<PAGE>
Alabama Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Electric Utilities -- 0.7%
- --------------------------------------------------------------------------------
Baa1 BBB+ $ 500 Puerto Rico Electric Power
Authority, 6.38%, 7/1/24 $ 528,775
Baa1 BBB+ 180 Puerto Rico Electric Power
Authority, 7.00%, 7/1/07 193,543
- --------------------------------------------------------------------------------
$ 722,318
- --------------------------------------------------------------------------------
Escrowed/Prerefunded -- 4.8%
- --------------------------------------------------------------------------------
NR BBB $ 350 Gadsen East, AL Medical
Clinic Board (Baptist
Hospital), 7.60%, 11/1/08 $ 400,379
NR BBB 2,000 Gadsen East, AL Medical
Clinic Board (Baptist
Hospital), 7.80%, 11/1/21 2,304,020
A A- 255 Montgomery, AL (Jackson
Hospital), 7.00%, 3/1/15 278,289
Baa1 BBB+ 320 Puerto Rico Electric Power
Authority, 7.00%, 7/1/07 345,347
A1 NR 1,600 University of Alabama
Birmingham Medical and
Educational Foundation
Housing, 7.00%, 12/1/19 1,747,488
- --------------------------------------------------------------------------------
$ 5,075,523
- --------------------------------------------------------------------------------
General Obligations -- 0.6%
- --------------------------------------------------------------------------------
A1 AA $ 650 Birmingham, AL U.T.G.O.,
5.75%, 6/1/16 $ 656,708
- --------------------------------------------------------------------------------
$ 656,708
- --------------------------------------------------------------------------------
Hospitals -- 12.8%
- --------------------------------------------------------------------------------
Aa AA $1,250 Alabama Special Care
(Daughters of Charity),
5.00%, 11/1/25 $ 1,126,213
NR BBB 3,000 Alexander City, AL Special
Care (Russell Hospital),
6.00%, 12/1/22 2,902,380
Baa BBB- 1,000 Baldwin County, AL (Thomas
Hospital), 6.75%, 4/1/21 1,034,240
Baa3 NR 1,000 Cullman, AL Medical Clinic
Board (Cullman Regional
Medical Center), 6.50%,
2/15/23 1,007,680
Baa1 NR 3,550 Jasper, AL Medical Clinic
Board (Walker Regional
Medical Center), 6.38%,
7/1/18/(1)/ 3,578,542
Baa1 NR 1,000 Jasper, AL Medical Clinic
Board (Walker Regional
Medical Center), 6.40%,
7/1/11 1,015,370
- --------------------------------------------------------------------------------
Hospitals (continued)
- --------------------------------------------------------------------------------
Baa-3 BBB $2,000 Marshall, AL
(Boaz-Albertville Medical
Center), 7.00%, 1/1/20 $ 2,106,240
A A- 745 Montgomery, AL Medical
Clinic Board (Jackson
Hospital), 7.00%, 3/1/15 789,506
- --------------------------------------------------------------------------------
$ 13,560,171
- --------------------------------------------------------------------------------
Industrial Development Revenue/Pollution Control Revenue -- 13.3%
- --------------------------------------------------------------------------------
A2 NR $1,000 Commonwealth of Puerto
Rico Industrial Medical
and Environmental
Pollution Control Facility
Finance Authority
(American Home Products),
5.10%, 12/1/18 $ 925,050
Baa3 BB+ 1,000 Commonwealth of Puerto
Rico Port Authority
(American Airlines),
(AMT), 6.30%, 6/1/23 1,023,570
Baa1 BBB 1,200 Courtland, AL (Champion
International
Corporation), 7.20%,
12/1/13 1,305,576
Baa1 BBB 2,000 Courtland, AL (Champion
International Corporation)
(AMT), 6.50%, 9/1/25 2,024,880
Baa1 BBB 800 Courtland, AL (Champion
International Corporation)
(AMT), 7.00%, 6/1/22 840,520
Baa3 BBB- 2,000 Mobile, AL (Mobile
Energy), 6.95%, 1/1/20 2,126,620
Baa3 BB+ 2,780 Puerto Rico Port Authority
(American Airlines),
(AMT), 6.25%, 6/1/26 2,862,816
A3 A- 1,000 Selma, AL Solid Waste
Disposal (AMT), 6.00%,
12/1/17 990,180
A2 A+ 2,000 Tallahassee, AL (United
Tech), 6.10%, 8/1/14 2,072,100
- --------------------------------------------------------------------------------
$ 14,171,312
- --------------------------------------------------------------------------------
Insured Education -- 8.0%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Alabama A&M University
(MBIA), 6.38%, 11/1/09 $ 1,075,800
Aaa AAA 1,000 Alabama State University
Tuition and Fee (MBIA),
5.80%, 12/1/20 1,013,880
Aaa AAA 4,000 University of Alabama
Student Housing (MBIA),
5.00%, 6/1/16 3,752,640
Aaa AAA 2,770 University of South
Alabama Tuition (AMBAC),
5.00%, 11/15/15 2,632,470
- --------------------------------------------------------------------------------
$ 8,474,790
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
45
<PAGE>
Alabama Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Electric Utilities -- 9.9%
- --------------------------------------------------------------------------------
Aaa AAA $1,500 Athens, AL Electric
(MBIA), 6.00%, 6/1/25 $ 1,551,510
Aaa AAA 2,000 Columbia, AL (AL Power)
(AMBAC), 6.50%, 9/1/23 2,116,180
Aaa AAA 250 Commonwealth of Puerto
Rico Electric Power
Authority STRIPES (FSA),
Variable, 7/1/03/(2)/ 276,250
Aaa AAA 2,500 Dekalb and Cherokee
County, AL Gas District
(AMBAC), 5.50%, 3/1/21 2,449,425
Aaa AAA 2,000 Tuskegee, AL Utilities
Board (AMBAC), 5.50%,
2/1/22 1,948,320
Aaa AAA 2,000 Wilsonville, AL Pollution
Control Board (MBIA),
6.75%, 2/1/15 2,160,280
- --------------------------------------------------------------------------------
$ 10,501,965
- --------------------------------------------------------------------------------
Insured General Obligations -- 8.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 250 Fairfield City, AL
(AMBAC), 6.30%, 6/1/22 $ 265,728
Aaa AAA 1,400 Greenville, AL (AMBAC),
5.25%, 12/1/21 1,330,168
Aaa AAA 2,065 Hoover, AL (AMBAC), 5.00%,
3/1/20 1,887,142
Aaa AAA 3,250 Madison, AL School
Warrants (MBIA), 6.00%,
2/1/24 3,352,830
Aaa AAA 1,535 North Port, AL (AMBAC),
5.70%, 3/1/21 1,541,846
Aaa AAA 500 Troy City, AL (CAPG),
6.60%, 6/1/12 552,165
- --------------------------------------------------------------------------------
$ 8,929,879
- --------------------------------------------------------------------------------
Insured Hospitals -- 5.1%
- --------------------------------------------------------------------------------
Aaa AAA $1,810 Bessemer, AL Medical
Clinic Board (MBIA),
6.00%, 5/15/19 $ 1,846,091
Aaa AAA 2,000 Huntsville, AL Health Care
Facilities (MBIA), 6.50%,
6/1/13 2,178,960
Aaa AAA 1,500 University of Alabama
Hospital Revenue -
Birmingham (MBIA), 5.00%,
10/1/14 1,428,240
- --------------------------------------------------------------------------------
$ 5,453,291
- --------------------------------------------------------------------------------
Insured Miscellaneous -- 4.9%
- --------------------------------------------------------------------------------
Aaa AAA $4,500 Alabama State Docks
Department (MBIA) (AMT),
6.30%, 10/1/21 $ 4,705,064
Aaa AAA $1,825 Birmingham Jefferson, AL
Civic Center Authority
(MBIA), 0%, 9/1/18 $ 542,919
- --------------------------------------------------------------------------------
$ 5,247,983
- --------------------------------------------------------------------------------
Insured Solid Waste -- 4.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 350 Huntsville, AL Solid Waste
Disposal (FGIC) (AMT),
7.00%, 10/1/08 $ 378,774
Aaa AAA 4,000 Huntsville, AL Solid Waste
Disposal (FGIC) (AMT),
7.00%, 10/1/14 4,322,000
- --------------------------------------------------------------------------------
$ 4,700,774
- --------------------------------------------------------------------------------
Insured Transportation -- 1.3%
- --------------------------------------------------------------------------------
Aaa AAA $1,500 Huntsville-Madison County
Airport, AL (AMT) (MBIA),
5.40%, 7/1/19/(3)/ $ 1,424,370
- --------------------------------------------------------------------------------
$ 1,424,370
- --------------------------------------------------------------------------------
Insured Water and Sewer -- 20.6%
- --------------------------------------------------------------------------------
Aaa AAA $1,500 Alabama Water Pollution
Control Authority (AMBAC),
5.00%, 8/15/15 $ 1,402,125
Aaa AAA 2,000 Bessemer, AL Water
(AMBAC), 5.75%, 7/1/26 2,015,580
Aaa AAA 2,000 Chilton, AL Water
Authority (AMBAC), 5.50%,
4/1/21 1,959,380
Aaa AAA 1,000 Fort Payne, AL Waterworks
Board (MBIA), 5.25%, 7/1/26 946,350
Aaa AAA 2,500 Jefferson County, AL Sewer
Revenue (FGIC), 5.38%,
2/1/27 2,392,475
Aaa AAA 3,075 Prichard, AL Water and
Sewer (AMBAC), 6.13%,
11/15/14 3,242,680
Aaa AAA 1,400 Satsuma, AL Waterworks and
Sewer (MBIA), 6.00%, 7/1/25 1,448,384
Aaa AAA 6,000 Scottsboro, AL Water,
Sewer and Gas (AMBAC),
6.50%, 12/1/14/(4)/ 6,554,399
Aaa AAA 750 West Morgan-East Lawrence,
AL Water Authority (FGIC),
6.00%, 5/1/22 762,495
Aaa AAA 1,000 West Morgan-East Lawrence,
AL Water Authority (FSA),
6.85%, 8/15/25 1,152,330
- --------------------------------------------------------------------------------
$ 21,876,198
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
46
<PAGE>
Alabama Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Lease Revenue / Certificates of Participation -- 0.5%
- --------------------------------------------------------------------------------
NR BBB $ 500 Puerto Rico (Guaynabo
Municipal Government
Center Lease), 5.63%,
7/1/22 $ 472,280
- --------------------------------------------------------------------------------
$ 472,280
- --------------------------------------------------------------------------------
Miscellaneous -- 0.1%
- --------------------------------------------------------------------------------
NR A $ 100 Tennessee Valley, AL
Exhibit Commission, 6.70%,
6/1/10 $ 109,869
- --------------------------------------------------------------------------------
$ 109,869
- --------------------------------------------------------------------------------
Nursing Homes -- 0.9%
- --------------------------------------------------------------------------------
NR NR $ 325 Fairhope, AL Midtown
Medical Clinic Board
(Beverly Enterprises),
6.38%, 6/1/09 $ 319,491
NR NR 670 Mobile, AL Midtown Medical
Clinic Board (Beverly
Enterprises), 7.00%, 4/1/07 677,759
- --------------------------------------------------------------------------------
$ 997,250
- --------------------------------------------------------------------------------
Special Tax Revenue -- 0.3%
- --------------------------------------------------------------------------------
NR NR $ 250 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 $ 270,778
- --------------------------------------------------------------------------------
$ 270,778
- --------------------------------------------------------------------------------
Transportation -- 2.0%
- --------------------------------------------------------------------------------
NR BBB $2,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 2,070,400
- --------------------------------------------------------------------------------
$ 2,070,400
- --------------------------------------------------------------------------------
Water and Sewer -- 1.4%
- --------------------------------------------------------------------------------
NR NR $1,500 Moulton City, AL Water,
6.30%, 1/1/18 $ 1,513,215
- --------------------------------------------------------------------------------
$ 1,513,215
- --------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $100,675,836) $106,229,074
- --------------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
/(3)/ When issued security.
/(4)/ Security has been segregated to cover when-issued securities.
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Alabama
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 February 28, 1997, 62.6% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.5% to 27.6% of total investments.
See notes to financial statements
47
<PAGE>
Arkansas Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
Colleges and Universities -- 3.0%
<S> <C> <C> <C> <C>
NR A+ $2,000 Conway, AR Public
Facilities Board Capital
Improvement (Hendrix
College), 6.00%, 10/1/26 $ 2,038,560
- --------------------------------------------------------------------------
$ 2,038,560
- --------------------------------------------------------------------------
Electric Utilities -- 8.7%
- --------------------------------------------------------------------------
A NR $1,750 Conway, AR Electric,
5.70%, 8/1/09 $ 1,785,665
NR BBB 1,250 Guam Power Authority,
5.25%, 10/1/23 1,110,238
Baa2 BBB 1,000 Independence, AR Pollution
Control (AR Power and
Light), 6.25%, 1/1/21 1,017,370
Baa2 BBB- 750 Jefferson, AR Pollution
Control (AR Power and
Light), 6.13%, 10/1/07 750,090
Baa2 BBB 550 Jefferson, AR Pollution
Control (AR Power and
Light), 6.30%, 6/1/18 565,422
Baa2 BBB 500 Pope County, AR Pollution
Control (AR Power and
Light), 6.30%, 12/1/16 514,020
Baa1 BBB+ 500 Puerto Rico Electric Power
Authority, 0%, 7/1/17 156,085
- --------------------------------------------------------------------------
$ 5,898,890
- --------------------------------------------------------------------------
Escrowed / Prerefunded -- 1.7%
- --------------------------------------------------------------------------
Aaa AAA $ 500 Arkansas Development
Finance Authority
Wastewater System (MBIA),
7.00%, 6/1/14 $ 554,605
Aaa AAA 500 Harrison, AR Residential
Housing Facility Board
Single Family Mortgage
(FGIC), 7.40%, 9/1/11 606,215
- --------------------------------------------------------------------------
$ 1,160,820
- --------------------------------------------------------------------------
General Obligations -- 3.2%
- ----------------------------------------------------------------
Aa AA $1,000 Arkansas State Capital
Appreciation College, 0%,
6/1/14 $ 387,460
Aa AA 750 Arkansas State College
Savings, 0%, 6/1/13 309,443
Aa AA 2,750 Arkansas State College
Savings, 0%, 6/1/14 1,065,515
Aa AA 1,000 Arkansas State College
Savings, 0%, 6/1/14 387,460
- --------------------------------------------------------------------------
$ 2,149,878
- --------------------------------------------------------------------------
Hospitals -- 17.4%
- --------------------------------------------------------------------------
Aa NR $2,750 Arkansas Development
Finance Authority Health
Care Facilities (Sisters of
Mercy), 5.00%, 6/1/19 $ 2,562,807
Baa NR 700 Baxter, AR Hospital
Improvement, 7.25%, 9/1/07 750,057
Baa NR 750 Baxter, AR Hospital
Improvement, 7.50%, 9/1/21 804,353
NR A 1,000 Little Rock, AR Health
Facilities Board (Baptist
Medical Center-Parkway
Village), 7.00%, 10/1/17 1,077,000
NR A+ 1,500 Little Rock, AR Health
Facilities Board Healthcare
(Baptist Medical Center),
5.50%, 9/1/15 1,463,445
NR A+ 1,125 Little Rock, AR Health
Facilities Board Hospital
(Baptist Medical Center),
6.80%, 11/1/05 /(2)/ 1,263,994
NR BBB 1,500 Paragould, AR Hospital,
6.38%, 10/1/17 1,523,850
NR A- 2,250 Pulaski County, AR
Hospitals (Children's
Hospital), 6.20%, 3/1/22 2,301,930
- --------------------------------------------------------------------------
$11,747,436
- --------------------------------------------------------------------------
Housing -- 10.2%
- --------------------------------------------------------------------------
A NR $3,000 Arkansas Development
Finance Authority Compound
Accretion, 0%, 12/1/11 $ 1,012,500
NR AAA 1,295 Arkansas Development
Finance Authority Single
Family Mortgage (GNMA)
(AMT), 5.80%, 6/1/25 1,284,200
NR AAA 1,000 Arkansas Development
Finance Authority Single
Family Mortgage (GNMA)
(AMT), 7.45%, 1/1/27 1,086,010
NR AAA 3,395 Arkansas Development
Finance Authority Single
Family Mortgage (GNMA/FNMA)
(AMT), 6.70%, 7/1/27 3,515,725
- --------------------------------------------------------------------------
$ 6,898,435
- --------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 17.5%
- --------------------------------------------------------------------------
NR A- $ 750 Arkansas State Development
Finance Authority Economic
Development, 6.00%, 10/1/11 $ 761,693
Baa2 BBB 2,350 Baxter, AR (Aeroquip
Corporation), 5.80%, 10/1/13 2,360,317
</TABLE>
See notes to financial statements
48
<PAGE>
Arkansas Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
Industrial Development Revenue / Pollution Control
Revenue (continued)
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 AA- $2,500 Blytheville, AR Solid Waste
Recycling and Sewer
Treatment (Nucor
Corporation) (AMT), 6.90%,
12/1/21 $ 2,663,649
A2 NR 750 Commonwealth of Puerto Rico
Industrial Medical and
Environmental Pollution
Control Facility Finance
Authority (American Home
Products), 5.10%, 12/1/18 693,788
Baa3 BB+ 2,740 Commonwealth of Puerto Rico
Port Authority (American
Airlines), (AMT), 6.30%,
6/1/23 2,804,581
A3 A- 735 Gurdon, AR Pollution
Control (International
Paper), 5.75%, 2/1/08 735,044
A1 AA- 1,000 Jonesboro, AR
(Anheuser-Busch), 6.50%,
11/15/12 1,066,410
A3 A- 775 Pine Bluff, AR Solid Waste
Disposal (International
Paper) (AMT), 5.55%, 10/1/17 744,380
- --------------------------------------------------------------------------
$11,829,862
- --------------------------------------------------------------------------
Insured Education -- 0.8%
- --------------------------------------------------------------------------
Aaa AAA $ 500 University of Central
Arkansas (AMBAC), 6.13%,
4/1/26 $ 527,150
- --------------------------------------------------------------------------
$ 527,150
- --------------------------------------------------------------------------
Insured Electric Utilities -- 8.5%
- --------------------------------------------------------------------------
Aaa AAA $ 450 Commonwealth of Puerto Rico
Electric Power Authority
STRIPES (FSA), Variable,
7/1/03/(1)/ $ 497,250
Aaa AAA 250 North Little Rock, AR
Electric System (MBIA),
6.50%, 7/1/10 283,425
Aaa AAA 3,390 North Little Rock, AR
Electric System (MBIA),
6.50%, 7/1/15 3,856,734
Aaa AAA 1,000 West Memphis, AR Public
Utilities System (MBIA),
6.60%, 1/1/09 1,108,390
- --------------------------------------------------------------------------
$ 5,745,799
- --------------------------------------------------------------------------
Insured General Obligations -- 1.7%
- --------------------------------------------------------------------------
Aaa AAA $ 750 Lincoln, AR School District
(MBIA), 5.00%, 2/1/18 $ 702,368
Aaa AAA 500 Springdale, AR School
District (AMBAC), 5.13%,
6/1/16 474,160
- --------------------------------------------------------------------------
$ 1,176,528
- --------------------------------------------------------------------------
Insured Hospitals -- 5.3%
- --------------------------------------------------------------------------
Aaa AAA $2,610 Jonesboro, AR Residential
Housing and Health Care
Facilities Board Hospital
(Saint Bernard Regional
Medical Center) (AMBAC),
5.90%, 7/1/16 $ 2,671,543
Aaa AAA 400 Saline County, AR
Retirement Housing and
Healthcare Facilities Board
(Evan Lutheran Good
Samaritan) (AMBAC), 5.80%,
6/1/11 413,552
Aaa AAA 500 Saline County, AR
Retirement Housing and
Healthcare Facilities Board
(Evan Lutheran Good
Samaritan) (AMBAC), 6.00%,
6/1/18 513,530
- --------------------------------------------------------------------------
$ 3,598,625
- --------------------------------------------------------------------------
Insured Transportation -- 0.8%
- --------------------------------------------------------------------------
Aaa AAA $ 500 Little Rock, AR Municipal
Airport (MBIA), 6.00%,
11/1/14 $ 515,805
- --------------------------------------------------------------------------
$ 515,805
- --------------------------------------------------------------------------
Insured Water and Sewer -- 5.8%
- --------------------------------------------------------------------------
Aaa AAA $2,000 Arkansas Development
Finance Authority
Wastewater System (MBIA),
5.00%, 6/1/15 $ 1,902,120
Aaa AAA 1,250 Arkansas Development
Finance Authority
Wastewater System (MBIA),
5.40%, 12/1/15 1,240,138
Aaa AAA 300 Beaver, AR Water District
(MBIA), 5.85%, 11/15/08 314,895
Aaa AAA 500 Jonesboro, AR Water and
Light (AMBAC), 5.25%,
12/1/13 491,485
- --------------------------------------------------------------------------
$ 3,948,638
- --------------------------------------------------------------------------
Lease Revenue /
Certificates of Participation -- 0.3%
- --------------------------------------------------------------------------
NR BBB $ 250 Puerto Rico (Guaynabo
Municipal Government Center
Lease), 5.63%, 7/1/22 $ 236,140
- --------------------------------------------------------------------------
$ 236,140
- --------------------------------------------------------------------------
Pooled Loans -- 2.5%
- --------------------------------------------------------------------------
A NR $1,000 Arkansas State Student Loan
Authority (AMT), 6.25%,
6/1/10 $ 1,020,650
A NR 610 Arkansas State Student Loan
Authority (AMT), 7.25%,
6/1/09 667,371
- --------------------------------------------------------------------------
$ 1,688,021
- --------------------------------------------------------------------------
</TABLE>
See notes to financial statements
49
<PAGE>
Arkansas Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
Special Tax Revenue -- 4.8%
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
A NR $2,000 Little Rock, AR Hotel and
Restaurant Gross Receipts
Tax, 7.38%, 8/1/15 $ 2,403,360
NR NR 750 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 812,333
- --------------------------------------------------------------------------
$ 3,215,693
- --------------------------------------------------------------------------
Water and Sewer -- 7.8%
- --------------------------------------------------------------------------
NR NR $1,250 Cross, AR Rural Water,
5.75%, 4/1/18 $ 1,246,900
A1 NR 2,500 Little Rock, AR Sewer,
5.50%, 8/1/14 2,501,750
NR NR 1,500 South Sebastian County, AR
Water Users Association,
6.15%, 6/1/23 1,532,190
- --------------------------------------------------------------------------
$ 5,280,840
- --------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $65,038,418) $67,657,120
- --------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been issued as an inverse floater bond.
/(2)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Arkansas
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 February 28, 1997, 22.9% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.7% to 15.5% of total investments.
