Kent County Water
Authority, 6.35%, 7/15/14 $ 1,572,525
Aaa AAA 1,000 Rhode Island Depositors
Economic Protection
Corporation, Special
Obligation, 5.80%, 8/1/09 1,035,640
Aaa AAA 1,000 Rhode Island Depositors
Economic Protection
Corporation, Special
Obligation, 5.80%, 8/1/12 1,010,440
Aaa AAA 2,000 Rhode Island Clean Water
Revolving Fund Series-A,
5.875%, 10/1/15 2,008,520
Aaa AAA 1,480 Rhode Island Port Authority
and Economic Development
Corporation Airport, (FSA),
5.25%, 7/1/23 1,310,170
------------
$ 6,937,295
------------
INSURED GENERAL OBLIGATIONS
(LOCAL) - 4.9%
Aaa AAA $ 1,000 Burrellville, (MBIA),
5.75%, 10/15/17 $ 984,210
Aaa AAA 1,000 Cranston, Rhode Island,
6.10%,6/15/15 1,026,370
------------
$ 2,010,580
------------
INSURED GENERAL OBLIGATIONS
(STATE) - 2.4%
Aaa AAA $ 1,000 State of Rhode Island,
5.50%, 7/15/12 $ 980,940
------------
INSURED GENERAL OBLIGATION
(TERRITORY) - 0.6%
Aaa AAA $ 250 Puerto Rico, Public
Improvement Bonds of 1992,
Yield Curve Notes,
Variable, (AMBAC),
Variable, 7/1/15 (1) $ 252,750
------------
INSURED HOUSING - 6.1%
Aaa AAA $ 870 Providence Housing
Development Corporation
Mortgage, (Barbara Jordan
Apartments) (MBIA), 6.50%,
7/1/09 $ 896,779
Aaa AAA 1,075 Villa Excelsior Housing
Development Corporation
Mortgage (MBIA), 6.75%,
1/1/19 1,115,893
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA 500 Villa Excelsior Housing
Development Corporation
Mortgage (MBIA), 6.85%,
1/1/24 520,845
------------
$ 2,533,517
------------
INSURED LEASE/CERTIFICATE OF
PARTICIPATION - 4.6%
Aaa AAA $ 800 City of Pawtucket, Public
Building Authority (CGIC),
5.75%, 3/15/14 $ 797,304
Aaa AAA 590 Providence Rhode Island
Public Building Authority,
Feinstein School (MBIA),
5.25%, 12/15/13 556,199
Aaa AAA 630 Providence Rhode Island
Public Building Authority,
Feinstein School (MBIA),
5.25%, 12/15/14 589,346
------------
$ 1,942,849
------------
INSURED WATER & SEWER - 4.0%
Aaa AAA $ 350 Rhode Island Clean Water,
Water Pollution Control,
5.40%, 10/1/15 $ 336,144
Aaa AAA 500 Rhode Island Clean Water,
Water Pollution Control
(MBIA), 5.85%, 10/1/09 515,415
Aaa AAA 750 Rhode Island Clean Water,
Safe Drinking Water (MBIA),
6.70%, 1/1/15 806,430
------------
$ 1,657,989
------------
MISCELLANEOUS - 3.7%
Baa1 A- $ 500 Rhode Island Depositors
Economic Protection
Corporation, 5.75%, 8/1/21 $ 472,605
Aaa AAA 550 Rhode Island Depositors
Economic Protection
Corporation, 5.25%, 8/1/21 536,135
NR BBB 500 Guam Airport Authority
Series 93-B, 6.70%, 10/1/23 507,705
------------
$ 1,516,445
------------
SPECIAL TAX - 6.8%
Baa BBB- $ 1,500 City of Providence, Rhode
Island, Special Obligation
Tax Increment Bonds, 7.65%,
6/1/16 $ 1,634,175
</TABLE>
60
<PAGE> 29
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
SPECIAL TAX - (CONTINUED)
Baa1 A 750 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/17 703,507
Baa1 A 500 Puerto Rico Highway and
Transportation Authority,
5.25%, 7/1/20 451,180
------------
$ 2,788,862
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $41,015,563) $ 41,270,470
============
</TABLE>
(1) The above designated securities have been issued as inverse floater bonds.
(2) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Rhode Island
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1996, 49.5% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregated percentage by financial
institution ranged from 1.9% to 39.9% of total investments.
