<PAGE>
AMERICAN EXPRESS
Strategist Tax-Free Income Fund, Inc.
1997 Annual Report
Strategist Tax-Free High Yield Fund
<PAGE>
Table of contents
From the portfolio manager 1
The Fund's long-term performance 3
Independent auditors' report (Strategist Tax-Free Income Fund Inc.) 4
Financial statements (Strategist Tax-Free High Yield Fund) 5
Notes to financial statements (Strategist Tax-Free High Yield Fund) 8
Federal income tax information (Strategist Tax-Free High Yield Fund) 13
Independent auditors' report (Tax-Free Income Trust) 15
Financial statements (Tax-Free High Yield Portfolio) 16
Notes to financial statements (Tax-Free High Yield Portfolio) 19
Investments in securities (Tax-Free High Yield Portfolio) 23
<PAGE>
From the portfolio manager
(Photo of) Kurt Larson
Strategist Tax-Free High Yield Fund enjoyed a productive fiscal year as it took
advantage of a rebound by the bond market this past summer and fall. For the
December 1996 through November 1997 period the fund produced a total return of
8.3%. Consistent with the portfolio's investment objective, dividend payments to
shareholders made up the greatest portion of the return.
For the first several months of the fiscal year, the bond market encountered a
difficult environment. Although the inflation data had yet to prove threatening,
better-than-expected economic growth caused many investors to conclude that an
inflation run-up was imminent. The result was that long-term interest rates,
without prompting by the Federal Reserve, crept higher over the winter. Bond
prices, which move in the opposite direction of interest rates, declined in the
process, penalizing the portfolio's net asset value.
Recovery begins
By spring, though, inflation fears had waned and, with additional support
provided by the agreement between Congress and the President to balance the
federal budget, interest rates began to head back down. Aside from a few,
temporary interruptions, the trend continued through the end of the fiscal year,
boosting bond prices along the way. Higher-yielding municipal bonds -- the core
of this portfolio -- performed especially well during that time, as investors
were drawn to the relatively attractive interest rates offered by such
securities. Also working in the portfolio's favor was a well-balanced
supply/demand situation -- that is, the supply of municipal bonds was not
excessive compared with investors' demand.
Over the 12 months, I kept the portfolio essentially fully invested; about 95%
of the assets were kept in bonds, with the small remainder in cash reserves. The
portfolio's duration -- a function of the average maturity of the bonds in the
portfolio that determines how sensitive the portfolio's net asset value is to
interest-rate changes -- stayed close to neutral. The result was that the
portfolio's value fluctuated largely in sync with that of the bond market as
rates rose and fell.
The portfolio mix was little changed during the 12 months. I maintained the
biggest portion of assets in investment-grade (high-quality) municipal bonds,
complemented by a moderate amount in below-investment-grade issues, which pay
comparatively higher interest. I gradually increased the level in the latter
group to 22% by period-end, a strategy that helped shore up the portfolio's
dividend in the face of falling rates.
The new fiscal year has just begun as I prepare this report in mid-December.
Although inflation may edge up in the months ahead, I doubt it will become a
serious problem. If that's the case, I expect interest rates to stay in a
comfortable range, allowing the portfolio to continue to provide a healthy,
tax-free return.
Kurt Larson
Strategist Tax-Free Income Fund, Inc.
<PAGE>
The Funds' long-term performance
How your $10,000 has grown in Strategist Tax-Free High Yield Fund
$12,000
Strategist
Tax-Free High
Yield Fund
$11,432
Lehman Brothers
Municipal Bond Index
$10,000
5/31/96 8/31/96 11/30/96 2/28/97 5/31/97 8/31/97 11/30/97
Average annual total return
(as of Nov. 30, 1997)
1 year 5 years 10 years
+8.26% +6.60% +8.10%
Assumes: Holding period from 5/31/96 to 11/30/97. Returns do not reflect taxes
payable on distributions. Reinvestment of all income and capital gain
distributions for the Fund, with a value of $1,029. Also see "Performance" in
the Fund's current prospectus.
On the graph above you can see how the Fund's total return compared to a widely
cited performance index, the Lehman Brothers Municipal Bond Index. Your
investment and return values fluctuate so that your shares, when redeemed, may
be worth more or less than the original cost. This was a period of widely
fluctuating security prices. Past performance is no guarantee of future results.
On May 13, 1996, IDS High Yield Tax-Exempt Fund (the predecessor fund) converted
to a master/feeder structure and transferred all of its assets to Tax-Free High
Yield Portfolio. The performance information in the total return table, other
than the 1 year average annual total return, represents performance of the
predecessor fund prior to March 20, 1995 and of Class A shares of the
predecessor fund from March 20, 1995 through May 13, 1996, adjusted to reflect
the absence of sales charges on shares of the Fund. The historical performance
has not been adjusted for any difference between the estimated aggregate fees
and expenses of the Fund and historical fees and expenses of the predecessor
fund.
Lehman Brothers Municipal Bond Index is an unmanaged index made up of a
representative list of general obligation, revenue, insured and pre-refunded
bonds. The index is frequently used as a general measure of tax-exempt bond
market performance. However, the securities used to create the index may not be
representative of the bonds held in the portfolio.
Strategist Tax-Free Income Fund, Inc.
<PAGE>
<PAGE>
Independent auditors' report
The board and shareholders
Strategist Tax-Free Income Fund, Inc.:
We have audited the accompanying statement of assets and liabilities of
Strategist Tax-Free High Yield Fund (a series of Strategist Tax-Free Income
Fund, Inc.) as of November 30, 1997, and the related statement of operations for
the year then ended and the statements of changes in net assets and the
financial highlights for the year ended November 30, 1997 and the period from
May 13, 1996 (commencement of operations) to November 30, 1996. These financial
statements and the financial highlights are the responsibility of fund
management. Our responsibility is to express an opinion on these financial
statements and the financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Strategist Tax-Free High Yield
Fund at November 30, 1997, and the results of its operations, the changes in its
net assets and the financial highlights for the periods stated in the first
paragraph above, in conformity with generally accepted accounting principles.
KPMG Peat Marwick LLP
Minneapolis, Minnesota
January 2, 1998
<PAGE>
Financial statements
Statement of assets and liabilities
Strategist Tax-Free High Yield Fund
Nov. 30, 1997
Assets
Investment in Tax-Free High Yield Portfolio (Note 1) $775,649
Expense reimbursement receivable from AEFC 105
Organizational costs (Note 1) 1,797
-----
Total assets 777,551
=======
Liabilities
Dividends payable to shareholders 368
Accrued distribution fee 10
Accrued transfer agency fee 2
Accrued administrative services fees 2
Other accrued expenses 42,792
------
Total liabilities 43,174
------
Net assets applicable to outstanding capital stock $734,377
========
Represented by
Capital stock-- $.01 par value (Note 1) $ 1,583
Additional paid-in capital 701,487
Undistributed net investment income 624
Accumulated net realized gain (loss) (Note 4) (7,107)
Unrealized appreciation (depreciation) on investments 37,790
------
Total-- representing net assets applicable to
outstanding capital stock $734,377
========
Shares outstanding 158,260
-------
Net asset value per share of outstanding capital stock $ 4.64
--------
See accompanying notes to financial statements.
<PAGE>
Statement of operations
Strategist Tax-Free High Yield Fund
Year ended Nov. 30, 1997
Investment income
Income:
Interest $44,970
-------
Expenses (Note 2):
Expenses allocated from Tax-Free High Yield Portfolio 3,082
Distribution fee 1,612
Transfer agency fee 227
Administrative services fee and expenses 258
Postage 2,489
Registration fees 6,234
Reports to shareholders 1,568
Audit fees 3,200
Other 414
---
Total expenses 19,084
Less expenses reimbursed by AEFC (12,954)
-------
Total net expenses 6,130
-----
Investment income (loss)-- net 38,840
------
Realized and unrealized gain (loss)-- net
Net realized gain (loss) on:
Security transactions (2,306)
Financial futures contracts (3,505)
------
Net realized gain (loss) on investments (5,811)
Net change in unrealized appreciation (depreciation) on investments 19,642
------
Net gain (loss) on investments 13,831
------
Net increase (decrease) in net assets resulting from operations $52,671
-------
See accompanying notes to financial statements.
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<TABLE>
<CAPTION>
Statements of changes in net assets
Strategist Tax-Free High Yield Fund
Year ended For the period
Nov. 30, 1997 from May 13, 1996*
to Nov. 30, 1996
Operations and distributions
<S> <C> <C>
Investment income (loss) -- net $ 38,840 $ 13,647
Net realized gain (loss) on investments (5,811) (1,260)
Net change in unrealized appreciation (depreciation)
on investments 19,642 18,148
------ ------
Net increase (decrease) in net assets resulting
from operations 52,671 30,535
------ ------
Distributions to shareholders from:
Net investment income (39,320) (13,647)
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Capital share transactions (Note 3)
Proceeds from sales 188,471 405,000
Reinvestment of distributions at net asset value 39,737 12,824
Payments for redemptions (41,894) --
------- --------
Increase (decrease) in net assets from
capital share transactions 186,314 417,824
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Total increase (decrease) in net assets 199,665 434,712
Net assets at beginning of period (Note 1) 534,712 100,000
------- -------
Net assets at end of period $734,377 $534,712
======== ========
Undistributed net investment income $ 624 $ 553
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*Commencement of operations.
See accompanying notes to financial statements.
</TABLE>
<PAGE>
Notes to financial statements
Strategist Tax-Free High Yield Fund
1. Summary of significant accounting policies
The Fund is a series of Strategist Tax-Free Income Fund, Inc. and is registered
under the Investment Company Act of 1940 (as amended) as a diversified, open-end
management investment company. The Fund has 3 billion authorized shares of
capital stock. On April 15, 1996, American Express Financial Corporation (AEFC)
invested $100,000 in the Fund which represented 22,422 shares. Operations did
not formally commence until May 13, 1996.
Investment in Tax-Free High Yield Portfolio
The Fund invests all of its net investable assets in the Tax-Free High Yield
Portfolio (the Portfolio), a series of Tax-Free Income Trust, an open-end
investment company that has the same objectives as the Fund. The Portfolio
invests primarily in medium- and lower-quality bonds and notes issued by or on
behalf of state and local governmental units whose interest generally is exempt
from federal income tax. The Portfolio also may invest in derivative instruments
and money market instruments.
The Fund records daily its share of the Portfolio's income, expenses and
realized and unrealized gains and losses. The financial statements of the
Portfolio are included elsewhere in this report and should be read in
conjunction with the Fund's financial statements.
The Fund records its investment in the Portfolio at value that is equal to the
Fund's proportionate ownership interest in the net assets of the Portfolio. The
percentage of the Portfolio owned by the Fund at Nov. 30, 1997 was 0.01%.
Valuation of securities held by the Portfolio is discussed in Note 1 of the
Portfolio's "Notes to financial statements," which are included elsewhere in
this report.
Organizational costs
The Fund incurred organizational expenses in connection with the start-up and
initial registration of the Fund. These costs will be amortized over 60 months
on a straight-line basis beginning with the commencement of operations. If any
or all of the shares held by AEFC representing initial capital of the Fund are
redeemed during the amortization period, the redemption proceeds will be reduced
by the pro rata portion of the unamortized organizational cost balance.
Use of estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increase and decrease in net assets from operations
during the period. Actual results could differ from those estimates.
Federal taxes
Since the Fund's policy is to comply with all sections of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to the shareholders, no provision for income or excise taxes is
required.
Net investment income (loss) and net realized gains (losses) allocated from the
Portfolio may differ for financial statement and tax purposes primarily because
of the deferral of losses on certain futures contracts and losses deferred due
to "wash sale" transactions. The character of distributions made during the year
from net investment income or net realized gains may differ from their ultimate
characterization for federal income tax purposes. Also, due to the timing of
dividend distributions, the fiscal year in which amounts are distributed may
differ from the year that the income or realized gains (losses) were recorded by
the Fund.
On the statement of assets and liabilities, as a result of permanent book-to-tax
differences, undistributed net investment income has been increased by $551 and
accumulated net realized loss has been increased by $34 resulting in a net
reclassification adjustment to decrease paid-in capital by $517.
Dividends to shareholders
Dividends from net investment income, declared daily and payable monthly, are
reinvested in additional shares of the Fund at net asset value or payable in
cash. Capital gains, when available, are distributed along with the last income
dividend of the calendar year.
Other
At Nov. 30, 1997, AEFC owned 98,951 shares of the Fund. At Nov. 30, 1997,
American Express Company (the parent company of AEFC) owned 24,635 shares of the
Fund.
2. Expenses and sales charges
In addition to the expenses allocated from the Portfolio, the Fund accrues its
own expenses as follows:
The Fund entered into agreements with AEFC for providing administrative services
and serving as transfer agent. Under its Administrative Services Agreement, the
Fund pays AEFC a fee for administration and accounting services at a percentage
of the Fund's average daily net assets in reducing percentages from 0.04% to
0.02% annually.
Under a separate Transfer Agency Agreement, AEFC maintains shareholder accounts
and records. The Fund pays AEFC an annual fee per shareholder account of $25.
Under a Plan and Agreement of Distribution, the Fund pays American Express
Service Corporation (the Distributor) a distribution fee at an annual rate of
0.25% of the Fund's average daily net assets for distribution related services.
A redemption fee of 0.5% is applied and retained by the Fund, if shares are
redeemed or exchanged within 180 days of purchase.
AEFC and the Distributor have agreed to waive certain fees and to absorb other
of the Fund's expenses until Dec. 31, 1998. Under this agreement, the Fund's
total expenses will not exceed 0.95% of the Fund's average daily net assets.
3. Capital share transactions Transactions in shares of capital stock for the
periods indicated are as follows:
Year ended Nov. 30, 1997
Sold 41,520
Issued for reinvested distributions 8,740
Redemptions (9,305)
Net increase (decrease) 40,955
Period ended Nov. 30, 1996*
Sold 92,032
Issued for reinvested distributions 2,851
Net increase (decrease) 94,883
*Inception date was May 13, 1996.