See notes to financial statements
50
<PAGE>
Georgia Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Electric Utilities -- 12.9%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
A1 A $ 2,000 Burke County, Development
Authority Pollution Control
(Georgia Power), 6.38%,
8/1/24 $ 2,048,820
A A 1,000 Georgia Municipal Electric
Power Authority, 0%, 1/1/12 425,560
A A 2,000 Georgia Municipal Electric
Power Authority, 8.25%,
1/1/11 2,522,260
A1 A+ 1,000 Monroe County, Development
Authority Pollution Control
(Gulf Power Scherer),
6.30%, 9/1/24 1,024,430
A3 A+ 1,000 Monroe County, Development
Authority Pollution Control
(Ogelthorpe Power), 6.70%,
1/1/09 1,124,690
A3 A+ 1,000 Monroe County, Development
Authority Pollution Control
(Ogelthorpe Power), 6.80%,
1/1/12 1,133,900
A3 A+ 4,000 Monroe County, Development
Authority Pollution Control
(Ogelthorpe Power), 6.55%,
1/1/06 4,387,440
Baa1 BBB+ 665 Puerto Rico Electric Power
Authority, 0%, 7/1/17 207,593
- --------------------------------------------------------------------------------
$12,874,693
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 1.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 305 Chatham County, Memorial
Medical Center, (MBIA),
6.85%, 1/1/21 $ 336,799
Aaa AAA 675 Chatham County, Memorial
Medical Center, (MBIA),
7.00%, 1/1/21 748,919
- --------------------------------------------------------------------------------
$ 1,085,718
- --------------------------------------------------------------------------------
General Obligations -- 7.8%
- --------------------------------------------------------------------------------
Aa AA- $ 300 City of Alpharetta, 6.50%,
5/1/10/(1)/ $ 340,683
Aa AA 2,000 City of Atlanta, 6.13%,
12/1/23 2,087,840
Baa1 A 1,875 Commonwealth of Puerto Rico
Aqueduct and Sewer
Authority, 5.00%, 7/1/19 1,702,500
Baa1 A 1,000 Commonwealth of Puerto Rico
Aqueduct and Sewer
Authority, 6.25%, 7/1/12 1,092,750
Aa1 AA+ 1,480 Gwinnett County, Water and
Sewer, 6.50%, 8/1/06 1,483,594
A A 450 Paulding County School
District, 6.63%, 2/1/08 511,979
Aaa AA+ $ 500 State of Georgia, 6.30%,
3/1/08/(1)/ $ 560,595
- --------------------------------------------------------------------------------
$ 7,779,941
- --------------------------------------------------------------------------------
Hospitals -- 12.5%
- --------------------------------------------------------------------------------
A2 NR $ 4,500 City of Savannah (Saint
Josephs Hospital Project),
6.20%, 7/1/23 $ 4,556,475
Baa1 NR 3,500 Fulco County, Georgia
Baptist Health, 6.38%,
9/1/22 3,552,640
NR BBB 1,785 Toombs County, GA (Dr. John
M. Meadows Memorial),
7.00%, 12/1/17 1,861,077
NR BBB+ 2,450 Tri City Hospital
Authority, 6.38%, 7/1/16 2,452,867
- --------------------------------------------------------------------------------
$12,423,059
- --------------------------------------------------------------------------------
Housing -- 11.4%
- --------------------------------------------------------------------------------
Aa NR $ 1,450 Georgia Housing and Finance
Authority, (AMT), 6.88%,
12/1/20 $ 1,509,755
Aa AA+ 3,985 Georgia Housing and Finance
Authority, Single Family
Mortgage, (AMT), 6.55%,
12/1/27 4,114,831
Aa AA+ 2,395 Georgia Housing and Finance
Authority, Single Family
Mortgage, (AMT), 6.70%,
12/1/25 2,488,764
Aa AA+ 1,500 Georgia Housing and Finance
Authority, Single Family
Mortgage, (FHA), (AMT),
7.05%, 12/1/20 1,587,615
Aa AA+ 1,555 Georgia Housing and Finance
Authority, Single Family
Mortgage, (FHA), (AMT),
7.12%, 12/1/26 1,632,221
- --------------------------------------------------------------------------------
$11,333,186
- --------------------------------------------------------------------------------
Industrial Development Revenue/Pollution
Control Revenue -- 9.4%
- --------------------------------------------------------------------------------
A1 AA- $ 1,000 Cartersville Development
Authority,
(Anheuser-Busch), (AMT),
7.38%, 5/1/09 $ 1,175,140
A2 NR 1,245 Commonwealth of Puerto Rico
Industrial Medical and
Environmental Pollution
Control Facility Finance
Authority (American Home
Products), 5.10%, 12/1/18 1,151,687
Baa3 BB+ 2,250 Commonwealth of Puerto Rico
Port Authority (American
Airlines) (AMT), 6.25%,
6/1/26 2,317,028
</TABLE>
See notes to financial statements
51
<PAGE>
Georgia Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Industrial Development Revenue/
Pollution Control Revenue (continued)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR AA- $ 500 Savannah Economic
Development Authority
(Hershey Foods), 6.60%,
6/1/12 $ 541,255
NR NR 1,250 Savannah Economic
Development Authority
(Savannah Incorporated)
(AMT), 9.00%, 1/1/15 1,333,550
A1 A- 750 Savannah Economic
Development Authority
(Union Camp Corporation),
6.80%, 2/1/12 808,035
NR AA- 2,000 Vienna Water and Sewer
(Cargill Project) (AMT),
6.00%, 9/1/14 2,065,440
- --------------------------------------------------------------------------------
$ 9,392,135
- --------------------------------------------------------------------------------
Insured Electric Utilities -- 6.6%
- --------------------------------------------------------------------------------
Aaa AAA $ 900 Commonwealth of Puerto Rico
Electric Power Authority
STRIPES (FSA), Variable,
7/1/03/(2)/ $ 994,500
Aaa AAA 1,000 Cordele Public Utility
Authority, (MBIA), 6.50%,
11/1/19 1,091,810
Aaa AAA 750 Georgia Municipal Electric
Power Authority (BIGI), 0%,
1/1/07 459,090
Aaa AAA 1,000 Georgia Municipal Electric
Power Authority (FGIC),
5.50%, 1/1/12 1,011,570
Aaa AAA 3,000 Georgia Municipal Electric
Power Authority, (MBIA),
5.50%, 1/1/20 2,990,100
- --------------------------------------------------------------------------------
$ 6,547,070
- --------------------------------------------------------------------------------
Insured General Obligations -- 0.5%
- --------------------------------------------------------------------------------
NR AAA $ 500 Commonwealth of Puerto
Rico, Public Improvement
Bonds, (AMBAC), Variable, $ 518,750
7/1/15/(2)/
- --------------------------------------------------------------------------------
$ 518,750
- --------------------------------------------------------------------------------
Insured Hospitals -- 18.4%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,000 Chatham County (MBIA),
5.50%, 1/1/21 $ 970,850
Aaa AAA 1,000 Clarke County, Hospital
Authority (MBIA), 5.00%,
1/1/27 904,700
Aaa AAA 1,300 Cobb County, Hospital
Authority, Kennestone
Hospital, (MBIA), 5.00%,
4/1/24 1,170,975
Aaa AAA 2,000 Fulco County, Northside,
(MBIA), 5.13%, 10/1/16 1,879,820
Aaa AAA 2,225 Gainsville and Hall County,
(North East Healthcare),
(MBIA), 6.00%, 10/1/25 2,276,509
Aaa AAA 1,500 Gwinnett County, Gwinnett
Hospital, (AMBAC), 5.00%,
9/1/13 1,425,555
Aaa AAA 2,000 Liberty County (MBIA),
5.25%, 8/1/21 1,885,800
Aaa AAA 2,500 Macon-Bibb County, Medical
Center of Central Georgia,
(FGIC), 5.00%, 8/1/14 2,367,625
Aaa AAA 1,500 Medical Center Hospital
Authority Floats (MBIA),
Variable, 8/1/10/(2)/ 1,708,125
Aaa AAA 2,000 Medical Center, Columbus
Regional Healthcare,
(MBIA), 6.40%, 8/1/06 2,176,560
Aaa AAA 1,375 Walker, Dade and Catoosa
Counties Hospital, (FGIC),
7.00%, 10/1/10 1,521,878
- --------------------------------------------------------------------------------
$18,288,397
- --------------------------------------------------------------------------------
Insured Lease Revenue / Certificates of
Participation -- 1.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,000 East Point Building
Authority, (FGIC), 6.00%,
2/1/10 $ 1,055,400
- --------------------------------------------------------------------------------
$ 1,055,400
- --------------------------------------------------------------------------------
Insured Special Tax Revenue -- 4.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,000 City of Atlanta and Fulton
County, Recreation
Authority (MBIA), 5.38%,
12/1/26 $ 961,200
Aaa AAA 1,000 Metropolitan Atlanta Rapid
Transit Authority, (AMBAC),
5.13%, 7/1/19 933,160
Aaa AAA 1,000 Metropolitan Atlanta Rapid
Transit Authority, (AMBAC),
6.25%, 7/1/11 1,104,600
Aaa AAA 1,000 Metropolitan Atlanta Rapid
Transit Authority, (AMBAC),
6.25%, 7/1/20 1,097,140
- --------------------------------------------------------------------------------
$ 4,096,100
- --------------------------------------------------------------------------------
Insured Water and Sewer -- 4.7%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,975 Cherokee County, Water and
Sewer Authority (MBIA),
6.88%, 8/1/13 $ 2,179,808
Aaa AAA 2,700 City of Atlanta, Water and
Sewer (FGIC), 5.00%, 1/1/15 2,554,929
- --------------------------------------------------------------------------------
$ 4,734,737
- --------------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 1.1%
- --------------------------------------------------------------------------------
Aa AA $ 2,300 Fulton County, Building
Authority, Judicial Center,
0%, 1/1/10 $ 1,153,036
- --------------------------------------------------------------------------------
$ 1,153,036
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
52
<PAGE>
Georgia Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Life Care -- 1.6%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR NR $ 1,500 De Kalb County, Private
Hospital Authority (Atlanta
Incorporated), 8.50%, 3/1/25 $ 1,561,770
- --------------------------------------------------------------------------------
$ 1,561,770
- --------------------------------------------------------------------------------
Miscellaneous -- 1.0%
- --------------------------------------------------------------------------------
NR NR $ 1,000 City of Atlanta, Downtown
Development Authority
Childcare Facilities
(Central Atlanta
Hospitality Childcare,
Incorporated), 8.00%, 1/1/26 $ 979,240
- --------------------------------------------------------------------------------
$ 979,240
- --------------------------------------------------------------------------------
Solid Waste -- 1.1%
- --------------------------------------------------------------------------------
A1 A+ 1,000 Savannah Resource Recovery
(Savannah Energy Systems
Company), 6.30%, 12/1/06 $ 1,055,310
- --------------------------------------------------------------------------------
$ 1,055,310
- --------------------------------------------------------------------------------
Special Tax Revenue -- 4.7%
- --------------------------------------------------------------------------------
Baa1 A $ 2,250 Commonwealth of Puerto Rico
Highway and Transportation
Authority, 5.00%, 7/1/36 $ 1,999,013
Baa1 A 1,250 Commonwealth of Puerto Rico
Highway and Transportation
Authority, 5.50%, 7/1/36 1,200,450
NR NR 1,400 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 1,516,354
- --------------------------------------------------------------------------------
$ 4,715,817
- --------------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $94,112,523) $99,594,359
- --------------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Georgia
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 February 28, 1997, 35.4% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 1.0% to 19.9% of total investments.
See notes to financial statements
53
<PAGE>
Kentucky Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 2.7%
- -----------------------------------------------------------------------------
A1 AA- $ 500 University of Kentucky
Consolidated Educational
Buildings, 6.40%, 5/1/09 $ 533,405
A1 AA- 785 University of Kentucky
Consolidated Educational
Buildings, 6.40%, 5/1/11 833,066
A1 AA- 1,000 University of Louisville
Consolidated Educational
Buildings, 5.40%, 5/1/08 1,020,380
A1 AA- 1,000 University of Louisville
Consolidated Educational
Buildings, 5.40%, 5/1/11 1,004,310
- -----------------------------------------------------------------------------
$ 3,391,161
- -----------------------------------------------------------------------------
Electric Utilities -- 6.9%
- -----------------------------------------------------------------------------
Aa2 AA- $3,450 Carroll County, KY
Collateralized Solid Waste
Disposal Facilities
(Kentucky Utilities
Company), 5.75%, 12/1/23 $ 3,463,662
NR BBB 400 Guam Power Authority,
5.25%, 10/1/23 355,276
Aa2 AA- 1,000 Muhlenburg County, KY
Collateralized Pollution
Control, Utilities
Company, 6.25%, 2/1/18 1,048,340
Baa1 BBB+ 3,500 Puerto Rico Electric Power
Authority, 0%, 7/1/17 1,092,595
Baa1 BBB+ 500 Puerto Rico Electric Power
Authority, 5.50%, 7/1/25 475,550
Baa1 BBB+ 2,250 Puerto Rico Electric Power
Authority, 6.38%, 7/1/24 2,379,488
- -----------------------------------------------------------------------------
$ 8,814,911
- -----------------------------------------------------------------------------
Escrowed / Prerefunded -- 5.1%
- -----------------------------------------------------------------------------
NR NR $ 190 Kentucky Development
Finance Authority, Saint
Claire Medical Center,
7.12%, 9/1/21 $ 212,015
Aaa NR 510 Lexington-Fayette County,
KY Government Public
Facilities, 6.40%, 4/1/12 562,622
Aaa AAA 4,155 Puerto Rico Highway and
Transportation Authority -
Highway Revenue, 6.63%,
7/1/18 4,656,798
Aaa A 1,000 University of Puerto Rico
Revenue, 6.50%, 6/1/13 1,035,650
- -----------------------------------------------------------------------------
$ 6,467,085
- -----------------------------------------------------------------------------
General Obligations -- 1.2%
- -----------------------------------------------------------------------------
Baa1 A $ 500 Commonwealth of Puerto
Rico, 5.40%, 7/1/25 $ 474,625
NR A+ 1,030 Kentucky League of Cities
Funding Trust Floating
Indebtedness Certificates
of Participation, 6.15%,
8/1/13 1,082,468
- -----------------------------------------------------------------------------
$ 1,557,093
- -----------------------------------------------------------------------------
Hospitals -- 0.9%
- -----------------------------------------------------------------------------
Baa1 BBB $ 975 Russell County, KY
Franciscan Sisters of the
Poor Health System, 8.10%,
7/1/15 $ 1,100,902
- -----------------------------------------------------------------------------
$ 1,100,902
- -----------------------------------------------------------------------------
Housing -- 3.7%
- -----------------------------------------------------------------------------
NR AAA $1,470 Boone County, KY
Multifamily Housing
Mortgage, Walnut Creek
Apartments, (FHA), 7.00%,
1/1/27 $ 1,529,623
Aaa AAA 2,500 Kentucky Housing
Corporation, Multifamily
Mortgage, 6.30%, 1/1/28 2,540,250
Aaa AAA 680 Kentucky Housing
Corporation, Single Family
Mortgage, (FHA), (AMT),
7.45%, 1/1/23 714,456
- -----------------------------------------------------------------------------
$ 4,784,329
- -----------------------------------------------------------------------------
Industrial Development Revenue/Pollution
Control Revenue -- 21.0%
- -----------------------------------------------------------------------------
Baa1 NR $2,425 Ashland, KY Sewerage and
Solid Waste Disposal
(AMT), 7.12%, 2/1/22 $ 2,627,197
NR NR 1,000 City of Elsmmere, KY,
6.75%, 4/1/10 1,034,210
A2 NR 1,190 Commonwealth of Puerto
Rico Industrial Medical
and Environmental
Pollution Control Facility
Finance Authority
(American Home Products),
5.10%, 12/1/18 1,100,810
Baa3 BB+ 500 Commonwealth of Puerto
Rico Port Authority
(American Airlines),
(AMT), 6.30%, 6/1/23 511,785
NR NR 3,075 Fulton County, KY
Industrial Building,
H.I.S. - Chic Jeans,
(AMT), 7.50%, 2/1/10 3,146,186
NR A- 2,370 Hancock County, KY Soild
Waste Disposal
(Williamette Corporation)
(AMT), 6.60%, 5/1/26 2,459,681
</TABLE>
See notes to financial statements
54
<PAGE>
Kentucky Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Industrial Development Revenue/
Pollution Control Revenue (continued)
- -----------------------------------------------------------------------------
NR NR $1,500 Hancock County, KY Solid
Waste Disposal (Southwire
Company) (AMT), 7.75%,
7/1/26 $ 1,551,945
Baa2 BBB- 3,000 Henderson County, KY Solid
Waste Disposal (MacMillan
Bloedel) (AMT), 7.00%,
3/1/25 3,181,320
Aa3 AA- 1,000 Jefferson County, KY
Pollution Control (E.I. du
Pont de Nemours), 6.30%,
7/1/12 1,078,490
Aa NR 3,000 Kenton County, KY (FHA),
6.95%, 12/1/26/(4)/ 3,249,810
NR BB- 985 Owensboro County, KY
(KMart Corporation),
6.80%, 12/1/07 998,268
NR NR 1,500 Perry County, Solid Waste
Disposal (TJI International),
6.80%, 5/1/26 1,547,685
NR BB- 915 Powderly, KY (KMart
Corporation), 6.90%, 3/1/07 932,257
A1 A 2,820 Wickliffe, KY Solid Waste
Disposal (Westvaco
Corporation) (AMT), 6.38%,
4/1/26 2,922,140
Baa3 NR 500 Winchester County, KY
(Kroger Corporation),
6.90%, 7/1/01 512,695
- -----------------------------------------------------------------------------
$ 26,854,479
- -----------------------------------------------------------------------------
Industrial Development Revenue/Pollution
Control Revenue -- 2.0%
- -----------------------------------------------------------------------------
Baa1 BBB $2,355 Ashland, KY Solid Waste
Disposal (AMT), 7.20%,
10/1/20 $ 2,507,180
- -----------------------------------------------------------------------------
$ 2,507,180
- -----------------------------------------------------------------------------
Insured Education -- 0.6%
- -----------------------------------------------------------------------------
Aaa AAA $ 700 Northern, KY University
Educational Buildings
(AMBAC), 6.25%, 5/1/12 $ 743,155
- -----------------------------------------------------------------------------
$ 743,155
- -----------------------------------------------------------------------------
Insured Electric Utilities -- 2.0%
- -----------------------------------------------------------------------------
Aaa AAA $1,000 Boone County, KY Pollution
Control, (MBIA), 5.50%,
1/1/24/(1)/ $ 963,950
Aaa AAA 1,600 Commonwealth of Puerto
Rico, Telephone Authority,
(MBIA), Variable,
1/16/15/(2)/ 1,548,000
- -----------------------------------------------------------------------------
$ 2,511,950
- -----------------------------------------------------------------------------
Insured General Obligations -- 2.0%
- -----------------------------------------------------------------------------
Aaa AAA $1,695 Jefferson County, KY
School District Finance
Corporation, (FSA), 5.13%,
11/1/15 $ 1,639,302
Aaa AAA 1,000 Jefferson County, KY
School District Finance
Corporation, (MBIA),
4.88%, 1/1/13 936,910
- -----------------------------------------------------------------------------
$ 2,576,212
- -----------------------------------------------------------------------------
Insured Hospitals -- 10.3%
- -----------------------------------------------------------------------------
Aaa AAA $2,500 Daviess County, KY ODCH
Incorporated, (MBIA),
6.25%, 8/1/22/(4)/ $ 2,630,800
Aaa AAA 2,500 Jefferson County, KY
Health Facilities (AMBAC),
6.50%, 5/1/15 2,697,525
Aaa AAA 1,750 Jefferson County, KY
Health Facilities (AMBAC),
6.55%, 5/1/22 1,892,205
Aaa AAA 4,000 Kentucky Development
Finance Authority (Saint
Luke's Hospital) (MBIA),
7.00%, 10/1/21 4,420,280
Aaa AAA 1,750 Kentucky Economic
Development Finance
Authority (Baptist
Healthcare) (MBIA), 5.00%,
8/15/24 1,579,830
- -----------------------------------------------------------------------------
$ 13,220,640
- -----------------------------------------------------------------------------
Insured Transportation -- 5.9%
- -----------------------------------------------------------------------------
Aaa AAA $3,550 Kenton County, KY Airport,
6.30%, 3/1/15/(4)/ $ 3,808,511
Aaa AAA 1,195 Kenton County, KY Airport
Revenue Board, (MBIA)
(AMT), 6.45%, 3/1/15/(3)/ 1,220,454
Aaa AAA 1,000 Kenton County, KY
Cincinnati/Northern
Kentucky Airport, (FSA),
(AMT), 6.30%, 3/1/15 1,046,020
Aaa AAA 1,000 Kentucky Economic
Development Authority,
State Turnpike
Revitalization, (AMBAC),
5.50%, 7/1/11 1,008,240
Aaa AAA 1,000 Kenton Economic
Development Authority,
State Turnpike
Revitalization, (FGIC),
0%, 7/1/10 507,630
- -----------------------------------------------------------------------------
$ 7,590,855
- -----------------------------------------------------------------------------
</TABLE>
See notes to finacial statements
55
<PAGE>
Kentucky Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Water and Sewer -- 6.1%
- -----------------------------------------------------------------------------
Aaa AAA $2,000 Kenton County, KY Water
District Waterworks,
(FGIC), 6.00%, 2/1/17 $ 2,092,400
Aaa AAA 800 Kenton County, KY Water
District Waterworks,
(FGIC), 6.38%, 2/1/17 858,800
Aaa AAA 500 Lexington-Fayette County,
KY Government Sewer
System, (MBIA), 6.38%,
7/1/12 535,985
Aaa AAA 1,000 Louisville and Jefferson
County, KY Sewer District,
(AMBAC), 6.75%, 5/15/19 1,119,990
Aaa AAA 2,000 Louisville and Jefferson
County, KY Sewer District,
(AMBAC), 6.75%, 5/15/25 2,239,980
Aaa AAA 1,000 Louisville and Jefferson
County, KY Sewer District,
(FGIC), 5.20%, 5/15/26 940,660
- -----------------------------------------------------------------------------
$ 7,787,815
- -----------------------------------------------------------------------------
Lease Revenue/Certificates of Participation -- 19.0%
- -----------------------------------------------------------------------------
A A $1,300 Boone County, KY School
District, 6.75%, 9/1/11 $ 1,423,968
A1 A+ 1,200 Fayette County, KY School
District Finance
Corporation, 5.38%, 1/1/15 1,183,668
A1 A+ 2,315 Fayette County, KY School
District Finance
Corporation, 5.38%, 1/1/17 2,267,820
A1 A+ 4,990 Jefferson County, KY
Capital Projects
Corporation, 0.00%, 8/15/15 1,696,301
A1 A+ 905 Jefferson County, KY
School District Finance
Corporation, 4.88%, 1/1/11 859,460
A1 A+ 1,250 Jefferson County, KY
School District Finance
Corporation, 4.88%, 1/1/12 1,179,225
A A 1,000 Jessamine County, KY
School District Finance
Corporation, 5.38%, 1/1/17 978,440
A A+ 1,500 Kentucky State Property
and Buildings Commission,
5.00%, 9/1/13 1,410,780
A A+ 2,500 Kentucky State Property
and Buildings Commission,
6.00%, 9/1/14 2,603,800
A A- 1,000 Louisville, KY Public
Property Corporation,
6.80%, 12/1/22 1,098,510
A NR 1,000 Meade County, KY School
District, 5.70%, 7/1/15 1,014,020
- -----------------------------------------------------------------------------
Lease Revenue/Certificates of
Participation (continued)
- -----------------------------------------------------------------------------
Aa NR $2,000 Mount Sterling, KY Lease,
6.15%, 3/1/13 $ 2,036,000
Aa NR 4,500 Mount Sterling, KY Lease,
6.20%, 3/1/18 4,592,339
A NR 2,000 Owensboro County, KY
Airport Lease, 5.88%,
6/1/15 2,007,440
- -----------------------------------------------------------------------------
$ 24,351,771
- -----------------------------------------------------------------------------
Life Care -- 0.8%
- -----------------------------------------------------------------------------
NR A- $1,000 Christian County, KY
Hospital, 6.00%, 7/1/17 $ 1,015,110
- -----------------------------------------------------------------------------
$ 1,015,110
- -----------------------------------------------------------------------------
Nursing Homes -- 0.7%
- -----------------------------------------------------------------------------
NR NR $ 835 Jefferson County, KY
Health Facilities, Beverly
Enterprises, 9.75%, 8/1/07 $ 914,910
- -----------------------------------------------------------------------------
$ 914,910
- -----------------------------------------------------------------------------
Special Tax Revenue -- 0.4%
- -----------------------------------------------------------------------------
NR NR $ 500 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 $ 541,555
- -----------------------------------------------------------------------------
$ 541,555
- -----------------------------------------------------------------------------
Transportation -- 6.9%
- -----------------------------------------------------------------------------
NR BBB $3,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 3,105,600
Baa3 BB+ 500 Kenton County, KY Airport
(Delta Airlines) (AMT),
7.50%, 2/1/20 541,175
Baa3 BB+ 3,400 Kenton County, KY Airport
(Delta Airlines) (AMT),
6.13%, 2/1/22 3,342,676
Baa3 BB+ 1,500 Kenton County, KY Airport
(Delta Airlines) (AMT),
7.12%, 2/1/21 1,597,140
Baa3 BB+ 250 Kenton County, KY Airport
(Delta Airlines) (AMT),
7.50%, 2/1/12 270,698
- -----------------------------------------------------------------------------
$ 8,857,289
- -----------------------------------------------------------------------------
</TABLE>
See notes to financial statements
56
<PAGE>
Kentucky Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Water and Sewer -- 1.8%
- -----------------------------------------------------------------------------
NR A $1,500 Campbell County, KY Water
District, 6.60%, 12/1/11 $ 1,635,615
A NR 650 Harden County, KY Water
District, 6.50%, 9/1/12 694,070
- -----------------------------------------------------------------------------
$ 2,329,685
- -----------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $121,126,820) $ 127,918,087
- -----------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
/(3)/ When-issued security.