See notes to financial statements
61
<PAGE> 30
- --------------------------------------------------------------------------------
West Virginia Municipals Portfolio
Portfolio of Investments - March 31, 1996
(Unaudited)
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS - 100%
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
ELECTRIC UTILITIES - 10.9%
NR BBB $ 750 Guam Power Authority,
5.25%, 10/1/13 $ 668,685
NR BBB 500 Guam Power Authority,
5.25%, 10/1/23 427,190
A2 A 2,000 Harrison, West Virginia PCR
(Monongahela Power Company
Harrison Station), 6.75%,
8/1/24 2,088,940
A3 BBB+ 1,000 Mason West Virginia PCR
(Appalachian Power Co.),
6.85%, 6/1/22 1,049,500
------------
$ 4,234,315
------------
ESCROWED - 1.8%
Aaa AAA $2,500 Kanawha - Putnam, West
Virginia Single Family
Mortgage (AMBAC), 0%,
12/1/16 $ 708,025
------------
GENERAL OBLIGATIONS - 3.3%
NR BBB $ 400 Guam General Obligation,
5.375%, 11/15/13 $ 359,752
Baa1 A 1,000 Puerto Rico General
Obligation, 5.40%, 7/1/25 918,930
------------
$ 1,278,682
------------
HOSPITALS - 10.1%
NR BBB+ $1,750 Berkeley, West Virginia
Building Commissions (City
Hospital), 6.50%, 11/1/22 $ 1,738,922
A1 NR 1,000 West Virginia HFA
(Charleston Area Medical
Center), 6.50%, 0/1/23 1,024,630
A1 NR 1,125 West Virginia HFA
(Charleston Area Medical
Center), 6.50%, 9/1/16 1,155,769
------------
$ 3,919,321
------------
HOUSING - 3.7%
Aa1 AA+ $ 500 West Virginia Housing
Development Finance, 5.45%,
11/1/21 $ 472,340
Aa1 AA+ 1,000 West Virginia Housing
Developing Finance, 5.55%,
5/1/17 967,400
------------
$ 1,439,740
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL DEVELOPMENT REVENUE/
POLLUTION CONTROL REVENUE - 13.2%
NR A- $1,375 Jefferson, West Virginia
IDR (Royal Venders,
Incorporated), 5.90%,
8/1/04 $ 1,409,375
Baa2 BBB 300 Kanawha, West Virginia IDR
(Union Carbide Chemicals
and Plastics Company),
8.00%, 8/1/20 326,937
A2 NR 1,500 Puerto Rico IM&E (American
Home Products Corporation),
5.10%, 12/1/18 1,345,770
Baa3 BB+ 1,025 Puerto Rico Port Authority
(American Airlines) (AMT),
6.30%, 6/1/23 1,034,102
NR NR 1,000 Upshur, West Virginia Solid
Waste (TJI Project) (AMT),
7.00%, 7/15/25 1,012,290
------------
$ 5,128,474
------------
INSURED EDUCATION - 10.3%
Aaa AAA $1,150 West Virginia State College
System (AMBAC), 6.00%,
4/1/12 (2) $ 1,173,196
Aaa AAA 650 West Virginia State
University System (AMBAC),
6.00%, 4/1/12 665,405
Aaa AAA 1,200 West Virginia State
University (Marshall
Library) (AMBAC), 5.60%,
4/1/11 1,186,812
Aaa AAA 1,000 West Virginia State
University (Marshall
Library) (AMBAC), 5.75%,
4/1/16 983,670
------------
$ 4,009,083
------------
INSURED ELECTRIC UTILITIES - 12.8%
Aaa AAA $2,000 Marshall, West Virginia PCR
(Ohio Power Kammer Plant)
(MBIA), 5.45%, 12/1/16 $ 1,925,980
Aaa AAA 2,250 Mason, West Virginia PCR
(Ohio Power Company)
(AMBAC), 5.45%, 12/1/16 2,147,873
Aaa AAA 250 Puerto Rico Electric Power
Authority (FSA), Variable,
7/1/03 (1) 277,500
Aaa AAA 670 Putnam, West Virginia PCR
(Appalachian Power Company)
(AMBAC), 5.45%, 6/1/19 635,361
------------
$ 4,986,714
------------
</TABLE>
62
<PAGE> 31
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-EXEMPT INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
INSURED GENERAL OBLIGATION - 1.9%
Aaa AAA $ 845 Berkeley, West Virginia
Board of Education General
Obligation (FGIC), 4.125%,
6/1/10 $ 733,933
------------
INSURED HOSPITAL - 12.8%
Aaa AAA $1,000 West Virginia HFA (Linked
Bulls & Bears) (MBIA),
6.10%, 1/1/18 $ 1,014,660
Aaa AAA 200 West Virginia HFA
(University Hospital)
(MBIA), 5.00%, 6/1/13 181,324
Aaa AAA 2,000 West Virginia HFA
(University Hospital)
(MBIA), 5.00%, 6/1/16 1,776,280
Aaa AAA 1,300 West Virginia HFA (Cabell
Huntington Hospital)
(AMBAC), 6.25%, 1/1/19 1,344,889
Aaa AAA 650 West Virginia HFA
(Charleston Area Medical
Center) (MBIA), 5.75%,
9/1/13 642,220
------------
$ 4,959,373
------------
INSURED TRANSPORTATION - 2.1%
Aaa AAA $1,250 West Virginia Parkways
Economic Development and
Tourism Authority (FGIC),
0%, 5/15/04 $ 813,675
------------
INSURED WATER & SEWER - 11.4%
Aaa AAA $1,500 Huntington, West Virginia
Sewerage System (FSA),
5.375%, 11/1/23 $ 1,387,545
Aaa AAA 500 West Virginia Water
Development (Loan Program
II) (FSA), 5.75%, 11/1/19 492,990
Aaa AAA 2,000 West Virginia Water
Development (Loan Program
II) (FSA), 5.25%, 11/1/35 1,784,940
Aaa AAA 750 West Virginia Water
Development (Loan Program
II) (FSA), 6/00%, 11/1/14 761,100
------------
$ 4,426,575
------------
<CAPTION>
RATINGS
(UNAUDITED)
- ------------------ PRINCIPAL
AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
NURSING HOMES - 1.9%
NR NR $ 745 Kanawha, West Virginia IDR
(Beverly Enterprises),
7.25%, 11/1/04 $ 753,417
------------
SOLID WASTE - 2.6%
A2 A $1,000 Braxton, West Virginia
Solid Waste (Weyerhaeuser)
(AMT), 6.50%, 4/1/25 $ 1,023,650
------------
SPECIAL TAX REVENUE - 1.2%
Baa1 A $ 500 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 $ 473,820
------------
TOTAL TAX-EXEMPT
INVESTMENTS (IDENTIFIED
COST, $38,895,653) $ 38,888,797
============
</TABLE>
(1) The above designated security has been issued as an inverse floater bond.
