-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, B7yN9WQDdFhuV3SxZsxI9+HJWzT951AqsF7P6bPA20cJM87ig+Zq21QhcVCsjxmG qwvadQKpg7+L+owNQpP6ig== 0000912057-96-000699.txt : 19960124 0000912057-96-000699.hdr.sgml : 19960124 ACCESSION NUMBER: 0000912057-96-000699 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19950930 FILED AS OF DATE: 19960123 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: CONNECTICUT MUTUAL INVESTMENT ACCOUNTS INC CENTRAL INDEX KEY: 0000356865 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 061052841 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-03346 FILM NUMBER: 96506082 BUSINESS ADDRESS: STREET 1: 140 GARDEN ST CITY: HARTFORD STATE: CT ZIP: 06154 BUSINESS PHONE: 2039875002 FORMER COMPANY: FORMER CONFORMED NAME: CONNECTICUT MUTUAL LIQUID ACCOUNT INC DATE OF NAME CHANGE: 19851106 N-30D 1 N-30D CMIA MUNICIPAL BOND ACCOUNTS ANNUAL REPORT SEPTEMBER 30, 1995 CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. -------------------------- 1995 ANNUAL REPORT DEAR SHAREHOLDER: During their first year as part of the Connecticut Mutual Investments Accounts portfolio, our municipal bond funds performed admirably. Each of the five funds turned in double-digit returns and performed competitively in their respective peer groups. These tax-free municipal bond portfolios, managed by Boston Management and Research, joined the CMIA portfolio in October, 1994 -- just as the bond market was near the bottom of its downward slide. The market, however, began its recovery in mid-November 1994. Since then, bond funds such as ours have experienced strong appreciation, aided by the market's positive reaction to slow economic growth and low inflation. The outstanding performance of the CMIA municipal bond funds over the past year reflects that favorable investment environment, as well as the solid management strategy of Boston Management and Research. This strategy of longer than average durations compared with the fund's peers, placed the CMIA funds in very competitive positions in their respective universes for total return performance for the nine month period ending September 30, 1995. But even though the municipal market has turned in strong results for the past 12 months, it has underperformed the taxable market. Much of this under- performance is due to concerns that major tax reform legislation could eliminate the tax-advantaged status of municipal bonds. While some sort of reform is likely, Boston Management and Research thinks that it is unlikely that it will involve sweeping changes that call for a flat tax or elimination of major tax deductions. Any such major tax reform would provoke strong opposition and could seriously depress entire sectors of the U.S. economy. Accordingly, we view this recent underperformance as a potential buying opportunity. Municipal bonds could represent an attractive asset class at these current relative trading relationships, with the potential for future outperformance for those investors willing to adopt a patient, long-term investment horizon. ECONOMIC FORECAST After a tremendous rally in the bond market earlier this year, the outlook for bonds continues to be favorable. We foresee continued moderate economic growth with low inflation -- an ideal situation for investors. We expect inflation to hover around 3 percent, dropping even lower if the economy slows further. A slowing of the economy could prompt the Fed to cut the fed funds rate, possibly spurring a continuation of the bond market rally into 1996. At the same time, the municipal bond market could benefit from the federal budget cuts currently being discussed in Washington. Reducing the federal budget deficit by slashing expenditures would drastically reduce the federal government's borrowing needs. As a result, interest rates would be suppressed across the entire yield curve. All fixed-income instruments, including municipal bonds, would benefit. The outlook for the tax-free market continues to be favorable due to the lack of meaningful primary market supply of tax-free bonds. This relatively low level of primary market supply will not be large enough to offset the $190 billion of bonds