4. Capital loss carryover
For federal income tax purposes, Tax-Free High Yield Fund had a capital loss
carryover at Nov. 30, 1997 of $3,937 that if not offset by subsequent capital
gains, will expire in 2004 through 2005. It is unlikely the board will authorize
a distribution of any net realized capital gains for a fund until its available
capital loss carryover has been offset or expires.
5. Financial highlights
The table below shows certain important information for evaluating the Fund's
results.
Fiscal period ended Nov. 30,
Per share income and capital changesa
1997 1996b
Net asset value, beginning of period $4.56 $4.46
Income from investment operations:
Net investment income (loss) .28 .15
Net gains (both realized and unrealized) .08 .10
Total from investment operations .36 .25
Less distributions:
Dividends from net investment income (.28) (.15)
Net asset value, end of period $4.64 $4.56
Ratios/supplemental data
Net assets, end of period (in thousands) $734 $535
Ratio of expenses to average daily net assetsc .95% .95%d
Ratio of net income (loss) to average daily net assets 6.02% 6.22%d
Portfolio turnover rate
(excluding short-term securities) 4% 4%
Total return 8.3% 5.5%
a For a share outstanding throughout the period. Rounded to the nearest cent.
b Inception date was May 13, 1996.
c The Advisor and Distributor voluntarily limited total operating expenses to
0.95% of average daily net assets. Without this agreement, the ratio of expenses
to average daily net assets would have been 2.96% and 24.16% for the periods
ended 1997 and 1996, respectively.
d Adjusted to an annual basis.
<PAGE>
Federal income tax information
Strategist Tax-Free High Yield Fund
The Fund is required by the Internal Revenue Code of 1986 to tell its
shareholders about the tax treatment of the dividends it pays during its fiscal
year. The dividends listed below were reported to you on Form 1099-DIV,
Dividends and Distributions.
Strategist Tax-Free Income Fund, Inc.
Fiscal period ended Nov. 30, 1997
Exempt-interest dividends -- taxable status explained below.
Payable date Per share
Dec. 26, 1996 $0.02829
Jan. 29, 1997 0.02944
Feb. 26, 1997 0.02344
March 26, 1997 0.02087
April 28, 1997 0.02593
May 28, 1997 0.02207
June 26, 1997 0.02158
July 25, 1997 0.02170
Aug. 27, 1997 0.02382
Sept. 25, 1997 0.02144
Oct. 28, 1997 0.02366
Nov. 25, 1997 0.02006
Total $0.28230
Taxable dividend -- income distribution.
Payable date Per share
Dec. 26, 1996 $0.00002
Total distributions $0.28232
Federal taxation
Exempt-interest dividends are exempt from federal income taxes and should not be
included in shareholders' gross income.
Other taxation
Exempt-interest dividends may be subject to state and local taxes. Each
shareholder should consult a tax advisor about reporting this income for state
and local tax purposes.
Source of income by state
Percentages of income from municipal securities earned by the Fund from various
states during the year ended Nov. 30, 1997 are listed below.
Alabama 0.715%
Alaska 0.337
Arizona 0.935
Arkansas 0.067
California 7.728
Colorado 6.849
Florida 4.217
Georgia 2.305
Hawaii 0.359
Illinois 8.665
Indiana 2.351
Iowa 0.812
Kentucky 1.380
Louisiana 3.516
Maine 0.185
Maryland 0.632
Massachusetts 2.589
Michigan 3.762
Minnesota 3.883
Mississippi 0.923
Missouri 0.695
Montana 0.008
Nebraska 0.023
Nevada 0.689
New Hampshire 2.688
New Jersey 0.242
New Mexico 2.057
New York 8.664
North Carolina 3.729
North Dakota 0.435
Ohio 3.096
Oklahoma 1.396
Oregon 0.682
Pennsylvania 4.403
Puerto Rico 0.745
South Carolina 0.913
South Dakota 0.519
Tennessee 0.512
Texas 7.677
Utah 1.932
Virginia 0.619
Washington 3.386
Washington, DC 0.598
West Virginia 1.118
Wisconsin 0.655
Wyoming 0.309
<PAGE>
Independent auditors' report
The board of trustees and unitholders
Tax-Free Income Trust:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments in securities, of Tax-Free High Yield Portfolio (a
series of Tax-Free Income Trust) as of November 30, 1997, the related statement
of operations for the year then ended and the statements of changes in net
assets for the year ended November 30, 1997 and for the period from May 13, 1996
(commencement of operations) to November 30, 1996. These financial statements
are the responsibility of portfolio management. Our responsibility is to express
an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Investment securities
held in custody are confirmed to us by the custodian. As to securities purchased
and sold but not received or delivered, we request confirmations from brokers,
and where replies are not received, we carry out other appropriate auditing
procedures. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Tax-Free High Yield Portfolio
at November 30, 1997, and the results of its operations and the changes in its
net assets for the periods stated in the first paragraph above, in conformity
with generally accepted accounting principles.
KPMG Peat Marwick LLP
Minneapolis, Minnesota
January 2, 1998
<PAGE>
Financial statements
Statement of assets and liabilities
Tax-Free High Yield Portfolio
Nov. 30, 1997
Assets
Investments in securities, at value (Note 1)
(identified cost $5,300,390,986) $5,863,084,228
Accrued interest receivable 111,433,801
Receivable for investment securities sold 21,275,695
----------
Total assets 5,995,793,724
=============
Liabilities
Disbursements in excess of cash on demand deposit 1,536,388
Payable for investment securities purchased 5,627,528
Accrued investment management services fee 144,396
Other accrued expenses 85,917
------
Total liabilities 7,394,229
---------
Net assets $5,988,399,495
==============
See accompanying notes to financial statements.
<PAGE>
Statement of operations
Tax-Free High Yield Portfolio
Year ended Nov. 30, 1997
Investment income
Income:
Interest $388,169,902
------------
Expenses (Note 2):
Investment management services fee 26,174,871
Compensation of board members 41,397
Custodian fees 259,025
Audit fees 35,000
Other 88,467
------
Total expenses 26,598,760
Earnings credits on cash balances (Note 2) (28,106)
-------
Total net expenses 26,570,654
----------
Investment income (loss) -- net 361,599,248
-----------
Realized and unrealized gain (loss) -- net
Net realized gain (loss) on:
Security transactions (Note 3) (640,186)
Financial futures contracts (33,565,567)
-----------
Net realized gain (loss) on investments (34,205,753)
Net change in unrealized appreciation (depreciation)
on investments 137,325,053
-----------
Net gain (loss) on investments 103,119,300
-----------
Net increase (decrease) in net assets resulting
from operations $464,718,548
------------
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
Statements of changes in net assets
Tax-Free High Yield Portfolio
Year ended For the period
Nov. 30, 1997 from May 13, 1996*
to Nov. 30, 1996
Operations
<S> <C> <C>
Investment income (loss) -- net $ 361,599,248 $ 214,101,176
Net realized gain (loss) on investments (34,205,753) 2,001,114
Net change in unrealized appreciation (depreciation)
on investments 137,325,053 142,421,758
----------- -----------
Net increase (decrease) in net assets resulting
from operations 464,718,548 358,524,048
Net contributions (withdrawals) from partners (640,111,208) 5,805,168,107
------------ -------------
Total increase (decrease) in net assets (175,392,660) 6,163,692,155
Net assets at beginning of period (Note 1) 6,163,792,155 100,000
------------- -------
Net assets at end of period $5,988,399,495 $6,163,792,155
============== ==============
*Commencement of operations.
See accompanying notes to financial statements.
</TABLE>
<PAGE>
Notes to financial statements
Tax-Free High Yield Portfolio
1. Summary of significant accounting policies
Tax-Free High Yield Portfolio (the Portfolio) is a series of Tax-Free Income
Trust (the Trust) and is registered under the Investment Company Act of 1940 (as
amended) as a diversified, open-end management investment company. Tax-Free High
Yield Portfolio invests primarily in medium- and lower-quality bonds and notes
issued by or on behalf of state and local governmental units whose interest
generally is exempt from federal income tax. The Declaration of Trust permits
the Trustees to issue non-transferable interests in the Portfolio. On April 15,
1996, American Express Financial Corporation (AEFC) contributed $100,000 to the
Portfolio. Operations did not formally commence until May 13, 1996, at which
time, an existing fund transferred its assets to the Portfolio in return for an
ownership percentage of the Portfolio.
Significant accounting polices followed by the Portfolio are summarized below:
Use of estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increase and decrease in net assets from operations
during the period. Actual results could differ from those estimates.
Valuation of securities
All securities are valued at the close of each business day. Securities traded
on national securities exchanges or included in national market systems are
valued at the last quoted sales price. Debt securities are generally traded in
the over-the-counter market and are valued at a price deemed best to reflect
fair value as quoted by dealers who make markets in these securities or by an
independent pricing service. Securities for which market quotations are not
readily available are valued at fair value according to methods selected in good
faith by the board. Short-term securities maturing in more than 60 days from the
valuation date are valued at the market price or approximate market value based
on current interest rates; those maturing in 60 days or less are valued at
amortized cost.
Option transactions
In order to produce incremental earnings, protect gains and facilitate buying
and selling of securities for investment purposes, the Portfolio may buy and
sell put and call options and write covered call options on portfolio securities
and may write cash-secured put options. The risk in writing a call option is
that the Portfolio gives up the opportunity of profit if the market price of the
security increases. The risk in writing a put option is that the Portfolio may
incur a loss if the market price of the security decreases and the option is
exercised. The risk in buying an option is that the Portfolio pays a premium
whether or not the option is exercised. The Portfolio also has the additional
risk of not being able to enter into a closing transaction if a liquid secondary
market does not exist. The Portfolio may write over-the-counter options where
the completion of the obligation is dependent upon the credit standing of the
other party.
Option contracts are valued daily at the closing prices on their primary
exchanges and unrealized appreciation or depreciation is recorded. The Portfolio
will realize a gain or loss upon expiration or closing of the option
transaction. When options on debt securities or futures are exercised, the
Portfolio will realize a gain or loss. When other options are exercised, the
proceeds on sales for a written call option, the purchase cost for a written put
option or the cost of a security for a purchased put or call option is adjusted
by the amount of premium received or paid.
Futures transactions
In order to gain exposure to or protect itself from changes in the market, the
Portfolio may buy and sell financial futures contracts. Risks of entering into
futures contracts and related options include the possibility that there may be
an illiquid market and that a change in the value of the contract or option may
not correlate with changes in the value of the underlying securities.
Upon entering into a futures contract, the Portfolio is required to deposit
either cash or securities in an amount (initial margin) equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Portfolio each day. The variation margin payments are
equal to the daily changes in the contract value and are recorded as unrealized
gains and losses. The Portfolio recognizes a realized gain or loss when the
contract is closed or expires.
Illiquid securities
At Nov. 30, 1997, investments in securities included issues that are illiquid.
The Portfolio currently limits investments in illiquid securities to 10% of the
net assets, at market value, at the time of purchase. The aggregate value of
such securities at Nov. 30, 1997 was $1,506,740 representing 0.03% of net
assets. Pursuant to guidelines adopted by the board, certain unregistered
securities are determined to be liquid and are not included within the 10%
limitation specified above.
Federal taxes
For federal income tax purposes the Portfolio qualifies as a partnership and
each investor in the Portfolio is treated as the owner of its proportionate
share of the net assets, income, expenses and realized and unrealized gains and
losses of the Portfolio. Accordingly, as a "pass-through" entity, the Portfolio
does not pay any income dividends or capital gain distributions.
Other
Security transactions are accounted for on the date securities are purchased or
sold. Interest income, including level-yield amortization of premium and
discount, is accrued daily.
2. Fees and expenses
The Trust, on behalf of the Portfolio, has entered into an Investment Management
Services Agreement with AEFC for managing its portfolio. Under this agreement,
AEFC determines which securities will be purchased, held or sold. The management
fee is a percentage of the Portfolio's average daily net assets in reducing
percentages from 0.49% to 0.36% annually.
Under the agreement, the Trust also pays taxes, brokerage commissions and
nonadvisory expenses, which include custodian fees, audit and certain legal
fees, fidelity bond premiums, registration fees for units, office expenses,
consultants' fees, compensation of trustees, corporate filing fees and any other
expenses properly payable by the Trust or Portfolio and approved by the board.
During the year ended Nov.30, 1997, the Portfolio's custodian fees were reduced
by $28,106 as a result of earnings credits from overnight cash balances.
Pursuant to a Placement Agency Agreement, American Express Financial Advisors
Inc. acts as placement agent of the units of the Trust.
3. Securities transactions
Cost of purchases and proceeds from sales of securities (other than short-term
obligations) aggregated $225,875,994 and $632,283,656, respectively, for the
year ended Nov. 30, 1997. For the same year, the portfolio turnover rate was 4%.
Realized gains and losses are determined on an identified cost basis.
4. Interest rate futures contracts
At Nov. 30, 1997, investments in securities included securities valued at
$31,605,000 that were pledged as collateral to cover initial margin deposits on
1,500 sale contracts. The market value of the open sale contracts at Nov. 30,
1997 was $183,421,875 with a net unrealized loss of $5,624,031. See Summary of
significant accounting policies.