(2) Security has been segregated to cover margin requirements for open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by West Virginia
municipalities. The ability of the issuers of the debt securities to meet their
debt obligations may be affected by economic developments in a specific industry
or municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1996, 51.2% 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 ranged from 4.0% to 22.7% of total investments.
See notes to financial statements
63
<PAGE> 32
- --------------------------------------------------------------------------------
Municipals Portfolios
Financial Statements
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $356,860,992 $624,599,013 $274,146,153 $25,016,825
Unrealized appreciation 25,316,492 31,978,276 15,501,856 1,192,350
------------ ------------ ------------ -----------
Total investments, at value (Note 1A) $382,177,484 $656,577,289 $289,648,009 $26,209,175
Cash 2,547,155 18,443,700 781 333,232
Receivable for investments sold 40,000 3,669,096 463,399 5,135
Interest receivable 6,109,166 13,871,511 5,369,086 502,985
Deferred organization expenses (Note 1D) 11,743 16,718 9,821 1,388
------------ ------------ ------------ -----------
Total assets $390,885,548 $692,578,314 $295,491,096 $27,051,915
------------ ------------ ------------ -----------
LIABILITIES:
Demand note payable (Note 5) $ -- $ -- $ 1,742,000 $ --
Payable for investments purchased 2,191,672 17,363,575 -- 315,348
Payable for when-issued securities (Note 1F) -- -- 2,500,000 --
Payable for daily variation margin on open financial
futures contracts (Note 1E) 150,000 -- 277,500 10,500
Payable to affiliate --
Trustees' fees 4,831 5,327 4,336 438
Accrued expenses 10,332 30,708 8,660 2,544
------------ ------------ ------------ -----------
Total liabilities $ 2,356,835 $ 17,399,610 $ 4,532,496 $ 328,830
------------ ------------ ------------ -----------
NET ASSETS applicable to investors' interest in
Portfolio $388,528,713 $675,178,704 $290,958,600 $26,723,085
============ ============ ============ ===========
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $363,299,110 $643,200,428 $275,050,926 $25,536,817
Unrealized appreciation of investments and financial
futures contracts (computed on the basis of
identified cost) 25,229,603 31,978,276 15,907,674 1,186,268
------------ ------------ ------------ -----------
Total $388,528,713 $675,178,704 $290,958,600 $26,723,085
============ ============ ============ ===========
</TABLE>
See notes to financial statements
64
<PAGE> 33
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $591,994,397 $300,256,227 $41,015,563 $38,895,653
Unrealized appreciation (depreciation) 29,136,437 11,467,520 254,907 (6,856)
------------ ------------ ----------- -----------
Total investments, at value (Note 1A) $621,130,834 $311,723,747 $41,270,470 $38,888,797
Cash 3,375,215 7,869,755 465,943 1,799,648
Receivable for investments sold 4,926,254 747,946 -- --
Interest receivable 10,283,430 5,018,083 804,532 668,269
Deferred organization expenses (Note 1D) 11,773 7,330 1,425 1,421
------------ ------------ ----------- -----------
Total assets $639,727,506 $325,366,861 $42,542,370 $41,358,135
------------ ------------ ----------- -----------
LIABILITIES:
Payable for investments purchased $ 5,015,784 $ 18,119,428 $ -- $ 2,173,230
Payable for daily variation margin on open
financial futures contracts (Note 1E) 258,000 -- 24,000 15,000
Payable to affiliate --
Trustees' fees 5,327 4,336 413 413
Accrued expenses 12,083 21,267 2,387 1,503
------------ ------------ ----------- -----------
Total liabilities $ 5,291,194 $ 18,145,031 $ 26,800 $ 2,190,146
------------ ------------ ----------- -----------
NET ASSETS applicable to investors' interest in
Portfolio $634,436,312 $307,221,830 $42,515,570 $39,167,989
============ ============ =========== ===========
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $604,659,199 $295,754,310 $42,203,378 $39,183,846
Unrealized appreciation (depreciation) of
investments and financial futures contracts
(computed on the basis of identified cost) 29,777,113 11,467,520 312,192 (15,857)
------------ ------------ ----------- -----------
Total $634,436,312 $307,221,830 $42,515,570 $39,167,989
============ ============ =========== ===========
</TABLE>
See notes to financial statements
65
<PAGE> 34
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $13,137,711 $21,447,783 $ 9,374,783 $ 857,840
----------- ----------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 1,012,878 $ 1,626,264 $ 690,932 $ 30,182
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 9,294 10,249 8,340 821
Custodian fee (Note 2) 77,494 115,039 87,923 9,476
Legal and accounting services 38,502 39,202 33,302 22,202