scheduled to be called or maturing during 1995. As a result, the outstanding supply of tax-free bonds is expected to decline for 1995 and 1996. The declining supply, coupled with attractive taxable equivalent yields, could make the tax-free market an attractive sector among the many fixed income instruments available. SUMMARY This year's dramatic reversal in the course of the bond market clearly illustrates the unpredictability of the financial markets and underscores a key tenet of investing: long-term investors willing to ride out market ups and downs have been rewarded with strong returns. We will continue to monitor changes in economic and political conditions. But, regardless of what lies ahead for the economy, the goal of your fund remains the same: to provide you with a competitive tax-free income from a portfolio of high-quality municipal bonds.* If you have any questions about the municipal bond funds, or would like information or a prospectus on CMIA LifeSpan Accounts, our new asset allocation accounts introduced earlier this year, call your Registered Representative, or 1-800-234-5606, press 3. Please remember to read the prospectus carefully before investing. David E. Sams, Jr. PRESIDENT AND CHIEF EXECUTIVE OFFICER CONNECTICUT MUTUAL LIFE INSURANCE COMPANY THE CMIA MUNICIPAL BOND ACCOUNTS THE CMIA MUNICIPAL BOND ACCOUNTS NATIONAL MUNICIPALS The National Account is a diversified series of the Company. The National Account's investment objective is to provide current income exempt from regular Federal income tax. CALIFORNIA TAX FREE The California Account is a diversified series of the Company. The California Account's investment objective is to provide current income exempt from both regular Federal income tax and California state personal income tax. MASSACHUSETTS TAX FREE The Massachusetts Account is a non-diversified series of the Company. The Massachusetts Account's investment objective is to provide current income exempt from both regular Federal income tax and Massachusetts state personal income tax. NEW YORK TAX FREE The New York Account is a non-diversified series of the Company. The New York Account's investment objective is to provide current income exempt from regular Federal income tax and New York state and New York City personal income taxes. OHIO TAX FREE The Ohio Account is a non-diversified series of the Company. The Ohio Account's investment objective is to provide current income exempt from both regular Federal income tax and Ohio state personal income tax. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE. THIS MATERIAL IS INTENDED FOR USE ONLY WHEN PRECEDED OR ACCOMPANIED BY A PROSPECTUS. * A PORTION OF THE PORTFOLIO'S INCOME COULD BE SUBJECT TO FEDERAL, STATE OR LOCAL ALTERNATIVE MINIMUM TAXES. BOND FUND SHARES ARE NOT GUARANTEED AND WILL FLUCTUATE WITH MARKET CONDITIONS AND INTEREST RATES. SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
- ---------------------------------------- ---------------------------------------- NATIONAL CALIFORNIA MUNICIPALS MUNICIPALS Although the Fund slightly underperformed the Lipper average for the third quarter of 1995, it outperformed the average, on a year to date basis, reporting a total return of 13.2 percent. The average total return of all funds in the Fund's peer group during the same period was 11.6 percent. The Fund's outperformance during the last nine months is a direct result of a duration longer than most of its peer group. In addition, the Fund continues to selectively purchase above average yield bonds in order to preserve the Fund's favorable distribution rate. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC LEHMAN BROS. MUNI. BOND NATIONAL INDEX MUNICIPALS 9/30/94 10,000.00 10,000 10/31/94 9,408.00 9,822 11/30/94 9,378.76 9,645 12/31/94 9,618.88 9,857 1/31/95 9,967.81 10,139 2/28/95 10,299.26 10,434 3/31/95 10,369.29 10,554 4/28/95 10,387.70 10,566 5/31/95 10,783.69 10,903 6/30/95 10,670.26 10,808 7/31/95 10,695.19 10,910 8/31/95 10,829.78 11,049 9/30/95 10,886.31 11,118