<PAGE>
Investments in securities
Tax-Free High Yield Portfolio
Nov. 30, 1997
(Percentages represent value of investments compared to net assets)
Municipal bonds (95.5%)
Name of issuer and Coupon Maturity Principal Value(a)
title of issue (b,c,j) rate year amount
Alabama (0.5%)
Baldwin County Eastern Shore Health Care Authority
Hospital Revenue Bonds Thomas
Hospital Series 1991 8.50% 2016 $4,765,000 $ 5,455,163
Camden Industrial Development Board Solid Waste Disposal
Revenue Bonds MacMillan Bloedel
Series 1991A A.M.T. 7.75 2019 8,500,000 9,273,585
Marengo County Limited Obligation Capital Outlay
Warrants Series 1988 8.50 2018 3,000,000 3,183,000
Mobile Industrial Development Board Solid Waste
Refunding Revenue Bonds Mobile
Energy Services 6.95 2020 11,250,000 12,335,062
Total 30,246,810
Alaska (0.2%)
North Slope Borough General Obligation Bonds
Series 1984B Zero Coupon
(CGIC Insured) 7.05 2004 7,000,000(f) 5,150,880
North Slope Borough General Obligation Bonds
Series 1984B Zero Coupon
(CGIC Insured) 7.15 2005 7,000,000(f) 4,880,260
Total 10,031,140
Arizona (1.0%)
Chandler Industrial Development Authority
Beverly Enterprises
Series 1994 7.625 2008 2,750,000 2,876,225
Maricopa County Hospital System Revenue Bonds
Samaritan Health Services
Series 1981 12.00 2008 255,000 401,837
Maricopa County Industrial Development Authority
Multi-family Housing Revenue Bonds
Series B 7.375 2026 2,320,000 2,385,842
Maricopa County Industrial Development Authority
Senior Living Facilities Revenue Bonds
Series 1997A 7.875 2027 15,000,000 15,623,550
Maricopa County Pollution Control Refunding
Revenue Bonds Palo Verde
Public Service 6.375 2023 3,500,000 3,658,760
Navajo Industrial Development Authority Revenue Bonds
Stone Container Corporation
Series 1997 A.M.T. 7.20 2027 3,000,000 3,300,690
Phoenix Civic Improvement Waste Water System
Lease Refunding
Revenue Bonds 5.00 2018 5,000,000 4,831,350
Phoenix Industrial Development Authority
Refunding Revenue Bonds Christian
Care Apartments 6.50 2026 9,525,000 10,085,165
Pima County Industrial Development Authority
Multi-family Housing Revenue Bonds
Las Villas De Kino Apartments
Series 1997 A.M.T. 6.90 2029 7,000,000 7,054,880
Pima County Industrial Development Authority
Revenue Bonds LaPosada Park Centre
Series 1996A 7.00 2027 5,750,000 5,971,662
Scottsdale Industrial Development Authority
Beverly Enterprises
Series 1994 7.625 2008 3,035,000 3,174,306
Total 59,364,267
Arkansas (0.1%)
Pope County Solid Waste Disposal Revenue Bonds
Arkansas Power & Light
Series 1991 A.M.T. 8.00 2021 3,250,000 3,578,023
California (8.3%)
ABAG Financial Authority for Nonprofit Corporations
International Schools Certificate of Participation
Series 1996 7.375 2026 8,000,000 8,195,120
Community Development Authority Health Facilities
Unihealth America Certificate of Participation
Series 1993 Inverse Floater
(AMBAC Insured) 7.47 2011 22,400,000(d) 25,452,000
East Bay Municipal Utility District Water Revenue Bonds
Series 1993 Inverse Floater
(MBIA Insured) 6.22 2008 15,500,000(d) 16,313,750
Foothill Eastern Transportation Corridor Agency
Toll Road Revenue Bonds
Series 1995A 5.00 2035 41,070,000 37,652,155
Fresno Health Facility Refunding Revenue Bonds
Holy Cross Health System
(MBIA Insured) 5.625 2013 3,000,000 3,106,470
Irwindale Redevelopment Agency Subordinate Lein
Tax Allocation Bonds 7.05 2026 5,750,000 6,321,838
Lake Elsinore Public Financing Authority
Local Agency Revenue Bonds
Series 1997F 7.10 2020 12,000,000 12,802,440
Los Angeles County Certificate
of Participation 6.71 2015 20,000,000 21,132,000
Los Angeles International Airport Regional Airports
Improvement Corporation Refunding Revenue Bonds
Delta Airlines 6.35 2025 13,000,000 14,023,490
Los Angeles International Airport Regional Airports
Improvement Corporation Refunding Revenue Bonds
United Airlines
Series 1984 8.80 2021 11,650,000 13,158,325
Los Angeles Water & Power Electric Plant
Refunding Revenue Bonds
Series 1992 6.375 2020 10,000,000 10,744,800
Millbrae Residential Facility Revenue Bonds
Magnolia of Millbrae Series
1997A A.M.T. 7.375 2027 2,500,000 2,512,100
Modesto Santa Clara Redding Public Power Bonds
San Juan Series C
(AMBAC Insured) 5.50 2021 4,500,000 4,500,000
Northern California Power Agency Geothermal 3
Revenue Bonds 5.00 2009 49,635,000 49,417,102
Novato Community Facility District 1 Vintage Oaks
Public Improvement Special Tax
Refunding Bonds 7.25 2021 5,000,000 5,426,600
Oceanside Certificate of Participation Refunding Bonds
Oceanside Civic Center
(MBIA Insured) 5.25 2019 7,000,000 6,883,800
Orange County Special Tax Community Facilities Bonds
Aliso Veijo District 88-1
Series 1992A 7.35 2018 6,000,000 6,901,560
Pleasanton Joint Powers Financing Authority Reassessment
Revenue Bonds
Series 1993A 6.15 2012 4,640,000 4,927,216
Regional Airports Improvement Facilities Sublease
Revenue Bonds Continental Airlines Los Angeles
International Airport
Series 1988 A.M.T. 9.00 2008-17 12,100,000 12,628,261
Sacramento Cogeneration Authority Revenue Bonds
Proctor & Gamble
Series 1995 6.50 2014-21 11,800,000 12,753,178
Sacramento Municipal Utility District Electric
Refunding Revenue Bonds Series 1993D
Inverse Floater
(FSA Insured) 6.47 2005 15,800,000(d) 17,241,750
Sacramento Municipal Utility District Electric
Refunding Revenue Bonds Series 1993D
Inverse Floater
(FSA Insured) 6.67 2006 16,400,000(d) 17,896,500
Sacramento Municipal Utility District Electric
Refunding Revenue Bonds Series 1993D
Inverse Floater
(MBIA Insured) 7.12 2015 15,000,000(d) 15,600,000
Sacramento Power Authority Cogeneration Revenue Bonds
Campbell Soup
Series 1995 6.00 2022 25,000,000 26,032,750
San Joaquin Hills Orange County Transportation
Corridor Agency Senior Lien Toll Road
Revenue Bonds 6.75 2032 14,785,000 16,605,181
San Joaquin Hills Transportation Corridor Agency
Capital Appreciation Toll Road Refunding Revenue Bonds
Zero Coupon Series 1997A
(MBIA Insured) 5.63 2024-25 54,375,000(f) 12,773,681
San Joaquin Hills Transportation Corridor Agency
Capital Appreciation Toll Road Refunding Revenue Bonds
Zero Coupon Series 1997A
(MBIA Insured) 5.65 2026-27 36,670,000(f) 7,979,860
San Joaquin Hills Transportation Corridor Agency
Capital Appreciation Toll Road Refunding Revenue Bonds
Zero Coupon Series 1997A
(MBIA Insured) 5.67 2028 7,000,000(f) 1,379,840
San Joaquin Hills Transportation Corridor Agency
Senior Lien Toll Road Revenue Bonds Zero Coupon
Escrowed to Maturity 5.35 2017 34,860,000(f) 12,817,325
San Jose Redevelopment Agency Merged Area Tax
Allocation Bonds Series 1993 Inverse Floater
(MBIA Insured) 6.61 2014 33,600,000(d) 34,062,000
San Marcos Public Facility Authority
Refunding Revenue Bonds
Civic Center Public Improvement
Series A 6.20 2022 12,300,000 12,608,853
Sierra Unified School District Fresno County
Certificate of Participation Capital Financing
Refunding Bonds
Series 1993 6.125 2018 6,470,000 6,652,713
Southern California Public Power Authority
Power Revenue Bonds Palo Verde
Series 1993 Inverse Floater
(FGIC Insured) 6.62 2017 20,000,000(d) 20,625,000
South Tahoe Joint Power Financing Authority
Refunding Revenue Bonds South Tahoe Area 1
Series 1995B 6.00 2028 9,900,000 10,188,090
Ukiah Unified School District Mendocino County
Certificate of Participation
Series 1993 6.00 2010 5,000,000 5,190,400
University of California Refunding Revenue Bonds
Multiple Purpose Project
(AMBAC Insured) 5.25 2016 6,000,000 6,003,300
Total 498,509,448
Colorado (6.6%)
Arapahoe County Capital Improvement Trust Fund
E-470 Highway
Revenue Bonds 7.00 2026 22,000,000 26,064,500
Arapahoe County Industrial Development Revenue Bonds
Dillion Real
Estate-Kroger 8.00 2009 4,000,000 4,566,360
Aurora Centretech Metropolitan District
Arapahoe County
Series 1987B 6.00 2023 5,699,785 4,907,743
Bowles Metropolitan District General Obligation Bonds
Series 1995 7.75 2015 16,000,000 16,896,640
Briargate Public Building Authority
Landowner Assessment Lien Bonds
Series 1985A 10.25 2000 4,333,690(e) 3,683,636
Castle Rock Ranch Public Facility Improvement
Revenue Bonds
Series 1996 6.25 2017 10,000,000 11,229,300
Colorado Health Facility Authority Hospital Improvement
Refunding Revenue Bonds
Parkview Episcopal Medical Center
Series 1995 6.125 2025 7,000,000 7,246,050
Colorado Health Facility Authority Revenue Bonds
Liberty Heights Zero Coupon
Escrowed to Maturity 7.50 2022 81,465,000(f) 21,511,648
Colorado Springs Hospital Revenue Bonds
Memorial Hospital
Series 1990 7.875 2010 5,000,000 5,524,800
Colorado Springs Stetson Hills Public Building Authority
Landowner Assessment Lien Bonds
Series 1988A 9.75 2008 2,869,110(e) 86,073
Colorado Springs Utilities System
Refunding Revenue Bonds
Series 1991C 6.50 2015 24,895,000 27,101,195
Colorado Springs Utilities System
Refunding Revenue Bonds
Series 1991C 6.75 2021 30,000,000 33,121,747
Colorado Springs Utilities System
Pre-Refunded Revenue Bonds
Series 1991C 6.50 2015 1,505,000 1,655,109
Denver City & County Airport Systems Revenue Bonds
Series 1991A A.M.T. 8.75 2023 10,000,000 11,619,200
Denver City & County Airport Systems Revenue Bonds
Series 1991D A.M.T. 7.75 2021 8,650,000 9,707,636
Denver City & County Airport Systems Revenue Bonds
Series 1992A 7.25 2025 20,975,000 24,002,741
Denver City & County Airport Systems Revenue Bonds
Series 1992B A.M.T. 7.25 2023 20,500,000 22,835,360
Denver City & County Airport Systems Revenue Bonds
Series 1994A 7.50 2012 5,000,000 5,777,050
Denver City & County Airport Systems Revenue Bonds
Series 1994A A.M.T. 7.50 2023 19,340,000 22,316,233
Denver City & County GVR Metropolitan District
General Obligation Refunding Bonds
Series 1991 8.00 2006 1,385,000 1,729,103
Denver City & County GVR Metropolitan District
General Obligation Refunding Bonds
Series 1995B 11.00 2006 730,000 711,750
Denver Special Facility Airport Revenue Bonds
United Air Lines
Series A A.M.T. 6.875 2032 25,400,000 27,674,316
Denver Urban Renewal Authority Tax Increment
Revenue Bonds Downtown Denver Redevelopment
Adams Mark Hotel
Series 1989 A.M.T. 8.00 2015-17 20,000,000 22,336,000
Denver Urban Renewal Authority Tax Increment
Revenue Bonds South Broadway Montgomery Ward
Urban Renewal
Series 1992 8.50 2016 14,015,000 15,518,810
Denver West Metropolitan District
General Obligation Bonds
Series 1996 6.50 2016 2,560,000 2,690,637
Denver West Metropolitan District General Obligation
Refunding Improvement Bonds
Series 1995 7.00 2014 4,230,000 4,609,431
Hotchkiss Industrial Development Revenue Bonds
Dillion Real
Estate-Kroger 8.00 2009 1,500,000 1,712,385
Housing Finance Authority Single Family Program
Senior Bonds Series 1991B
(FGIC Insured) 7.25 2011 2,580,000 2,723,654
Housing Finance Authority Single Family Program
Senior Bonds Series 1991B
(FGIC Insured) 7.30 2018 2,340,000 2,459,714
Lowry Economic Redevelopment Authority
Revenue Bonds
Series 1996 7.50 2010 19,000,000 19,659,490
Saddle Rock Metropolitan District Limited Tax
General Obligation Bonds
Series 1997 7.63 2016 5,590,000 5,841,662
Superior Metropolitan District 2 Limited Tax
General Obligation Refunding Bonds
MDC Holdings
Series 1994B 7.50 1998 1,900,000 1,944,612
Superior Metropolitan District 2 Limited Tax
General Obligation Refunding Bonds
MDC Holdings
Series 1994B 8.25 2013 2,580,000 2,872,056
Superior Metropolitan District 2 Limited Tax
General Obligation Refunding Bonds
MDC Holdings
Series 1994B 8.50 2013 12,000,000 13,417,320
Thornton Industrial Development Revenue Bonds
Dillion Real
Estate-Kroger 8.00 2009 4,500,000(h) 4,500,000
Westminster Industrial Development Revenue Bonds
Dillion Real
Estate-Kroger 8.00 2009 3,500,000 3,995,565
Total 394,249,526
District of Columbia (0.7%)
General Obligation Refunding Bonds Series 1994A
(MBIA Insured) 6.00 2010 27,875,000 29,727,851
General Obligation Refunding Bonds Series 1994A
(MBIA Insured) 6.10 2011 7,580,000 8,109,766
Housing Finance Agency Multi-family Mortgage
Revenue Bonds Temple Courts Section 8