/(4)/ Security has been segregated to cover when-issued securities.
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Kentucky
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 February 28, 1997, 26.9% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 2.1% to 13.8% of total investments.
See notes to financial statements
57
<PAGE>
Louisiana Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------------
Education -- 0.8%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa NR $ 150 Louisiana Public Facilities
Authority, Guaranteed
Student Loan Revenue Bonds,
(AMT), 6.75%, 9/1/06 $ 158,714
A NR 100 Louisiana Public Facilities
Authority, Student Loan
Revenue Bonds (AMT), 7.00%,
9/1/06 105,757
- --------------------------------------------------------------------------------
$ 264,471
- --------------------------------------------------------------------------------
Electric Utilities -- 1.9%
- --------------------------------------------------------------------------------
Ba1 BB+ $ 150 Pointe Coupe Parish, LA
(Gulf States Utilities
Company), 6.70%, 3/1/13 $ 153,465
Baa2 BBB 500 Saint Charles Parish, LA
Power and Light (AMT),
6.20%, 5/1/23 501,945
- --------------------------------------------------------------------------------
$ 655,410
- --------------------------------------------------------------------------------
Hospitals -- 5.9%
- --------------------------------------------------------------------------------
Baa1 NR $1,000 Lafourche Parish, LA
Hospital Service District,
6.00%, 10/1/23 $ 973,400
NR A- 750 Saint Tammany Parish, LA
Hospital Service District,
6.50%, 7/1/17 777,105
NR A- 250 Saint Tammany Parish, LA
Hospital Service District,
6.50%, 7/1/22 256,788
- --------------------------------------------------------------------------------
$ 2,007,293
- --------------------------------------------------------------------------------
Housing -- 31.1%
- --------------------------------------------------------------------------------
Aaa NR $ 95 East Baton Rouge Mortgage
Finance Authority, Single
Family (AMT), (GNMA),
7.88%, 12/1/21 $ 100,767
Aaa NR 235 East Baton Rouge Mortgage
Finance Authority, Single
Family (AMT), (GNMA/FNMA),
7.10%, 10/1/24 247,244
Aaa NR 745 East Baton Rouge Mortgage
Finance Authority, Single
Family (GNMA/FNMA), 7.00%,
4/1/32 776,387
Aaa NR 500 Louisiana Housing Finance
Agency, 6.38%, 12/1/27 510,520
NR AAA 150 Louisiana Housing Finance
Authority, Multifamily
Housing (Westview Apartment
II) (AMT), (FHA), 7.95%,
1/1/32 159,837
NR AAA 620 Louisiana Housing Finance
Authority, Multifamily,
(FHA), 6.95%, 7/1/16 639,040
Aaa NR $ 600 Louisiana Housing Finance
Authority, Single Family,
(AMT), (GNMA), 6.30%,
12/1/27 608,622
Aaa NR 1,250 Louisiana Housing Finance
Authority, Single Family,
(AMT), (GNMA), 8.00%, 3/1/25 1,403,738
Aaa NR 655 Louisiana Housing Finance
Authority, Single Family,
(AMT), (GNMA/FNMA), 6.55%,
12/1/26 672,678
NR AAA 250 Louisiana Public Facilities
Authority, 6.05%, 1/1/26 249,638
NR A 1,000 Louisiana Public Facilities
Authority, Multifamily
Housing - Windsor Housing,
6.25%, 1/1/26 1,009,270
Aaa NR 1,900 New Orleans Home Mortgage
Authority, Single Family,
(AMT), (GNMA/FNMA), 6.30%,
6/1/28 1,918,334
NR AAA 1,850 Parish of Jefferson, Home
Mortgage Authority, (AMT),
(GNMA/FNMA), 7.35%, 12/1/16 2,025,250
A NR 350 Shreveport Housing Finance
Authority, Multifamily
(Goodman Plaza), 6.10%,
8/1/19 349,979
- --------------------------------------------------------------------------------
$10,671,304
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution Control Revenue -- 11.5%
- --------------------------------------------------------------------------------
A3 A- $1,750 City of Bastrop, LA
(International Paper
Company) (AMT), 6.60%,
3/1/19 $ 1,853,389
Baa3 BB+ 900 Commonwealth of Puerto Rico
Port Authority (American
Airlines) (AMT), 6.25%,
6/1/26 926,811
A-3 A- 750 De Soto Parish, LA
(International Paper
Company) (AMT), 7.70%,
11/1/18 857,258
Aa3 NR 150 De Soto Parish, LA
(Southwestern Electric
Power Company), 7.60%,
1/1/19 169,553
Baa1 BBB+ 150 South Louisiana Port
Commission (GATX Terminals
Corporation), 7.00%, 3/1/23 157,263
- --------------------------------------------------------------------------------
$ 3,964,274
- --------------------------------------------------------------------------------
Insured Education -- 4.8%
- --------------------------------------------------------------------------------
Aaa AAA $ 500 Louisiana Public Facilities
Authority (Tulane
University) (AMBAC), 6.05%,
10/1/25 $ 519,180
</TABLE>
See notes to financial statements
58
<PAGE>
Louisiana Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------------
Insured Education (continued)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA $1,100 Louisiana State University
and Agricultural and
Mechanical College (FGIC),
5.75%, 7/1/14 $ 1,114,971
- --------------------------------------------------------------------------------
$ 1,634,151
- --------------------------------------------------------------------------------
Insured Electric Utilities -- 0.5%
- --------------------------------------------------------------------------------
Aaa AAA $ 150 City of Alexandria, Utility
Revenue Bonds, (FGIC),
6.00%, 5/1/06 $ 159,465
- --------------------------------------------------------------------------------
$ 159,465
- --------------------------------------------------------------------------------
Insured General Obligations -- 3.8%
- --------------------------------------------------------------------------------
NR AAA $ 250 Commonwealth of Puerto
Rico, Public Improvement
Bonds, (AMBAC), Variable,
7/1/15(1) $ 259,375
Aaa AAA 3,000 New Orleans, (AMBAC), 0%,
9/1/15 1,063,950
- --------------------------------------------------------------------------------
$ 1,323,325
- --------------------------------------------------------------------------------
Insured Hospitals -- 4.7%
- --------------------------------------------------------------------------------
Aaa AAA $ 100 Louisiana Public Facilities
Authority Hospital (MBIA),
Variable, 12/1/14/(1)/ $ 108,125
Aaa AAA 1,500 Ouachita Parish, Glenwood
Medical Center, (FSA),
5.75%, 5/15/21 1,504,680
- --------------------------------------------------------------------------------
$ 1,612,805
- --------------------------------------------------------------------------------
Insured Housing -- 0.2%
- --------------------------------------------------------------------------------
Aaa AAA $ 610 East Baton Rouge Mortgage
Finance Authority, Single
Family (MBIA) (GNMA/FNMA),
0%, 10/1/15 $ 87,999
- --------------------------------------------------------------------------------
$ 87,999
- --------------------------------------------------------------------------------
Insured Special Tax Revenue -- 9.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 1,000 Louisiana Stadium and
Exposition District, Hotel
Occupancy Tax and Stadium
Revenue (FGIC), 6.00%,
7/1/24 $ 1,029,070
Aaa AAA 2,000 Orleans Levee District,
(FSA), 5.95%, 11/1/14 2,081,019
- --------------------------------------------------------------------------------
$ 3,110,089
- --------------------------------------------------------------------------------
Lease Revenue /
Certificates of Participation -- 4.4%
- --------------------------------------------------------------------------------
Aa2 AA $ 1,500 Saint Bernard Parish (Mobil
Oil), 5.90%, 11/1/26 $ 1,505,760
- --------------------------------------------------------------------------------
$ 1,505,760
- --------------------------------------------------------------------------------
Life Care -- 16.1%
- --------------------------------------------------------------------------------
NR NR $ 500 Louisiana Housing Finance
Agency (HCC Assisted Living
Group) (AMT), 9.00%, 3/1/25 530,495
NR AAA 500 Louisiana Housing Finance
Agency (Saint Dominic
Assisted Care Facility)
(GNMA), 6.85%, 9/1/25 535,945
Aaa AAA 2,000 Louisiana Housing Finance
Agency (Saint Joseph's
Manor Retirement Center)
(GNMA), 7.80%, 12/1/35 2,227,299
NR BBB 1,150 Louisiana Public Facilities
Authority (Glen Retirement
System), 6.70%, 12/1/25 1,165,146
NR BBB 750 Louisiana Public Facilities
Authority, General Health
System, 6.80%, 11/1/16 765,353
NR NR 300 Saint Tammany, LA Public
Trust Financing Authority,
9.00%, 11/15/25 319,584
- --------------------------------------------------------------------------------
$ 5,543,822
- --------------------------------------------------------------------------------
Special Tax Revenue -- 3.6%
- --------------------------------------------------------------------------------
Baa1 A $ 1,375 Commonwealth of Puerto Rico
Highway and Transportation
Authority, 5.00%, 7/1/22 $ 1,227,270
- --------------------------------------------------------------------------------
$ 1,227,270
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
59
<PAGE>
Louisiana Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Transportation -- 1.6%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
A A- $ 500 Mississippi River Bridge
Authority, Bridge Revenue,
6.75%, 11/1/12/(2)/ $ 545,735
- --------------------------------------------------------------------------------
$ 545,735
- --------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $32,863,537) $34,313,173
- --------------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been issued as an inverse floater bond.
/(2)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Louisiana
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 February 28, 1997, 23.1% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.6% to 10.4% of total investments.
See notes to financial statements
60
<PAGE>
Maryland Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------------
Cogeneration -- 1.2%
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR NR $1,250 Maryland Energy Cogeneration,
AES Warrior Run Project
(AMT), 7.40%,
9/1/19 $ 1,321,913
- -------------------------------------------------------------------------------
$ 1,321,913
- -------------------------------------------------------------------------------
Education -- 1.0%
- -------------------------------------------------------------------------------
Aa3 AA+ $1,000 University of Maryland
Auxiliary Facilities and
Tuition, 6.30%,
2/1/10 $ 1,073,920
- -------------------------------------------------------------------------------
$ 1,073,920
- -------------------------------------------------------------------------------
Electric Utilities -- 6.4%
- -------------------------------------------------------------------------------
A2 A $1,500 Calvert, MD Pollution
Control Revenue (Baltimore
Gas and Electric Company),
5.55%,7/15/14 $ 1,498,245
NR BBB 2,500 Guam Power Authority
Revenue Bonds, 5.25%,
10/1/13 2,305,775
NR BBB 750 Guam Power Authority
Revenue Bonds, 6.63%,
10/1/14 782,370
A1 A 2,225 Prince Georges, MD
Pollution Control Revenue
(Potomac Electric), 6.38%,
1/15/23 2,359,501
- -------------------------------------------------------------------------------
$ 6,945,891
- -------------------------------------------------------------------------------
Escrowed / Prerefunded -- 6.0%
- -------------------------------------------------------------------------------
Aaa NR $1,125 Baltimore, MD Single
Family Mortgage (Inner
Harbor), 8.00%, 12/1/10 $ 1,430,420
NR AAA 1,000 Commonwealth of Puerto
Rico Public Improvement,
6.80%, 7/1/21 1,128,780
Aaa AAA 500 Maryland Health and Higher
Educational (University of
Maryland) (FGIC), 6.50%,
7/1/21 541,360
Aaa AAA 1,500 Puerto Rico Public
Buildings Authority,
6.88%, 7/1/21 1,698,480
NR AAA 1,000 University of Maryland
System Auxiliary Facility
and Tuition, 6.50%, 4/1/11 1,084,940
NR AAA 175 University of Maryland
System Auxiliary Facility
and Tuition, 6.50%, 4/1/12 195,731
Aa NR 310 Worcester, MD Sanitary
District, 6.55%, 8/15/17 345,706
- -------------------------------------------------------------------------------
$ 6,425,417
- -------------------------------------------------------------------------------
General Obligations -- 2.3%
- -------------------------------------------------------------------------------
Aa AA- $ 750 Harford, MD, 4.90%, 12/1/10 $ 727,095
Aa1 AA 1,000 Washington, MD Suburban
Sanitary District, 5.63%,
6/1/21 1,002,050
Aa1 AA 500 Washington, MD Suburban
Sanitary District, 6.20%,
6/1/11 536,190
Aa NR 190 Worcester, MD Sanitary
District, 6.55%, 8/15/17 205,071
- -------------------------------------------------------------------------------
$ 2,470,406
- -------------------------------------------------------------------------------
Hospitals -- 17.9%
- -------------------------------------------------------------------------------
NR NR $ 485 Berlin, MD (Atlantic
General Hospital), 8.38%,
6/1/22 $ 503,042
A1 A 3,500 Maryland Health and Higher
Educational (Good Samaritan
Hospital), 5.75%, 7/1/19 3,510,045
Baa1 BBB 1,250 Maryland Health and Higher
Educational (Howard County
General Hospital), 5.50%,
7/1/25 1,153,588
A1 A+ 2,200 Maryland Health and Higher
Educational (Suburban
Hospital), 5.13%, 7/1/21 2,027,608
Baa1 NR 2,500 Maryland Health and Higher
Educational (Union Hospital
of Cecil), 6.70%, 7/1/22 2,583,700
A NR 4,000 Prince Georges, MD
(Dimensions Health),
5.30%, 7/1/24 3,683,480
Baa3 NR 1,355 Prince Georges, MD
(Greater SouthEast
Healthcare System), 6.38%,
1/1/13 1,350,176
Baa3 NR 4,500 Prince Georges, MD
(Greater SouthEast
Healthcare System), 6.38%,
1/1/23 4,423,994
- -------------------------------------------------------------------------------
$ 19,235,633
- -------------------------------------------------------------------------------
Housing -- 7.8%
- -------------------------------------------------------------------------------
Aa NR $1,810 Maryland Community
Development Administration
Multifamily (FHA), 6.70%,
5/15/27 $ 1,884,174
Aa NR 1,000 Maryland Community
Development Administration
Multifamily (FHA) (AMT),
6.70%, 5/15/36 1,039,600
Aa NR 245 Maryland Community
Development Administration
Single Family, 6.85%,
4/1/11 256,748
Aa NR 3,000 Maryland Community
Development Administration
Single Family (AMT),
6.75%, 4/1/26 3,132,210
</TABLE>
See notes to financial statements
61
<PAGE>
Maryland Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------------
Housing (continued)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa NR $ 945 Maryland Community
Development Administration
Single Family (AMT),
6.80%, 4/1/22 $ 980,579
Aa NR 745 Maryland Community
Development Administration
Single Family (AMT),
6.80%, 4/1/24 773,049
NR A 300 Prince Georges, MD
(Antoinette Gardens
Apartments) (FHA), 7.00%,
3/1/28 312,264
- -------------------------------------------------------------------------------
$ 8,378,624
- -------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 11.7%
- -------------------------------------------------------------------------------
A1 A $ 1,350 Allegany, MD Pollution
Control Revenue (Westvaco
Corporation), 6.20%, 1/1/08 $ 1,459,580
NR NR 1,350 Baltimore, MD Pollution
Control Revenue (Bethlehem
Steel Corporation), 7.50%,
6/1/15 1,431,243
Aa3 AA- 2,000 Baltimore, MD Port
Facilities (Consolidated
Coal Sales Company - E.I.
du Pont de Nemours),
6.50%, 10/1/11 2,187,440
A2 NR 2,600 Commonwealth of Puerto
Rico Industrial Medical
and Environmental
Pollution Control Facility
Finance Authority
(American Home Products),
5.10%, 12/1/18 2,405,130
Baa3 BB+ 2,000 Commonwealth of Puerto
Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26 2,059,580
Baa3 BB+ 1,500 Commonwealth of Puerto
Rico Port Authority
(American Airlines),
(AMT), 6.30%, 6/1/23 1,535,355
NR AA- 1,425 Frederick, MD Economic
Development Authority
(Cargill, Incorporated),
6.30%, 11/1/09/(1)/ 1,534,269
- -------------------------------------------------------------------------------
$ 12,612,597
- -------------------------------------------------------------------------------
Insured Colleges and Universities -- 4.1%
- -------------------------------------------------------------------------------
Aaa AAA $ 4,500 Maryland Health and Higher
Educational (Loyola
College) (MBIA), 5.38%,
10/1/26 $ 4,376,385
- -------------------------------------------------------------------------------
$ 4,376,385
- -------------------------------------------------------------------------------
Insured Education -- 1.2%
- -------------------------------------------------------------------------------
Aaa AAA $ 1,200 Morgan State University,
Maryland Academic and
Facilities (MBIA), 6.10%,
7/1/20 $ 1,299,720
- -------------------------------------------------------------------------------
$ 1,299,720
- -------------------------------------------------------------------------------
Insured Electric Utilities -- 2.7%
- -------------------------------------------------------------------------------
Aaa AAA $ 250 Commonwealth of Puerto
Rico Electric Power
Authority STRIPES (FSA),
Variable, 7/1/03/(2)/ $ 276,250
Aaa AAA 2,750 Montgomery County, MD
Pollution Control Revenue
(MBIA), 5.38%, 2/15/24 2,611,263
- -------------------------------------------------------------------------------
$ 2,887,513
- -------------------------------------------------------------------------------
Insured Hospitals -- 8.2%
- -------------------------------------------------------------------------------
A A $ 250 Maryland Health and Higher
Educational (Anne Arundel
Hospital) (AMBAC), 5.00%,
7/1/23 $ 224,543
Aaa AAA 4,000 Maryland Health and Higher
Educational (Johns
Hopkins) (AMBAC), 5.25%,
7/1/27 3,793,680
Aaa AAA 1,365 Maryland Health and Higher
Educational (Washington
Community Hospital)
(AMBAC), 6.38%, 7/1/22 1,453,998
Aaa AAA 3,150 Puerto Rico Industrial
Medical and Environmental
Pollution Control
Facilities Financing
Authority (MBIA), 6.25%,
7/1/24 3,340,953
- -------------------------------------------------------------------------------
$ 8,813,174
- -------------------------------------------------------------------------------
Insured Housing -- 0.5%
- -------------------------------------------------------------------------------
Aaa AAA $ 500 Prince Georges, MD
(Keystone Apartments)
(FHA) (MBIA), 6.80%, 7/1/25 $ 521,840
- -------------------------------------------------------------------------------
$ 521,840
- -------------------------------------------------------------------------------
Insured Industrial Development Revenue /
Pollution Control Revenue -- 2.0%
- -------------------------------------------------------------------------------
Aa2 AA- $ 2,000 Baltimore, MD Port
Facilities (Consolidated
Coal Sales Company - E.I.
du Pont de Nemours),
6.50%, 12/1/10 $ 2,183,000
- -------------------------------------------------------------------------------
$ 2,183,000
- -------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
62
<PAGE>
Maryland Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------------
Insured Miscellaneous -- 1.9%
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA $1,000 Maryland Stadium Authority
(AMBAC), 5.60%, 3/1/14 $ 1,011,680
Aaa AAA 1,000 Maryland Stadium Authority
(AMBAC), 5.80%, 3/1/26 1,009,440
- -------------------------------------------------------------------------------
$ 2,021,120
- -------------------------------------------------------------------------------
Insured Solid Waste -- 4.9%
- -------------------------------------------------------------------------------
Aaa AAA $5,000 NE Maryland Solid Waste
Disposal (MBIA) (AMT),
6.30%, 7/1/16 $ 5,225,199
- -------------------------------------------------------------------------------
$ 5,225,199
- -------------------------------------------------------------------------------
Insured Transportation -- 6.3%
- -------------------------------------------------------------------------------
Aaa AAA $2,000 Baltimore, MD
International Airport
(AMT) (FGIC), 6.25%, 7/1/14 $ 2,116,500
Aaa AAA 4,750 Washington, D.C. Metro
Area Transportation
(FGIC), 5.25%, 7/1/14 4,615,384
- -------------------------------------------------------------------------------
$ 6,731,884
- -------------------------------------------------------------------------------
Insured Water and Sewer -- 8.6%
- -------------------------------------------------------------------------------
Aaa AAA $1,500 Baltimore, MD Sewer
(FGIC), 5.50%, 7/1/26 $ 1,470,975
Aaa AAA 2,550 Baltimore, MD Wastewater
(FGIC), 5.00%, 7/1/22 2,374,968
Aaa AAA 2,000 Baltimore, MD Wastewater
(MBIA), 5.65%, 7/1/20 2,015,360
Aaa AAA 500 Baltimore, MD Water
(FGIC), 5.00%, 7/1/24 465,155
Aaa AAA 3,000 Baltimore, MD Water
(FGIC), 5.50%, 7/1/26 2,941,950
- -------------------------------------------------------------------------------
$ 9,268,408
- -------------------------------------------------------------------------------
Lease Revenue /
Certificates of Participation -- 1.1%
- -------------------------------------------------------------------------------
NR BBB $1,250 Puerto Rico (Guaynabo
Municipal Government
Center Lease), 5.63%,
7/1/22 $ 1,180,700
- -------------------------------------------------------------------------------
$ 1,180,700
- -------------------------------------------------------------------------------
Miscellaneous -- 0.9%
- -------------------------------------------------------------------------------
A NR $1,000 Baltimore, MD Revenue
Authority, 5.38%, 7/1/18 $ 966,670
- -------------------------------------------------------------------------------
$ 966,670
- -------------------------------------------------------------------------------
Special Tax Revenue -- 0.7%
- -------------------------------------------------------------------------------
NR NR $ 750 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 $ 812,333
- -------------------------------------------------------------------------------
$ 812,333
- -------------------------------------------------------------------------------
Transportation -- 1.6%
- -------------------------------------------------------------------------------
NR BBB $1,700 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 1,759,840
- -------------------------------------------------------------------------------
$ 1,759,840
- -------------------------------------------------------------------------------
Water and Sewer -- 1.0%
- -------------------------------------------------------------------------------
Aa2 AA $1,000 Maryland Water Quality
Financing Administration
Revolving Loan Fund,
6.55%, 9/1/14 $ 1,079,190
- -------------------------------------------------------------------------------
$ 1,079,190
- -------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $103,997,044) $107,591,377
- -------------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Maryland
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 February 28, 1997, 40.4% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.3% to 18.0% of total investments.