Amortization of organization expenses (Note 1D) 2,820 4,377 2,611 312
Miscellaneous 40,482 72,234 27,780 5,129
----------- ----------- ----------- -----------
Total expenses $ 1,181,470 $ 1,867,365 $ 850,888 $ 68,122
----------- ----------- ----------- -----------
Deduct --
Preliminary reduction of investment adviser fee
(Note 2) $ -- $ -- $ -- $ 15,092
Reduction of custodian fee (Note 2) -- 115,039 30,338 4,295
----------- ----------- ----------- -----------
Total $ -- $ 115,039 $ 30,338 $ 19,387
----------- ----------- ----------- -----------
Net expenses $ 1,181,470 $ 1,752,326 $ 820,550 $ 48,735
----------- ----------- ----------- -----------
Net investment income $11,956,241 $19,695,457 $ 8,554,233 $ 809,105
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 3,915,509 $ 5,202,959 $ 3,445,962 $ 204,582
Financial futures contracts (454,837) 1,558,850 (427,273) 4,515
----------- ----------- ----------- -----------
Net realized gain on investments $ 3,460,672 $ 6,761,809 $ 3,018,689 $ 209,097
----------- ----------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments $ 1,013,399 $(1,829,730) $(2,022,139) $ 29,667
Financial futures contracts 86,610 -- 509,918 21,678
----------- ----------- ----------- -----------
Net unrealized appreciation (depreciation) of
investments $ 1,100,009 $(1,829,730) $(1,512,221) $ 51,345
----------- ----------- ----------- -----------
Net realized and unrealized gain on
investments $ 4,560,681 $ 4,932,079 $ 1,506,468 $ 260,442
----------- ----------- ----------- -----------
Net increase in net assets from operations $16,516,922 $24,627,536 $10,060,701 $ 1,069,547
=========== =========== =========== ===========
</TABLE>
See notes to financial statements
66
<PAGE> 35
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ------------ -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income (Note 1B) $19,853,641 $ 9,795,126 $1,277,647 $ 1,167,236
----------- ----------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 1,509,619 $ 725,887 $ 56,492 $ 49,492
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 10,249 8,340 796 795
Custodian fee (Note 2) 91,978 76,322 13,857 12,400
Interest expense (Note 5) -- 61,516 -- --
Legal and accounting services 39,502 33,202 22,210 22,102
Amortization of organization expenses (Note 1D) 3,148 1,986 319 317
Miscellaneous 41,668 17,244 4,318 5,025
----------- ----------- ----------- -----------
Total expenses $ 1,696,164 $ 924,497 $ 97,992 $ 90,131
----------- ----------- ----------- -----------
Deduct --
Preliminary reduction of investment adviser fee
(Note 2) $ -- $ -- $ 27,546 $ --
Reduction of custodian fee (Note 2) 91,978 24,147 4,553 7,731
----------- ----------- ----------- -----------
Total $ 97,978 $ 24,147 $ 32,099 $ 7,731
----------- ----------- ----------- -----------
Net expenses $ 1,604,186 $ 900,350 $ 65,893 $ 82,400
----------- ----------- ----------- -----------
Net investment income $18,249,455 $ 8,894,776 $1,211,754 $ 1,084,836
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 6,438,218 $ 1,154,949 $ 109,799 $ 111,039
Financial futures contracts (1,688,687) 645,899 (219,645) 76,641
----------- ----------- ----------- -----------
Net realized gain on investments $ 4,749,531 $ 1,800,848 $ (109,846) $ 187,680
----------- ----------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments $(2,566,537) $ (524,171) $ 203,444 $ 160,766
Financial futures contracts 1,003,538 -- 94,756 (1,688)
----------- ----------- ----------- -----------
Net unrealized appreciation (depreciation) of
investments $(1,562,999) $ (524,171) $ 298,200 $ 159,078
----------- ----------- ----------- -----------
Net realized and unrealized gain on
investments $ 3,186,532 $ 1,276,677 $ 188,354 $ 346,758
----------- ----------- ----------- -----------
Net increase in net assets from
operations $21,435,987 $10,171,453 $1,400,108 $ 1,431,594
=========== =========== =========== ===========
</TABLE>
See notes to financial statements
67
<PAGE> 36
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 11,956,241 $ 19,695,457 $ 8,554,233 $ 809,105
Net realized gain on investments 3,460,672 6,761,809 3,018,689 209,097
Change in unrealized appreciation (depreciation)
of investments 1,100,009 (1,829,730) (1,512,221) 51,345
------------ ------------ ------------ -----------
Net increase in net assets from operations $ 16,516,922 $ 24,627,536 $ 10,060,701 $ 1,069,547
------------ ------------ ------------ -----------
Capital transactions --
Contributions $ 9,588,831 $ 24,348,369 $ 7,365,133 $ 1,161,900
Withdrawals (48,247,178) (86,000,337) (28,637,481) (4,501,322)
------------ ------------ ------------ -----------
Decrease in net assets resulting from capital