Series 1985
(FHA Insured) 12.00 2022 1,315,000 1,574,384
Total 39,412,001
Florida (4.1%)
Arbor Greene Community Development District
Special Assessment Revenue Bonds
Series 1996 7.60 2018 5,000,000 5,364,500
Broward County Airport System Revenue Bonds
Series 1989B A.M.T. 7.625 2013 15,000,000 15,761,700
Charlotte County Development Authority 1st Mortgage
Refunding Revenue Bonds
Royal Palm Retirement Centre
Series 1991 9.50 2014 4,050,000 4,362,012
Crossings at Fleming Island Community Development
District Special Assessment Bonds
Series 1995 8.25 2016 10,200,000 11,188,074
Crossings at Fleming Island Community Development
District Utility Revenue Bonds
Series 1994 7.375 2019 13,535,000 14,243,557
Department of Transportation Turnpike Revenue Bonds
Series 1991A
(AMBAC Insured) 6.25 2020 20,000,000 21,202,200
Gateway Centre Development District Pinellas County
Special Assessment Revenue Bonds
Series 1988 9.125 2009 1,350,000 1,395,832
Grand Haven Community Development District
Special Assessment Bonds Flagler County
Series 1997A 6.30 2002 5,600,000 5,722,864
Grand Haven Community Development District
Special Assessment Revenue Bonds
Series 1997B 6.90 2019 1,000,000 1,024,350
Hillsborough County Utility Refunding Revenue Bonds
Series 1991A 7.00 2014 24,000,000 26,146,680
Hillsborough County Utility Refunding Revenue Bonds
Series 1991A
(MBIA Insured) 6.50 2016 24,760,000 26,838,602
Jacksonville Electric Authority St. John's River Power
Park System Revenue Bonds
Series 1989 6.00 2015 10,300,000 10,547,406
Jacksonville Health Facilities Authority Hospital
Refunding Revenue Bonds Riverside Hospital
Series 1989 7.625 2013 1,600,000 1,729,232
Lakewood Ranch Community Development District 1
Special Assessment Bonds
Series 1994 8.25 2014 5,190,000 5,636,548
Lee County Industrial Development Authority
Industrial Development Revenue Bonds Gulf Utility
Series 1988A A.M.T. 9.625 2018 5,545,000 5,933,760
Lee County Industrial Development Authority
Industrial Development Revenue Bonds Gulf Utility
Series 1988B A.M.T. 9.50 2020 3,915,000 4,415,533
Miami Health Facility Authorization Revenue Bonds
Inverse Floater
(AMBAC Insured) 6.57 2015 3,500,000(d) 3,473,750
North Springs Improvement Special Assessment
District Revenue Bonds Heron Bay
Series 1997 7.00 2019 3,000,000 3,036,510
North Springs Improvement Special Assessment
District Revenue Bonds Parkland Isles
Series 1997B 6.25 2005 3,000,000 3,015,000
Palm Beach County Health Facilities Authority Hospital
Revenue Bonds Good Samaritan Health
Series 1993 6.30 2022 3,750,000 3,982,800
Polk County Industrial Development Authority 1st Mortgage
Refunding Revenue Bonds
Spring Haven II 8.75 2014 6,115,000 6,672,015
Port Everglades Port Authority Revenue Bonds
Junior Lien 5.00 2016 18,635,000 18,299,943
Riverwood Community Development District
Charlotte County Special Assessment
Revenue Bonds Zero Coupon
Series 1992A-B 8.50 2012 5,850,000(f) 6,301,503
Sumter County Industrial Development Authority
Industrial Development Reveue Bonds
Little Sumter Utility Company
Series 1997 A.M.T. 7.25 2027 4,200,000 4,232,424
Sumter County Village Community Development
District 1 Capital Improvement Revenue Bonds
Series 1992 8.40 2012 1,360,000 1,458,872
Sunrise Utility System Refunding & Improvement
Revenue Bonds 10.75 2018 5,000,000 5,868,100
Village Center Community Development District 2
Lake County Recreational Revenue Bonds
Anticipation Notes
Series 1996 6.50 2000 6,155,000 6,189,530
Village Center Community District Recreational
Revenue Bonds
Series 1996B 8.25 2017 2,885,000 3,116,002
Village Community Development District 2
Special Assessment District Revenue Bonds
Series 1996 7.625 2017 5,875,000 6,237,017
Volusia County Industrial Development Authority
1st Mortgage Refunding Revenue Bonds
Series 1996 7.625 2026 10,925,000 11,490,697
Total 244,887,013
Georgia (2.0%)
Atlanta Special Purpose Facility Revenue Bonds
Delta Air Lines
Series 1989B A.M.T. 6.25 2019 8,685,000 8,800,597
Atlanta Special Purpose Facility Revenue Bonds
Delta Air Lines
Series 1989B A.M.T. 7.90 2018 13,500,000 14,513,310
Colquitt County Development Authority Revenue Bonds
Zero Coupon Escrowed
to Maturity 6.87 2021 46,350,000(f) 12,657,722
Effingham County Pollution Control Revenue Bonds
Fort Howard
Series 1988 7.90 2005 19,850,000 21,368,128
Fulco Hospital Authority Revenue Anticipation Certificate
Georgia Baptist Health Care Systems
Series 1992A 6.375 2022 20,300,000 22,360,450
Municipal Electric Authority Power Refunding Bonds
Series 1989R 6.00 2014 9,130,000 9,190,623
Municipal Electric Authority Power Revenue Bonds
Series L 5.00 2020 1,150,000 1,086,761
Rockdale County Development Authority Solid Waste
Disposal Revenue Bonds Visy Paper
Series 1993 A.M.T. 7.50 2026 10,000,000 10,794,600
Savannah Georgia Economic Development Authority
Revenue Bonds Zero Coupon Escrowed
to Maturity 6.87 2021 64,220,000(f) 17,537,840
Total 118,310,031
Hawaii (0.4%)
City & County of Honolulu Refunding & Improvement
General Obligation Bonds Series 1993B
Inverse Floater 6.48 2006 10,000,000(d) 10,912,500
City & County of Honolulu Refunding & Improvement
General Obligation Bonds Series 1993B
Inverse Floater 6.78 2008 10,000,000(d) 11,062,500
Total 21,975,000
Illinois (7.6%)
Bradley Kankakee County Tax Increment
Refunding Revenue Bonds
Series 1993 8.40 2012 5,800,000 6,558,060
Broadview Cook County Senior Lien Tax Increment
Revenue Bonds
Series 1993 8.25 2013 11,705,000 13,239,526
Chicago General Obligation Refunding Bonds
Series 1995A
(AMBAC Insured) 5.50 2018 20,000,000 20,539,800
Chicago General Obligation Bonds Series 1991
(AMBAC Insured) 6.00 2016 6,170,000 6,463,877
Chicago General Obligation Bonds Series 1994A
(AMBAC Insured) 5.875 2022 17,850,000 18,452,437
Chicago O'Hare International Airport General Airport
Revenue Bonds
Series 1990A A.M.T. 6.00 2018 29,000,000 29,523,160
Chicago O'Hare International Airport General Airport
Revenue Bonds
Series 1990A A.M.T. 7.50 2016 21,000,000 22,590,750
Chicago O'Hare International Airport General Airport
Refunding Revenue Bonds
Series 1993A 5.00 2016 14,450,000 13,900,033
Chicago O'Hare International Airport
Special Revenue Facility Bonds Delta Airlines
Series 1992 6.45 2018 10,000,000 10,541,000
Chicago O'Hare International Airport
Special Revenue Facility Bonds United Airlines
Series C 8.20 2018 22,780,000 24,498,979
Chicago O'Hare International Airport Terminal
Special Revenue
Bonds A.M.T. 7.50 2017 32,250,000 34,525,238
Chicago O'Hare International Airport Terminal
Special Revenue Bonds
(FGIC Insured) A.M.T. 7.875 2025 17,750,000 19,474,767
Chicago Ridge Special Service Area 1 Unlimited
Ad Valorem Tax Bonds
Series 1990 9.00 2008 2,700,000 2,946,321
Chicago Wastewater Transmission Revenue Bonds
Series 1994
(MBIA Insured) 6.375 2024 22,500,000 24,505,650
Cook County Bedford Park Senior Lien Tax Increment
Revenue Bonds Mark IV
Series 1992 9.75 2012 1,740,000 2,130,334
Cook County Bedford Park Senior Lien Tax Increment
Revenue Bonds 7.00 2006 1,175,000 1,247,392
Cook County Bedford Park Senior Lien Tax Increment
Revenue Bonds 7.375 2012 1,700,000 1,798,413
Development Finance Authority Lifecare Revenue Bonds
Presbyterian Homes
Series 1996B 6.40 2031 6,700,000 7,257,708
Development Finance Authority Pollution Control
Refunding Revenue Bonds Central Illinois
Public Service
Series 1993B-2 5.90 2028 2,500,000 2,582,525
Development Finance Authority Pollution Control
Refunding Revenue Bonds Commonwealth Edison
Series 1994 5.70 2009 2,000,000 2,134,120
Development Finance Authority Pollution Control
Refunding Revenue Bonds Commonwealth Edison
Series 1994 5.85 2014 4,500,000 4,788,990
Development Finance Authority Pollution Control
Refunding Revenue Bonds Illinois Power
Series 1991A 7.375 2021 19,250,000 22,183,508
Development Finance Authority Retirement Housing
Revenue Bonds Zero Coupon
Escrowed to Maturity 7.75 2020 68,000,000(f) 19,841,720
DuPage County Tax Increment Revenue Bonds
Series 1997 7.875 2017 4,690,000 5,085,461
Educational Facilities Authority Refunding Revenue Bonds
Loyola University of Chicago Series 1993
Inverse Floater
(FGIC Insured) 7.22 2012 11,000,000(d) 11,893,750
Educational Facilities Authority Refunding Revenue Bonds
Lewis University
Series 1996 6.125 2026 8,780,000 9,070,706
Granite City Madison County Hospital
Refunding Revenue Bonds St. Elizabeth Medical Center
Series 1989A 8.125 2008 3,315,000 3,487,712
Health Facilities Authority Refunding Revenue Bonds
Edwards Hospital
Series 1993A 6.00 2019 6,350,000 6,493,827
Health Facilities Authority Refunding Revenue Bonds
Morris Hospital 6.125 2023 3,005,000 3,092,025
Health Facilities Authority Refunding Revenue Bonds
Masonic Medical Center
Series 1993 5.50 2019 2,000,000 1,979,780
Health Facilities Authority Refunding Revenue Bonds
University of Chicago Series 1993 Inverse Floater
(MBIA Insured) 7.37 2014 10,000,000(d) 10,700,000
Health Facilities Authority Revenue Bonds
Sarah Bush Lincoln Health Center
Series 1996B 5.75 2022 2,915,000 2,926,660
Health Facility Authority Revenue Bonds
Delnore Community Hospital
Series 1989 8.00 2019 7,000,000 7,523,110
Health Facility Authority Revenue Bonds
Sarah Bush Lincoln Health Center
Series 1992 7.25 2012-22 4,000,000 4,533,720
Health Facility Authority Revenue Bonds
South Suburban Hospital
Series 1992 7.00 2009-18 9,000,000 10,409,610
Hodgkins General Obligation Tax Increment Bonds
Series 1991 9.50 2009 12,200,000 14,785,674
Hodgkins General Tax Increment Bonds
Series 1995A 7.625 2013 9,000,000 9,865,710
Lakemoor Special Tax Revenue Bonds
Series 1997 7.80 2027 9,000,000 9,487,890
Lansing Tax Increment Refunding Revenue Bonds
Landings Redevelopment Area Limited Sales
Tax Pledge Series 19927.00 2008 10,000,000 11,129,600
Marion General Obligation Hospital Alternate
Revenue Source Bonds
Series 1991 7.50 2016 3,800,000 4,304,412
Metropolitan Pier & Exposition Authority
Dedicated State Tax Refunding Revenue Bonds
McCormick Place Zero Coupon
(FGIC Insured) 6.37 2019 6,000,000(f) 1,891,440
Metropolitan Pier & Exposition Authority
Dedicated State Tax Refunding Revenue Bonds
McCormick Place Zero Coupon
(MBIA Insured) 6.61 2017 11,210,000(f) 3,948,610
Metropolitan Pier & Exposition Authority
Sales Tax & Miscellaneous Tax Revenue
Capital Appreciation Refunding Bonds
Zero Coupon Series 1996A
(MBIA Insured) 6.05 2022 16,225,000(f) 4,261,009
Regional Transportation Authority General
Obligation Bonds Counties of Cook, Dupage, Kane, Lake
McHenry & Will Series 1992A
(AMBAC Insured) 6.125 2022 7,200,000 7,502,688
Tinley Park Cook & Will Counties Limited Sales Tax
Revenue Bonds
Series 1988 10.25 1999 895,000(e) 340,100
Tinley Park Cook & Will Counties Unlimited Ad Valorem
Tax Bonds of
Special Service 10.65 1997-07 1,275,000 1,134,750
Total 457,572,552
Indiana (2.0%)
Brazil 1st Mortgage Revenue Bonds Hoosier Care II
Series 1990 10.375 2020 4,165,000 4,507,113
Carmel Retirement Rental Housing Refunding
Revenue Bonds Beverly Enterprises
Series 1992 8.75 2008 6,785,000 7,702,536
Development Finance Authority Environmental
Improvement Refunding Revenue Bonds USX Corporation
Series 1996 6.25 2030 2,000,000 2,109,840
East Chicago Elementary School Building Lake County
1st Mortgage Refunding Bonds
Series 1996 6.25 2016 8,000,000 8,691,440
Hanover 1st Mortgage Revenue Bonds Hoosier Care II
Series 1990 10.375 2020 6,815,000 7,374,784
Health Facility Authority Hospital Revenue Bonds
Community Hospital of Anderson
Series 1993 6.00 2023 10,000,000 10,195,700
Health Facility Authority Hospital Revenue Bonds
Union Hospital Series 1993
(MBIA Insured) 5.125 2018 10,000,000 9,634,200
Health Facility Finance Authority Hospital Revenue Bonds
Hancock Memorial
Series 1996 6.125 2017 2,295,000 2,377,941
Kokomo Hospital Authority Hospital Refunding
Revenue Bonds St. Joseph's Hospital
Series 1988A 8.75 2013 5,000,000 5,264,950