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. STANDARD RETURNS ARE NET OF FUND EXPENSES AND INCLUDE REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE W/OUT SC RETURNS DO NOT REFLECT THE EFFECTS OF SALES CHARGES. THE W/SC ASSUMES THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.00% FOR ALL ACCOUNTS. CALIFORNIA MUNICIPALS Despite weak total return performance during August, the Fund turned in an average total return of 12.7 percent year to date, compared with 12.3 percent Lipper average for its peer group. Performance was hindered during August by the underperformance of holdings of both County of Los Angeles and the State of California -- two situations viewed as temporary. Despite poor economic conditions in Orange and Los Angeles counties, the California economy is improving slowly -- particularly in San Francisco and the Silicon Valley. Management has been able to take advantage of California's size, choosing credits very selectively, avoiding problem areas and focusing on areas of greatest economic growth. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
LEHMAN BROS CALIFORNIA MUNICIPALS MUNI. BOND INDEX 9/30/94 10,000.00 10,000 10/31/94 9,398.40 9,822 11/30/94 9,160.97 9,645 12/31/94 9,231.22 9,857 1/31/95 9,570.89 10,139 2/28/95 9,894.01 10,434 3/31/95 10,024.08 10,554 4/28/95 9,991.97 10,566 5/31/95 10,334.04 10,903 6/30/95 10,133.34 10,808 7/31/95 10,194.53 10,910 8/31/95 10,285.45 11,049 9/30/95 10,374.08 11,118
- ---------------------------------------- ---------------------------------------- MASSACHUSETTS NEW YORK MUNICIPALS MUNICIPALS The Fund chalked up a total return of 12.6 percent for the first nine months of 1995, compared with an 11.5 percent return for its peer group. The Fund continues to keep exposure to the hospital sector quite low because of the pressures of intense competition in the health care sector. In general, Massachusetts has made great strides in recent years as employment levels have climbed significantly, personal income growth has accelerated and the state's financial position has improved. As a result of this progress, the state's debt ratings have been upgraded to A1 and A+ -- considerably higher than they were at their lowest point in early 1991. On the fiscal front, the administration recently initiated efforts to control social spending, which could result in further fiscal improvements in the future. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC LEHMAN BROS. MUNI. BOND MASSACHUSETTS INDEX MUNICIPALS 9/30/94 10,000.00 10,000 10/31/94 9,360.00 9,822 11/30/94 9,061.29 9,645 12/31/94 9,342.74 9,857 1/31/95 9,690.04 10,139 2/28/95 10,016.34 10,434 3/31/95 10,112.94 10,554 4/28/95 10,099.55 10,566 5/31/95 10,378.58 10,903 6/30/95 10,194.19 10,808 7/31/95 10,257.99 10,910 8/31/95 10,397.81 11,049 9/30/95 10,486.16 11,118
NEW YORK MUNICIPALS For the first nine months of 1995, the Fund turned in a total return of 13.2 percent, compared with the category average return of 11.5 percent. In anticipation of potential issuance reforms, the state plans to issue an unusually heavy calendar of state-supported appropriation debt between now and year-end. Anticipating that state-appropriated debt will underperform in the face of a heavy new issuance calendar, management has been reducing exposure to state-appropriation debt and swapping into high-grade debt. Once this wave of debt has come to market, state-appropriated debt should be attractively priced and once again represent a buying opportunity. This past summer, discount coupon bonds returned to favor. This was an opportunity to sell deep discounts in the New York Portfolio and trade into more moderate discount bonds that should perform comparably to deep discounts in an up market and much better in a down market. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
LEHMAN BROS. NEW YORK MUNICIPALS MUNI. BOND INDEX 9/30/94 10,000.00 10,000 10/31/94 9,360.00 9,822 11/30/94 9,041.55 9,645 12/31/94 9,325.02 9,857 1/31/95 9,651.32 10,139 2/28/95 9,989.21 10,434 3/31/95 10,101.61 10,554 4/28/95 10,100.11 10,566 5/31/95 10,415.26 10,903 6/30/95 10,243.02 10,808 7/31/95 10,327.63 10,910 8/31/95 10,466.06 11,049 9/30/95 10,524.45 11,118