See notes to financial statements
63
<PAGE>
Missouri Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- --------------------
Amount
Standard 000
Moody's & Poor's (omitted) Security Value
- --------------------------------------------------------------------------------
Electric Utilities -- 3.3%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR BBB $1,010 Guam Power Authority
Revenue Bonds, 6.30%,
10/1/22 $ 1,024,198
Baa1 BBB+ 1,500 Puerto Rico Electric Power
Authority, 6.38%, 7/1/24 1,586,325
- --------------------------------------------------------------------------------
$ 2,610,523
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 3.0%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 City of Sikeston, Electric
System (MBIA), 6.25%,
6/1/22/(1)/ $ 1,098,610
Aaa AAA 575 Missouri Health and
Education Authority (Saint
Louis Children's) (MBIA),
0%, 5/15/08 321,575
NR AAA 1,000 Saint Louis County,
Mortgage Revenue, (GNMA),
5.40%, 1/1/16 965,320
- --------------------------------------------------------------------------------
$ 2,385,505
- --------------------------------------------------------------------------------
General Obligations -- 0.8%
- --------------------------------------------------------------------------------
Baa1 A $ 700 Commonwealth of Puerto
Rico, 5.00%, 7/1/21 $ 626,143
- --------------------------------------------------------------------------------
$ 626,143
- --------------------------------------------------------------------------------
Hospitals -- 12.0%
- --------------------------------------------------------------------------------
Aa AA $3,250 Missouri Health and
Education Authority (Barnes
Jewish Christian), 5.25%,
5/15/14 $ 3,140,768
Baa NR 1,900 Missouri Health and
Education Authority
(Jefferson Memorial
Hospital), 6.80%, 5/15/25 1,954,663
Baa NR 2,000 Missouri Health and
Education Authority
(Jefferson Memorial),
6.00%, 8/15/23 1,916,940
NR BBB+ 1,500 Missouri Health and
Education Authority (Lake
of the Ozarks), 6.50%,
2/15/21 1,532,970
Aa2 AA 1,000 Missouri Health and
Education Authority
(Sisters of Mercy), 6.25%,
6/1/15 1,045,200
- --------------------------------------------------------------------------------
$ 9,590,541
- --------------------------------------------------------------------------------
Housing -- 3.2%
- --------------------------------------------------------------------------------
NR AAA $ 535 Missouri Housing
Development Authority,
Single Family Mortgage
Revenue (AMT), (GNMA),
6.75%, 6/1/24 $ 556,352
NR AAA 915 Missouri Housing
Development Authority,
Single Family Mortgage
Revenue (AMT), (GNMA),
7.25%, 9/1/26 1,007,781
NR AAA 1,000 Missouri Housing
Development Authority,
Single Family Mortgage
Revenue (GNMA), 6.45%,
9/1/27 1,025,640
- --------------------------------------------------------------------------------
$ 2,589,773
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 13.8%
- --------------------------------------------------------------------------------
A2 NR $1,000 Commonwealth of Puerto Rico
Industrial Medical and
Environmental Pollution
Control Facility Finance
Authority (American Home
Products), 5.10%, 12/1/18 $ 925,050
Baa3 BB+ 2,500 Commonwealth of Puerto Rico
Port Authority (American
Airlines) (AMT), 6.25%,
6/1/26 2,574,475
NR BB- 1,055 Jefferson County (Kmart
Corporation), 6.40%, 8/1/08 1,038,764
NR NR 1,300 Kansas City, Industrial
Development Authority
(Airline Cargo Facilities),
8.50%, 1/1/17 1,424,228
A3 NR 1,200 Missouri Environmental
Improvement and Energy
Resources Authority
(American Cyanamid
Company), 5.80%, 9/1/09 1,261,764
A1 AA- 3,750 Saint Louis Industrial
Development Authority
(Anheuser-Busch) (AMT),
5.88%, 11/1/26 3,779,813
- --------------------------------------------------------------------------------
$11,004,094
- --------------------------------------------------------------------------------
Insured Education -- 2.9%
- --------------------------------------------------------------------------------
Aaa AAA $2,500 Missouri Health and
Education (Saint Louis
University) (AMBAC), 5.20%,
10/1/26 $ 2,361,300
- --------------------------------------------------------------------------------
$ 2,361,300
- --------------------------------------------------------------------------------
Insured Electric Utilities -- 8.0%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 City of Sikeston, Electric
System, (MBIA), 5.00%,
6/1/22 $ 917,430
</TABLE>
See notes to financial statements
64
<PAGE>
Missouri Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- --------------------
Amount
Standard 000
Moody's & Poor's (omitted) Security Value
- --------------------------------------------------------------------------------
Insured Electric Utilities (continued)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA $ 700 Commonwealth of Puerto Rico
Electric Power Authority
STRIPES (FSA), Variable,
7/1/03/(2)/ $ 773,500
Aaa AAA 5,000 Missouri Environmental
Improvement and Energy
Resources Authority (Union
Electric) (AMT), (AMBAC),
5.45%, 10/1/28 4,737,200
- --------------------------------------------------------------------------------
$ 6,428,130
- --------------------------------------------------------------------------------
Insured General Obligations -- 1.3%
- --------------------------------------------------------------------------------
NR AAA $ 500 Commonwealth of Puerto
Rico, Public Improvement
Bonds, (AMBAC), Variable,
7/1/15/(2)/ $ 518,750
Aaa AAA 500 Commonwealth of Puerto
Rico, Public Improvement
Residual Interest Tax
Exempt Securities (FSA),
Variable, 7/1/22/(2)/ 523,750
- --------------------------------------------------------------------------------
$ 1,042,500
- --------------------------------------------------------------------------------
Insured Hospitals -- 14.9%
- --------------------------------------------------------------------------------
Aaa AAA $1,000 Jackson County, Saint
Joseph's Health System,
(MBIA), 6.50%, 7/1/12 $ 1,078,720
Aaa AAA 800 Jackson County, Saint
Joseph's Health System,
(MBIA), 6.50%, 7/1/19 857,536
Aaa AAA 1,500 Missouri Health and
Education Authority
(AMBAC), 6.35%, 11/15/17 1,597,050
Aaa AAA 9,500 Missouri Health and
Education Authority (Lester
Cox Medical Center) (MBIA),
0.00%, 9/1/20 2,515,030
Aaa AAA 2,900 Missouri Health and
Education Authority (Lester
Cox Medical Center) (MBIA),
5.35%, 6/1/10 2,940,223
Aaa AAA 2,000 Missouri Health and
Education Authority (Saint
Luke's Health System)
(MBIA), 5.13%, 11/15/19 1,845,980
Aaa AAA 1,000 Missouri Health and
Education Authority
(Sisters of Saint Mary)
(MBIA), 6.25%, 6/1/16 1,051,300
- -------------------------------------------------------------------------------
$11,885,839
- -------------------------------------------------------------------------------
Insured Housing -- 2.0%
- -------------------------------------------------------------------------------
Aaa AAA $1,500 SCA Multifamily Mortgage
Revenue Receipts,
Springfield, MO (FSA),
7.10%, 1/1/30 $ 1,626,885
- -------------------------------------------------------------------------------
$ 1,626,885
- -------------------------------------------------------------------------------
Insured Lease Revenue / Certificates of
Participation -- 5.0%
- -------------------------------------------------------------------------------
Aaa AAA $1,750 Kansas City Municipal
Assistance Corporation,
Bartle Hall Convention,
(AMBAC), 5.00%, 4/15/20 $ 1,619,975
Aaa AAA 1,250 Kansas City School
District, (FGIC), 5.00%,
2/1/14 1,192,925
Aaa AAA 600 Kansas City School
District, Building
Corporation, (FGIC), 6.50%,
2/1/08 650,412
Aaa AAA 500 Saint Charles County,
Public Facilities
Authority, (FGIC), 6.38%,
3/15/07 543,370
- -------------------------------------------------------------------------------
$ 4,006,682
- -------------------------------------------------------------------------------
Insured Water and Sewer -- 2.0%
- -------------------------------------------------------------------------------
Aaa AAA $1,500 City of Saint Louis,
(FGIC), 6.00%, 7/1/14 $ 1,564,665
- -------------------------------------------------------------------------------
$ 1,564,665
- -------------------------------------------------------------------------------
Lease Revenue /
Certificates of Participation -- 9.5%
- -------------------------------------------------------------------------------
NR NR $1,500 City of Saint Louis,
Regional Convention and
Sports Complex Authority,
7.90%, 8/15/21 $ 1,771,740
A BBB+ 3,000 Saint Louis County,
Regional Convention and
Sports Complex Authority,
5.50%, 8/15/13 2,906,820
A BBB+ 1,000 Saint Louis County,
Regional Convention and
Sports Complex Authority,
5.75%, 8/15/21 980,040
A1 A+ 2,000 State of Missouri, Regional
Convention and Sports
Complex Authority, 5.50%,
8/15/21 1,928,360
- -------------------------------------------------------------------------------
$ 7,586,960
- -------------------------------------------------------------------------------
Life Care -- 4.2%
- -------------------------------------------------------------------------------
Baa1 NR $ 300 Cass County, Fox Springs
Living Center, 7.38%,
10/1/22 $ 322,053
NR NR 950 Kansas City, Industrial
Development Authority,
Retirement Facilities,
Kingswood United Methodist,
9.00%, 11/15/13 1,034,075
NR NR 2,000 Missouri Health and
Education Authority
(Lutheran Hospital), 6.38%,
2/1/27 2,030,520
- -------------------------------------------------------------------------------
$ 3,386,648
- -------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
65
<PAGE>
Missouri Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- --------------------
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Nursing Homes -- 3.3%
- -------------------------------------------------------------------------------
NR NR $1,000 Kansas City, Industrial
Development Authority
(Beverly Enterprises),
8.00%, 12/1/02 $ 1,050,270
NR NR 500 Missouri Health and
Education Authority
(Bethesda Health Group),
6.63%, 8/15/05 513,585
NR NR 1,000 Missouri Health and
Education Authority
(Bethesda Health Group),
7.50%, 8/15/12 1,069,320
- -------------------------------------------------------------------------------
$ 2,633,175
- -------------------------------------------------------------------------------
Pooled Loans -- 3.4%
- -------------------------------------------------------------------------------
A NR $2,750 Missouri Higher Education
Loan Authority, Student
Loan, (AMT), 5.45%, 2/15/09 $ 2,696,953
- -------------------------------------------------------------------------------
$ 2,696,953
- -------------------------------------------------------------------------------
Special Tax Revenue -- 2.2%
- -------------------------------------------------------------------------------
Baa1 A $1,000 Commonwealth of Puerto
Rico, Highway and
Transportation Authority,
6.63%, 7/1/12 $ 1,076,790
NR NR 650 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 704,022
- -------------------------------------------------------------------------------
$ 1,780,812
- -------------------------------------------------------------------------------
Transportation -- 1.2%
- -------------------------------------------------------------------------------
NR NR $1,000 Lake of The Ozarks
Community Bridge
Corporation, 6.40%, 12/1/25 $ 991,040
- -------------------------------------------------------------------------------
$ 991,040
- -------------------------------------------------------------------------------
Water and Sewer -- 4.0%
- -------------------------------------------------------------------------------
Aa2 NR $1,000 Missouri Environmental
Improvement and Energy
Resources Authority, 0%,
1/1/14 $ 385,540
Aa2 NR 500 Missouri Environmental
Improvement and Energy
Resources Authority, 6.55%,
7/1/14 535,900
Aa2 NR 800 Missouri Environmental
Improvement and Energy
Resources Authority, 6.88%,
6/1/14 865,648
Aa2 NR 1,250 Missouri Environmental
Improvement and Energy
Resources Authority, 7.20%,
7/1/16 1,406,950
- -------------------------------------------------------------------------------
$ 3,194,038
- -------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $75,521,959) $79,992,206
- -------------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Missouri
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 February 28,1997, 45.6% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 3.7% to 17.8% of total investments.
See notes to financial statements
66
<PAGE>
North Carolina Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Education -- 3.5%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa1 AA+ $1,000 North Carolina Educational
Facilities Finance Agency
(Duke University),
6.75%, 10/1/21 $ 1,090,120
Aa AA 1,935 University of North Carolina
at Chapel Hill, 5.00%, 2/15/29 1,753,807
Aa AA 3,530 University of North Carolina
at Chapel Hill, 5.25%, 2/15/29 3,336,980
- --------------------------------------------------------------------------------
$ 6,180,907
- --------------------------------------------------------------------------------
Electric Utilities -- 8.5%
- --------------------------------------------------------------------------------
A2 A $1,015 Chatham County Industrial
Facilities and Pollution
(Carolina Power and
Light), 6.30%, 6/15/14 $ 1,070,003
NR BBB 1,000 Guam Power Authority Revenue
Bonds, 5.25%, 10/1/13/(1)/ 922,310
A A- 550 North Carolina Municipal
Power Authority (Catawba
Electric), 7.00%, 1/1/16 569,437
Baa1 BBB 5,000 North Carolina Municipal
Power Authority (Eastern
Power), 6.13%, 1/1/09 5,185,100
Baa1 BBB+ 2,000 Puerto Rico Electric Power
Authority, 0.00%, 7/1/17 624,340
Baa1 BBB+ 1,000 Puerto Rico Electric Power
Authority, 5.25%, 7/1/21 924,380
Baa1 BBB+ 3,000 Puerto Rico Electric Power
Authority, 5.50%, 7/1/25 2,853,300
Baa1 BBB+ 2,000 Puerto Rico Electric Power
Authority, 6.00%, 7/1/16 2,026,200
Baa1 BBB+ 365 Puerto Rico Electric Power
Authority, 7.12%, 7/1/14 391,860
NR NR 250 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 266,303
- --------------------------------------------------------------------------------
$ 14,833,233
- --------------------------------------------------------------------------------
Escrowed / Prerefunded -- 2.1%
- --------------------------------------------------------------------------------
Aaa AA- $2,450 Pitt County Memorial
Hospital, Prerefunded to
12/1/01, 6.90%, 12/1/21 $ 2,750,566
Baa1 AAA 635 Puerto Rico Electric Power
Authority, Prerefunded to
7/1/99, 7.12%, 7/1/14 689,439
NR AAA 150 Puerto Rico General
Obligations, Prerefunded
to 7/1/00, 7.30%, 7/1/20 167,531
- --------------------------------------------------------------------------------
$ 3,607,536
- --------------------------------------------------------------------------------
General Obligations -- 2.8%
- --------------------------------------------------------------------------------
Baa1 A $1,500 Commonwealth of Puerto
Rico Aqueduct and Sewer
Authority, 5.00%, 7/1/19 $ 1,362,000
A A- 175 Eden, Water and Sewer
Bonds, (AMT), 6.75%, 6/1/08 189,614
Aaa AAA 3,550 North Carolina Capital
Improvements, 4.75%, 2/1/12 3,355,460
- --------------------------------------------------------------------------------
$ 4,907,074
- --------------------------------------------------------------------------------
Hospitals -- 19.9%
- --------------------------------------------------------------------------------
Aa3 AA $2,090 Charlotte-Mecklenberg
Hospital, 0.00%, 1/1/06 $ 1,345,897
Aa3 AA 6,380 Charlotte-Mecklenberg
Hospital, 5.88%, 1/15/26 6,445,904
Aa3 AA 3,500 North Carolina Medical
Care Commission, 0.00%,
6/1/09 1,787,310
A1 A+ 5,000 North Carolina Medical
Care Commission (Rex
Hospital), 6.13%, 6/1/10 5,109,850
NR BBB+ 2,500 North Carolina Medical
Care Commission
(Roanoke-Chowan Hospital),
7.75%, 10/1/19 2,635,350
Aa3 AA 2,000 North Carolina Medical
Care Commission Hospital
Revenue, 5.25%, 6/1/21 1,881,060
Aa3 AA 1,700 North Carolina Medical
Care Commission, Carolina
Medicorp, 6.00%, 5/1/21 1,708,840
NR NR 5,500 North Carolina Medical
Care Commission, Mercy
Hospital, 6.50%, 8/1/08 6,068,864
Aa AA 2,000 North Carolina Medical
Care Commission, North
Carolina Baptist Hospital,
6.00%, 6/1/22 2,020,260
Aa AA 1,700 North Carolina Medical
Care Commission,
Presbyterian Health
Services, 6.00%, 10/1/24 1,717,935
Aa3 AA- 4,430 Pitt County Memorial
Hospital, 5.25%, 12/1/21 4,192,109
- --------------------------------------------------------------------------------
$ 34,913,379
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
67
<PAGE>
North Carolina Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ---------------------
Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Housing -- 12.5%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NR AAA $2,300 Charlotte Housing
Authority, Double Oaks,
(FHA), (FNMA), 7.35%, $ 2,064,293
5/15/26
Aa AA 2,250 North Carolina Housing
Finance Agency, 6.70%,
1/1/26 2,356,245
Aa AA 1,500 North Carolina Housing
Finance Agency , Single
Family Mortgage Revenue,
(AMT), 6.30%, 3/1/26 1,523,790
Aa AA 1,970 North Carolina Housing
Finance Agency,
Multifamily Mortgage
Revenue, 6.45%, 9/1/27 2,016,748
Aa AA 4,395 North Carolina Housing
Finance Agency,
Multifamily Mortgage
Revenue, 6.85%, 7/1/13 4,653,822
Aa AA 825 North Carolina Housing
Finance Agency, Single
Family Mortgage Revenue,
6.95%, 3/1/17 874,137
Aa AA 1,250 North Carolina Housing
Finance Agency, Single
Family Mortgage Revenue,
(AMT), 6.20%, 9/1/27 1,259,250
Aa AA 2,085 North Carolina Housing
Finance Agency, Single
Family Mortgage Revenue,
(AMT), 6.60%, 9/1/26 2,159,372
Aa AA 3,880 North Carolina Housing
Finance Agency, Single
Family Mortgage Revenue,
(AMT), 6.70%, 9/1/26 4,036,752
Aa AA 850 North Carolina Housing
Finance Agency, Single
Family Mortgage Revenue,
(AMT), 7.05%, 9/1/20 892,033
Aaa AAA 125 Puerto Rico Housing
Finance Corporation,
Single Family Mortgage
Revenue (GNMA), 6.85%,
10/15/23 131,278
- --------------------------------------------------------------------------------
$ 21,967,720
- --------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 14.5%
- --------------------------------------------------------------------------------
A3 A- $5,000 Columbus Industrial
Facilities and Pollution
Control Financing
Authority
(International Paper),
5.85%, 12/1/20 $ 4,934,400
Baa3 BB+ 5,355 Commonwealth of Puerto
Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26 5,514,524
Baa1 NR 1,000 Haywood County Industrial
Development Authority
(Champion International
Corporation), 6.00%, 3/1/20 1,005,260
Baa1 BBB 3,200 Haywood County Industrial
Development Authority
(Champion International
Corporation) (AMT), 5.50%,
10/1/18 3,013,440
Baa1 BBB 1,500 Haywood County Industrial
Development Authority
(Champion International
Corporation) (AMT), 5.75%,
12/1/25 1,451,940
Baa1 NR 1,350 Haywood County Industrial
Development Authority
(Champion International
Corporation) (AMT), 6.25%,
9/1/25 1,371,290
A2 A 4,250 Martin County Industrial
Development Authority
(Weyerhaeuser Company)
(AMT), 6.80%, 5/1/24 4,595,780
Baa2 BBB 2,500 New Hanover County
(Occidental Petroleum
Corporation), 6.70%, 7/1/19 2,615,550
NR A-1+ 850 Robeson County, Industrial
Facilities and Pollution
Control Financing
Authority (Campbell Soup
Company), 6.40%, 12/1/06 932,119
- --------------------------------------------------------------------------------
$ 25,434,303
- --------------------------------------------------------------------------------
Insured Electric Utilities -- 8.8%
- --------------------------------------------------------------------------------
Aaa AAA $2,970 North Carolina Eastern
Municipal Power Agency
Power Systems (MBIA),
5.63%, 1/1/24 $ 2,932,073
Aaa AAA 1,500 North Carolina Eastern
Municipal Power Authority
(FSA), Variable, 1/1/19/(2)/ 1,470,000
Aaa AAA 5,500 North Carolina Municipal
Power Authority (Catawba
Electric) (AMBAC), 5.75%,
1/1/15 5,546,969
Aaa AAA 4,000 North Carolina Municipal
Power Authority (Catawba
Electric) (MBIA),
Variable, 1/1/12/(1)//(2)/ 3,895,000
Aaa AAA 1,400 Puerto Rico Electric Power
Authority STRIPES (FSA)
Variable 7/1/02/(2)/ 1,526,000
- --------------------------------------------------------------------------------
$ 15,370,042
- --------------------------------------------------------------------------------
Insured General Obligations -- 2.7%
- --------------------------------------------------------------------------------
NR AAA $1,000 Commonwealth of Puerto
Rico, Public Improvement
Bonds, (AMBAC), Variable,
7/1/15/(2)/ $ 1,037,500
</TABLE>
See notes to financial statements
68
<PAGE>
North Carolina Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ---------------------
Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Insured General Obligations (continued)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA $ 3,500 Commonwealth of Puerto
Rico, Public Improvement
Residual Interest Tax
Exempt Securities (FSA),
Variable, 7/1/22/(2)/ $ 3,666,250
- --------------------------------------------------------------------------------
$ 4,703,750
- --------------------------------------------------------------------------------
Insured Hospitals -- 7.9%
- --------------------------------------------------------------------------------
Aaa AAA $ 2,000 Catawba County Hospital
(AMBAC), 6.20%, 10/1/17 $ 2,132,400
Aaa AAA 500 Cumberland County
Hospital, (MBIA), 0.00%,
10/1/09 255,930
Aaa AAA 2,250 North Carolina Medical
Care Commission (AMBAC),
5.25%, 11/1/20 2,131,718
Aaa AAA 1,500 North Carolina Medical
Care Commission, (AMBAC),
0.00%, 11/1/15 525,120
Aaa AAA 935 North Carolina Medical
Care Commission, Memorial
Mission Hospital (FSA),
0.00%, 10/1/06 566,647
Aaa AAA 3,750 North Carolina Medical
Care Commission, Moore
Regional Hospital (FGIC),
5.00%, 10/1/18 3,419,625
Aaa AAA 5,000 North Carolina Medical
Care Commission, Saint
Joseph's Medical Center
(AMBAC), 5.10%, 10/1/14 4,811,550
- --------------------------------------------------------------------------------
$ 13,842,990
- --------------------------------------------------------------------------------
Insured Lease Revenue/
Certificates of Participation -- 4.1%
- --------------------------------------------------------------------------------
Aaa AAA $ 4,500 Charlotte, Convention
Facility, (AMBAC), 5.25%,
12/1/13 $ 4,423,365
Aaa AAA 1,575 Franklin, (FGIC), 6.63%,
6/1/14 1,737,351
Aaa AAA 1,000 Mooresville School
District, (AMBAC), 6.35%,
10/1/14 1,074,930
- --------------------------------------------------------------------------------
$ 7,235,646
- --------------------------------------------------------------------------------
Lease Revenue/
Certificates of Participation -- 3.8%
- --------------------------------------------------------------------------------
A1 A- $2,065 Buncombe County, 6.63%,
12/1/10 $ 2,183,861
NR AA 825 Durham County, 6.10%,
7/15/07 864,056
Aa NR 985 Durham County, 6.75%,
12/1/11 1,101,368
A1 AA 2,400 Greensboro, Greensboro
Coliseum Arena, 6.75%,
12/1/09 2,580,264
- --------------------------------------------------------------------------------
$ 6,729,549
- --------------------------------------------------------------------------------
Special Tax Revenue -- 6.3%
- --------------------------------------------------------------------------------
Baa1 A $ 4,000 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.25%, 7/1/20 $ 3,713,000
Baa1 BBB+ 200 Puerto Rico Finance
Authority, 7.90%, 7/1/07 213,498
Baa1 A 1,490 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/15 1,483,921
Baa1 A 3,000 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/26 2,871,540
NR NR 2,550 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 2,761,931
- --------------------------------------------------------------------------------
$ 11,043,890
- --------------------------------------------------------------------------------
Transportation -- 1.5%
- --------------------------------------------------------------------------------
NR BBB $ 1,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 1,035,200
Baa3 BB+ 1,500 Raleigh-Durham Airport
Authority (American
Airlines), 9.40%, 11/1/00 1,679,205
- --------------------------------------------------------------------------------
$ 2,714,405
- --------------------------------------------------------------------------------
Water and Sewer -- 1.1%
- --------------------------------------------------------------------------------
Aa AA $ 2,000 Orange County, Water and
Sewer, 5.20%, 7/1/16 $ 1,920,900
- --------------------------------------------------------------------------------
$ 1,920,900
- --------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $164,910,428) $ 175,405,324
- --------------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by North Carolina
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 February 28,1997, 23.5% of the securities in the
portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate
percentage by financial institution ranged from 2.9% to 12.4% of total
investments.