La Porte County Hospital Authority Hospital Refunding
Revenue Bonds La Porte Hospital
Series 1993 6.00 2023 2,990,000 3,056,647
La Porte County Hospital Authority Hospital Refunding
Revenue Bonds La Porte Hospital
Series 1993 6.25 2012 5,070,000 5,273,003
Lawrenceburg Pollution Control Refunding Revenue Bonds
Methodist Hospital
Series 1989 6.50 2008-13 19,670,000 21,666,789
Municipal Power Agency Power Supply System
Refunding
Revenue Bonds 5.75 2018 6,470,000 6,472,717
Rockport Pollution Control Refunding Revenue Bonds
Indiana Michigan Electric
Series B 7.60 2016 5,500,000 6,001,600
St. Joseph County Hospital Facility Revenue Bonds
Memorial Hospital of
South Bend 9.40 2010 1,930,000 2,499,755
Vincennes Economic Development
Revenue Bonds Southwest Indiana
Regional Youth Village Facility
Series 1993 8.50 2024 16,575,000 17,705,581
Total 120,534,596
Iowa (0.7%)
Iowa City Refunding Revenue Bonds Mercy Hospital
Series 1986 6.00 2012 6,300,000 6,324,633
Keokuk Hospital Facilities Refunding Revenue Bonds
Keokuk Area Hospital
Series 1991 7.625 2021 5,350,000 5,805,820
Muscatine Electric Refunding Revenue Bonds
Series 1986 5.00 2007-08 7,350,000 7,349,786
Muscatine Electric Refunding Revenue Bonds
Series 1986 6.00 2005-06 22,175,000 22,202,053
Total 41,682,292
Kentucky (1.3%)
Development Finance Authority Hospital Facility
Revenue Bonds St. Luke Hospital
Series 1989B 6.00 2019 22,695,000 23,073,326
Development Finance Authority Medical Center
Refunding Revenue Improvement Bonds
Ashland Hospital
Series 1987 9.75 2011 4,000,000 4,117,784
Economic Development Finance Authority Hospital
Refunding Revenue & Improvement Bonds
Appalachian Regional Hospital
Series 1997 5.875 2022 2,000,000 2,014,660
Louisville Airport Lease Revenue Bonds
Series 1989A A.M.T. 7.875 2019 4,000,000 4,282,200
Louisville & Jefferson County Riverport Authority
Mortgage Revenue Bonds
Series 1986 A.M.T. 7.875 2016 7,185,000 7,391,425
McCracken County Revenue Bonds
Lourdes Hospital 6.00 2012 8,300,000 8,320,916
Muhlenberg County Hospital Refunding Revenue Bonds
Muhlenberg Community Hospital
Series 1988 9.50 2010 3,920,000 4,138,854
Muhlenberg County Hospital Refunding Revenue Bonds
Muhlenberg Community Hospital
Series 1996 6.75 2010 9,565,000 9,937,461
Turnpike Authority Economic Road Development
Refunding Revenue Bonds Series 1993 Inverse Floater
(AMBAC Insured) 7.189 2012 15,000,000(d) 15,993,750
Total 79,270,376
Louisiana (3.2%)
Calcasieu Parish Industrial Development Pollution Control
Refunding Revenue Bonds Gulf State Utilities
Series 1992 6.75 2012 10,500,000 11,243,715
Energy & Power Authority Refunding Revenue Bonds
Rodemacher Unit 2 Series 1991
(FGIC Insured) 6.00 2013 28,000,000 28,678,720
Hodge Village Combined Utility System Revenue Bonds
Stone Container
Series 1990 A.M.T. 9.00 2010 23,000,000 25,051,370
New Orleans Audubon Park Commission Aquarium
Revenue Bonds
Series 1992A 8.00 2012 7,100,000 8,220,167
Public Facilities Authority Revenue Bonds
Glen Retirement Systems
Series 1995 6.50 2015 1,000,000 1,061,160
Public Facilities Authority Revenue Bonds
Glen Retirement Systems
Series 1995 6.70 2025 1,500,000 1,608,465
Public Facilities Authority Revenue Bonds
Windsor Multi-family Housing Foundation
Series 1996A 6.25 2026 9,570,000 8,265,035
St. Charles Parish Pollution Control Revenue Bonds
Louisiana Power & Light
Series 1984 8.25 2014 28,600,000 30,841,954
St. Charles Parish Pollution Control Revenue Bonds
Louisiana Power & Light
Series 1991 A.M.T. 7.50 2021 20,700,000 22,738,122
St. Charles Parish Pollution Control Revenue Bonds
Louisiana Power & Light
2nd Series 1984 8.00 2014 29,155,000 31,756,209
Southern Louisiana Port Commission Terminal
Refunding Revenue Bonds Gatx Terminal
Series 1993 7.00 2023 13,180,000 14,321,124
West Feliciana Parish Demand Pollution Control
Revenue Bonds Gulf State Utilities
Series 1985B 9.00 2015 6,000,000 6,717,480
Total 190,503,521
Maine (0.1%)
Finance Authority Multi-family Housing Revenue
Obligation Securities Huntington Common
Series 1997A 7.50 2027 5,000,000 4,993,200
Health & Higher Educational Facilities Authority
Revenue Bonds St. Mary's Hospital
Series 1989 8.625 2022 3,500,000 3,802,540
Total 8,795,740
Maryland (0.7%)
Frederick County Economic Refunding Revenue Bonds
Alumax Series 1992 7.25 2017 9,880,000 10,648,368
Harford County Industrial Development Revenue Bonds
Dorsey 8.00 2005 500,000 502,460
Prince George's County Hospital Revenue Bonds
Dimensions Health
Series 1992 7.00 2022 7,000,000 7,888,440
Prince George's County Hospital Revenue Bonds
Dimensions Health
Series 1992 7.25 2017 11,400,000 12,964,422
State Transportation Authority Facility Revenue Bonds
Zero Coupon Series 1992 Capital Appreciation
(FGIC Insured) 6.33 2010-11 9,700,000(f) 4,999,532
State Transportation Authority Facility Revenue Bonds
Zero Coupon Series 1992
(FGIC Insured) 6.35 2012 5,000,000(f) 2,391,100
Total 39,394,322
Massachusetts (2.6%)
Bay Transportation Authority Refunding Revenue Bonds
Series 1994A
(MBIA Insured) 6.00 2012 8,000,000 8,471,280
Greater Lawrence Sanitary District North Andover
General Obligation
Bonds 8.50 2005 3,255,000 3,371,757
Health & Educational Facilities Authority Revenue Bonds
Berkshire Health Systems
Series C 5.90 2011 2,000,000 2,032,720
Health & Educational Facilities Authority Revenue Bonds
Berkshire Health Systems
Series C 6.00 2020 4,000,000 4,078,440
Health & Educational Facilities Authority Revenue Bonds
Beverly Hospital Inverse Floater
(MBIA Insured) 7.37 2020 8,000,000(d) 8,360,000
Health & Educational Facilities Authority Revenue Bonds
Charlton Memorial Hospital
Series B 7.25 2013 6,455,000 7,088,558
Industrial Finance Agency Pollution Control Refunding
Revenue Bonds Eastern Edison
Series 1993 5.875 2008 4,250,000 4,336,318
Industrial Finance Agency Resource Recovery
Revenue Bonds SEMASS
Series 1991A 9.00 2015 18,885,000 21,285,472
Industrial Finance Agency Resource Recovery
Revenue Bonds SEMASS
Series 1991B A.M.T. 9.25 2015 24,900,000 28,064,541
Municipal Wholesale Electric Power Supply System
Revenue Bonds
Series 1992B 6.75 2017 10,130,000 11,320,275
Municipal Wholesale Electric Power Supply System
Revenue Bonds Series 1993A Inverse Floater
(AMBAC Insured) 7.02 2018 6,500,000(d) 6,418,750
State Health & Educational Facilities Authority
Revenue Bonds Holyoke Hospital
Series 1994B 6.50 2015 500,000 522,700
State Industrial Finance Agency Assisted Living
Facility Revenue Bonds Newton Group Properties LLC
Series 1997 A.M.T. 8.00 2027 4,300,000 4,338,485
Water Resources Authority General
Refunding Revenue Bonds
Series 1992B 5.50 2015 22,175,000 22,351,513
Water Resources Authority General Revenue Bonds
Series 1992A 6.50 2019 3,500,000 4,086,460
Water Resources Authority General Revenue Bonds
Series 1993B-95B
(MBIA Insured) 5.00 2022-25 19,000,000 18,121,930
Total 154,249,199
Michigan (3.9%)
Crawford County Economic Development Corporation
Environmental Improvement Revenue Bonds
Weyerhaeuser
Series 1991A 7.125 2007 10,800,000 12,466,656
Detroit Unlimited Tax General Obligation Bonds
Series 1993 6.35 2014 5,930,000 6,289,299
Detroit Unlimited Tax General Obligation Bonds
Series 1995A 6.80 2015 1,375,000 1,580,672
Lincoln Consolidated School District Unlimited Tax
General Obligation Refunding Bonds
(FGIC Insured) 5.85 2018 6,455,000 6,751,414
Midland County Economic Development Corporation
Pollution Control Limited Obligation
Refunding Revenue Bonds Midland Cogeneration
Series 1990B A.M.T. 9.50 2009 35,200,000 38,926,624
Midland County Economic Development Corporation
Pollution Control Limited Obligation
Refunding Revenue Bonds Midland Cogeneration
Series 1990C 8.50 2009 18,900,000 20,482,308
Monroe County Pollution Control
Revenue Bonds Detroit Edison
A.M.T. 7.75 2019 40,250,000(h) 43,639,855
State Hospital Finance Authority Hospital
Refunding Revenue Bonds Detroit Medical Center
Series 1993A 6.50 2018 10,000,000 10,784,700
State Hospital Finance Authority Hospital
Refunding Revenue Bonds
Sinai Hospital Greater Detroit
Series 1995 6.625 2016 2,750,000 3,017,355
State Hospital Finance Authority Hospital
Refunding Revenue Bonds
Sinai Hospital Greater Detroit
Series 1995 6.70 2026 3,000,000 3,295,890
State Hospital Finance Authority Hospital
Revenue Bonds Central Michigan
Community Hospital 6.25 2016 2,095,000 2,169,896
State Hospital Finance Authority Hospital
Revenue Bonds McLaren Obligated Group
Series 1991A 7.50 2021 7,500,000 8,467,950
State Job Development Authority Pollution Control
Revenue Bonds
Chrysler 5.70 1999 4,350,000 4,469,538
Strategic Fund Environmental Improvement Limited
Obligation Refunding Revenue Bonds
Crown Paper Company
Series 1997B 6.25 2012 1,100,000 1,113,981
Strategic Fund Limited Obligation Refunding
Revenue Bonds Detroit Edison
Series 1995AA
(MBIA Insured) 6.40 2025 12,000,000 13,223,760
Strategic Fund Limited Obligation Refunding
Revenue Bonds Ford Motor
Series 1991A 7.10 2006 16,400,000 19,249,008
Strategic Fund Limited Obligation Refunding
Revenue Bonds Great Lakes Pulp & Fibre
Series 1994 A.M.T. 10.25 2016 35,000,000(e) 19,425,000
Troy City Downtown Development Authority
Revenue Bonds Oakland County
Series 1995A 6.375 2018 1,000,000 1,092,890
Van Buren County Downtown Development Authority
Tax Increment Revenue Bonds
Series 1994 8.40 2016 3,990,000 4,573,657
Wayne County Special Airport Facilities Refunding
Revenue Bonds Northwest Airlines
Series 1995 6.75 2015 11,295,000 12,348,146
Total 233,368,599
Minnesota (3.9%)
Becker Solid Waste Disposal Facility Revenue Bonds
Liberty Paper
Series 1994B A.M.T. 9.00 2015 18,000,000 19,136,160
Bloomington Community Development
Refunding Revenue Note
24th Avenue Motel 8.50 2005 1,499,244(k) 1,506,740
Bloomington Health Care Facility Revenue Bonds
Friendship Village of Bloomington
Series 1992 8.50 2002 3,680,000 3,985,035
Brainerd Economic Development Authority Health Care
Facility Revenue Bonds Benedictine Health System
St. Joseph Medical Center
Series 1990 8.375 2020 4,670,000 5,172,165
Duluth Economic Development Authority Health Care
Facility Revenue Bonds Benedictine Health System
St. Mary's Medical Center
Series 1990 8.375 2020 8,300,000 9,192,499
Duluth Housing & Redevelopment Authority
1st Mortgage Revenue Bonds
Lakeshore
Lutheran Home 8.00 2000 110,000 110,211
Duluth Housing & Redevelopment Authority
1st Mortgage Revenue Bonds
Lakeshore
Lutheran Home 8.25 2009 750,000 751,590
Fergus Falls Health Care Facilities Revenue Bonds
Series 1995 6.50 2025 1,530,000 1,634,407
International Falls Solid Waste Disposal
Revenue Bonds Boise Cascade
Series 1990 A.M.T. 7.75 2015 10,000,000 10,517,800
Mahtomedi Multi-family Housing Revenue Bonds
Briarcliff
Series 1996 A.M.T. 7.35 2036 2,000,000 2,067,980
Maplewood Elder Care Facility Revenue Bonds
Care Institute
Series 1994 7.75 2024 8,000,000 8,491,120
Maplewood Multi-family Housing Refunding
Revenue Bonds Carefree Cottages
Series 1995 A.M.T. 7.20 2032 5,000,000 5,088,450
Mille Lacs Capital Improvement Authority Infrastructure
Revenue Bonds
Series 1992A 9.25 2012 4,455,000 5,565,097
Minneapolis Housing & Healthcare Facility
Revenue Bonds Augustana Chapel View Homes
Series 1997 6.75 2027 2,640,000 2,681,395
Richfield Multi-family Housing
Refunding Revenue Bonds
Village Shores Apartments
Series 1996 7.625 2031 4,985,000 5,122,935
Robbinsdale Multi-family Housing Revenue Bonds
Copperfield Hill
Series A 7.35 2031 3,500,000 3,547,355
St. Louis Park Health Care Facilities Revenue Bonds
Healthsystem Minnesota Obligated Group
Series 1993 Inverse Floater
(AMBAC Insured) 4.925 2005 10,200,000(d) 10,047,000
St. Louis Park Health Care Facilities Revenue Bonds
Healthsystem Minnesota Obligated Group
Series 1993 Inverse Floater
(AMBAC Insured) 5.925 2013 18,000,000(d) 17,865,000
St. Louis Park Health Care Park Nicollet
Medical Center Facility Revenue Bonds
Series 1990A 9.25 2020 6,000,000 6,718,440
St. Louis Park Multi-family Housing Refunding