- ---------------------------------------- OHIO MUNICIPALS In this Portfolio, the levels of new bond issuance have decreased significantly, creating a supply-and-demand situation that bodes well for the value of the bonds. In the first nine months of 1995, the Ohio Portfolio showed a total return of 13.7 percent, compared with an 11.4 percent total return for its peer group. The state's economy continues to be diverse and strong and its balance sheet remains healthy. Ohio also benefits from relatively conservative management and a debt burden that is low relative to that of other industrialized states. Portfolio management remains highly selective in adding health care and hospital bonds to the Portfolio, in the face of intense competition in the health care arena. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
LEHMAN BROS. MUNI. BOND OHIO INDEX MUNICIPALS 9/30/94 10,000.00 10,000 10/31/94 9,350.40 9,822 11/30/94 9,093.93 9,645 12/31/94 9,373.50 9,857 1/31/95 9,737.15 10,139 2/28/95 10,077.04 10,434 3/31/95 10,154.29 10,554 4/28/95 10,158.60 10,566 5/31/95 10,483.39 10,903 6/30/95 10,347.55 10,808 7/31/95 10,415.67 10,910 8/31/95 10,563.62 11,049 9/30/95 10,628.46 11,118
- --------------------------------------------------------------- STATEMENT OF NET ASSETS CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. September 30, 1995
- -------------------------------------------------------------------------------------------------------------------- A C C O U N T S NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS OHIO MUNICIPALS ASSETS Investment in Portfolio, at value (Identified cost $2,934,589, $282,768, $132,214, $358,451, $358,106) (Note 1A) $3,067,155 $ 438,154 $ 138,381 $ 374,596 $ 372,582 Receivable from Fund shares sold 1,515 -- -- 31 -- --------------- --------------- --------------- --------------- --------------- Total Assets 3,068,670 438,154 138,381 374,627 372,582 --------------- --------------- --------------- --------------- --------------- LIABILITIES Dividends payable 5,689 1,606 294 340 287 Accrued expenses payable 5,372 1,882 93 644 574 --------------- --------------- --------------- --------------- --------------- Total Liabilities 11,061 3,488 387 984 861 --------------- --------------- --------------- --------------- --------------- NET ASSETS $3,057,609 $ 434,666 $ 137,994 $ 373,643 $ 371,721 --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- OUTSTANDING SHARES 285,630 42,546 13,363 35,894 35,279 --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- NET ASSET VALUE PER SHARE $10.70 $10.22 $10.33 $10.41 $10.54 -------- --------- --------- --------- --------- -------- --------- --------- --------- --------- NET ASSETS CONSIST OF: Capital (par value and paid-in surplus) $2,958,125 $314,871 $133,118 $360,812 $359,041 Undistributed net investment income 19 246 12 19 62 Accumulated undistributed net realized loss (33,101) (35,837) (1,303) (3,333) (1,858) Net unrealized appreciation 132,566 155,386 6,167 16,145 14,476 --------------- --------------- --------------- --------------- --------------- NET ASSETS $3,057,609 $434,666 $137,994 $373,643 $371,721 --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- ---------------
The accompanying notes are an integral part of these financial statements. 1 - --------------------------------------------------------------- STATEMENT OF OPERATIONS CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. For the period from October 3, 1994 (Inception) to September 30, 1995
- -------------------------------------------------------------------------------------------------------------------- A C C O U N T S NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS INVESTMENT INCOME Interest income allocated from Portfolio $ 114,578 $ 53,387 $ 2,899 $ 13,637 Expenses allocated from Portfolio (7,315) (4,578) (224) (1,045) --------------- --------------- ------- ------- Total investment income 107,263 48,809 2,675 12,592 --------------- --------------- ------- ------- Operating Expenses 5,452 1,960 141 695 --------------- --------------- ------- ------- NET INVESTMENT INCOME 101,811 46,849 2,534 11,897 --------------- --------------- ------- ------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) from Portfolio -- Investment transactions (identified