See notes to financial statements
69
<PAGE>
Oregon Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 1.7%
- --------------------------------------------------------------------------
NR NR $2,000 Western Generation Agency
(Wauna Cogeneration)
(AMT), 7.40%, 1/1/16 $ 2,105,580
- --------------------------------------------------------------------------
$ 2,105,580
- --------------------------------------------------------------------------
Education -- 3.0%
- --------------------------------------------------------------------------
A2 NR $1,000 City of Salem, Educational
Facilities (Willamette
University), 6.10%, 4/1/14 $ 1,027,660
NR A+ 2,750 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority (Reed College),
5.38%, 7/1/25 2,637,910
- --------------------------------------------------------------------------
$ 3,665,570
- --------------------------------------------------------------------------
Electric Utilities -- 6.9%
- --------------------------------------------------------------------------
A1 AA $1,055 City of Eugene, Electric
Utility System, 5.75%,
8/1/16 $ 1,062,955
A1 AA 1,500 City of Eugene, Electric
Utility System, 6.00%,
8/1/11 1,544,955
Aa1 AA- 4,000 City of Eugene, Trojan
Nuclear Power, 5.90%,
9/1/09/(1)/ 4,021,079
A A+ 500 Commonwealth of Puerto
Rico, Telephone Authority,
Variable, 1/1/20/(2)/ 532,500
Aa1 AA- 1,500 Northern Wasco County,
McNary Dam Fishway
Hydroelectric, Bonneville
Power Administration,
5.20%, 12/1/24 1,404,840
- --------------------------------------------------------------------------
$ 8,566,329
- --------------------------------------------------------------------------
Escrowed / Prerefunded -- 2.9%
- --------------------------------------------------------------------------
A1 AAA $2,000 City of Medford, Rogue
Valley Memorial Hospital,
6.25%, 12/1/07 $ 2,226,160
NR A+ 1,250 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority (Reed College),
6.75%, 7/1/21 1,386,863
- --------------------------------------------------------------------------
$ 3,613,023
- --------------------------------------------------------------------------
General Obligations -- 12.3%
- --------------------------------------------------------------------------
Aa NR $2,000 Lane County, City of
Eugene, School District,
5.38%, 7/1/13 $ 1,979,480
Baa1 A 2,000 Puerto Rico Public
Building Authority,
Guaranteed Public
Education and Health
Facilities, 5.75%, 7/1/15 1,994,220
Aa AA 1,000 State of Oregon, Board of
Higher Education, 6.00%,
10/15/18 1,028,970
Aa AA 1,250 State of Oregon, Elderly
and Disabled Housing,
6.38%, 8/1/24 1,332,313
Aa AA 5,110 State of Oregon, Elderly
and Disabled Housing,
(AMT), 5.65%, 8/1/26 5,026,962
Aa AA 1,225 State of Oregon, Veterans'
Welfare Bonds, 5.85%,
10/1/15 1,249,635
Aa AA 1,500 State of Oregon, Veterans'
Welfare Bonds, 5.88%,
10/1/18 1,528,335
Aa AA+ 1,000 Tri-County Metropolitan
Transportation District,
Light Rail Extension,
6.00%, 7/1/12 1,035,840
- --------------------------------------------------------------------------
$ 15,175,755
- --------------------------------------------------------------------------
Hospitals -- 1.7%
- --------------------------------------------------------------------------
NR A $1,000 Benton County, Good
Samaritan Hospital
Corvallis, 6.25%, 10/1/09 $ 1,023,860
- --------------------------------------------------------------------------
Aa3 AA 1,000 Clackamas County, Kaiser
Permanente, 6.25%, 4/1/21 1,047,000
- --------------------------------------------------------------------------
$ 2,070,860
- --------------------------------------------------------------------------
Housing -- 20.7%
- --------------------------------------------------------------------------
Aaa NR $2,875 City of Portland Housing
Authority, Multifamily
Mortgage Revenue, Cherry
Blossom Apartments, (AMT),
6.20%, 12/20/36 $ 2,910,190
NR A 1,750 City of Portland Housing
Authority, Multifamily
Mortgage Revenue,
Riverwood, 6.00%, 1/1/19 1,758,173
Aa NR 1,500 Oregon Housing and
Commerce Service
Manufacturer, 6.20%, 7/1/28 1,519,350
Aa NR 3,000 Oregon State Housing and
Community Services
Department, 6.00%, 7/1/27 3,007,050
NR A 1,000 Portland Oregon Housing
Authority, 6.00%, 1/1/27 1,005,070
Aa NR 2,500 State of Oregon Housing
and Community Services
Department, Multifamily
Mortgage Revenue, 6.88%,
7/1/28 2,660,900
</TABLE>
See notes to financial statements
70
<PAGE>
Oregon Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
Housing (continued)
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aa NR $1,455 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, 5.38%,
7/1/17 $ 1,411,990
Aa NR 2,000 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.20%, 7/1/27 2,024,160
Aa NR 3,500 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.38%, 7/1/27 3,571,855
Aa NR 2,000 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.40%, 7/1/26 2,042,240
Aa NR 2,500 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.45%, 7/1/26 2,564,200
Aa NR 1,055 State of Oregon Housing
and Community Services
Department, Single Family
Mortgage Revenue, (AMT),
6.80%, 7/1/27 1,096,525
- --------------------------------------------------------------------------
$ 25,571,703
- --------------------------------------------------------------------------
Industrial Development Revenue / Pollution Control
Revenue -- 8.5%
- --------------------------------------------------------------------------
Baa2 BBB- $3,500 Oregon Economic
Developments Authority,
Georgia Pacific, (AMT),
6.35%, 8/1/25 $ 3,574,304
NR BBB- 5,000 Port of Astoria, Pollution
Control Revenue, James
River 6.55%, 2/1/15/(1)/ 5,111,749
NR NR 750 Port of Portland, Ash
Grove Cement Company,
7.25%, 10/1/09 793,290
NR NR 1,000 Port of Portland, North
Portland Crown Zellerbach
Corporation, 6.13%, 5/15/08 1,000,320
- --------------------------------------------------------------------------
$ 10,479,663
- --------------------------------------------------------------------------
Insured Education -- 2.1%
- --------------------------------------------------------------------------
Aaa AAA $1,000 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority (Lewis and Clark
College) (MBIA), 6.00%,
10/1/13 $ 1,052,430
Aaa AAA $1,500 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority (Lewis and Clark
College) (MBIA), 6.13%,
10/1/24 $ 1,569,630
- --------------------------------------------------------------------------
$ 2,622,060
- --------------------------------------------------------------------------
Insured Electric Utilities -- 4.1%
- --------------------------------------------------------------------------
Aaa AAA $1,000 City of Eugene, Electric
Utility Revenue, (FSA),
5.60%, 8/1/16 $ 1,002,490
Aaa AAA 1,000 City of Eugene, Electric
Utility Revenue, (MBIA),
5.80%, 8/1/22 1,019,210
Aaa AAA 500 Commonwealth of Puerto
Rico Electric Power
Authority STRIPES (FSA),
Variable, 7/1/03/(2)/ 552,500
Aaa AAA 1,600 Commonwealth of Puerto
Rico, Telephone Authority,
(MBIA), Variable,
1/16/15/(2)/ 1,548,000
Aaa AAA 1,000 Emerald People's Utility
District, Electric System,
(AMBAC), 5.75%, 11/1/16 1,014,460
- --------------------------------------------------------------------------
$ 5,136,660
- --------------------------------------------------------------------------
Insured General Obligations -- 3.3%
- --------------------------------------------------------------------------
Aaa AAA $2,000 Commonwealth of Puerto
Rico, Public Improvement
Bonds, (AMBAC), Variable,
7/1/15/(2)/ $ 2,075,000
Aaa AAA 1,000 Multnomah County, Parkrose
School District, (FGIC),
5.70%, 12/1/09 1,040,220
Aaa AAA 1,000 Yamhill, Clackamas and
Washington Counties,
Newberg School District,
(FSA), 5.50%, 6/1/10 1,018,770
- --------------------------------------------------------------------------
$ 4,133,990
- --------------------------------------------------------------------------
Insured Hospitals -- 1.6%
- --------------------------------------------------------------------------
Aaa AAA $3,630 Oregon Health Science
University, Capital
Appreciation, (MBIA), 0%,
7/1/21 $ 915,486
Aaa AAA 1,000 Western Lane Hospital
District Authority,
Sisters of Saint Joseph of
Peace, (MBIA), 5.75%,
8/1/19 1,007,540
- --------------------------------------------------------------------------
$ 1,923,026
- --------------------------------------------------------------------------
</TABLE>
See notes to financial statements
71
<PAGE>
Oregon Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
Insured Lease Revenue / Certificates of Participation -- 6.2%
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aaa AAA $2,000 Oregon State Department of
Administration Services
Certificates, 5.75%, 5/1/17 $ 2,026,720
Aaa AAA 1,700 State of Oregon,
Department of
Administration, (MBIA),
5.50%, 11/1/20 1,676,608
Aaa AAA 1,000 State of Oregon,
Department of
Administration, (MBIA),
5.70%, 5/1/16 1,013,860
Aaa AAA 1,250 State of Oregon,
Department of General
Services, Real Property
Financing Program,
(AMBAC), 6.25%, 9/1/15 1,318,213
Aaa AAA 1,500 State of Oregon,
Department of General
Services, Real Property
Financing Program, (MBIA),
6.25%, 11/1/19/(1)/ 1,578,180
- --------------------------------------------------------------------------
$ 7,613,581
- --------------------------------------------------------------------------
Insured Special Tax Revenue -- 0.2%
- --------------------------------------------------------------------------
Aaa AAA $1,000 City of Portland, Arena
Natural Gas Tax Revenue
(AMBAC), 0.00%, 6/1/17 $ 302,270
- --------------------------------------------------------------------------
$ 302,270
- --------------------------------------------------------------------------
Insured Transportation -- 5.4%
- --------------------------------------------------------------------------
Aaa AAA $1,500 Oregon Department of
Transportation, Westside
Light Rail, (MBIA), 6.25%,
6/1/09 $ 1,626,615
Aaa AAA 1,000 Port of Portland, Portland
International Airport,
(AMBAC), (AMT), 6.25%,
7/1/18 1,039,880
Aaa AAA 1,250 Port of Portland, Portland
International Airport,
(AMT), (FGIC), 5.75%,
7/1/25 1,242,100
Aaa AAA 2,750 Port of Portland, Portland
International Airport,
(AMT), (FGIC), 6.00%,
7/1/23 2,790,948
- --------------------------------------------------------------------------
$ 6,699,543
- --------------------------------------------------------------------------
Insured Water and Sewer -- 5.4%
- --------------------------------------------------------------------------
Aaa AAA $1,000 City of Beaverton,
Washington County, Water
Revenue, (FSA), 6.13%,
6/1/14 $ 1,053,140
Aaa AAA 1,500 City of Portland, Sewer
System, (FGIC), 6.00%,
10/1/12 1,570,095
Aaa AAA $1,000 South Fork Water Board,
First Lien Water Revenue,
(FSA), 6.00%, 2/1/14 $ 1,044,390
Aaa AAA 1,500 Washington County, Unified
Sewerage Agency, (AMBAC),
6.13%, 10/1/12 1,581,705
Aaa AAA 1,375 Washington County, Unified
Sewerage Agency, Senior
Lien, (AMBAC), 6.13%,
10/1/12 1,449,896
- --------------------------------------------------------------------------
$ 6,699,226
- --------------------------------------------------------------------------
Lease Revenue/Certificates of Participation -- 1.2%
- --------------------------------------------------------------------------
Aa A $1,500 Mulmomah County, Juvenile
Justice Complex, 6.00%,
8/1/12 $ 1,539,645
- --------------------------------------------------------------------------
$ 1,539,645
- --------------------------------------------------------------------------
Pooled Loans -- 1.2%
- --------------------------------------------------------------------------
A1 NR $1,500 State of Oregon Health,
Housing, Educational and
Cultural Facilities
Authority (Oregon Coast
Aquarium), 5.25%, 10/1/13 $ 1,458,660
- --------------------------------------------------------------------------
$ 1,458,660
- --------------------------------------------------------------------------
Special Tax Revenue -- 7.5%
- --------------------------------------------------------------------------
A NR $1,000 City of Portland, Urban
Renewal and Redevelopment
Bonds Downtown Waterfront,
6.40%, 6/1/08 $ 1,061,800
Baa1 A 1,250 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.00%, 7/1/36 1,110,563
Baa1 A 1,720 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.25%, 7/1/20 1,596,590
Baa1 A 500 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
6.38%, 7/1/08 534,080
Baa1 A 2,000 Puerto Rico Highway and
Transportation Authority,
5.50%, 7/1/17 1,929,860
A1 AA+ 3,000 Tri-County Metropolitan
Transportation District,
Limited Tax Pledge, 5.70%,
8/1/13 3,027,930
- --------------------------------------------------------------------------
$ 9,260,823
- --------------------------------------------------------------------------
</TABLE>
See notes to financial statements
72
<PAGE>
Oregon Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------
Transportation -- 1.2%
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Baa3 BB+ $1,500 Port of Portland, Special
Obligation Revenue Bonds
(Delta Airlines
Incorporated) (AMT),
6.20%, 9/1/22 $ 1,497,885
- --------------------------------------------------------------------------
$ 1,497,885
- --------------------------------------------------------------------------
Water and Sewer -- 2.9%
- --------------------------------------------------------------------------
A A+ $1,500 City of Gresham, Water
Revenue, 5.20%, 11/1/10 $ 1,488,300
NR A+ 2,000 Clackamus County, Water
Revenue, 6.38%, 10/1/14 2,129,740
- --------------------------------------------------------------------------
$ 3,618,040
- --------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $118,050,031) $ 123,753,892
- --------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Oregon
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 February 28, 1997, 28.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 4.0% to 12.1% of total investments.
See notes to financial statements
73
<PAGE>
South Carolina Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------
<S> <C> <C> <C>
Education -- 2.7%
- -------------------------------------------------------------------------
NR A $1,500 South Carolina Education
Authority, Student Loan,
(AMT), 6.30%, 9/1/08 $ 1,536,150
- -------------------------------------------------------------------------
$ 1,536,150
- -------------------------------------------------------------------------
Electric Utilities -- 10.5%
- -------------------------------------------------------------------------
A1 A-1+ $1,650 Berkeley County, SC
Electric and Gas Company,
6.50%, 10/1/14 $ 1,777,578
Aa A+ 1,000 South Carolina Public
Service Authority, 5.13%,
1/1/32 901,480
Baa1 BBB+ 4,000 Puerto Rico Electric Power
Authority, 0.00%, 7/1/17 1,248,680
Baa1 BBB+ 1,400 Puerto Rico Electric Power
Authority, 6.25%, 7/1/17 1,456,168
Baa1 BBB+ 500 Puerto Rico Electric Power
Authority, 6.38%, 7/1/24 528,775
- -------------------------------------------------------------------------
$ 5,912,681
- -------------------------------------------------------------------------
Hospitals -- 5.3%
- -------------------------------------------------------------------------
Aa AA- $1,500 Greenville, SC Hospital
System (Board of Trustees),
5.25%, 5/1/17 $ 1,432,530
Baa1 NR 1,500 Horry County, SC (Conway
Hospital), 6.75%, 7/1/12 1,551,030
- -------------------------------------------------------------------------
$ 2,983,560
- -------------------------------------------------------------------------
Housing -- 14.0%
- -------------------------------------------------------------------------
NR AA- $1,780 South Carolina Housing
Finance Authority ,
Multifamily Mortgage
Revenue (Runaway Bay
Apartment), 6.20%, 12/1/20 $ 1,789,505
NR BBB+ 1,000 South Carolina Housing
Finance Authority,
Multifamily Mortgage
Revenue (Hunting Ridge)
(AMT), 6.75%, 6/1/25 1,035,850
NR AA 980 South Carolina Housing
Finance Authority,
Multifamily Mortgage
Revenue (Westbury Place),
6.05%, 7/1/27 985,370
Aa AA 1,500 South Carolina Housing
Finance Authority, Single
Family Mortgage Revenue,
6.38%, 7/1/16 1,540,710
Aa NR 1,500 South Carolina Housing
Finance Authority, Single
Family Mortgage Revenue,
6.45%, 7/1/17 1,549,755
Aa NR $1,000 South Carolina Housing
Finance Authority, Single
Family Mortgage Revenue,
(AMT), 6.75%, 7/1/26 1,038,450
- -------------------------------------------------------------------------
$ 7,939,640
- -------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 30.5%
- -------------------------------------------------------------------------
Baa2 BBB $1,890 Aiken County, SC Industrial
Development Board (Beloit
Corporation), 6.00%, 12/1/11 $ 1,944,356
NR BBB+ 1,500 Chester County, SC, 7.35%,
2/1/14 1,596,135
A2 A 2,500 Darlington County, SC,
6.00%, 4/1/26 2,526,875
A1 AA- 1,500 Darlington County, SC
(Nucor Corporation) (AMT),
5.75%, 8/1/23 1,504,590
A2 A 500 Darlington County, SC
(Sonoco Products) (AMT),
6.13%, 6/1/25 512,340
A2 A-1+ 1,500 Darlington County, SC Power
and Light Company, 6.60%,
11/1/10 1,638,030
Aa3 AA- 500 Florence County, SC (E.I.
du Pont de Nemours), 6.35%,
7/1/22 530,835
NR NR 565 Florence County, SC (Stone
Container Company), 7.38%,
2/1/07 593,753
A1 A- 2,665 Richland County, SC (Union
Camp Corporation) (AMT),
6.75%, 5/1/22 2,823,941
NR NR 1,500 Spartanburg County, SC
Solid Waste (Bavarian Motor
Works Corporation) (AMT),
7.55%, 11/1/24 1,639,230
A2 A+ 2,000 York County, SC (Hoechst
Celanese Corporation)
(AMT), 5.70%, 1/1/24 1,966,620
- -------------------------------------------------------------------------
$17,276,705
- -------------------------------------------------------------------------
Insured Electric Utilities -- 10.0%
- -------------------------------------------------------------------------
Aaa AAA $ 300 Piedmont Municipal Power
Agency, (MBIA), 6.25%,
1/1/09 $ 331,626
Aaa AAA 1,000 Piedmont Municipal Power
Agency, (MBIA), 6.30%,
1/1/14 1,062,410
Aaa AAA 1,000 South Carolina Public
Service Authority, 6.25%,
1/1/22 1,061,810
Aaa AAA 1,250 South Carolina Public
Service Authority (AMBAC),
6.38%, 7/1/21 1,332,713
Aaa AAA 1,000 South Carolina Public
Service Authority (MBIA),
5.13%, 1/1/32 907,000
Aaa AAA 1,000 South Carolina Public
Service Authority (Santee
Cooper) (AMBAC), 5.00%,
1/1/14 947,050
- -------------------------------------------------------------------------
$ 5,642,609
- -------------------------------------------------------------------------
</TABLE>
See notes to financial statements
74
<PAGE>
South Carolina Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured General Obligations -- 1.9%
- -------------------------------------------------------------------------
Aaa AAA $1,000 Berkeley County, SC School
District, (AMBAC), 6.30%,
2/1/16 $ 1,072,900
- -------------------------------------------------------------------------
$ 1,072,900
- -------------------------------------------------------------------------
Insured Hospitals -- 13.4%
- -------------------------------------------------------------------------
Aaa AAA $1,000 Florence County, SC (McLeod
Medical Center) (FGIC),
5.25%, 11/1/09 $ 999,920
Aaa AAA 1,500 Greenwood County, Self
Memorial Hospital, (FGIC),
5.88%, 10/1/17 1,517,040
Aaa AAA 300 Lexington County Health
Services District (FSA),
6.75%, 10/1/18 327,426
Aaa AAA 3,000 South Carolina Jobs
Economic Development
Authority (Anderson Area
Medical Center) (MBIA),
5.25%, 2/1/26 2,811,630
Aaa AAA 1,000 South Carolina Jobs
Economic Development
Authority (Baptist
Hospital) (AMBAC),
Variable, 8/1/15 /(1)/ 930,000
NR AAA 1,000 South Carolina Jobs
Economic Development,
Oconee Memorial Hospital
(CLI), 6.15%, 3/1/25 1,023,620
- -------------------------------------------------------------------------
$ 7,609,636
- -------------------------------------------------------------------------
Insured Lease Revenue / Certificates of
Participation -- 6.5%
- -------------------------------------------------------------------------
Aaa AAA $ 955 Charleston County, SC
(MBIA), 7.00%, 6/1/19 $ 1,109,691
Aaa AAA 500 Charleston County, SC,
(MBIA), 6.10%, 6/1/11 528,135
Aaa AAA 45 Charleston County, SC,
(MBIA), 7.00%, 6/1/19 50,709
Aaa AAA 1,000 Florence County, SC Law
Center, (AMBAC), 6.00%,
3/1/14 1,037,600
Aaa AAA 900 North Charleston, SC
(Coliseum Capital
Improvements) (FGIC),
6.00%, 1/1/11 941,391
- -------------------------------------------------------------------------
$ 3,667,526
- -------------------------------------------------------------------------
Lease Revenue/Certificates of Participation -- 4.6%
- -------------------------------------------------------------------------
Baa NR $ 750 Lexington School District,
6.90%, 7/1/08 $ 815,355
Baa1 BBB+ 1,750 Myrtle Beach Convention
Center, 6.88%, 7/1/17 1,813,945
- -------------------------------------------------------------------------
$ 2,629,300
- -------------------------------------------------------------------------
Pooled Loans -- 0.6%
- -------------------------------------------------------------------------
NR A+ $ 300 South Carolina Resource
Authority, Local Government
Program, 7.00%, 4/1/13 $ 311,184
- -------------------------------------------------------------------------
$ 311,184
- -------------------------------------------------------------------------
Total Tax-Exempt Investments -- 100.0%
(identified cost $53,154,856) $56,581,891
- -------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been issued as an inverse floater bond.
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by South Carolina
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 February 28, 1997, 31.8% 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 0.6% to 14.7% of total investments.