Revenue Bonds Park Boulevard Towers
Series 1996A 7.00 2031 11,585,000 11,918,185
St. Paul Housing & Redevelopment Authority
Health Care Facility Revenue Bonds
Lyngblomsten Care Center
Series 1993A 7.125 2017 4,535,000 4,768,552
St. Paul Housing & Redevelopment Authority
Health Care Facility Revenue Bonds Lyngblomsten
Multi-family Rental Housing
Series 1993B 7.00 2024 2,780,000 2,807,300
St. Paul Port Authority Redevelopment Multi-family
Refunding Revenue Bonds Burlington Apartments
Series A
(GNMA Insured) 5.75 2031 14,355,000 14,533,863
St. Paul Port Authority Redevelopment Multi-family
Subordinate Refunding Revenue Bonds
Burlington Apartments
Series A 8.625 2031 3,770,000 3,811,545
Southern Minnesota Municipal Power Agency
Power Supply System Refunding Revenue Bonds
Series 1992 5.75 2018 32,210,000 32,656,753
Southern Minnesota Municipal Power Agency
Power Supply System Revenue Bonds
Zero Coupon Series 1994A
(MBIA Insured) 6.72 2021 13,500,000(f) 3,926,610
Southern Minnesota Municipal Power Agency
Power Supply System Revenue Bonds
Zero Coupon Series 1994A
(MBIA Insured) 6.73 2022 17,500,000(f) 4,824,925
Southern Minnesota Municipal Power Agency
Power Supply System Revenue Bonds
Zero Coupon Series 1994A
(MBIA Insured) 6.74 2023 27,500,000(f) 7,187,400
Southern Minnesota Municipal Power Agency
Power Supply System Revenue Bonds
Zero Coupon Series 1994A
(MBIA Insured) 6.75 2024-27 87,410,000(f) 20,079,756
Vadnais Heights Multi-family Housing Refunding
Revenue Bonds Cottages of Vadnais Heights
Series 1995 A.M.T. 7.00 2031 1,995,000 2,029,075
Washington County Housing & Redevelopment Authority
Woodbury Multi-family Housing Refunding
Revenue Bonds
Series 1996 6.95 2023 4,940,000 5,035,046
Total 232,780,389
Mississippi (0.7%)
Claiborne County Pollution Control Refunding
Revenue Bonds System Energy Resources
Series 1995 7.30 2025 4,000,000 4,232,960
Claiborne County Pollution Control Revenue Bonds
Middle South Energy 9.50 2013 1,500,000 1,616,460
Claiborne County Pollution Control Revenue Bonds
Middle South Energy
Series C 9.875 2014 15,375,000 16,624,988
Harrison County Waste Water Management District
Refunding Bonds
Series 1986 5.00 2015 4,250,000 4,225,477
Jackson Industrial Development Revenue
Bonds Dorsey 8.00 2005 422,000 425,929
Lowndes County Solid Waste Disposal Pollution Control
Revenue Bonds Weyerhaeuser
Series 1989 A.M.T. 7.875 2005 12,250,000 13,305,215
Lowndes County Solid Waste Disposal Pollution Control
Refunding Revenue Bonds Weyerhaeuser
Series 1989 7.99 2022 4,000,000(i) 4,808,680
Total 45,239,709
Missouri (0.7%)
Regional Convention & Sports Complex Authority Bonds
St. Louis Sponsor
Series 1991B 7.00 2021 5,810,000 6,568,495
State Environment & Improvement Energy Resources
Authority Pollution Control Revenue
Bonds Chrysler 5.70 1999 9,250,000 9,418,535
Sikeston Electric System Refunding Revenue Bonds
Series 1992
(MBIA Insured) 5.80 2002 4,165,000 4,427,312
St. Louis Industrial Development Authority
Refunding Revenue Bonds Kiel Center
Multipurposes Arena
Series 1992 A.M.T. 7.875 2024 15,400,000 16,815,414
St. Louis Regional Convention & Sports Complex Authority
Pre-Refunded Revenue Bonds
Series 1991C 7.90 2021 2,575,000 3,027,144
St. Louis Regional Convention & Sports Complex Authority
Revenue Bonds
Series 1991C 7.90 2021 125,000 139,589
Total 40,396,489
Nebraska (--%)
Omaha Public Power District Electric System
Revenue Bonds
Series 1986A 6.00 2015 1,370,000 1,461,297
Nevada (0.7%)
Clark County Collateralized Pollution Control
Revenue Bonds Nevada Power
A.M.T. 7.80 2009 11,850,000 12,584,345
Clark County Industrial Development Revenue Bonds
Nevada Power Series 1990
A.M.T. 7.80 2020 5,000,000 5,383,800
Las Vegas Redevelopment Agency Tax Increment
Subordinate Lien Revenue Bonds
Series 1994A 6.00 2010 2,000,000 2,068,780
Las Vegas Redevelopment Agency Tax Increment
Subordinate Lien Revenue Bonds
Series 1994A 6.10 2014 2,750,000 2,851,200
Las Vegas Special Improvement District 707
Local Improvement Bonds
Summerlin Area
Series 1996 7.10 2016 6,000,000 6,235,200
Washoe County Hospital Revenue Bonds
Washoe Medical Center
Series 1989A 7.60 2019 2,750,000 2,939,448
Washoe County Hospital Revenue Bonds
Washoe Medical Center
Series 1993A 6.00 2015 7,250,000 7,520,062
Total 39,582,835
New Hampshire (2.4%)
Business Financial Authority Pollution Control
Refunding Revenue Bonds United Illuminating
Series 1993A 5.875 2033 13,200,000 13,262,964
Business Financial Authority Pollution Control &
Solid Waste Disposal Refunding Revenue Bonds
Crown Paper Company
Series 1996 7.75 2022 4,255,000 4,691,180
Industrial Development Authority Pollution Control
Revenue Bonds State Public Service
Series 1991B 7.50 2021 51,485,000 54,084,993
Industrial Development Authority Pollution Control
Revenue Bonds State Public Service
Series 1991C A.M.T. 7.65 2021 25,000,000 26,551,000
Industrial Development Authority Pollution Control
Revenue Bonds United Illuminating
Series 1989A A.M.T. 8.00 2014 8,000,000 8,562,480
State Higher Education & Health Facility Authority
Hospital Revenue Bonds Hitchcock Clinic
Series 1994
(MBIA Insured) 6.00 2024 13,000,000 13,657,410
State Turnpike System Refunding Revenue Bonds
Series 1992 5.75 2020 20,615,000 20,930,203
Total 141,740,230
New Jersey (0.2%)
Health Care Facility Finance Authority Revenue Bonds
St. Peter Medical Center Series 1994F
(MBIA Insured) 5.00 2016 10,000,000 9,693,500
Health Care Facility Finance Authority Revenue Bonds
Zurbrugg Memorial Hospital
Series C 8.50 2012 3,500,000 3,577,525
Total 13,271,025
New Mexico (1.8%)
Albuquerque Health Care System Revenue Bonds
Lovelace Medical
Fund 10.25 2011 55,000 55,811
Bernalillo County Multi-family Housing Revenue Bonds
Series 1997D 7.70 2027 9,985,000 10,195,384
Cibola County Correctional Facility
Certificate of Participation
Series 1993 8.50 2015 16,710,000 18,414,420
Farmington Pollution Control Refunding Revenue Bonds
Series 1996A-B 6.30 2016 10,000,000 10,561,000
Farmington Pollution Control Refunding Revenue Bonds
State Public Service San Juan
Series 1994A 6.40 2023 30,650,000 32,185,259
Farmington Pollution Control Refunding Revenue Bonds
Series 1997A 6.95 2020 4,000,000 4,431,080
Farmington Power Refunding Revenue Bonds
Generating Division 9.875 2013 5,000,000 6,675,900
Las Vegas Hospital Facility Refunding Revenue Bonds
Northeastern Regional Hospital
Series 1987 9.625 2013 5,525,000 5,667,103
Lordsberg Pollution Control Refunding Revenue Bonds
Phelps Dodge 6.50 2013 20,000,000 21,671,200
Total 109,857,157
New York (8.3%)
Battery Park City Authority Refunding Revenue Bonds
Series 1993A 5.50 2010 9,940,000 10,235,317
Dormitory Authority New York State University Education
Facility Pre-Refunded Revenue Bonds
Series 1990A 7.70 2012 10,000,000 11,028,700
Dormitory Authority New York State University Education
Facility Revenue Bonds
Series 1993A 5.50 2013 24,530,000 25,357,642
Dormitory Authority New York City University System
Consolidated 2nd General Resource Revenue Bonds
Series 1990C 5.00 2017 20,820,000 19,651,582
Dormitory Authority New York City University System
Consolidated 2nd General Resource Revenue Bonds
Series 1990C 6.00 2016 39,465,000 40,257,457
Dormitory Authority New York City University System
Consolidated 2nd General Resource Revenue Bonds
Series 1990D 7.00 2009 5,000,000 5,799,550
Dormitory Authority New York City University System
Consolidated 2nd General Resource Revenue Bonds
Series 1994A 5.75 2018 5,500,000 5,786,385
Dormitory Authority New York Court Facility Lease
Revenue Bonds
Series 1993A 5.375 2016 11,000,000 10,879,220
Metropolitan Transportation Transit Facilities
Service Contract
Series 3 6.00 2019 6,395,000 6,687,379
New York City General Obligation Bonds
Series 1992B 7.40 2000 30,000,000 31,896,000
New York City General Obligation Bonds
Series 1994B 7.00 2016 16,500,000 18,660,510
New York City General Obligation Bonds
Series 1996F-G 5.75 2017-20 27,825,000 28,316,394
New York City Industrial Development Agency
Special Facility Revenue Bonds American Airlines
Series 1990 A.M.T. 8.00 2020 16,130,000 16,961,502
New York City Municipal Water Financial Authority
Water & Sewer System Revenue Bonds Series 1994B
Inverse Floater
(MBIA Insured) 6.27 2009 15,500,000(d) 15,906,875
New York City Municipal Water Financial Authority
Water & Sewer System Revenue Bonds
Series A 6.25 2021 55,500,000 58,573,590
New York City Municipal Water Financial Authority
Water & Sewer System Revenue Bonds
Series B 5.00 2017 6,255,000 6,102,440
Port Authority Special Obligation Revenue Bonds
KIAC A.M.T. 6.75 2019 3,500,000 3,816,960
Port Authority Special Project Bonds La Guardia
Airport Passenger Terminal Continental and
Eastern Airlines
A.M.T. 9.00 2006 2,645,000 2,985,888
Port Authority Special Project Bonds La Guardia
Airport Passenger Terminal Continental and
Eastern Airlines
Series 2 A.M.T. 9.00 2010 8,800,000 9,934,144
Port Authority Special Project Bonds La Guardia
Airport Passenger Terminal Continental and
Eastern Airlines
Series 2 A.M.T. 9.125 2015 17,500,000 19,814,200
State Energy Research & Development Authority Electric
Facility Revenue Bonds Consolidated Edison
A.M.T. 7.125 2022 10,750,000 10,981,555
State Energy Research & Development Authority Electric
Facility Revenue Bonds Consolidated Edison
A.M.T. 7.375 2024 23,000,000 23,606,970
State Energy Research & Development Authority Electric
Facility Revenue Bonds Consolidated Edison
A.M.T. 7.50 2021 9,000,000 9,113,400
State Energy Research & Development Authority Electric
Facility Revenue Bonds Consolidated Edison
Series 1990A
A.M.T. 7.50 2025 30,975,000 32,660,350
State Housing Finance Agency Service Contract Obligation
Revenue Bonds
Series 1995A 6.50 2025 12,475,000 13,728,862
State Housing Finance Agency State University
Construction Refunding Bonds
Series 1986A 6.50 2013 3,500,000 3,972,430
State Local Government Assistance Corporation
Series 1991A 6.50 2020 11,000,000 11,832,260
State Medical Facilities Finance Agency Mental
Health Services Improvement Refunding Revenue Bonds
Series 1993D 5.25 2023 15,000,000 14,425,950
State Medical Facilities Finance Agency Mental
Health Services Improvement Refunding Revenue Bonds
Series 1993F 5.25 2019 5,790,000 5,581,502
State Urban Development Correctional Facility
Refunding Revenue Bonds
Series A 5.50 2016 2,750,000 2,755,170
State Urban Development Correctional Facility
Revenue Bonds
Series 1993A 5.25 2021 12,110,000 11,578,977
State Urban Development Correctional Facility
Revenue Bonds
Series 6 5.375 2025 9,000,000 8,731,080
Total 497,620,241
North Carolina (4.1%)
Eastern Municipal Power Agency Power Supply System
Refunding Revenue Bonds
Series 1993B 6.25 2012 24,655,000 25,963,687
Eastern Municipal Power Agency Power System
Refunding Revenue Bonds
Series 1986A 4.00 2018 8,675,000 7,396,132
Eastern Municipal Power Agency Power System
Refunding Revenue Bonds
Series 1986A 5.00 2017 6,500,000 6,374,035
Eastern Municipal Power Agency Power System
Refunding Revenue Bonds
Series 1988A 6.00 2026 3,125,000 3,355,801
Eastern Municipal Power Agency Power System
Refunding Revenue Bonds
Series 1989A 5.50 2011 37,800,000 37,861,236
Eastern Municipal Power Agency Power System
Refunding Revenue Bonds
Series 1989A 6.50 2024 16,750,000 16,996,728
Eastern Municipal Power Agency Power System
Refunding Revenue Bonds
Series 1989A 7.50 2010 29,160,000 35,236,810
Eastern Municipal Power Agency Power System
Refunding Revenue Bonds
Series 1991A 5.75 2019 55,000,000 55,155,100
Eastern Municipal Power Agency Power System
Refunding Revenue Bonds
Series 1994B 7.25 2007 5,000,000 5,737,500
Eastern Municipal Power Agency Power System
Refunding Revenue Bonds
Series B 6.125 2009 10,000,000 10,547,200
Eastern Municipal Power Agency Power System
Revenue Bonds
Series 1993D 5.875 2013 2,300,000 2,355,361
Municipal Power Agency 1 Catawba Electric
Revenue Bonds
Series 1988 7.00 2016 5,140,000 5,256,986