cost basis) (9,541) (28,589) (818) 457 Financial futures contracts (23,560) (7,248) (485) (3,790) --------------- --------------- ------- ------- Net realized loss on investments (33,101) (35,837) (1,303) (3,333) --------------- --------------- ------- ------- Change in unrealized appreciation (depreciation) -- Investments 130,277 162,793 6,242 15,580 Financial futures contracts 2,289 (7,407) (75) 565 --------------- --------------- ------- ------- Net unrealized appreciation 132,566 155,386 6,167 16,145 --------------- --------------- ------- ------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 99,465 119,549 4,864 12,812 --------------- --------------- ------- ------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 201,276 $ 166,398 $ 7,398 $ 24,709 --------------- --------------- ------- ------- --------------- --------------- ------- ------- - ---------------------------------------------- OHIO MUNICIPALS INVESTMENT INCOME Interest income allocated from Portfolio $ 12,968 Expenses allocated from Portfolio (1,107) ------- Total investment income 11,861 ------- Operating Expenses 625 ------- NET INVESTMENT INCOME 11,236 ------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) from Portfolio -- Investment transactions (identified cost basis) 554 Financial futures contracts (2,412) ------- Net realized loss on investments (1,858) ------- Change in unrealized appreciation (depreciation) -- Investments 14,390 Financial futures contracts 86 ------- Net unrealized appreciation 14,476 ------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 12,618 ------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 23,854 ------- -------
2 The accompanying notes are an integral part of these financial statements. - --------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. For the period from October 3, 1994 (Inception) to September 30, 1995
- -------------------------------------------------------------------------------------------------------------------- A C C O U N T S NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK OHIO MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS INCREASE IN NET ASSETS FROM OPERATIONS: Net investment income $ 101,811 $ 46,849 $ 2,534 $ 11,897 $ 11,236 Net realized loss on investments (33,101) (35,837) (1,303) (3,333) (1,858) Net unrealized appreciation 132,566 155,386 6,167 16,145 14,476 --------------- -------------- --------------- --------------- --------------- Net increase in net assets resulting from operations 201,276 166,398 7,398 24,709 23,854 --------------- -------------- --------------- --------------- --------------- DIVIDENDS TO SHAREHOLDERS: From net investment income (101,792) (46,603) (2,522) (11,878) (11,174) --------------- -------------- --------------- --------------- --------------- FROM CAPITAL SHARE TRANSACTIONS: Net proceeds from sale of shares 2,949,096 1,623,483 132,175 361,732 453,014 Net asset value of shares issued to shareholders from reinvestment of dividends 63,742 37,455 943 10,466 8,525 Cost of shares reacquired (54,713) (1,346,067) -- (11,386) (102,498) --------------- -------------- --------------- --------------- --------------- Increase in net assets derived from capital share transactions 2,958,125 314,871 133,118 360,812 359,041 --------------- -------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS 3,057,609 434,666 137,994 373,643 371,721 NET ASSETS -- BEGINNING OF PERIOD -- -- -- -- -- --------------- -------------- --------------- --------------- --------------- NET ASSETS -- END OF PERIOD $3,057,609 $ 434,666 $ 137,994 $ 373,643 $ 371,721 --------------- -------------- --------------- --------------- --------------- --------------- -------------- --------------- --------------- --------------- Undistributed net investment income included in net assets at end of period $19 $246 $12 $19 $62 ------ ------ ------- ------- ------ ------ ------ ------- ------- ------
The accompanying notes are an integral part of these financial statements. 3 - --------------------------------------------------------------- FINANCIAL HIGHLIGHTS CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. For the period from October 3, 1994 (Inception) to September 30, 1995 Selected data for a share of capital stock outstanding throughout the period:
DISTRIBUTIONS RATIO OF DIVIDENDS NET REALIZED FROM NET NET ASSET NET ASSET OPERATING YEAR NET FROM NET & UNREALIZED REALIZED VALUE AT VALUE AT EXPENSES TO ENDED INVESTMENT INVESTMENT GAIN (LOSS) GAIN ON BEGINNING END OF AVERAGE SEPTEMBER 30 INCOME INCOME ON INVESTMENTS INVESTMENTS OF PERIOD PERIOD NET ASSETS (B) - --------------------------------------------------------------------------------------------------------------------- NATIONAL MUNICIPALS ACCOUNT 1995 (a) $.61 $(.61) $.70 $ -- $10.00 $10.70 .80% CALIFORNIA MUNICIPALS ACCOUNT 1995 (a) .56 (.56) .22 -- 10.00 10.22 .80 MASSACHUSETTS MUNICIPALS ACCOUNT 1995 (a) .56 (.56) .33 -- 10.00 10.33 .80 NEW YORK MUNICIPALS ACCOUNT 1995 (a) .52 (.52) .41 -- 10.00 10.41 .80 OHIO MUNICIPALS ACCOUNT 1995 (a) .50 (.50) .54 -- 10.00 10.54 .80 RATIO OF RATIO OF NET INTEREST INVESTMENT NET ASSETS YEAR EXPENSE TO INCOME TO AT END OF ANNUAL ENDED AVERAGE AVERAGE PERIOD (IN TOTAL SEPTEMBER 30 NET ASSETS (B) NET ASSETS(B) THOUSANDS) RETURN (C) - -------------- NATIONAL MUNIC 1995 .02% 6.45% $ 3,058 13.40% CALIFORNIA MUN 1995 -- 5.91 435 8.06 MASSACHUSETTS 1995 -- 5.53 138 9.23 NEW YORK MUNIC 1995 .01 5.48 374 9.63 OHIO MUNICIPAL 1995 .03 5.40 372 10.71
(a) For the period from October 3, 1994 (Inception) to September 30, 1995 (b) Annualized (c) Annual total returns do not include the effect of sales charges 4 The accompanying notes are an integral part of these financial statements. - --------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. September 30, 1995 - -------------------------------------------------------- 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES Connecticut Mutual Investments Accounts, Inc. (the Fund), a Maryland corporation, is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Fund is comprised of thirteen separate Accounts, five of which are included in these financial statements: National Municipals Account, California Municipals Account, Massachusetts Municipals Account, New York Municipals Account and Ohio Municipals Account. Each Account invests all of its investable assets in interests in a separate corresponding open-end management investment company (a "Portfolio"), a New York Trust, having the same investment objective as its corresponding Account. The National Municipals Account invests its assets in the National Municipals Portfolio, the California Municipals Account invests its assets in the California Tax Free Portfolio, the Massachusetts Municipals Account invests its assets in the Massachusetts Tax Free Portfolio, the New York Municipals Account invests its assets in the New York Tax Free Portfolio, and the Ohio Municipals Account invests its assets in the Ohio Tax Free Portfolio. The value of each Account's investment in its corresponding Portfolio reflects the Account's proportionate interest in the net assets of that Portfolio (0.14%, 0.11%, 0.05%, 0.06% and 0.12%, at September 30, 1995, for the National Municipals Account, California Municipals Account, Massachusetts Municipals Account, New York Municipals Account and Ohio Municipals Account, respectively). The performance of each Account is directly affected by the performance of its corresponding Portfolio. The financial statements of each Portfolio, including the portfolio investments, are included elsewhere in this report and should be read in conjunction with each Account's financial statements. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles. (a)INVESTMENT VALUATION - Valuation of securities by the Portfolios is discussed in Note 1 of the Portfolios' Notes to Financial Statements which are included elsewhere in this report. (b)INCOME - Each Account's net investment income consists of the Account's pro rata share of the net investment income of its corresponding Portfolio, less all expenses of each Account. (c)FEDERAL INCOME TAXES - Each Account's policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year all of its taxable and tax-exempt income, including any net realized gain on investments. Accordingly, no provision for federal income