transactions $(38,658,347) (61,651,968) $(21,272,348) $(3,339,422)
------------ ------------ ------------ -----------
Total decrease in net assets $(22,141,425) $(37,024,432) $(11,211,647) $(2,269,875)
NET ASSETS:
At beginning of period 410,670,138 712,203,136 302,170,247 28,992,960
------------ ------------ ------------ -----------
At end of period $388,528,713 $675,178,704 $290,958,600 $26,723,085
============ ============ ============ ===========
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 18,249,455 $ 8,894,776 $ 1,211,754 $ 1,084,836
Net realized gain (loss) on investments 4,749,531 1,800,848 (109,846) 187,680
Change in unrealized appreciation
(depreciation) of investments (1,562,999) (524,171) 298,200 159,078
------------- ------------ ----------- -----------
Net increase in net assets from operations $ 21,435,987 $ 10,171,453 $ 1,400,108 $ 1,431,594
------------- ------------ ----------- -----------
Capital transactions --
Contributions $ 21,355,757 $ 7,415,543 $ 3,496,890 $ 1,425,192
Withdrawals (61,091,741) (29,381,814) (5,287,395) (4,523,858)
------------- ------------ ----------- -----------
Decrease in net assets resulting from
capital transactions $ (39,735,984) $(21,966,271) $(1,790,505) $(3,098,666)
------------- ------------ ----------- -----------
Total decrease in net assets $ (18,299,997) $(11,794,818) $ (390,397) $(1,667,072)
NET ASSETS:
At beginning of period 652,736,309 319,016,648 42,905,967 40,835,061
------------- ------------ ----------- -----------
At end of period $ 634,436,312 $307,221,830 $42,515,570 $39,167,989
============= ============ =========== ===========
</TABLE>
See notes to financial statements
68
<PAGE> 37
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended September 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 26,176,138 $ 43,615,848 $ 17,915,854 $ 1,761,923
Net realized loss on investments (23,050,795) (22,866,182) (15,667,434) (2,036,920)
Change in unrealized appreciation of investments 33,475,523 54,420,669 23,987,414 3,242,877
------------- ------------- ------------ -----------
Net increase in net assets from operations $ 36,600,866 $ 75,170,335 $ 26,235,834 $ 2,967,880
------------- ------------- ------------ -----------
Capital transactions --
Contributions $ 39,676,667 $ 64,327,943 $ 27,917,577 $ 4,982,661
Withdrawals (110,738,796) (199,418,295) (60,522,944) (8,434,232)
------------- ------------- ------------ -----------
Decrease in net assets resulting from capital
transactions $ (71,062,129) $(135,090,352) $(32,605,367) $(3,451,571)
------------- ------------- ------------ -----------
Total decrease in net assets $ (34,461,263) $ (59,920,017) $ (6,369,533) $ (483,691)
NET ASSETS:
At beginning of year 445,131,401 772,123,153 308,539,780 29,476,651
------------- ------------- ------------ -----------
At end of year $ 410,670,138 $ 712,203,136 $302,170,247 $28,992,960
============= ============= ============ ===========
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 38,506,539 $ 18,465,329 $ 2,410,958 $ 2,332,643
Net realized loss on investments (19,277,660) (7,231,426) (1,392,005) (1,158,097)
Change in unrealized appreciation of
investments 43,043,554 20,963,434 2,874,743 2,810,543
------------ ------------ ----------- -----------
Net increase in net assets from operations $ 62,272,433 $ 32,197,337 $ 3,893,696 $ 3,985,089
------------ ------------ ----------- -----------
Capital transactions --
Contributions $ 61,423,633 $ 24,237,228 $ 9,514,698 $ 3,302,492
Withdrawals (126,606,533) (61,829,470) (8,622,345) (6,925,830)
------------ ------------ ----------- -----------
Increase (decrease) in net assets resulting
from capital transactions $(65,182,900) $(37,592,242) $ 892,353 $(3,623,338)
------------ ------------ ----------- -----------
Total increase (decrease) in net assets $ (2,910,467) $ (5,394,905) $ 4,786,049 $ 361,751
NET ASSETS:
At beginning of year 655,646,776 324,411,553 38,119,918 40,473,310
------------ ------------ ----------- -----------
At end of year $652,736,309 $319,016,648 $42,905,967 $40,835,061
============ ============ =========== ===========
</TABLE>
See notes to financial statements
69
<PAGE> 38
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA PORTFOLIO
----------------------------------------------------
YEAR ENDED
--------------------------------- FLORIDA PORTFOLIO
-------------------------------------------------------
SIX MONTHS ENDED SEPTEMBER 30, MARCH 31, SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1996 ------------------- --------- MARCH 31, 1996 ----------------------------------
(UNAUDITED) 1995 1994**** 1994*** (UNAUDITED) 1995 1994 1993*
---------------- -------- -------- --------- ---------------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average daily