Municipal Power Agency 1 Catawba Electric
Revenue Bonds Series 1993
Inverse Floater
(MBIA Insured) 6.82 2012 7,400,000(d) 7,686,750
Municipal Power Agency 1 Catawba Electric
Revenue Bonds
Series 1993 Inverse Floater
(MBIA Insured) 7.02 2020 15,000,000(d) 15,243,750
Offiss Incorporation Recreational Facilities
Gross Revenue Bonds Smoky Mountain Golf Course
Zero Coupon
Series 1994-96 8.38 2019 8,295,000(e,g) 8,094,759
Total 243,261,835
North Dakota (0.4%)
Fargo Hospital Refunding Revenue & Improvement Bonds
Dakota Hospital
Series 1992 6.875 2012 3,000,000 3,370,410
Fargo Hospital Refunding Revenue & Improvement Bonds
Dakota Hospital
Series 1992 7.00 2022 4,250,000 4,798,208
General Obligation Bonds Real Estate
Series 1986A 6.00 2013 8,585,000 8,681,581
Ward County Health Care Facilities
Refunding Revenue Bonds
Series 1996B 6.25 2021 4,000,000 4,148,760
Ward County Health Care Facilities Refunding
Revenue Bonds Trinity Group
Series 1996A 6.25 2026 6,110,000 6,337,231
Total 27,336,190
Ohio (3.0%)
Air Quality Development Authority Pollution Control
Refunding Revenue Bonds Cleveland Electric Company
Series 1997B 6.00 2020 10,000,000 10,230,900
Air Quality Development Authority Pollution Control
Refunding Revenue Bonds Ohio Edison
Series A 5.95 2029 13,300,000 13,607,496
Air Quality Development Authority Pollution Control
Revenue Bonds Ohio Edison
Series 1989A 7.625 2023 6,750,000 7,126,717
Bellefontaine Hospital Facilities Refunding Revenue Bonds
Mary Rutan Health Association
Series 1993 6.00 2013 5,330,000 5,421,356
Butler County Hospital Facilities
Refunding Revenue & Improvement Bonds
Fort Hamilton-Hughes Memorial Center
Series 1991 7.50 2010 9,800,000 10,643,192
Carroll Water & Sewer District Unlimited Tax
General Obligation
Bonds 6.25 2010 8,360,000 8,357,743
Cleveland Parking Facilities Improvement
Revenue Bonds
Series 1992 8.10 2022 15,000,000 17,630,850
Coshocton County Solid Waste Disposal Refunding
Revenue Bonds Stone Container
Series 1992 7.875 2013 17,500,000 19,549,600
Cuyahoga County Health Care Facilities Lifecare Refunding
Revenue Bonds Judson Retirement Community
Series 1996A 7.25 2013-18 6,210,000 6,584,338
Erie County Hospital Improvement Refunding
Revenue Bonds Firelands Community Hospital
Series 1992 6.75 2015 6,540,000 7,088,052
Lorain County Independent Living & Hospital Facilities
Mortgage Refunding Revenue Bonds
Elyria United Methodist
Series 1996C 6.875 2022 3,100,000 3,297,966
Marion County Health Care Facilities
Refunding & Improvement Revenue Bonds
United Church Homes
Series 1993 6.30 2015 1,800,000 1,877,670
Marion County Health Care Facilities
Refunding & Improvement Revenue Bonds
United Church Homes
Series 1993 6.375 2010 2,000,000 2,097,140
Montgomery County Health Facilities Refunding
Revenue Bonds Friendship Village of Dayton
Series 1990A 9.25 2016 9,025,000 10,117,386
Water Development Authority Collateralized Pollution
Control Refunding Revenue Bonds Cleveland Electric
Series 1995 7.70 2025 13,000,000 14,874,860
Water Development Authority Collateralized Pollution
Control Revenue Bonds Cleveland Electric
Series 1989 A.M.T. 8.00 2023 10,000,000 11,377,200
Water Development Authority Collateralized Pollution
Control Revenue Bonds Toledo Edison
Series 1989 A.M.T. 8.00 2023 8,500,000 8,978,040
Water Development Authority Pollution Control
Revenue Bonds Ohio Edison
A.M.T. 8.10 2023 10,000,000 10,666,700
Water Development Authority Pollution Control
Refunding Revenue Bonds Toledo Edison
Series 1994A A.M.T. 8.00 2023 10,000,000 10,382,300
Total 179,909,506
Oklahoma (1.0%)
Grand River Dam Authority Refunding Revenue Bonds
Series 1987 5.00 2012 10,105,000 10,053,464
Hinton Economic Development Authority
Certificate of Participation
Series 1994 8.75 2015 11,675,000 12,544,554
Hinton Economic Development Authority
Certificate of Participation Dominion Leasing
Series 1990A 9.75 2015 19,090,000 21,261,678
Jackson County Hospital Authority
Refunding Revenue Bonds
Jackson County Memorial Hospital
Series 1994 7.30 2015 6,580,000 7,040,995
Midwest City Memorial Hospital Authority Hospital
Revenue Bonds
Series 1992 7.375 2022 7,815,000 8,856,818
Stillwater Medical Center Authority
Hospital Revenue Bonds
Series 1997B 6.50 2019 1,750,000 1,866,603
Total 61,624,112
Oregon (0.6%)
State Health Housing Educational &
Cultural Facilities Authority Revenue Bonds
Oregon Baptist Retirement Homes-Weidler
Retirement Center
Series 1995 8.00 2026 7,720,000 7,992,670
Western Generation Agency Revenue Bonds
Wauna Cogeneration
Series 1994A 7.125 2021 19,200,000 20,682,432
Western Generation Agency Revenue Bonds
Wauna Cogeneration
Series 1994B A.M.T. 7.40 2016 9,000,000 9,828,270
Total 38,503,372
Pennsylvania (4.1%)
Allegheny County Industrial Development Authority
Environment Improvement Revenue Bonds
USX Corporation
Series 1994A 6.70 2020 6,000,000 6,480,600
Beaver County Industrial Development Authority
Collateralized Pollution Control Refunding
Revenue Bonds Cleveland Electric Illuminating
Series 1995 7.625 2025 7,500,000 8,523,675
Beaver County Industrial Development Authority
Collateralized Pollution Control Refunding
Revenue Bonds Cleveland Electric Illuminating
Series 1995A 7.75 2025 21,150,000 24,253,339
Beaver County Industrial Development Authority
Collateralized Pollution Control Refunding
Revenue Bonds Toledo Edison
Series 1995A 7.75 2020 14,000,000 16,109,520
Beaver County Industrial Development Authority
Pollution Control Revenue Bonds
Toledo Edison-Beaver Valley
Series 1995 7.625 2020 11,700,000 13,296,933
Beaver County Industrial Development Authority
Pollution Control Revenue Bonds
Ohio Edison 7.75 2024 34,650,000 36,578,966
Butler County Industrial Development Authority
Health Care Refunding Revenue Bonds
Pittsburgh Lifetime Care Community Sherwood Oaks
Series 1993 5.75 2011-16 5,000,000 5,111,860
Convention Center Authority Refunding Revenue Bonds
Philadelphia
Series 1994A 6.75 2019 5,300,000 5,818,340
Delaware County Authority 1st Mortgage Revenue Bonds
Riddle Village
Series 1996 7.00 2026 10,000,000 10,362,400
Delaware County Authority 1st Mortgage Revenue Bonds
Whitehorse Village Continuing Care
Series 1989 9.70 2009-19 11,000,000 12,228,150
Delaware County Industrial Development Authority
Pollution Control Refunding Revenue Bonds
Philadelphia Electric
Series A 7.375 2021 900,000 981,603
Harrisburg Dauphin County General Obligation Bonds
Zero Coupon Series 1997F
(AMBAC Insured) 5.50 2020 3,000,000(f) 875,040
Harrisburg Dauphin County General Obligation Bonds
Zero Coupon Series 1997F
(AMBAC Insured) 5.52 2021-22 2,000,000(f) 535,430
Montgomery County Higher Education & Health Authority
Retirement Community Revenue Bonds G.D.L. Farms
Series A 9.50 2020 3,000,000 3,365,820
Philadelphia Gas Works Revenue Bonds
Series 13 7.70 2021 4,150,000 4,691,160
Philadelphia Hospital & Higher Education Facility
Authority Hospital Revenue Bonds
Albert Einstein
Medical Center 7.625 2011 15,545,000 16,415,986
Philadelphia Municipal Authority Lease
Refunding Revenue Bonds
Series 1993D 6.25 2013 2,500,000 2,615,375
Philadelphia Municipal Authority Lease
Refunding Revenue Bonds
Series 1993D 6.30 2017 1,550,000 1,621,393
Philadelphia Water & Sewer Revenue Bonds
16th Series 7.00 2018 14,000,000 15,306,060
Philadelphia Water & Sewer Revenue Bonds
16th Series 7.50 2010 13,200,000 14,880,096
Philadelphia Water & Wastewater Revenue Bonds
Series 1993
(CGIC Insured) 5.50 2015 11,000,000 11,155,540
State Department of General Services Certificate of
Participation Series 1994A
(AMBAC Insured) 5.00 2015 25,000,000 24,231,000
Wilkins Industrial Development Authority Revenue Bonds
Retirement Community Longwood at Oakmont
Series 1991A 10.00 2021 8,495,000 10,078,298
Total 245,516,584
Puerto Rico (0.8%)
Electric Power Agency Revenue Bonds
Series N-O 6.00 2010 45,305,000 46,154,016
South Carolina (0.9%)
Cherokee County Spring City Knitting
Cluett Peabody 7.40 2009 5,200,000 5,772,312
Piedmont Municipal Power Agency Electric
Refunding Revenue Bonds
Series 1986B 5.75 2024 7,550,000 7,549,925
Public Service Authority Electric System Expansion
Revenue Bonds Santee Cooper
Series 1991D 6.625 2031 14,975,000 16,657,441
Public Service Authority Electric System Revenue Bonds
Santee Cooper
Series 1991B 6.00 2031 8,000,000 8,456,000
Public Service Authority Electric System Revenue Bonds
Santee Cooper Series 1993A Inverse Floater
(MBIA Insured) 6.50 2013 17,700,000(d) 18,275,250
Total 56,710,928
South Dakota (0.5%)
Heartland Consumers Power District Electric System
Refunding Revenue Bonds
Series 1986 6.00 2010 10,205,000 11,042,014
Souix Falls Multi-family Housing Revenue Bonds
Series 1996A 7.50 2034 12,200,000 12,754,124
State Lease Revenue Trust Certificates Series 1993
(CGIC Insured) 6.70 2017 7,260,000 8,576,964
Total 32,373,102
Tennessee (0.4%)
Nashville & Davidson County Health & Education Facility
1st Mortgage Revenue Bonds
Blakeford at
Green Hills CCRC 9.25 2024 12,230,000 14,425,040
Knox County Health Education & Housing Facility Hospital
Revenue Bonds Baptist Health System East Tennessee
Series 1989 8.60 2016 10,000,000 10,779,600
Total 25,204,640
Texas (6.6%)
Alliance Airport Authority Special Facility Revenue Bonds
American Airlines Series 1990
A.M.T. 7.50 2029 37,400,000 40,724,860
Austin Combined Utility Systems Refunding
Revenue Bonds
Series 1985 10.75 2010-15 12,000,000 13,833,480
Austin Combined Utility Systems Refunding
Revenue Bonds
Series 1986 5.00 2013 20,000,000 19,400,600
Board of Regents of the University System General
Refunding Revenue Bonds
Series 1986 6.50 2007 2,565,000 2,683,067
Brazos River Authority Collateralized Pollution Control
Revenue Bonds Texas Utility Electric
Series 1989A A.M.T. 8.25 2019 14,000,000 14,799,400
Brazos River Authority Collateralized Pollution Control
Revenue Bonds Texas Utility Electric
Series 1990A A.M.T. 8.125 2020 13,205,000 14,344,988
Brazos River Authority Collateralized Pollution Control
Revenue Bonds Texas Utility Electric
Series 1991A A.M.T. 7.875 2021 24,450,000 27,002,091
Brazos River Authority Collateralized
Refunding Revenue Bonds Houston Lighting & Power
Series 1989A 7.625 2019 26,300,000 28,060,259
Brownsville Utility System Priority Revenue Bonds
Series 1990
(AMBAC Insured) 6.50 2017 10,015,000 10,814,197
Castlewood Municipal Utility District Water &
Sewer Systems Unlimited Tax & Refunding Revenue Bonds
Series 1997 6.75 2014 2,890,000 2,895,607
Colony Municipal Utility District 1 Denton County
Series 1980 9.25 2007 1,000,000 1,355,490
Dallas & Fort Worth International Airport Special Facility
Revenue Bonds American Airlines
Series 1990 A.M.T. 7.50 2025 26,200,000 28,481,234
Dallas & Fort Worth International Airport Special Facility
Revenue Bonds Delta Air Lines
Series 1991 A.M.T. 7.125 2026 13,500,000 14,465,520
Denison Hospital Authority Hospital Revenue Bonds
Texoma Medical Center
Series 1994 7.10 2024 3,950,000 4,308,621
Harris County Health Facilities Hospital Revenue Bonds
Memorial Hospital
Series 1992 7.125 2015 16,000,000 18,233,440
Harris County Industrial Development Marine Terminal
Refunding Revenue Bonds GATX Terminal
Series 1992 6.95 2022 15,000,000 16,278,150
Hidalgo County Health Services Corporation
Hospital Revenue Bonds Mission Hospital
Series 1996 6.875 2026 7,880,000 8,469,818
Interstate Municipal Utility District
Unlimited Tax Bonds Harris County
Series 1996 6.75 2021 3,020,000 3,246,681
Karnes County Public Facility Lease
Revenue Bonds 9.20 2015 15,990,000 16,996,890
Kings Manor Municipal Utility District
Waterworks & Sewer Systems Combination
Unlimited Tax & Revenue Bonds
Series 1995 6.875 2018 2,470,000 2,561,909
Matagorda County Navigation District 1
Collateral Pollution Control Revenue Bonds
Central Power & Light Series 1986A
(AMBAC Insured)
A.M.T. 7.50 2020 6,500,000 7,001,995
Midland County Hospital District Revenue Bonds
Series 1992 7.50 2016 3,025,000 3,430,894