See notes to financial statements
75
<PAGE>
Tennessee Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 1.9%
- ------------------------------------------------------------------------
Baa3 NR $1,000 Nashville and Davidson County
(Belmont University), 6.40%,
12/1/19 $ 1,019,860
- ------------------------------------------------------------------------
$ 1,019,860
- ------------------------------------------------------------------------
Escrowed/Prerefunded -- 2.8%
- ------------------------------------------------------------------------
Aaa AAA $1,500 Shelby County (Lebonheur
Children's Hospital)
(MBIA), 5.50%, 8/15/12 $1,548,675
- ------------------------------------------------------------------------
$ 1,548,675
- ------------------------------------------------------------------------
General Obligations -- 5.3%
- ------------------------------------------------------------------------
Aa AA $1,000 Metropolitan Government
Nashville and Davidson
County, 5.88%, 5/15/21 $ 1,019,650
Baa1 A 1,000 Puerto Rico Aqueduct and
Sewer Authority, 5.00%,
7/1/15 923,600
Aa AA+ 1,000 Shelby County, 5.13%, 3/1/16 958,850
- ------------------------------------------------------------------------
$ 2,902,100
- ------------------------------------------------------------------------
Hospitals -- 4.4%
- ------------------------------------------------------------------------
Baa1 NR $ 500 City of Clarksville,
Clarksville Memorial,
6.25%, 7/1/08 $ 515,235
Baa1 NR 500 City of Clarksville,
Clarksville Memorial,
6.38%, 7/1/18 506,390
Baa1 BBB+ 250 Knox County (East Tennessee
Children's), 6.50%, 10/1/12 255,225
NR A- 1,000 Sumner County, Sumner
Regional Health Systems,
7.50%, 11/1/14 1,109,970
- ------------------------------------------------------------------------
$ 2,386,820
- ------------------------------------------------------------------------
Housing -- 15.0%
- ------------------------------------------------------------------------
NR A $ 750 Knoxville Community
Development Corporation
(Clinton Towers), 6.65%,
10/15/10 $ 778,035
NR AAA 500 Knoxville Community
Development Corporation
(Morningside Gardens)
(GNMA), 6.10%, 7/20/20 505,520
NR A 1,500 Nashville and Davidson
County (The Park at
Hermitage), 5.90%, 2/1/19 1,472,790
Aa2 AA 445 Tennessee Housing
Development Agency,
Homeownership Program,
6.80%, 7/1/17 465,305
Aa AA $1,000 Tennessee Housing
Development Agency,
Homeownership Program,
(AMT), 5.75%, 7/1/24 $ 978,340
A1 A+ 2,000 Tennessee Housing
Development Agency,
Mortgage Finance Program,
5.85%, 7/1/13 2,019,120
A1 A+ 2,000 Tennessee Housing
Development Agency,
Mortgage Finance Program,
5.95%, 7/1/28 2,014,180
- ------------------------------------------------------------------------
$ 8,233,290
- ------------------------------------------------------------------------
Industrial Development Revenue/Pollution
Control Revenue -- 25.8%
- ------------------------------------------------------------------------
Aa3 AA $1,000 City of Chattanooga, (E.I.
du Pont de Nemours and
Company), 6.35%, 7/1/22 $ 1,068,340
Baa3 BB+ 1,250 Commonwealth of Puerto Rico
Port Authority (American
Airlines) (AMT), 6.25%,
6/1/26 1,287,238
Aa3 AA- 1,000 Humphreys County, (E.I. du
Pont de Nemours and
Company), (AMT), 6.70%,
5/1/24 1,075,530
Aa2 AA 2,000 Loudon County
(Kimberly-Clark
Corporation) (AMT), 6.20%,
2/1/23/(1)/ 2,044,660
A3 A- 2,750 Maury County (Saturn
Corporation), 6.50%, 9/1/24 2,899,242
Baa1 BBB 1,500 McMinn County (Calhoun
Newsprint Company) (AMT),
7.40%, 12/1/22 1,620,525
Baa2 BBB 1,500 Memphis-Shelby County
Airport Authority (Federal
Express Corporation),
6.75%, 9/1/12 1,601,595
Baa2 BBB 1,000 Memphis-Shelby County
Airport Authority (Federal
Express Corporation) (AMT),
6.20%, 7/1/14 1,011,500
NR BBB+ 500 Nashville and Davidson
County (Osco Treatment
Systems) (AMT), 6.00%,
5/1/03 511,240
A3 NR 1,000 South Fulton County,
Foods Company), 6.40%,
10/1/20 1,027,560
- ------------------------------------------------------------------------
$14,147,430
- ------------------------------------------------------------------------
Insured Education -- 8.6%
- ------------------------------------------------------------------------
Aaa AAA $1,500 Jackson, TN Health,
Education and Housing
(Lambuth University) (FSA),
5.90%, 9/1/20 $ 1,511,085
Aaa AAA 1,000 Metropolitan Nashville
Health and Education
(Meharry Medical College)
(AMBAC), 5.00%, 12/1/24 913,930
</TABLE>
See notes to financial statements
76
<PAGE>
Tennessee Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Education (continued)
- ------------------------------------------------------------------------
Aaa AAA $1,230 Metropolitan Nashville
Health and Education
(Meharry Medical College)
(AMBAC), 6.00%, 12/1/19 $ 1,306,678
Aaa AAA 1,000 Tennessee State School Bond
Authority, (MBIA), 5.50%,
5/1/26 975,100
- ------------------------------------------------------------------------
$ 4,706,793
- ------------------------------------------------------------------------
Insured Electric Utilities -- 7.7%
- ------------------------------------------------------------------------
Aaa AAA $ 750 City of Dickson, Electric
System Revenues (MBIA),
5.50%, 9/1/16 $ 738,975
Aaa AAA 1,000 City of Lawrenceburg
Electric Revenues (MBIA),
5.50%, 7/1/26 975,050
Aaa AAA 1,000 City of Lawrenceburg
Electric Revenues (MBIA),
6.63%, 7/1/18 1,143,620
Aaa AAA 400 Commonwealth of Puerto Rico
Electric Power Authority
STRIPES (FSA), Variable,
7/1/03 /(2)/ 442,000
Aaa AAA 1,000 Madison County Suburban
Utility District, (MBIA),
5.00%, 2/1/19 928,900
- ------------------------------------------------------------------------
$ 4,228,545
- ------------------------------------------------------------------------
Insured General Obligations -- 0.6%
- ------------------------------------------------------------------------
NR AAA $ 300 Commonwealth of Puerto
Rico, Public Improvement
Bonds, (AMBAC), Variable,
7/1/15 /(2)/ $ 311,250
- ------------------------------------------------------------------------
$ 311,250
- ------------------------------------------------------------------------
Insured Hospitals -- 7.6%
- ------------------------------------------------------------------------
Aaa AAA $ 500 City of Bristol, Bristol
Memorial, (FGIC), 6.75%,
9/1/10 $ 573,750
Aaa AAA 250 City of Chattanooga,
Memorial Hospital, (MBIA),
6.63%, 9/1/09 284,315
Aaa AAA 1,500 City of Johnson, Johnson
City Medical Center,
(MBIA), 5.00%, 7/1/13 1,439,220
Aaa AAA 2,000 Knox County, Fort Sanders
Alliance Obligated Group,
(MBIA), 5.25%, 1/1/23 1,867,380
- ------------------------------------------------------------------------
$ 4,164,665
- ------------------------------------------------------------------------
Insured Housing -- 2.0%
- ------------------------------------------------------------------------
Aaa AAA $1,000 Knox County, SCA Realty
Multifamily Mortgage
Receipts, (FSA), 7.12%,
1/1/30 $ 1,086,160
- ------------------------------------------------------------------------
$ 1,086,160
- ------------------------------------------------------------------------
Insured Special Tax Revenue -- 2.0%
- ------------------------------------------------------------------------
Aaa AAA $1,000 City of Johnson, School
District Sales Tax, (AMBAC),
6.70%, 5/1/21 $ 1,111,730
- ------------------------------------------------------------------------
$ 1,111,730
- ------------------------------------------------------------------------
Insured Transportation -- 2.0%
- ------------------------------------------------------------------------
Aaa AAA $1,000 Memphis-Shelby County
Airport Authority (MBIA)
(AMT), 6.50%, 2/15/08 $ 1,108,110
- ------------------------------------------------------------------------
$ 1,108,110
- ------------------------------------------------------------------------
Insured Water and Sewer -- 2.5%
- ------------------------------------------------------------------------
Aaa AAA $ 350 Nashville and Davidson
County, Water System
(AMBAC), Variable,
1/1/22/(2)/ $ 364,000
Aaa AAA 1,000 Nashville and Davidson
County, Water System,
(FGIC), 5.20%, 1/1/13 992,150
- ------------------------------------------------------------------------
$ 1,356,150
- ------------------------------------------------------------------------
Miscellaneous -- 0.9%
- ------------------------------------------------------------------------
NR NR $ 500 Hardeman County,
Correctional Facilities
Corporation, 7.75%, 8/1/17 $ 499,700
- ------------------------------------------------------------------------
$ 499,700
- ------------------------------------------------------------------------
Nursing Homes -- 1.9%
- ------------------------------------------------------------------------
NR A+ $1,000 Tennessee State Veterans'
Homes Board, Humboldt,
6.65%, 2/1/14 $ 1,063,440
- ------------------------------------------------------------------------
$ 1,063,440
- ------------------------------------------------------------------------
Pooled Loans -- 3.5%
- ------------------------------------------------------------------------
NR A- $1,200 Tennessee Local Development
Authority, Community
Provider, 6.55%, 10/1/23 $ 1,252,416
A AA- 700 Tennessee Local Development
Authority, State Loan
Program, 5.00%, 3/1/15 657,650
- ------------------------------------------------------------------------
$ 1,910,066
- ------------------------------------------------------------------------
Special Tax Revenue -- 2.6%
- ------------------------------------------------------------------------
Baa1 A $1,575 Commonwealth of Puerto Rico
Highway and Transportation
Authority, 5.00%, 7/1/36 $ 1,399,309
- ------------------------------------------------------------------------
$ 1,399,309
- ------------------------------------------------------------------------
</TABLE>
See notes to financial statements
77
<PAGE>
Tennessee Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------
Transportation -- 1.9%
- ------------------------------------------------------------------------
NR BBB $1,000 Guam Airport Authority
(AMT), 6.70%, 10/1/23 $ 1,035,200
- ------------------------------------------------------------------------
$ 1,035,200
- ------------------------------------------------------------------------
Water and Sewer -- 1.0%
- ------------------------------------------------------------------------
NR BBB+ $ 250 Hamilton County, Eastside
Utility District, 6.50%,
11/1/05 $ 265,155
NR BBB+ 250 Hamilton County, Eastside
Utility District, 6.75%,
11/1/11 262,893
- ------------------------------------------------------------------------
$ 528,048
- ------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $52,515,401) $54,747,341
- ------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
/(2)/ Security has been issued as an inverse floater bond.
AMT - Interest earned from these securities may be considered a
tax preference item for purposes of the Federal Alternative
Minimum Tax.
The Portfolio invests primarily in debt securities issued by Tennessee
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 February 28, 1997, 33.0%
of the securities in the portfolio of investments are backed by bond
insurance of various financial institutions and financial guaranty
assurance agencies. The aggregate percentage by financial institution
ranged from 2.9% to 20.1% of total investments.
See notes to financial statements
78
<PAGE>
Virginia Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- --------------------
Amount
Standard 000
Moody's & Poor's (omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 6.4%
- ---------------------------------------------------------------------------
NR A- $2,000 City of Lynchburgh
(Randolph-Macon Woman's
College), 5.88%, 9/1/23 $ 2,013,280
Baa2 NR 2,220 Rockingham County,
Industrial Development
Authority, (Bridgewater
College), 5.95%, 10/1/13 2,188,809
NR A- 1,570 Virginia College Building
Authority, (Hampden-Sydney
College), 6.60%, 9/1/16 1,664,326
NR A+ 1,000 Virginia College Building
Authority, (Hampton
University), 5.75%, 4/1/14 1,005,400
NR A+ 400 Virginia College Building
Authority, (Hampton
University), 6.50%, 4/1/08 429,788
NR BBB- 1,150 Virginia College Building
Authority, (Marymount
University), 7.00%, 7/1/12 1,218,402
NR BBB- 2,200 Virginia College Building
Authority, (Marymount
University), 7.00%, 7/1/22 2,324,190
- ---------------------------------------------------------------------------
$ 10,844,195
- ---------------------------------------------------------------------------
Electric Utilities -- 1.2%
- ---------------------------------------------------------------------------
Baa1 BBB+ $3,000 Puerto Rico Electric Power
Authority, 0.00%, 7/1/17 $ 936,510
NR NR 1,000 Virgin Islands Water and
Power Authority, 7.40%,
7/1/11 1,065,210
- ---------------------------------------------------------------------------
$ 2,001,720
- ---------------------------------------------------------------------------
Escrowed / Prerefunded -- 2.1%
- ---------------------------------------------------------------------------
Aaa NR $1,000 Arlington County,
Industrial Development
Authority, (Arlington
Hospital), 7.12%, 9/1/21 $ 1,125,890
A NR 500 Augusta County, Industrial
Development Authority
(Augusta Hospital), 7.00%,
9/1/21 558,130
NR A+ 1,700 City of Virginia Beach,
Water and Sewer System,
6.63%, 2/1/17 1,885,232
- ---------------------------------------------------------------------------
$ 3,569,252
- ---------------------------------------------------------------------------
General Obligations -- 1.3%
- ---------------------------------------------------------------------------
Baa1 A $ 350 Commonwealth of Puerto
Rico, 0%, 7/1/04 $ 246,194
Aaa AAA $1,000 Fairfax County, 5.63%,
6/1/14 $ 1,018,080
Aa AA 1,000 Roanoke County, VA, 5.00%,
6/1/21 922,700
- ---------------------------------------------------------------------------
$ 2,186,974
- ---------------------------------------------------------------------------
Hospitals -- 17.5%
- ---------------------------------------------------------------------------
A NR $3,800 Albermarle County,
Industrial Development
Authority, (Martha
Jefferson Hospital),
5.50%, 10/1/20 $ 3,642,452
A2 NR 315 Chesapeake Hospital
Authority (Chesapeake
General Hospital), 7.60%,
7/1/00 338,285
A2 A 1,250 City of Martinsville
(Memorial Hospital of
Martinsville and Henry
County), 7.00%, 1/1/06 1,314,675
Aa2 AA 2,910 Faifax County, Industrial
Development Authority,
(Inova Health System
Hospitals), 5.00%, 8/15/14 2,763,598
Aa2 AA 2,000 Faifax County, Industrial
Development Authority,
(Inova Health System
Hospitals), 5.00%, 8/15/15 1,889,340
Aa2 AA 2,500 Faifax County, Industrial
Development Authority,
(Inova Health System
Hospitals), 5.00%, 8/15/23 2,286,150
Aa2 AA 1,000 Faifax County, Industrial
Development Authority,
(Inova Health System
Hospitals), 6.00%, 8/15/26 1,011,960
NR A- 2,000 Medical College of Hampton
Roads, 6.88%, 11/15/11 2,147,460
Aa2 AA 3,000 Norfolk County, Industrial
Development Authority,
(Sentara Health System),
5.00%, 11/1/20 2,734,170
Aa2 AA- 3,500 Peninsula Ports Authority
of Virginia, (Riverside
Health System), 6.63%,
7/1/10 3,763,375
A2 NR 2,400 Prince William County,
Industrial Development
Authority, (Potomac
Hospital), 6.85%, 10/1/25 2,566,776
Aa2 AA 3,000 Virginia Beach Development
Authority, Sentara Bayside
Hospital, 6.60%, 11/1/09 3,203,100
A3 NR 1,000 Washington County,
Industrial Development
Authority, (Johnston
Memorial Hospital), 6.00%,
7/1/14 1,009,490
</TABLE>
See notes to financial statements
79
<PAGE>
Virginia Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospitals (continued)
- ---------------------------------------------------------------------------
A3 NR $1,060 Washington County,
Industrial Development
Authority, (Johnston
Memorial Hospital), 7.00%,
7/1/22 $ 1,137,528
- ---------------------------------------------------------------------------
$ 29,808,359
- ---------------------------------------------------------------------------
Housing -- 10.8%
- ---------------------------------------------------------------------------
NR AA $ 770 Fairfax County
Redevelopment and Housing
Authority, 5.50%, 6/1/17 $ 754,731
NR AAA 1,250 Fairfax County
Redevelopment and Housing
Authority, Multifamily
Mortgage Revenue (FHA),
7.00%, 5/1/26 1,325,838
NR AAA 1,000 Hampton Redevelopment and
Housing Authority, Senior
Living, (GNMA), 6.00%,
1/20/26 1,011,800
NR AAA 1,800 Suffolk Redevelopment and
Housing Authority (Prince
Williams Commons), (FNMA),
6.45%, 6/1/19 1,846,026
Aa1 AA+ 3,500 Virginia Housing
Development Authority,
Multifamily Mortgage
Revenue, 7.05%, 5/1/18 3,711,330
Aa AA+ 5,000 Virginia Housing
Development Authority,
Multifamily Mortgage
Revenue, (AMT), 6.75%,
7/1/21 5,198,849
Aa NR 1,900 Virginia Housing
Development Authority,
Single Family Mortgage
Revenue, Variable,
7/1/04 /(1)/ 1,890,500
Aa1 AA+ 2,500 Virginia Housing
Development Authority,
Single Family Mortgage
Revenue, 6.85%, 1/1/15 2,627,550
- ---------------------------------------------------------------------------
$ 18,366,624
- ---------------------------------------------------------------------------
Industrial Development Revenue/Pollution
Control Revenue -- 12.3%
- ---------------------------------------------------------------------------
Aa3 AA- $2,190 City of Chesapeake
(Cargill Incorporated),
5.88%, 3/1/13 $ 2,242,648
A2 A+ 2,000 City of Giles (Hoechst
Celanese Corporation),
6.45%, 5/1/26 2,093,880
A2 A+ 1,500 City of Giles (Hoechst
Celanese Corporation),
(AMT), 5.95%, 12/1/25 1,522,695
A2 A+ 1,000 City of Giles (Hoechst
Celanese Corporation),
(AMT), 6.63%, 12/1/22 1,053,520
Baa3 BB+ 1,000 Commonwealth of Puerto
Rico Port Authority
(American Airlines) (AMT),
6.25%, 6/1/26 1,029,790
A3 A $2,000 Henrico County (Browning
Ferris Incorporated),
(AMT), 5.45%, 1/1/14 /(2)/ $ 1,992,000
A1 A- 4,000 Isle of Wright County,
Industrial Development
Authority (Union Camp
Corporation), (AMT),
6.55%, 4/1/24 4,237,520
Baa3 BBB 980 West Point (Chesapeake
Corporation), 6.25%, 3/1/19 1,002,736
Baa3 BBB 5,520 West Point (Chesapeake
Corporation), (AMT),
6.38%, 3/1/19 5,647,014
- ---------------------------------------------------------------------------
$ 20,821,803
- ---------------------------------------------------------------------------
Insured Electric Utilities -- 0.5%
- ---------------------------------------------------------------------------
Aaa AAA $ 900 Commonwealth of Puerto
Rico, Telephone Authority,
(MBIA), Variable,
1/16/15 /(1)/ $ 870,750
- ---------------------------------------------------------------------------
$ 870,750
- ---------------------------------------------------------------------------
Insured General Obligations -- 4.5%
- ---------------------------------------------------------------------------
Aaa AAA $8,350 City of Richmond, (FGIC),
5.00%, 1/15/21 $ 7,688,930
- ---------------------------------------------------------------------------
$ 7,688,930
- ---------------------------------------------------------------------------
Insured Hospitals -- 12.3%
- ---------------------------------------------------------------------------
Aaa AAA $1,665 Arlington County,
Industrial Development
Authority (The Arlington
Hospital), (AMBAC), 5.00%,
9/1/21 $ 1,492,889
Aaa AAA 5,000 Augusta County, Industrial
Development Authority
(Augusta Hospital
Corporation), (AMBAC),
5.13%, 9/1/21 4,582,749
Aaa AAA 2,500 Chesapeake Hospital
Authority (Chesapeake
General Hospital), (MBIA),
5.25%, 7/1/18 2,337,050
Aaa AAA 1,500 City of Fredericksburg,
Industrial Development
Authority, (AMBAC), 5.25%,
6/15/23 1,407,495
Aaa AAA 1,000 City of Roanoke (Franklin
Memorial Hospital and
Saint Albans Psychiatric
Hospital), (MBIA), 5.25%,
7/1/25 923,200
Aaa AAA 5,000 City of Virginia Beach
(Virginia Beach Memorial
Hospital), (AMBAC), 5.13%,
2/15/18 4,676,849
</TABLE>
See notes to financial statements
80
<PAGE>
Virginia Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<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 $2,000 City of Winchester,
Industrial Development
Authority (Winchester
Medical Center), (AMBAC),
Variable, 1/21/14 /(1)/ $ 2,312,500
Aaa AAA 1,500 Henrico County (Bon Secour
Health Systems), (MBIA),
6.25%, 8/15/20 1,641,990
Aaa AAA 1,800 Roanoke County, VA
Industrial Development
Authority, (MBIA), 5.00%,
7/1/24 1,606,968
- ---------------------------------------------------------------------------
$ 20,981,690
- ---------------------------------------------------------------------------
Insured Transportation -- 3.3%
- ---------------------------------------------------------------------------
Aaa AAA $4,625 Metropolitan Washington
Airports Authority,
(MBIA), (AMT), 5.75%,
10/1/20 $ 4,580,554
Aaa AAA 1,000 Richmond Metropolitan
Authority Expressway,
(FGIC), 6.38%, 7/15/16 1,071,830
- ---------------------------------------------------------------------------
$ 5,652,384
- ---------------------------------------------------------------------------
Insured Water and Sewer -- 5.7%
- ---------------------------------------------------------------------------
Aaa AAA $1,000 Loudoun County Sanitation
Authority, (FGIC), 5.13%,
1/1/30 $ 924,010
Aaa AAA 2,000 Loudoun County Sanitation
Authority, (MBIA), 5.25%,
1/1/30 1,846,060
Aaa AAA 1,000 Norfolk County Water and
Sewer Authority, (AMBAC),
5.25%, 11/1/13 979,800
Aaa AAA 1,000 Roanoke County, VA Water
and Sewer Authority,
(FGIC), 5.00%, 7/1/21 901,700
Aaa AAA 1,750 Upper Occoquan Sewage
Authority, (FGIC), 5.00%,
7/1/15 1,646,698
Aaa AAA 1,000 Upper Occoquan Sewage
Authority, (MBIA), 5.00%,
7/1/25 913,200
Aaa AAA 2,700 Upper Occoquan Sewage
Authority, (MBIA), 5.15%,
7/1/20 2,527,605
- ---------------------------------------------------------------------------
$ 9,739,073
- ---------------------------------------------------------------------------
Lease Revenue/Certificates of Participation -- 7.8%
- ---------------------------------------------------------------------------
Aa AA $2,250 Fairfax County Economic
Development Authority,
Lease, Government Center
Properties, 5.25%, 11/15/18 $ 2,128,613
Aa AA $2,000 Fairfax County Economic
Development Authority,
Lease, Government Center
Properties, 5.50%, 5/15/14 $ 1,968,140
Aa AA 2,000 Henrico County, Industrial
Development Authority,
Lease, 7.00%, 8/1/13 2,259,380
Aa AA 2,250 Henrico County, Industrial
Development Authority,
Lease, 7.12%, 8/1/21 2,560,748
NR NR 1,250 King George County, Lease,
7.00%, 12/15/12 1,294,700
A NR 3,000 Rockingham and
Harrisonburg Counties,
Harrisonburg Redevelopment
and Housing Authority,
6.50%, 9/1/14 3,103,230
- ---------------------------------------------------------------------------
$ 13,314,811
- ---------------------------------------------------------------------------
Life Care -- 1.3%
- ---------------------------------------------------------------------------
NR NR $2,000 Loudoun County, Industrial
Development Authority
(Falcons Landing), 8.75%,
11/1/24 $ 2,113,600
- ---------------------------------------------------------------------------
$ 2,113,600
- ---------------------------------------------------------------------------
Nursing Homes -- 0.2%
- ---------------------------------------------------------------------------
NR NR $ 325 Covington-Allegheny
County, Industrial
Development Authority,
(Beverly Enterprise),
9.38%, 9/1/01 $ 359,291
- ---------------------------------------------------------------------------
$ 359,291
- ---------------------------------------------------------------------------
Solid Waste -- 1.9%
- ---------------------------------------------------------------------------
A1 A+ $ 915 Fairfax County Economic
Development Authority,
(Ogden Martin Systems of
Fairfax Incorporated),
(AMT), 7.75%, 2/1/11 $ 983,469
Baa1 A- 2,250 Southeastern Public
Service Authority, Solid
Waste Systems, (AMT),
6.00%, 7/1/13 2,256,368
- ---------------------------------------------------------------------------
$ 3,239,837
- ---------------------------------------------------------------------------
</TABLE>
See notes to financial statements
81
<PAGE>
Virginia Municipals Portfolio as of February 28, 1997
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Special Tax Revenue -- 4.3%
- ---------------------------------------------------------------------------
Baa1 A $ 500 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.00%, 7/1/22 $ 446,280
Baa1 A 1,500 Commonwealth of Puerto
Rico Highway and
Transportation Authority,
5.00%, 7/1/36 1,332,675
NR NR 4,000 Virgin Islands Public
Finance Authority, 7.25%,
10/1/18 4,332,440
Aa AA 1,000 Virginia State
Transportation Board
Revenue, Route 28,
Variable, 4/1/18 /(1)/ 1,138,750
- ---------------------------------------------------------------------------
$ 7,250,145
- ---------------------------------------------------------------------------
Transportation -- 1.0%
- ---------------------------------------------------------------------------
NR BBB $ 400 Charlottesville-Albermarle
VA Airport Authority,
(AMT), 6.13%, 12/1/13 $ 394,192
- ---------------------------------------------------------------------------
Aa A+ 1,250 Virginia Port Authority
(AMT), 5.90%, 7/1/16 1,265,875
- ---------------------------------------------------------------------------
$ 1,660,067
- ---------------------------------------------------------------------------
Water and Sewer -- 5.6%
- ---------------------------------------------------------------------------
Aa AA- $3,595 Fairfax County, VA Water
Authority, 5.00%, 4/1/16 $ 3,377,934
- ---------------------------------------------------------------------------
Aa AA- 2,000 Fairfax County, VA Water
Authority, 5.75%, 4/1/29 1,986,820
- ---------------------------------------------------------------------------
Aa AA- 1,000 Fairfax County, VA Water
Authority, Variable,
4/1/29 /(1)/ 990,000
- ---------------------------------------------------------------------------
NR AA 1,630 Virginia Resource
Authority (Campbell
Utilities), 5.13%, 10/1/19 1,542,127
- ---------------------------------------------------------------------------
NR AA 1,655 Virginia Resource
Authority (Hopewell Waste
Water), (AMT), 6.00%,
10/1/25 1,668,439
- ---------------------------------------------------------------------------
$ 9,565,320
- ---------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $159,487,477) $170,034,825
- ---------------------------------------------------------------------------
</TABLE>
/(1)/ Security has been issued as an inverse floater bond.