net assets):
Net expenses
(1) 0.58%+ 0.59% 0.57% + 0.55% + 0.53%+ 0.55% 0.48% 0.47%+
Net expenses,
after
expense
reductions
(1) 0.58%+ 0.58% 0.57% + 0.55% + 0.49%+ 0.52% 0.48% 0.47%+
Net investment
income 5.86%+ 6.22% 6.09% + 5.72% + 5.55%+ 5.94% 5.65% 5.53%+
NET ASSETS, end
of period
(000 omitted) $388,529 $410,763 $445,131 $467,259 $675,179 $712,203 $772,123 $772,422
PORTFOLIO
TURNOVER 8% 58% 40% 91% 34% 61% 57% 55%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MASSACHUSETTS PORTFOLIO MISSISSIPPI PORTFOLIO
---------------------------------------------------- -------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1996 --------------------------------- MARCH 31, 1996 ----------------------------------
(UNAUDITED) 1995 1994 1993* (UNAUDITED) 1995 1994 1993**
---------------- -------- -------- --------- ---------------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average daily
net assets)++:
Net expenses
(1) 0.56%+ 0.56% 0.51% 0.49% + 0.37%+ 0.27% 0.05% 0.00%+
Net expenses,
after
expense
reductions
(1) 0.54%+ 0.53% 0.51% 0.49% + 0.34%+ 0.23% 0.05% 0.00%+
Net investment
income 5.64%+ 6.00% 5.74% 5.72% + 5.61%+ 5.97% 5.67% 4.49%+
NET ASSETS, end
of period
(000 omitted) $290,959 $302,170 $308,540 $290,613 $ 26,723 $ 28,993 $ 29,477 $ 11,233
PORTFOLIO
TURNOVER 29% 87% 53% 38% 2% 52% 38% 11%
</TABLE>
++The operating expenses of the Mississippi Portfolio may reflect a reduction of
the investment adviser fee and an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage of average daily net assets):
Expenses (1) 0.47% 0.39% 0.32% 0.25%+
Net investment
income 5.51% 5.85% 5.40% 4.24%+
</TABLE>
+ Annualized.
* For the period from the start of business, February 1, 1993, to September
30, 1993.
** For the period from the start of business, June 11, 1993, to September 30,
1993.
*** For the period from the start of business, May 3, 1993 to March 31, 1994.
****For the six months ended September 30, 1994. The California Portfolio
changed its fiscal year from March 31 to September 30, effective September
30, 1994.
(1) The annualized expense ratios for the six months ended March 31, 1996 and
year ended September 30, 1995 have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Portfolio
to increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the periods ended on or before September 30, 1994 have not been adjusted
to reflect this change.
See notes to financial statements
70
<PAGE> 39
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NEW YORK PORTFOLIO OHIO PORTFOLIO
--------------------------------------------------- -------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1996 -------------------------------- MARCH 31, 1996 ----------------------------------
(UNAUDITED) 1995 1994 1993* (UNAUDITED) 1995 1994 1993*
---------------- -------- -------- -------- ---------------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a
percentage of
average daily
net assets):
Net expenses
(1) 0.52%+ 0.54% 0.48% 0.48%+ 0.58%+ 0.57% 0.51% 0.49%+
Net expenses,
after expense
reductions
(1) 0.50%+ 0.51% 0.48% 0.48% 0.57%+ 0.55% 0.51% 0.49%+
Net investment
income 5.55%+ 5.97% 5.70% 5.64%+ 5.57%+ 5.80% 5.61% 5.61%+
NET ASSETS, end
of period
(000 omitted) $634,436 $652,736 $655,647 $648,807 $307,222 $319,017 $324,412 $298,092
PORTFOLIO
TURNOVER 28% 55% 47% 37% 25% 51% 31% 24%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RHODE ISLAND PORTFOLIO WEST VIRGINIA PORTFOLIO
------------------------------------------------ ----------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30,
MARCH 31, 1996 ----------------------------- MARCH 31, 1996 -------------------------------
(UNAUDITED) 1995 1994 1993** (UNAUDITED) 1995 1994 1993**
---------------- ------- ------- ------- ---------------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage
of average
daily net assets)++:
Net expenses (1) 0.32%+ 0.29% 0.12% 0.00%+ 0.44%+ 0.31% 0.10% 0.00%+
Net expenses, after
expense
reductions (1) 0.30%+ 0.25% 0.12% 0.00%+ 0.41%+ 0.28% 0.10% 0.00%+
Net investment income 5.55%+ 5.96% 5.64% 4.86%+ 5.31%+ 5.81% 5.52% 4.50%+
NET ASSETS, end of
period
(000 omitted) $ 42,516 $42,906 $38,120 $16,981 $ 39,168 $40,835 $40,473 $24,760
PORTFOLIO TURNOVER 10% 42% 42% 23% 19% 19% 39% 19%
</TABLE>
++The operating expenses of the Rhode Island and West Virginia Portfolios may
reflect a reduction of the investment adviser fee and an allocation of
expenses to the Investment Adviser. Had such actions not been taken, the
ratios would have been as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS (As a percentage
of average daily net
assets):
Expenses (1) 0.45%+ 0.41% 0.33% 0.26%+ 0.39% 0.33% 0.21%+
Net investment income 5.43%+ 5.80% 5.43% 4.60%+ 5.73% 5.29% 4.30%+
</TABLE>
+ Annualized.