or excise tax is necessary. Dividends paid by each Account from net interest on tax-exempt municipal bonds allocated from its corresponding Portfolio are not includable by shareholders as gross income for federal income tax purposes because each Account and Portfolio intend to meet certain requirements of the Internal Revenue Code applicable to regulated investment companies which will enable the Accounts to pay tax-exempt interest dividends. The portion of such interest, if any, earned on private activity bonds issued after August 7, 1986, may be considered a tax preference item to shareholders. - --------------------------------------------------------------- 2. DISTRIBUTIONS TO SHAREHOLDERS The net income of an Account is determined daily and substantially all of the net income so determined is declared as a dividend to shareholders of record at the time of declaration. Distributions are paid monthly. Distributions of realized capital gains, if any, are made at least annually. Distributions are paid in the form of additional shares of an Account at the net asset value as of the ex-dividend date or, at the election of the shareholder, in cash. The Fund distinguishes between distributions on a tax basis and a financial reporting basis. Generally accepted accounting principles require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains. 5 - --------------------------------------------------------------- 3. CAPITAL STOCK The authorized capital stock of the Fund at September 30, 1995 consisted of 3,000,000,000 shares of common stock, par value $0.001 per share. The shares of stock are divided among thirteen separate Accounts, five of which are indicated below. All shares of common stock have equal voting rights, except that only shares of a particular Account are entitled to vote on matters pertaining to that Account. Transactions in capital stock were as follows:
- ---------------------------------------------------------------------------------------------------------------------------- FOR THE PERIOD FROM OCTOBER 3, 1994 (INCEPTION) TO SEPTEMBER 30, 1995 NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS Shares authorized (in millions) 200 200 200 200 --- --- --- --- --- --- --- --- Shares sold 284,763 169,643 13,270 35,980 Shares issued to shareholders from reinvestment of dividends 6,005 3,744 93 1,020 ------- --------------- ------ ------ Total issued 290,768 173,387 13,363 37,000 Shares reacquired (5,138) (130,841) -- (1,106) ------- --------------- ------ ------ Net increase 285,630 42,546 13,363 35,894 ------- --------------- ------ ------ ------- --------------- ------ ------ - -------------------------------------------------- OHIO MUNICIPALS Shares authorized (in millions) 200 --- --- Shares sold 44,330 Shares issued to shareholders from reinvestment of dividends 821 ------ Total issued 45,151 Shares reacquired (9,872) ------ Net increase 35,279 ------ ------
- -------------------------------------------------- 4. INVESTMENT TRANSACTIONS Increases and decreases in each Account's investment in its corresponding Portfolio for the period from October 3, 1994 (inception) to September 30, 1995 were as follows:
NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS Increases $2,947,581 $1,623,484 $ 132,176 $ 361,701 Decreases 87,154 1,353,687 1,333 12,509 OHIO MUNICIPALS Increases $ 453,014 Decreases 104,911
- -------------------------------------------------- 5. TRANSACTIONS WITH AFFILIATES G. R. Phelps & Co., Inc., a wholly owned subsidiary of Connecticut Mutual Life Insurance Company, Inc., serves as the administrator of each Account, but receives no compensation. For the period from October 3, 1994 (inception) to September 30, 1995, the Administrator, serving as principal underwriter for sale of shares of the Accounts, earned $174,385 related to sales charges deducted for shares sold and contingent deferred sales charges for shares redeemed. Also, during the period from October 3, 1994 (inception) to September 30, 1995, the Administrator subsidized operating expenses on the Accounts in order to maintain the Accounts' annualized expense ratio limits as set forth in the Accounts' prospectus. Subsidies