/(2)/ Security has been segregated to cover margin requirements on open
financial futures contracts.
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Virginia
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 February 28, 1997, 26.3% 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 7.2% to 10.1% of
total investments.
See notes to financial statements
82
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS (Unaudited)
Statements of Assets and Liabilities
As of February 28, 1997
<TABLE>
<CAPTION>
Alabama Arkansas Georgia Kentucky
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investments --
Identified cost $100,675,836 $65,038,418 $ 94,112,523 $ 121,126,820
Unrealized appreciation 5,553,238 2,618,702 5,481,836 6,791,267
- ------------------------------------------------------------------------------------------------------------------------------------
Investment at value (Note 1A) $106,229,074 $67,657,120 $ 99,594,359 $ 127,918,087
- ------------------------------------------------------------------------------------------------------------------------------------
Cash $ 535 $ 26 $ 1,054,410 $ 353
Receivable for investments sold -- 155,000 -- --
Interest receivable 1,715,665 1,028,258 1,408,661 1,975,225
Deferred organization expenses (Note 1D) 1,407 2,923 2,224 1,177
- ------------------------------------------------------------------------------------------------------------------------------------
Total assets $107,946,681 $68,843,327 $ 102,059,654 $ 129,894,842
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ 1,429,275 $ -- $ 484,541 $ 1,225,595
Demand note payable (Note 5) 17,000 122,000 -- 1,013,000
Payable for variation margin on open financial
futures contracts (Note 1E) 12,656 8,438 11,875 11,719
Payable to affiliate for Trustees' fees (Note 2) 1,500 1,500 1,500 1,500
Accrued expenses 9,670 9,184 10,304 8,240
- ------------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 1,470,101 $ 141,122 $ 508,220 $ 2,260,054
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in
Portfolio $106,476,580 $68,702,205 $ 101,551,434 $ 127,634,788
- ------------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and
withdrawals $100,978,608 $66,120,347 $ 95,901,568 $ 120,536,911
Net unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 5,497,972 2,581,858 5,649,866 7,097,877
- ------------------------------------------------------------------------------------------------------------------------------------
Total $106,476,580 $68,702,205 $ 101,551,434 $ 127,634,788
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
83
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Assets and Liabilities
As of February 28, 1997
<TABLE>
<CAPTION>
Louisiana Maryland Missouri North Carolina
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investments --
Identified cost $32,863,537 $ 103,997,044 $ 75,521,959 $ 164,910,428
Unrealized appreciation 1,449,636 3,594,333 4,470,247 10,494,896
- ------------------------------------------------------------------------------------------------------------------------------------
Investment at value (Note 1A) $34,313,173 $ 107,591,377 $ 79,992,206 $ 175,405,324
- ------------------------------------------------------------------------------------------------------------------------------------
Cash $ 700 $ 671,400 $ 476,794 $ 1,749,061
Receivable for investments sold -- -- -- 3,646,464
Interest receivable 635,079 1,541,326 1,045,247 2,689,273
Deferred organization expenses (Note 1D) 2,668 1,589 1,258 3,279
- ------------------------------------------------------------------------------------------------------------------------------------
Total assets $34,951,620 $ 109,805,692 $ 81,515,505 $ 183,493,401
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ -- $ -- $ -- $ 4,607,560
Demand note payable (Note 5) 68,000 -- -- --
Payable for variation margin on open financial
futures contracts(Note1E) 2,344 13,125 9,844 14,063
Payable to affiliate for Trustees' fees (Note 2) 263 1,500 1,187 1,930
Accrued expenses 4,349 4,463 10,414 7,482
- ------------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 74,956 $ 19,088 $ 21,445 $ 4,631,035
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in
Portfolio $34,876,664 $ 109,786,604 $ 81,494,060 $ 178,862,366
- ------------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and
withdrawals $33,422,594 $ 106,249,585 $ 76,879,170 $ 168,322,738
Net unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 1,454,070 3,537,019 4,614,890 10,539,628
- ------------------------------------------------------------------------------------------------------------------------------------
Total $34,876,664 $ 109,786,604 $ 81,494,060 $ 178,862,366
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
84
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Assets and Liabilities
As of February 28, 1997
<TABLE>
<CAPTION>
Oregon South Carolina Tennessee Virginia
Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Investments --
<S> <C> <C> <C> <C>
Identified cost $118,050,031 $53,154,856 $ 52,515,401 $ 159,487,477
Unrealized appreciation 5,703,861 3,427,035 2,231,940 10,547,348
- ------------------------------------------------------------------------------------------------------------------------------------
Investment at value (Note 1A) $123,753,892 $56,581,891 $ 54,747,341 $ 170,034,825
- ------------------------------------------------------------------------------------------------------------------------------------
Cash $ 95 $ 125 $ 888 $ 800
Receivable for investments sold -- 1,463,426 -- --
Interest receivable 1,710,233 805,296 849,290 2,813,355
Deferred organization expenses (Note 1D) 1,902 2,817 2,273 2,651
- ------------------------------------------------------------------------------------------------------------------------------------
Total assets $125,466,122 $58,853,555 $ 55,599,792 $ 172,851,631
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Demand note payable (Note 5) $ 2,768,000 $ 1,581,000 $ 150,000 $ 1,595,000
Payable for variation margin on open financial
futures contracts (Note 1E) 31,250 5,469 6,563 20,625
Payable to affiliate for Trustees' fees (Note 2) 1,504 1,190 1,187 1,930
Accrued expenses 23,673 9,658 7,145 10,262
- ------------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 2,824,427 $ 1,597,317 $ 164,895 $ 1,627,817
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in
Portfolio $122,641,695 $57,256,238 $ 55,434,897 $ 171,223,814
- ------------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and
withdrawals $117,096,348 $53,765,993 $ 53,106,528 $ 160,766,530
Net unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 5,545,347 3,490,245 2,328,369 10,457,284
- ------------------------------------------------------------------------------------------------------------------------------------
Total $122,641,695 $57,256,238 $ 55,434,897 $ 171,223,814
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
85
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Operations
For the Six Months Ended February 28, 1997
<TABLE>
<CAPTION>
Alabama Arkansas Georgia Kentucky
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Income (Note 1B)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Interest income $3,217,867 $2,120,180 $3,209,742 $ 3,961,023
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 208,824 $ 123,119 $ 206,002 $ 265,628
Compensation of Trustees not members of the
Administrator's organization (Note 2) 4,341 3,696 4,341 4,340
Custodian fee (Note 1J) 30,634 19,474 25,695 25,631
Legal and accounting services 20,842 18,867 20,867 20,867
Bond pricing 3,931 3,690 3,943 4,669
Amortization of organization expenses (Note 1D) 778 746 1,088 655
Registration fees 416 70 400 --
Interest expense -- 13,498 -- --
Miscellaneous 6,537 1,906 4,256 6,399
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 276,303 $ 185,066 $ 266,592 $ 328,189
- ------------------------------------------------------------------------------------------------------------------------------------
Less Allocations --
Reduction of custodian fee (Note 1J) $ 9,900 $ -- $ 6,240 $ 17,774
- ------------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 9,900 $ -- $ 6,240 $ 17,774
- ------------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 266,403 $ 185,066 $ 260,352 $ 310,415
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $2,951,464 $1,935,114 $2,949,390 $ 3,650,608
- ------------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 504,064 $ 291,870 $ 611,678 $ 521,024
Financial futures contracts (727,615) (485,077) (636,666) (1,049,096)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized loss on investment transactions $ (223,551) $ (193,207) $ (24,988) $ (528,072)
- ------------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $2,855,149 $1,650,459 $2,440,115 $ 3,458,697
Financial futures contracts (156,966) (104,642) 13,798 339,687
- ------------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation of investments $2,698,183 $1,545,817 $2,453,913 $ 3,798,384
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments $2,474,632 $1,352,610 $2,428,925 $ 3,270,312
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $5,426,096 $3,287,724 $5,378,315 $ 6,920,920
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
86
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Operations
For the Six Months Ended February 28, 1997
<TABLE>
<CAPTION>
North Carolina
Louisiana Portfolio Maryland Portfolio Missouri Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B)
- ------------------------------------------------------------------------------------------------------------------------------------
Interest income $1,093,909 $3,262,795 $2,519,158 $5,592,432
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 40,486 $ 215,602 $ 152,918 $ 395,003
Compensation of Trustees not members of the
Administrator's organization (Note 2) 802 4,340 4,512 5,631
Custodian fee (Note 1J) 11,073 18,683 26,186 47,991
Legal and accounting services 18,567 20,867 18,567 24,981
Bond pricing 2,862 4,251 3,555 4,856
Amortization of organization expenses (Note 1D) 672 753 697 1,669
Miscellaneous 1,941 6,923 2,723 10,989
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 76,403 $ 271,419 $ 209,158 $ 491,120
- ------------------------------------------------------------------------------------------------------------------------------------
Less Allocations --
Reduction of custodian fee (Note 1J) $ 3,302 $ 13,132 $ 5,884 $ 24,213
Preliminary reduction of investment adviser fee
(Note 2) 14,936 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 18,238 $ 13,132 $ 5,884 $ 24,213
- ------------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 58,165 $ 258,287 $ 203,274 $ 466,907
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $1,035,744 $3,004,508 $2,315,884 $5,125,525
- ------------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (Identified cost basis) $ 69,768 $ 957,102 $ 473,848 $1,943,891
Financial futures contracts (199,945) (720,149) (536,967) (824,832)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investment transactions $ (130,177) $ 236,953 $ (63,119) $1,119,059
- ------------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (Identified cost basis) $ 945,859 $2,356,908 $2,349,342 $2,593,092
Financial futures contracts (27,604) (159,010) 16,117 (77,317)
- ------------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation of investments $ 918,255 $2,197,898 $2,365,459 $2,515,775
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments $ 788,078 $2,434,851 $2,302,340 $3,634,834
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $1,823,822 $5,439,359 $4,618,224 $8,760,359
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
87
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Operations
For the Six Months Ended February 28, 1997
<TABLE>
<CAPTION>
South Carolina
Oregon Portfolio Portfolio Tennessee Portfolio Virginia Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B)
- ------------------------------------------------------------------------------------------------------------------------------------
Interest income $3,828,477 $1,768,275 $1,662,646 $5,330,864
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 255,298 $ 91,676 $ 85,483 $ 373,632
Compensation of Trustees not members of the
Administrator's organization (Note 2) 4,355 3,386 3,391 5,631
Custodian fee (Note 1J) 33,876 17,211 14,722 44,380
Legal and accounting services 20,567 18,867 18,567 25,022
Bond pricing 4,216 2,730 3,122 5,093
Amortization of organization expenses (Note 1D) 1,038 715 1,169 1,369
Registration fees -- 50 -- 160
Interest expense 58,238 7,105 -- --
Miscellaneous 3,116 1,624 2,142 11,838
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 380,704 $ 143,364 $ 128,596 $ 467,125
- ------------------------------------------------------------------------------------------------------------------------------------
Less Allocations --
Reduction of custodian fee (Note 1J) $ 11,888 $ 4,759 $ 4,890 $ 25,244
- ------------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 11,888 $ 4,759 $ 4,890 $ 25,244
- ------------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 368,816 $ 138,605 $ 123,706 $ 441,881
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $3,459,661 $1,629,670 $1,538,940 $4,888,983
- ------------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (Identified cost basis) $ 123,114 $ 179,315 $ 147,300 $1,565,769
Financial futures contracts (943,560) (373,966) (325,909) (984,859)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investment transactions $ (820,446) $ (194,651) $ (178,609) $ 580,910
- ------------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (Identified cost basis) $2,567,269 $1,551,117 $1,453,636 $2,959,294
Financial futures contracts (124,517) 63,210 19,314 (45,042)
- ------------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation of investments $2,442,752 $1,614,327 $1,472,950 $2,914,252
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments $1,622,306 $1,419,676 $1,294,341 $3,495,162
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $5,081,967 $3,049,346 $2,833,281 $8,384,145
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
88
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Changes in Net Assets
For the Six Months Ended February 28, 1997
<TABLE>
<CAPTION>
Alabama Arkansas Georgia Kentucky
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 2,951,464 $ 1,935,114 $ 2,949,390 $ 3,650,608
Net realized loss on investments and
financial futures contracts (223,551) (193,207) (24,988) (528,072)
Change in unrealized appreciation
(depreciation) 2,698,183 1,545,817 2,453,913 3,798,384
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 5,426,096 $ 3,287,724 $ 5,378,315 $ 6,920,920
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 2,373,337 $ 897,078 $ 2,605,777 $ 2,466,500
Withdrawals (9,866,403) (9,585,814) (15,406,953) (14,770,085)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $ (7,493,066) $ (8,688,736) $ (12,801,176) $ (12,303,585)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (2,066,970) $ (5,401,012) $ (7,422,861) $ (5,382,665)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of period $108,543,550 $ 74,103,217 $ 108,974,295 $ 133,017,453
- ------------------------------------------------------------------------------------------------------------------------------------
At end of period $106,476,580 $ 68,702,205 $ 101,551,434 $ 127,634,788
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
89
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Changes in Net Assets
For the Six Months Ended February 28, 1997
<TABLE>
<CAPTION>
North Carolina
Increase (Decrease) in Net Assets Louisiana Portfolio Maryland Portfolio Missouri Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 1,035,744 $ 3,004,508 $ 2,315,884 $ 5,125,525
Net realized gain (loss) on investments and
financial futures contracts (130,177) 236,953 (63,119) 1,119,059
Change in unrealized appreciation
(depreciation) 918,255 2,197,898 2,365,459 2,515,775
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 1,823,822 $ 5,439,359 $ 4,618,224 $ 8,760,359
- -----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 1,215,986 $ 3,224,739 $ 1,252,604 $ 2,978,480
Withdrawals (3,211,815) (9,465,839) (9,539,131) (19,920,858)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $(1,995,829) $ (6,241,100) $(8,286,527) $(16,942,378)
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (172,007) $ (801,741) $(3,668,303) $ (8,182,019)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
At beginning of period $35,048,671 $110,588,345 $85,162,363 $187,044,385
- -----------------------------------------------------------------------------------------------------------------------------------
At end of period $34,876,664 $109,786,604 $81,494,060 $178,862,366
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
90
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS (Unaudited) CONT'D
Statements of Changes in Net Assets
For the Six Months Ended February 28, 1997
<TABLE>
<CAPTION>
Oregon South Carolina Tennessee Virginia
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 3,459,661 $ 1,629,670 $ 1,538,940 $ 4,888,983
Net realized gain (loss) on investments and
financial futures contracts (820,446) (194,651) (178,609) 580,910
Change in unrealized appreciation
(depreciation) 2,442,752 1,614,327 1,472,950 2,914,252
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 5,081,967 $ 3,049,346 $ 2,833,281 $ 8,384,145
- ------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 3,450,714 $ 1,963,020 $ 1,779,091 $ 4,060,173
Withdrawals (15,649,641) (6,074,275) (5,242,828) (18,864,825)
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $(12,198,927) $(4,111,255) $ (3,463,737) $ (14,804,652)
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (7,116,960) $(1,061,909) $ (630,456) $ (6,420,507)
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------
At beginning of period $129,758,655 $58,318,147 $ 56,065,353 $ 177,644,321
- ------------------------------------------------------------------------------------------------------------------------------
At end of period $122,641,695 $57,256,238 $ 55,434,897 $ 171,223,814
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
91
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended August 31, 1996
<TABLE>
<CAPTION>
Alabama Arkansas Georgia Kentucky
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 6,332,868 $ 4,255,703 $ 6,613,729 $ 7,720,705
Net realized gain (loss) on investments and
financial futures contracts 1,487,745 286,243 760,070 (1,218,558)
Change in unrealized appreciation
(depreciation) (1,006,618) (463,593) (233,422 ) 1,370,567
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 6,813,995 $ 4,078,353 $ 7,140,377 $ 7,872,714
- ----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 5,435,768 $ 3,573,437 $ 4,580,164 $ 6,532,846
Withdrawals (22,192,266) (15,083,575) (25,694,913) (26,656,733)
- ----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $(16,756,498) $ (11,510,138) $(21,114,749) $ (20,123,887)
- ----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (9,942,503) $ (7,431,785) $(13,974,372) $(12,251,173)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
At beginning of year $118,486,053 $ 81,535,002 $122,948,667 $145,268,626
- ----------------------------------------------------------------------------------------------------------------------------------
At end of year $108,543,550 $ 74,103,217 $108,974,295 $133,017,453
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
92
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the Year Ended August 31, 1996
Louisiana Maryland Missouri North Carolina
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 2,080,783 $ 6,315,616 $ 5,007,538 $ 10,663,105
Net realized gain (loss) on investments and
financial futures contracts (353,485) 1,533,760 1,101,913 (138,749)
Change in unrealized appreciation
(depreciation) 290,155 (570,744) (1,026,029) 742,696
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 2,017,453 $ 7,278,632 $ 5,083,422 $ 11,267,052
- ----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 4,634,958 $ 9,198,950 $ 4,159,884 $ 19,433,725
Withdrawals (5,912,419) (20,893,413) (17,243,046) (38,835,116)
- ----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $ (1,277,461) $ (11,694,463) $(13,083,162) $ (19,401,391)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets $ 739,992 $ (4,415,831) $ (7,999,740) $ (8,134,339)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 34,308,679 $ 115,004,176 $ 93,162,103 $ 195,178,724
- ----------------------------------------------------------------------------------------------------------------------------------
At end of year $ 35,048,671 $ 110,588,345 $ 85,162,363 $ 187,044,385
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
93
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
For the Year Ended August 31, 1996
<TABLE>
<CAPTION>
Oregon South Carolina Tennessee Virginia
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 7,559,303 $ 3,474,069 $ 3,197,243 $ 10,483,462
Net realized gain (loss) on investments and
financial futures contracts (969,132) 659,386 41,366 178,747
Change in unrealized appreciation
(depreciation) 492,083 (468,193) 360,970 148,870
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 7,082,254 $ 3,665,262 $ 3,599,579 $ 10,811,079
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 5,697,262 $ 5,386,887 $ 4,078,787 $ 9,068,306
Withdrawals (29,411,782) (12,145,670) (10,286,316) (33,982,986)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital transactions $(23,714,520) $ (6,758,783) $ (6,207,529) $ (24,914,680)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $(16,632,266) $ (3,093,521) $ (2,607,950) $ (14,103,601)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of year $146,390,921 $ 61,411,668 $ 58,673,303 $ 191,747,922
- ------------------------------------------------------------------------------------------------------------------------------------
At end of year $129,758,655 $ 58,318,147 $ 56,065,353 $ 177,644,321
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
94
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Alabama Portfolio Arkansas Portfolio
------------------------------------------------------- -------------------------------------------
Year Ended
Six Months ------------------------------------------ Six Months
Ended August 31, Sept. 30, Ended Year Ended August 31,
Feb. 28, 1997 ------------------------------ --------- Feb. 28, 1997 ---------------------------
(Unaudited) 1996 1995 1994* 1993** (Unaudited) 1996 1995 1994***
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average
daily net assets++:
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses /(1)/ 0.52%+ 0.49% 0.47% 0.44%+ 0.25%+ 0.52%+ 0.48% 0.46% 0.24%+
Net expenses, after
custodian fee reduction 0.50%+ 0.45% -- -- -- 0.52%+ 0.46% -- --
Net investment income 5.53%+ 5.50% 5.77% 5.37%+ 5.52%+ 5.43%+ 5.40% 5.69% 5.60%+
Portfolio Turnover 11% 52% 51% 26% 10% 11% 11% 23% 16%
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(000s omitted) $106,477 $108,544 $118,486 $117,163 $83,628 $68,702 $74,103 $81,535 $82,917
</TABLE>
++ The operating expenses of the Portfolios may reflect a reduction of the
Investment Adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such action not been taken, the annualized ratios would have
been as follows:
<TABLE>
<S> <C> <C>
Expenses /(1)/ 0.35%+ 0.43%+
Net investment income 5.42%+ 5.41%+
</TABLE>
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
/(1)/ The expense ratios for the reporting periods ended August 31, 1996 and
thereafter, have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the prior periods have not been adjusted to reflect this change.
See notes to financial statements
95
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Georgia Portfolio
-------------------------------------------------------
Year Ended
Six Months -----------------------------------------
Ended August 31, Sept. 30,
Feb. 28, 1997 ------------------------------- ---------
(Unaudited) 1996 1995 1994* 1993**
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average
daily net assets:
- -----------------------------------------------------------------------------------------------------------------
Expenses /(1)/ 0.51%+ 0.50% 0.46% 0.44%+ 0.40%+
Net expenses, after
custodian fee reduction 0.50%+ 0.45% -- -- --
Net investment income 5.61%+ 5.59% 5.73% 5.37%+ 5.37%+
Portfolio Turnover 8% 21% 48% 45% 35%
- ------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $101,551 $108,974 $122,949 $137,724 $119,311
<CAPTION>
Kentucky Portfolio
-------------------------------------------------------
Year Ended
Six Months -----------------------------------------
Ended August 31, Sept. 30,
Feb. 28, 1997 ------------------------------- ---------
(Unaudited) 1996 1995 1994* 1993**
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average
daily net assets:
- -----------------------------------------------------------------------------------------------------------------
Expenses /(1)/ 0.50%+ 0.53% 0.49% 0.46%+ 0.40%+
Net expenses, after
custodian fee reduction 0.48%+ 0.50% -- -- --
Net investment income 5.61%+ 5.49% 5.75% 5.39%+ 5.40%+
Portfolio Turnover 13% 28% 30% 21% 11%
- -----------------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $127,635 $133,017 $145,269 $145,210 $117,936
</TABLE>
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to
September 30, 1993.
/(1)/The expense ratios for the reporting periods ended August 31, 1996 and
thereafter, have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset arrangements
with its service providers. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
96
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Louisiana Portfolio Maryland Portfolio
--------------------------------------- --------------------------------------------------------
Year Ended
Six Months Six Months -----------------------------------------
Ended Year Ended August 31, Ended August 31, Sept. 30,
Feb. 28, 1997 ----------------------- Feb. 28, 1997 -------------------------- ---------
(Unaudited) 1996 1995 1994*** (Unaudited) 1996 1995 1994* 1993**
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average
daily net assets++:
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses /(1)/ 0.35%+ 0.30% 0.22% 0.14%+ 0.49%+ 0.51% 0.47% 0.44%+ 0.36%+
Net expenses, after
custodian fee reduction 0.33%+ 0.23% -- -- 0.47%+ 0.48% -- -- --
Net investment income 5.95%+ 5.90% 6.06% 5.86%+ 5.45%+ 5.50% 5.79% 5.44%+ 5.41%+
Portfolio Turnover 12% 99% 46% 21% 13% 33% 30% 41% 34%
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(000s omitted) $34,877 $35,049 $34,309 $31,423 $109,787 $110,588 $115,004 $117,856 $94,213
</TABLE>
++ The operating expenses of the Portfolios may reflect a reduction of the
Investment Adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such action not been taken, the annualized ratios would have
been as follows:
<TABLE>
<S> <C> <C> <C> <C> <C>
Expenses /(1)/ 0.44%+ 0.41% 0.33% 0.33%+ 0.38%+
Expenses after custodian
fee reduction 0.42%+ 0.35% -- -- --
Net investment income 5.86%+ 5.79% 5.95% 5.67%+ 5.39%+
</TABLE>
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
/(1)/ The expense ratios for the reporting periods ended August 31, 1996 and
thereafter, have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the prior periods have not been adjusted to reflect this change.