* For the period from the start of business, February 1, 1993, to September 30,
1993.
** For the period from the start of business, June 11, 1993, to September 30,
1993.
(1) The annualized expense ratios for the six months ended March 31, 1996 and
the year ended September 30, 1995 have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Portfolio
to increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of the
periods ended on or before September 30, 1994 have not been adjusted to
reflect this change.
See notes to financial statements
71
<PAGE> 40
- --------------------------------------------------------------------------------
Notes to Financial Statements
(Unaudited)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
California Municipals Portfolio (California Portfolio), Florida Municipals
Portfolio (Florida Portfolio), Massachusetts Municipals Portfolio (Massachusetts
Portfolio), Mississippi Municipals Portfolio (Mississippi Portfolio), New York
Municipals Portfolio (New York Portfolio), Ohio Municipals Portfolio (Ohio
Portfolio), Rhode Island Municipals Portfolio (Rhode Island Portfolio) and West
Virginia Municipals Portfolio (West Virginia Portfolio), collectively the
Portfolios, are registered under the Investment Company Act of 1940 as
non-diversified open-end management investment companies. The Portfolios 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 consistently
followed by the Portfolios in the preparation of their financial statements. 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, deductions or credit. Interest income
received by the Portfolios on investments in municipal bonds, which is
excludable from gross income under the Internal Revenue Code, will retain its
status as income exempt from federal income tax when allocated to each
Portfolio's investors. The portion of such interest, if any, earned on private
activity bonds issued after August 7, 1986, may be considered a tax preference
item for investors.
D. DEFERRED ORGANIZATION EXPENSES--Costs incurred by a Portfolio in connection
with its organization are being amortized on the straight-line basis over five
years.
E. FINANCIAL FUTURES CONTRACTS--Upon the entering of a financial futures
contract, a Portfolio is required to deposit ("initial margin") either in cash
or securities an amount equal to a certain percentage of the purchase price
indicated in the financial futures contract. Subsequent payments are made or
received by a Portfolio ("margin maintenance") each day, dependent on the daily
fluctuations in the value of the underlying security, and are recorded for book
purposes as unrealized gains or losses by a Portfolio. A Portfolio's investment
in financial futures contracts is designed only to hedge against anticipated
future changes in interest rates. Should interest rates move unexpectedly, a
Portfolio may not achieve the anticipated benefits of the financial futures
contracts and may realize a loss.
F. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS-- The Portfolios may engage in
when-issued or delayed delivery transactions. The Portfolio records when-issued
securities on trade date and maintain security positions such that sufficient
liquid assets will be available to make payments for the securities purchased.
Securities purchased on a when-issued or delayed delivery basis are
marked-to-market daily and begin earning interest on settlement date.
G. OTHER--Investment transactions are accounted for on a trade date basis.
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. INTERIM FINANCIAL INFORMATION--The interim financial statements relating to
March 31, 1996 and for the six-month period then ended have not been audited by
independent certified public accountants, but in the opinion of the Portfolio's
management, reflect all adjustments, consisting of normal recurring adjustments,
necessary for the fair presentation of the financial statements.
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(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 March 31, 1996, each Portfolio paid advisory fees as
follows:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT EFFECTIVE RATE*
- ------------------ ---------- ----------------
<S> <C> <C>
California $1,012,878 0.50%
Florida 1,626,264 0.46%
Massachusetts 690,932 0.46%
Mississippi 30,182 0.22%
New York 1,509,619 0.46%
Ohio 725,887 0.45%
Rhode Island 56,492 0.26%
West Virginia 49,492 0.24%
</TABLE>
* Advisory fees paid annualized as a percentage of average daily net assets
(annualized).
To enhance the net income of the Mississippi Portfolio and Rhode Island
Portfolio, BMR made a preliminary reduction in its fee in the amount of $15,092
and $27,546, respectively, for the six months ended March 31, 1996. Except as to
Trustees of the Portfolios who are not members of EVM's or BMR's organization,
officers and Trustees receive remuneration for their services to the Portfolios
out of such investment adviser fee.
Investors Bank & Trust Company (IBT) serves as custodian of the Portfolios.