Municipal Power Agency Refunding Revenue Bonds
(MBIA Insured) 5.25 2009 8,000,000 8,363,920
Municipal Power Agency Revenue
Bonds 5.50 2013 7,410,000 7,410,222
Plano Collin & Denton County General Obligation Bonds
Limited Tax
Series 1986 6.00 2006 1,600,000 1,607,984
Rio Grande City Consolidated Independent School District
Public Facilities Lease Revenue Bonds
Series 1995 6.75 2010 4,000,000 4,298,400
Sabine River Authority Collateralized Pollution Control
Revenue Bonds Texas Utilities Electric
Series 1990A A.M.T. 8.125 2020 30,500,000 33,133,065
San Antonio Electric & Gas System
Refunding Revenue Bonds
Series 1989B 5.00 2016 11,000,000 10,629,630
San Antonio Electric & Gas System
Revenue Bonds
Series 1987 5.00 2014 8,680,000 8,481,749
West Side Calhoun County Navigation District
Solid Waste Disposal Revenue Bonds
Union Carbide Chemical & Plastics Series 1991
A.M.T. 8.20 2021 17,550,000 19,553,859
Total 392,868,020
Utah (1.9%)
Association Municipal Power System Hunter Series A
(AMBAC Insured) 5.50 2012 4,000,000 4,000,920
Carbon County Solid Waste Disposal
Refunding Revenue Bonds Sunnyside
Cogeneration Associates Series 1991
A.M.T. 9.25 2018 25,350,000(e) 13,942,500
Housing Finance Agency Single Family Mortgage
Senior Bonds Series 1991C
(FGIC Insured) 7.30 2011 860,000 910,198
Housing Finance Agency Single Family Mortgage
Senior Bonds Series 1991C
(FGIC Insured) 7.35 2016 685,000 724,367
Hurricane Health Facilities Development Revenue Bonds
Mission Health Services
Series 1990 10.50 2020 7,635,000 8,475,842
Intermountain Power Agency Power Supply
Refunding Revenue Bonds Series F
(AMBAC Insured) 5.00 2013 5,000,000 4,925,300
Intermountain Power Agency Power Supply
Refunding Revenue Bonds Series 1993B
Inverse Floater 7.14 2011 7,600,000(d) 8,037,000
Intermountain Power Agency Power Supply
Refunding Revenue Bonds Series 1996C
(MBIA Insured) 5.70 2017 46,000,000 47,579,640
Intermountain Power Agency Power Supply
Revenue Bonds Series 1987A
(MBIA Insured) 5.00 2012 8,000,000 7,942,400
Intermountain Power Agency Power Supply
Revenue Bonds
Series 1989A-B 6.00 2023 13,665,000 13,821,793
Tooele County Pollution Control Revenue Bonds
Laidlaw Environmental Services Incorporated
Series 1997A A.M.T. 7.55 2027 4,000,000 4,389,600
Total 114,749,560
Virginia (0.6%)
Fairfax County Redevelopment & Housing Authority
Multi-family Housing Revenue Bonds
Burkeshire Commons
Series 1996 7.60 2036 13,245,000 14,172,680
Hopewell City Industrial Development Authority
Pollution Control Refunding Revenue Bonds
Stone Container
Series 1992 8.25 2010 3,170,000 3,574,460
Housing Development Authority Commonwealth
Mortgage Bonds
Series 1992A 7.15 2033 15,000,000 15,798,000
Total 33,545,140
Washington (3.6%)
King County Housing Authority Pooled Housing
Refunding Revenue Bonds
Series 1995A 7.20 2026 4,000,000 4,113,520
Longview Industrial Development Corporation Solid Waste
Revenue Bonds Weyerhauser Series 1991
A.M.T. 7.45 2013 20,000,000 21,788,000
Public Power Supply System Nuclear Project 1
Refunding Revenue Bonds
Series A 6.50 2015 21,000,000 23,186,100
Public Power Supply System Nuclear Project 1 Refunding
Revenue Bonds Bonneville Power Administration
Series 1993A Inverse Floater
(FSA Insured) 7.32 2011 25,000,000(d) 28,375,000
Public Power Supply System Nuclear Project 1
Revenue Bonds
Series 1989 6.00 2017 28,070,000 28,891,328
Public Power Supply System Nuclear Project 1
Revenue Bonds
Series 1990A 6.00 2017 38,875,000 39,683,989
Public Power Supply System Nuclear Project 2
Revenue Bonds
Series 1994A 5.375 2011 10,000,000 10,043,900
Public Power Supply System Nuclear Project 3
Revenue Bonds
Series 1989B 5.50 2017-18 27,550,000 27,342,242
Snohomish County Public Utility District 1
Generation System Revenue Bonds
Series 1986A 5.00 2020 17,750,000 17,423,223
State General Obligation
Refunding Revenue Bonds
Zero Coupon
Series 1997A 5.95 2019 16,260,000(f) 5,017,836
State Housing Finance Commission
Refunding Revenue Bonds Horizon House
Series 1995A (Asset
Guaranty Insured) 6.00 2017 3,700,000 3,853,217
State Housing Finance Commission
Refunding Revenue Bonds Horizon House
Series 1995A (Asset
Guaranty Insured) 6.125 2027 3,850,000 4,007,003
Total 213,725,358
West Virginia (1.5%)
Kanawha County Pollution Control
Revenue Bonds Union Carbide
Series 1984 7.35 2004 3,000,000 3,453,660
Marion County Solid Waste Disposal Facility
Revenue Bonds American Power Paper Recycling
Series 1993 A.M.T. 7.75 2011 20,000,000(e) 9,500,000
Marion County Solid Waste Disposal Facility
Revenue Bonds American Power Paper Recycling
Series 1994 A.M.T. 8.25 2011 10,000,000(e) 4,750,000
Marion County Solid Waste Disposal Facility
Revenue Bonds American Power Paper Recycling
Series 1995 A.M.T. 9.00 2011 5,000,000(e) 2,375,000
Marion County Solid Waste Disposal Facility
Revenue Bonds American Power Paper Recycling
Series 1995B A.M.T. 9.25 2011 5,000,000(e) 2,375,000
Mason County Pollution Control Refunding
Revenue Bonds Appalachian Power
Series 1992J 6.60 2022 25,000,000 26,735,750
Pea Ridge Public Service District Sewer
Refunding Revenue Bonds
Series 1990 9.25 2020 2,575,000 2,713,329
Putnam County Pollution Control Revenue Bonds
Appalachian Power
Series C 6.60 2019 10,600,000 11,282,322
School Building Authority Capital Improvement
Revenue Bonds
Series 1991A 6.00 2021 20,785,000 21,473,191
South Charleston Pollution Control Refunding
Revenue Bonds Union Carbide
Series 1985 7.625 2005 3,000,000 3,492,390
Total 88,150,642
Wisconsin (0.6%)
Health & Education Facilities Authority
Revenue Bonds
St. Clare Hospital 7.00 2022 12,115,000 13,062,393
Health Facilities Authority Refunding Revenue Bonds
Villa Clement
Series 1986 8.75 2012 4,365,000 4,376,000
Madison Industrial Development
Refunding Revenue Bonds Madison Gas & Electric
Series 1992B 6.70 2027 19,300,000 20,949,957
Total 38,388,350
Wyoming (0.2%)
Green River & Rock Springs Sweetwater County
Joint Powers Water Board Revenue Bonds
Series 1988A 8.50 2007 2,500,000 2,581,925
Natrona County Hospital Revenue Bonds
Wyoming
Medical Center 8.125 2010 6,500,000 7,043,270
State Farm Loan Board Capital Facilities
Revenue Bonds
Series 1994 6.10 2024 5,000,000 5,253,850
Total 14,879,045
Total municipal bonds
(Cost: $5,158,090,986) $5,720,784,228
Short-term securities (2.4%)
Issuer (c,i,j) Effective Amount Value (a)
yield payable at
maturity
Municipal notes
Allegheny County Industrial Development Authority
Revenue Bonds Longwood at Oakmont Series D
07-01-27 3.85% $ 2,500,000 $ 2,500,000
Burke County Development Authority Pollution
Control Revenue Bonds Georgia Power Vogtle
3rd Series
09-01-25 3.80 2,000,000 2,000,000
Burke County Development Authority Pollution
Control Revenue Bonds Georgia Power Vogtle
4th Series
07-01-24 3.85 1,800,000 1,800,000
Burke County Development Authority Pollution
Control Revenue Bonds Georgia Power Vogtle
5th Series V.R.
07-01-24 4.00 19,000,000 19,000,000
Columbia Industrial Development Pollution
Control Revenue Bonds Alabama Power
Series C V.R.
10-01-22 4.00 9,600,000 9,600,000
Duluth Health Facilities Revenue Bonds
Miller-Dwan Medical Center V.R.
06-01-19 3.85 5,200,000 5,200,000
Forsyth Pollution Control Revenue Bonds
Portland General Electric Series A
06-01-13 3.85 3,500,000 3,500,000
Harris County Health Facilities Development
Hospital Revenue V.R. Methodist Hospital
12-01-25 3.85 7,900,000 7,900,000
Jackson County Pollution Control Revenue Bonds
Chevron Series 1992
06-01-23 3.85 200,000 200,000
Jackson County Port Facility Chevron V.R.
06-01-23 3.90 15,500,000 15,500,000
Louisiana State Offshore Term Authority
Deepwater Port Revenue Bonds Loop V.R.
09-01-08 3.85 4,000,000 4,000,000
Monroe County Development Authority
Georgia Power 2nd Series
07-01-25 4.00 4,100,000 4,100,000
New York City General Obligation Bonds
Fiscal 1995 Series B
06-15-23 3.85 2,500,000 2,500,000
New York City Municipal Water Finance Authority
Series G V.R. (FGIC Insured)
06-15-25 4.00 25,800,000 25,800,000
New York City Municipal Water Finance Authority
Series 1994C
06-15-23 3.85 4,500,000 4,500,000
New York City Municipal Water Finance Authority
Water & Sewer System Revenue Bonds
06-15-22 3.85 9,600,000 9,600,000
06-15-23 3.85 2,100,000 2,100,000
Putnam County Development Authority Pollution
Control Revenue Georgia Power Company
09-01-29 3.85 8,400,000 8,400,000
Valdez Marine Term Revenue Bonds
Exxon Pipeline Series A V.R.
12-01-33 3.85 5,000,000 5,000,000
Washington State Public Power Supply System
07-01-17 3.85 6,100,000 6,100,000
Washington State Public Power Supply System
07-01-17 3.90 3,000,000 3,000,000
Total short-term securities
(Cost: $142,300,000) $ 142,300,000
Total investments in securities
(Cost: $5,300,390,986)(l) $5,863,084,228
<PAGE>
Notes to investments in securities
(a) Securities are valued by procedures described in Note 1 to the financial
statements.
(b) Investments in bonds, by rating category as a percentage of total bonds, are
as follows:
(Unaudited)
Rating 11-30-97 11-30-96
AAA 30% 25%
AA 5 6
A 15 16
BBB 28 33
BB and below 22 20
Non-rated -- --
Total 100% 100%
(c) The following abbreviations are used in portfolio descriptions to identify
the insurer of the issue: AMBAC -- American Municipal Bond Association
Corporation CGIC -- Capital Guaranty Insurance Company FGIC -- Financial
Guarantee Insurance Corporation FHA -- Federal Housing Authority FSA --
Financial Security Assurance GNMA -- Government National Mortgage Association
MBIA -- Municipal Bond Investors Assurance
(d) Inverse floaters represent securities that pay interest at a rate that
increases (decreases) in the same magnitude as, or in a multiple of, a decline
(increase) in market short-term rates. Interest rate disclosed is the rate in
effect on Nov. 30, 1997. Inverse floaters in the aggregate represent 5.8% of the
Portfolio's net assets as of Nov. 30, 1997.
(e) Non-income producing. Items identified are in default as to payment of
interest and/or principal.
(f) For zero coupon bonds, the interest rate disclosed represents the annualized
effective yield on the date of acquisition.
(g) For those zero coupon bonds that become coupon paying at a future date, the
interest rate disclosed represents the annualized effective yield from the date
of acquisition to interest reset date disclosed.
(h) Pledged as initial deposit on the following open interest rate futures
contracts (see Note 4 to the financial statements):
Type of security Notional amount
Sales contracts
Municipal Bonds Dec. 1997 $150,000,000
(i) Interest rate varies to reflect current market conditions; rate shown is the
effective rate on Nov. 30, 1997.
(j) The Portfolio is entitled to receive principal amount from issuer or
corporate guarantor, if indicated in parentheses, after a day or a week's
notice. The maturity date disclosed represents the final maturity. The following
abbreviations are used in the portfolio descriptions:
V.R. -- Variable Rate
V.R.D.N. -- Variable Rate Demand Note
A.M.T. -- Alternative Minimum Tax -- As of Nov. 30, 1997, the value of
securities subject to alternative minimum tax represented 18.4% of
net assets.
(k) Identifies issues considered to be illiquid as to their marketability (see
Note 1 to the financial statements). Information concerning such security
holdings at Nov. 30, 1997, is as follows:
Security Acquisition Purchase
date cost
Bloomington Community Development
Refunding Revenue Note 24th Avenue Motel 03-31-88 $1,721,000
(l) At Nov. 30, 1997, the cost of securities for federal income tax purposes was
$5,300,394,205 and the aggregate gross unrealized appreciation and depreciation
based on that cost was:
Unrealized appreciation $614,690,695
Unrealized depreciation (52,000,672)
-----------
Net unrealized appreciation $562,690,023
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American Express Service Corporation, Distributor
Printed on recycled paper with a
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