See notes to financial statements
97
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Missouri Portfolio
------------------------------------------------------------
Six Months Year Ended,
Ended ---------------------------------------------
Feb. 28, August 31, Sept. 30,
1997 ---------------------------- ------------
(Unaudited) 1996 1995 1994* 1993**
- -------------------------------------------------------------------------------------------------------
Ratios to average
daily net assets:
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses /(1)/ 0.50%+ 0.49% 0.48% 0.45%+ 0.40%+
Net expenses, after
custodian fee reduction 0.49%+ 0.47% -- -- --
Net investment income 5.56%+ 5.52% 5.76% 5.36%+ 5.36%+
Portfolio Turnover 2% 36% 24% 28% 6%
- -------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $81,494 $85,162 $93,162 $95,167 $75,273
</TABLE>
<TABLE>
<CAPTION>
North Carolina Portfolio
------------------------------------------------------------
Six Months Year Ended,
Ended ---------------------------------------------
Feb. 28, August 31, Sept. 30,
1997 ----------------------------- ------------
(Unaudited) 1996 1995 1994* 1993**
- -------------------------------------------------------------------------------------------------------
Ratios to average
daily net assets:
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses/(1)/ 0.54%+ 0.52% 0.48% 0.46%+ 0.43%+
Net expenses, after
custodian fee reduction 0.51%+ 0.48% -- -- --
Net investment income 5.58%+ 5.51% 5.78% 5.40%+ 5.43%+
Portfolio Turnover 18% 54% 33% 37% 21%
- -------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $178,862 $187,044 $195,179 $199,772 $172,534
</TABLE>
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
/(1)/The expense ratios for the reporting periods ended August 31, 1996 and
thereafter, have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the periods ended on or before August 31, 1995 have not been adjusted to
reflect this change.
See notes to financial statements
98
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Oregon Portfolio
---------------------------------------------------------------
Year Ended,
Six Months ------------------------------------------------
Ended August 31, Sept. 30,
Feb. 28, 1997 --------------------------------- ------------
(Unaudited) 1996 1995 1994* 1993**
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average
daily net assets:
- -----------------------------------------------------------------------------------------------------------
Expenses /(1)/ 0.61%+ 0.50% 0.50% 0.46%+ 0.43%+
Net expenses, after
custodian fee reduction 0.59%+ 0.47% -- -- --
Net investment income 5.50%+ 5.37% 5.60% 5.26%+ 5.30%+
Portfolio Turnover 7% 28% 22% 15% 32%
- -----------------------------------------------------------------------------------------------------------
Net assets, end of period (000s
omitted) $122,642 $129,759 $146,391 $153,119 $127,497
</TABLE>
<TABLE>
<CAPTION>
South Carolina Portfolio
----------------------------------------------
Six Months
Ended Year Ended August 31,
Feb. 28, 1997 --------------------------------
(Unaudited) 1996 1995 1994***
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Ratios to average
daily net assets:
- --------------------------------------------------------------------------------------------------
Expenses /(1)/ 0.50%+ 0.53% 0.44% 0.37%+
Net expenses, after
custodian fee reduction 0.48%+ 0.51% -- --
Net investment income 5.64%+ 5.65% 5.81% 5.47%+
Portfolio Turnover 2% 36% 75% 23%
- -------------------------------------------------------------------------------------------------
Net assets, end of period (000s
omitted) $57,256 $58,318 $61,412 $62,265
</TABLE>
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the seven months ended August 31, 1994.
/(1)/ The expense ratios for the reporting periods ended August 31, 1996 and
thereafter, have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the prior periods have not been adjusted to reflect this change.
See notes to financial statements
99
<PAGE>
EV Municipals Portfolios as of February 28, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Tennessee Portfolio
----------------------------------------------------------------
Year Ended
Six Months ------------------------------------------------
Ended August 31, Sept. 30,
Feb. 28, 1997 ---------------------------------- -----------
(Unaudited) 1996 1995 1994* 1993**
- -----------------------------------------------------------------------------------------------------------------------
Ratios to average
daily net assets:
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses /(1)/ 0.46%+ 0.45% 0.41% 0.36%+ 0.08%+
Net expenses, after
custodian fee reduction 0.44%+ 0.43% -- -- --
Net investment income 5.53%+ 5.52% 5.81% 5.49%+ 5.60%+
Portfolio Turnover 3% 39% 20% 10% 69%
- -----------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $55,435 $56,065 $58,673 $56,496 $39,266
</TABLE>
<TABLE>
<CAPTION>
Virginia Portfolio
-----------------------------------------------------------------
Year Ended
Six Months ------------------------------------------------
Ended August 31, Sept. 30,
Feb. 28, 1997 ---------------------------------- -----------
(Unaudited) 1996 1995 1994* 1993**
- -----------------------------------------------------------------------------------------------------------------------
Ratios to average
daily net assets:
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses /(1)/ 0.53%+ 0.51% 0.48% 0.46%+ 0.43%+
Net expenses, after
custodian fee reduction 0.51%+ 0.48% -- -- --
Net investment income 5.60%+ 5.55% 5.81% 5.49%+ 5.49%+
Portfolio Turnover 9% 30% 38% 48% 29%
- ------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $171,224 $177,644 $191,748 $194,519 $174,260
</TABLE>
+ Annualized.
* For the eleven months ended August 31, 1994.
** For the period from the start of business, February 1, 1993, to
September 30, 1993.
/(1)/ The expense ratios for the reporting periods ended August 31, 1996 and
thereafter, have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to
increase its expense ratio by the effect of any expense offset
arrangements with its service providers. The expense ratios for each of
the prior periods have not been adjusted to reflect this change.
See notes to financial statements
100
<PAGE>
EV Municipals Portfolios as of February 28, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
-------------------------------------------------------------------------
Alabama Municipals Portfolio (Alabama Portfolio), Arkansas Municipals
Portfolio (Arkansas Portfolio), Georgia Municipals Portfolio (Georgia
Portfolio), Kentucky Municipals Portfolio (Kentucky Portfolio), Louisiana
Municipals Portfolio (Louisiana Portfolio), Maryland Municipals Portfolio
(Maryland Portfolio), Missouri Municipals Portfolio (Missouri Portfolio),
North Carolina Municipals Portfolio (North Carolina Portfolio), Oregon
Municipals Portfolio (Oregon Portfolio), South Carolina Municipals
Portfolio (South Carolina Portfolio), Tennessee Municipals Portfolio
(Tennessee Portfolio) and Virginia Municipals Portfolio (Virginia
Portfolio), collectively the Portfolios, are registered under the
Investment Company Act of 1940, as amended, as non-diversified open-end
investment management companies which were organized as trusts under the
laws of the State of New York on May 1, 1992. The Declarations of Trust
permit the Trustees to issue interests in the Portfolios. The following is
a summary of significant accounting policies 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 and options
on financial futures contracts listed on commodity exchanges are valued at
closing settlement prices. Over-the-counter options on financial futures
are normally valued at the mean between the latest bid and asked price.
Short-term obligations, maturing in sixty days or less, are valued at
amortized cost, which approximates value. Investments for which valuations
or market quotations are unavailable are valued at fair value using methods
determined in good faith by or at the direction of the Trustees.
B Income -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for Federal
income tax purposes.
C Federal Taxes -- The Portfolios are treated as partnerships for Federal
tax purposes. No provision is made by the Portfolios for federal or state
taxes on any taxable income of the Portfolios because each investor in the
Portfolios is ultimately responsible for the payment of any taxes. Since
some of the Portfolios' investors are regulated investment companies that
invest all or substantially all of their assets in the Portfolios, the
Portfolios normally must satisfy the applicable source of income and
diversification requirements (under the Internal Revenue Code) in order for
their respective investors to satisfy them. The Portfolios will allocate at
least annually among their respective investors each investor's
distributive share of the Portfolios' net taxable (if any) and tax-exempt
investment income, net realized capital gains, and any other items of
income, gain, loss, deduction or credit. Interest income received by the
Portfolios on investments in municipal bonds, which is excludable from
gross income under the Internal Revenue Code, will retain its status as
income exempt from federal income tax when allocated to each Portfolio's
investors. The portion of such interest, if any, earned on private activity
bonds issued after August 7, 1986, may be considered a tax preference item
for investors.
D Deferred Organization Expenses -- Costs incurred by a Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
E Financial Futures Contracts -- Upon the entering of a financial futures
contract, a Portfolio is required to deposit ("initial margin") either in
cash or securities an amount equal to a certain percentage of the purchase
price indicated in the financial futures contract. Subsequent payments are
made or received by a Portfolio ("margin maintenance") each day, dependent
on the daily fluctuations in the value of the underlying security, and are
recorded for book purposes as unrealized gains or losses by a Portfolio. A
Portfolio's investment in financial futures contracts is designed only to
hedge against anticipated future changes in interest rates. Should interest
rates move unexpectedly, a Portfolio may not achieve the anticipated
benefits of the financial futures contracts and may realize a loss.
F Options on Financial Futures Contracts -- Upon purchase of a put option
on a financial futures contract by a Portfolio, the premium paid is
recorded as an investment, the value of which is marked-to-market daily.
When a purchased option expires, a Portfolio will realize a loss in the
amount of the cost of the option. When a Portfolio enters into a closing
transaction, a Portfolio will realize a gain or loss depending on whether
the sales proceeds from the closing sale transaction are greater or less
than the cost of the option. When a Portfolio exercises a put option,
settlement is made in cash. The risk associated with purchasing options is
limited to the premium originally paid.
101
<PAGE>
EV Municipals Portfolios as of February 28, 1997
NOETS TO FINANCIAL STATEMENTS (Unaudited) CONT'D
G When-issued and Delayed Delivery Transactions -- The Portfolios may
engage in when-issued and delayed delivery transactions. The Portfolios
record when-issued securities on trade date and maintain security positions
such that sufficient liquid assets will be available to make payments for
the securities purchased. Securities purchased on a when-issued or delayed
delivery basis are marked-to-market daily and begin earning interest on
settlement date.
H Use of Estimates -- The preparation of the financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements
and the reported amounts of revenue and expense during the reporting
period. Actual results could differ from those estimates.
I Other -- Investment transactions are accounted for on a trade date basis.
J Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolios. Pursuant to the respective custodian
agreements, IBT receives a fee reduced by the credits which are determined
based on the average daily cash balances each Portfolio maintains with IBT.
All significant credit balances used to reduce the Portfolios' custodian
fees are reflected as a reduction of operating expense on the statement of
operations.
K Interim Financial Information -- The interim financial statements
relating to February 28, 1997 and for the six months then ended have not
been audited by independent certified public accountants, but in the
opinion of the Portfolio's management reflect all adjustments, consisting
only of normal recurring adjustments, necessary for the fair presentation
of the financial statements.
2 Investment Adviser Fee and Other Transactions
with Affiliates
------------------------------------------------------------------------------
The investment adviser fee is earned by Boston Management and Research (BMR),
a wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation for
management and investment advisory services rendered to each Portfolio.
The fee is based upon a percentage of average daily net assets plus a
percentage of gross income (i.e., income other than gains from the sale of
securities).
For the six months ended February 28, 1997, the Portfolios paid advisory
fees as follows:
<TABLE>
<CAPTION>
Portfolio Amount Effective Rate*
- --------------------------------------------------------------------
<S> <C> <C>
Alabama $ 208,824 0.42%
Arkansas 123,119 0.35%
Georgia 206,002 0.39%
Kentucky 265,628 0.41%
Louisiana 40,486 0.23%
Maryland 215,602 0.39%
Missouri 152,918 0.37%
North Carolina 395,003 0.43%
Oregon 255,298 0.41%
South Carolina 91,676 0.32%
Tennessee 85,483 0.31%
Virginia 373,632 0.43%
</TABLE>
* Advisory fees paid as a percentage of average daily net assets
(annualized).
To enhance the net income of the Louisiana Portfolio, BMR made a
preliminary reduction of its fee in the amount of $14,936 for the six
months ended February 28, 1997.
Except as to Trustees of the Portfolios who are not members of EVM's or
BMR's organization, officers and Trustees receive remuneration for their
services to the Portfolios out of such investment adviser fee.
Trustees of the Portfolios that are not affiliated with the Investment
Adviser may elect to defer receipt of all or a percentage of their annual
fees in accordance with the terms of the Trustees Deferred Compensation
Plan. For the six month period ended February 28, 1997, no significant
amounts have been deferred.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of EVM and/or BMR.
102
<PAGE>
EV Municipals Portfolios as of February 28, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
3 Investments
-----------------------------------------------------------------------------
Purchases and Sales of investments, other than U.S. Government securities,
put option transactions and short-term obligations, for the six months ended
February 28, 1997 were as follows:
<S> <C>
Alabama Portfolio
-----------------------------------------------------------------------------
Purchases $ 11,395,250
Sales 14,827,971
Arkansas Portfolio
-----------------------------------------------------------------------------
Purchases $ 8,157,962
Sales 16,234,531
Georgia Portfolio
-----------------------------------------------------------------------------
Purchases $ 8,028,825
Sales 19,675,801
Kentucky Portfolio
-----------------------------------------------------------------------------
Purchases $ 17,197,274
Sales 22,803,428
Louisiana Portfolio
-----------------------------------------------------------------------------
Purchases $ 4,156,026
Sales 5,705,070
Maryland Portfolio
-----------------------------------------------------------------------------
Purchases $ 13,789,340
Sales 18,085,195
Missouri Portfolio
-----------------------------------------------------------------------------
Purchases $ 1,512,765
Sales 10,227,909
North Carolina Portfolio
-----------------------------------------------------------------------------
Purchases $ 33,485,395
Sales 44,681,024
Oregon Portfolio
-----------------------------------------------------------------------------
Purchases $ 8,874,830
Sales 13,527,875
South Carolina Portfolio
-----------------------------------------------------------------------------
Purchases $ 1,052,350
Sales 3,050,765
Tennessee Portfolio
-----------------------------------------------------------------------------
Purchases $ 1,478,560
Sales 4,594,575
Virginia Portfolio
-----------------------------------------------------------------------------
Purchases $ 15,446,753
Sales 24,235,198
4 Federal Income Tax Basis of Investments
-----------------------------------------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at February 28, 1997, as computed on a
federal income tax basis, are as follows:
Alabama Portfolio
-----------------------------------------------------------------------------
Aggregate Cost $100,675,836
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 5,682,821
Gross unrealized depreciation (129,583)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 5,553,238
-----------------------------------------------------------------------------
Arkansas Portfolio
-----------------------------------------------------------------------------
Aggregate Cost $ 65,038,418
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 2,715,870
Gross unrealized depreciation (97,168)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 2,618,702
-----------------------------------------------------------------------------
Georgia Portfolio
-----------------------------------------------------------------------------
Aggregate Cost $ 94,112,523
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 5,642,282
Gross unrealized depreciation (160,446)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 5,481,836
-----------------------------------------------------------------------------
</TABLE>
103
<PAGE>
EV Municipals Portfolios as of February 28, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
<S> <C>
Kentucky Portfolio
- -------------------------------------------------------------------------------
Aggregate Cost $121,126,820
- -------------------------------------------------------------------------------
Gross unrealized appreciation $ 6,854,895
Gross unrealized depreciation (63,628)
- -------------------------------------------------------------------------------
Net unrealized appreciation $ 6,791,267
- -------------------------------------------------------------------------------
Louisiana Portfolio
- -------------------------------------------------------------------------------
Aggregate Cost $ 32,863,537
- -------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,466,963
Gross unrealized depreciation (17,327)
- -------------------------------------------------------------------------------
Net unrealized appreciation $ 1,449,636
- -------------------------------------------------------------------------------
Maryland Portfolio
- -------------------------------------------------------------------------------
Aggregate Cost $103,997,044
- -------------------------------------------------------------------------------
Gross unrealized appreciation $ 3,838,537
Gross unrealized depreciation (244,204)
- -------------------------------------------------------------------------------
Net unrealized appreciation $ 3,594,333
- -------------------------------------------------------------------------------
Missouri Portfolio
- -------------------------------------------------------------------------------
Aggregate Cost $ 75,521,959
- -------------------------------------------------------------------------------
Gross unrealized appreciation $ 4,546,070
Gross unrealized depreciation (75,823)
- -------------------------------------------------------------------------------
Net unrealized appreciation $ 4,470,247
- -------------------------------------------------------------------------------
North Carolina Portfolio
- -------------------------------------------------------------------------------
Aggregate Cost $164,910,428
- -------------------------------------------------------------------------------
Gross unrealized appreciation $ 10,564,610
Gross unrealized depreciation (69,714)
- -------------------------------------------------------------------------------
Net unrealized appreciation $ 10,494,896
- -------------------------------------------------------------------------------
Oregan Portfolio
- -------------------------------------------------------------------------------
Aggregate Cost $118,050,031
- -------------------------------------------------------------------------------
Gross unrealized appreciation $ 5,820,017
Gross unrealized depreciation (116,156)
- -------------------------------------------------------------------------------
Net unrealized appreciation $ 5,703,861
- -------------------------------------------------------------------------------
South Carolina Portfolio
- -------------------------------------------------------------------------------
Aggregate Cost $ 53,154,856
- -------------------------------------------------------------------------------
Gross unrealized appreciation $ 3,428,940
Gross unrealized depreciation (1,905)
- -------------------------------------------------------------------------------
Net unrealized appreciation $ 3,427,035
- -------------------------------------------------------------------------------
Tennessee Portfolio
- -------------------------------------------------------------------------------
Aggregate Cost $ 52,515,401
- -------------------------------------------------------------------------------
Gross unrealized appreciation $ 2,295,048
Gross unrealized depreciation (63,108)
- -------------------------------------------------------------------------------
Net unrealized appreciation $ 2,231,940
- -------------------------------------------------------------------------------
Virginia Portfolio
- -------------------------------------------------------------------------------
Aggregate Cost $159,487,477
- -------------------------------------------------------------------------------
Gross unrealized appreciation $ 10,599,313
Gross unrealized depreciation (51,965)
- -------------------------------------------------------------------------------
Net unrealized appreciation $ 10,547,348
- -------------------------------------------------------------------------------
</TABLE>
104
<PAGE>
EV Municipals Portfolios as of February 28, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
5 Line of Credit
------------------------------------------------------------------------------
The Portfolios participate with other portfolios and funds managed by BMR and
EVM and its affiliates in a $120 million unsecured line of credit agreement
with a group of banks. Borrowings will be made by the Portfolios or Funds
solely to facilitate the handling of unusual and/or unanticipated short-term
cash requirements. Interest is charged to each portfolio or fund based on its
borrowings at the bank's base rate or at an amount above either the bank's
adjusted certificate of deposit rate, Eurodollar rate or federal funds
effective rate. In addition, a fee computed at an annual rate of 0.15% on the
daily unused portion of the facility is allocated among the participating
portfolios and funds at the end of each quarter. At February 28, 1997, the
Alabama Portfolio, Arkansas Portfolio, Kentucky Portfolio, Louisiana
Portfolio, Oregon Portfolio, South Carolina Portfolio, Tennessee Portfolio and
Virginia Portfolio had balances outstanding pursuant to this line of credit of
$17,000, $122,000, $1,013,000, $68,000, $2,768,000, $1,581,000, $150,000, and
$1,595,000, respectively. The Portfolios did not have any significant
borrowings or allocated fees during the six months ended February 28, 1997.
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 February 28,
1997, is as follows:
<TABLE>
<CAPTION>
Futures
Contracts Net Unrealized
Expiration Appreciation
Portfolio Date Contracts Position (Depreciation)
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Alabama 3/97 81 U.S. Treasury Bonds Short $(55,267)
- --------------------------------------------------------------------------------------------------
Arkansas 3/97 54 U.S. Treasury Bonds Short $(36,844)
- --------------------------------------------------------------------------------------------------
Georgia 3/97 76 U.S. Treasury Bonds Short $168,031
- --------------------------------------------------------------------------------------------------
Kentucky 3/97 75 U.S. Treasury Bonds Short $306,610
- --------------------------------------------------------------------------------------------------
Louisiana 3/97 15 U.S. Treasury Bonds Short $4,434
- --------------------------------------------------------------------------------------------------
Maryland 3/97 84 U.S. Treasury Bonds Short $(57,313)
- --------------------------------------------------------------------------------------------------
Missouri 3/97 63 U.S. Treasury Bonds Short $144,643
- --------------------------------------------------------------------------------------------------
North
Carolina 3/97 90 U.S. Treasury Bonds Short $44,732
- --------------------------------------------------------------------------------------------------
Oregon 3/97 200 U.S. Treasury Bonds Short $(158,514)
- --------------------------------------------------------------------------------------------------
Tennessee 3/97 42 U.S. Treasury Bonds Short $96,429
- --------------------------------------------------------------------------------------------------
South
Carolina 3/97 35 U.S. Treasury Bonds Short $(5,469)
- --------------------------------------------------------------------------------------------------
</TABLE>
105
<PAGE>
EV Marathon Municipals Funds as of February 28, 1997
INVESTMENT MANAGEMENT
<TABLE>
<CAPTION>
EV Marathon Municipals Funds
<S> <C>
Officers Independent Trustees
Thomas J. Fetter Donald R. Dwight
President President, Dwight Partners, Inc.
Chairman, Newspapers of New England, Inc.
James B. Hawkes
Vice President and Trustee Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment
Robert B. MacIntosh Banking, Harvard University Graduate
Vice President School of Business Administration
James L. O'Connor Norton H. Reamer
Treasurer President and Director, United Asset
Management Corporation
Thomas Otis
Secretary John L. Thorndike
Formerly Director, Fiduciary Company
Incorporated
Jack L. Treynor
Investment Adviser and Consultant
</TABLE>
<TABLE>
<CAPTION>
Municipals Portfolios
<S> <C>
Officers Independent Trustees
Thomas J. Fetter Donald R. Dwight
President and Portfolio President, Dwight Partners, Inc.
Manager of South Carolina Chairman, Newspapers of New England, Inc.
Municipals Portfolio
Samuel L. Hayes, III
James B. Hawkes Jacob H. Schiff Professor of Investment
Vice President and Trustee Banking, Harvard University Graduate
School of Business Administration
Robert B. MacIntosh
Vice President and Portfolio Manager Norton H. Reamer
of Louisiana and North Carolina President and Director, United Asset
Municipals Portfolios Management Corporation
Timothy T. Browse John L. Thorndike
Vice President and Portfolio Manager Formerly Director, Fiduciary Company Incorporated
of Alabama, Arkansas, Maryland and
Virginia Municipals Portfolios Jack L. Treynor
Investment Adviser and Consultant
Cynthia J. Clemson
Vice President and Portfolio Manager
of Georgia, Missouri, and Tennessee
Municipals Portfolios
Nicole Anderes
Vice President and Portfolio Manager
of Kentucky Municipals Portfolio
Thomas M. Metzold
Vice President and Portfolio Manager of
Oregon Municipals Portfolio
</TABLE>
106
<PAGE>
<TABLE>
<CAPTION>
Municipals Portfolios
<S> <C>
Officers Independent Trustees
Thomas J. Fetter Donald R. Dwight
President and Portfolio President, Dwight Partners, Inc.
Manager of South Carolina Chairman, Newspapers of New England, Inc.
Municipals Portfolio
Samuel L. Hayes, III
James B. Hawkes Jacob H. Schiff Professor of Investment
Vice President and Trustee Banking, Harvard University Graduate
School of Business Administration
Robert B. MacIntosh
Vice President and Portfolio Manager Norton H. Reamer
of Louisiana and North Carolina President and Director, United Asset
Municipals Portfolios Management Corporation
Timothy T. Browse John L. Thorndike
Vice President and Portfolio Manager Formerly Director, Fiduciary Company Incorporated
of Alabama, Arkansas, Maryland and
Virginia Municipals Portfolios Jack L. Treynor
Investment Adviser and Consultant
Cynthia J. Clemson
Vice President and Portfolio Manager
of Georgia, Missouri, and Tennessee
Municipals Portfolios
Nicole Anderes
Vice President and Portfolio Manager
of Kentucky Municipals Portfolio
Thomas M. Metzold
Vice President and Portfolio Manager of
Oregon Municipals Portfolio
</TABLE>
106