Prior to November 10, 1995, IBT was an affiliate of EVM and BMR. Pursuant to the
custodian agreements, IBT receives a fee reduced by credits which are determined
based on the average daily cash balances each Portfolio maintains with IBT. All
significant credit balances are reported as a reduction of expenses in the
statement of operations.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations. Trustees of the Portfolio 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 March 31, 1996, no
significant amounts have been deferred.
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(3) INVESTMENTS
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, for the six months ended March 31, 1996 were as follows:
<TABLE>
<CAPTION>
CALIFORNIA PORTFOLIO FLORIDA PORTFOLIO MASSACHUSETTS PORTFOLIO MISSISSIPPI PORTFOLIO
-------------------- ----------------- ----------------------- ---------------------
<S> <C> <C> <C> <C>
Purchases $31,732,251 $ 241,885,303 $86,272,069 $ 683,602
Sales 61,551,010 284,418,733 93,730,224 3,079,255
</TABLE>
<TABLE>
<CAPTION>
RHODE ISLAND WEST VIRGINIA
NEW YORK PORTFOLIO OHIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- ----------------- ----------------------- ---------------------
<S> <C> <C> <C> <C>
Purchases $180,172,889 $79,718,030 $4,266,990 $7,748,440
Sales 205,937,344 85,450,807 5,001,750 9,028,746
</TABLE>
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(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the investments
owned by each Portfolio at March 31, 1996, as computed on a federal income tax
basis, are as follows:
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS MISSISSIPPI
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------- ------------- -----------
<S> <C> <C> <C> <C>
Aggregate Cost $356,860,992 $ 624,599,013 $ 274,146,153 $25,016,825
============ ============= ============= ===========
Gross unrealized
appreciation $ 26,181,413 $ 34,700,645 $ 16,144,890 $ 1,264,113
Gross unrealized
depreciation 864,921 2,722,369 643,034 71,763
------------ ------------- ------------- -----------
Net unrealized
appreciation $ 25,316,492 $ 31,978,276 $ 15,501,856 $ 1,192,350
============ ============= ============= ===========
</TABLE>
<TABLE>
<CAPTION>
NEW YORK OHIO RHODE ISLAND WEST VIRGINIA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ -----------
<S> <C> <C> <C> <C>
Aggregate Cost $591,994,397 $300,256,227 $41,015,563 $38,895,653
============ ============ =========== ===========
Gross unrealized
appreciation $ 32,622,519 $ 12,865,533 $ 840,961 $ 544,075
Gross unrealized
depreciation 3,486,082 1,398,013 586,054 550,931
------------ ------------ ----------- -----------
Net unrealized
appreciation
(depreciation) $ 29,136,437 $ 11,467,520 $ 254,907 $ (6,856)
============ ============ ========== ===========
</TABLE>
- --------------------------------------------------------------------------------
(5) LINE OF CREDIT
The Portfolios participate with other portfolios and funds managed by BMR and
EVM in a $120 million unsecured line of credit agreement with a bank. The line
of credit consists of a $20 million committed facility and a $100 million
discretionary facility. Each Portfolio may temporarily borrow up to 5% of its
total assets to satisfy redemption requests or settle securities transactions.
Interest is charged to each portfolio or fund based on its borrowings at an
amount above either the bank's adjusted certificate of deposit rate, a variable
adjusted certificate of deposit rate, or a federal funds effective rate. In
addition, a fee computed at an annual rate of 1/4 of 1% on the $20 million
committed facility and on the daily unused portion of the $100 million
discretionary facility is allocated among the participating funds and portfolios
at the end of each quarter. At March 31, 1996, the Massachusetts Portfolio had a
loan balance outstanding pursuant to this line of credit of $1,742,000. For the
six months ended March 31, 1996, the Ohio Portfolio had an average daily loan
balance of $2,970,822 and the average interest rate was 7.02%. The Ohio
Portfolio had a maximum loan balance outstanding at any month end during the six
months ended March 31, 1996 of $6,862,000. The California, Florida,
Massachusetts, Mississippi, New York, Rhode Island and West Virginia Portfolios
did not have any significant borrowings or allocated fees during the six months
ended March 31, 1996.
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(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 March 31, 1996,
were as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
FUTURES CONTRACTS APPRECIATION
PORTFOLIO EXPIRATION DATE CONTRACTS POSITION (DEPRECIATION)
- -------------- ----------------- ------------------------ -------- --------------
<S> <C> <C> <C> <C>
California 6/96 200 U.S. Treasury Bonds Short $ (86,889)
Massachusetts 6/96 370 U.S. Treasury Bonds Short 405,818
Mississippi 6/96 14 U.S. Treasury Bonds Short (6,082)
New York 6/96 344 U.S. Treasury Bonds Short 640,676
Rhode Island 6/96 32 U.S. Treasury Bonds Short 57,285
West Virginia 6/96 20 U.S. Treasury Bonds Short (9,001)
</TABLE>
At March 31, 1996 each Portfolio had sufficient cash and/or securities to cover
margin requirements on open futures contracts.
The Florida Portfolio and Ohio Portfolio did not have any open obligations under
these financial instruments at March 31, 1996.
75