were as follows: National Municipals -- $45,680, California Municipals -- $27,997, Massachusetts Municipals -- $27,390, New York Municipals -- $29,452 and Ohio Municipals -- $29,208. Each Portfolio has engaged the services of Boston Management and Research, a wholly owned subsidiary of Eaton Vance Management, as its investment adviser. Each Account has adopted a distribution plan (Plan) in accordance with the requirements of Rule 12b-1 of the Investment Company Act of 1940, as amended. Under each Plan, each Account may pay G. R. Phelps & Co., Inc. (the Distributor) a fee, not exceeding 0.25% of the Account's average daily net assets for any fiscal year, as reimbursement for its expenditures incurred in distributing and servicing shares of the Account. No Account has paid any amounts pursuant to a Rule 12b-1 distribution plan during the period from October 3, 1994 (inception) to September 30, 1995. 6 REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS To the Board of Directors of Connecticut Mutual Investment Accounts, Inc.: We have audited the accompanying statement of net assets of Connecticut Mutual Investment Accounts, Inc. (a Maryland corporation) National Municipals, California Municipals, Massachusetts Municipals, New York Municipals and Ohio Municipals Accounts as of September 30, 1995, and the related statement of operations and statement of changes in net assets for the period from inception (October 3, 1994) to September 30, 1995, and the financial highlights for the period indicated. These financial statements and financial highlights are the responsibility of the Accounts' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. We conducted our audit in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights 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 audit provides a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective Municipals Accounts comprising Connecticut Mutual Investment Accounts, Inc. as of September 30, 1995, the results of their operations and the changes in their net assets for the period from inception (October 3, 1994) to September 30, 1995, and the financial highlights for the period indicated in conformity with generally accepted accounting principles. Arthur Andersen LLP Hartford, Connecticut November 15, 1995 7 - --------------------------------------------------------------- PORTFOLIO OF INVESTMENTS September 30, 1995 NATIONAL MUNICIPALS PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) PRINCIPAL - -------------------- AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS -- 100% UTILITY REVENUE BONDS -- 4.0% Baa2 BBB $ 10,000 Brazos River Authority, Texas, PCR, Texas Utilities Electric Company, 9.25%, 3/1/18 $ 11,183,800 Aa AA 22,600 Lewis County, Washington, Cowlitz Falls Hydroelectric Project, 5.5%, 10/1/22 21,415,308 Aa AA 10,000 Los Angeles, California, Department of Water & Power, 5%, 10/15/33 8,347,900 Aa AA 29,700 Washington Public Power Supply System, Project 2, 4.8%, 7/1/04 28,487,052 Aaa AAA 16,340 Washington Public Power Supply System, Project 2, 5%, 7/1/09 15,111,232 NR NR 5,000 West Feliciana, Louisiana, PCR, Gulf States Utilities Company Project, (AMT), 9%, 5/1/15 5,619,600 ------------- 90,164,892 ------------- HEALTH CARE -- 2.5% NR NR 17,070 Bell County, Texas, Health Facilities, Care Institute Inc., 9%, 11/1/24 18,102,223 NR NR 5,000 Delaware County, Pennsylvania, Glen Riddle Project, 8.625%, 9/1/25 5,007,700 NR NR 5,460 Hillsborough County, Florida, IDA, Center for Independent Living, Tampa Projects, 11%, 3/1/19 (4) 4,368,000 NR NR 4,650 Hillsborough County, Florida, IDA, Center for Independent Living, Tampa Projects, 10.25%, 3/1/09 (4) 3,720,000 NR NR 18,740 Illinois Development Finance Authority, Care Institute Inc., 7.8%, 6/1/25 17,846,851 NR NR 7,915 Roseville, Minnesota, Elder Care Facility, Care Institute Inc., 7.75%, 11/1/23 7,960,828 ------------- 57,005,602 ------------- HOSPITALS -- 11.2% NR BBB 7,000 Arizona Health Facilities, Phoenix Memorial, 8.2%, 6/1/21 7,473,760 NR NR 2,450 Berlin, Maryland, Atlantic General, 8.375%, 6/1/22 2,590,703 Baa1 BBB+ 12,700 Butler County, Pennsylvania, Butler Memorial, 8%, 7/1/16 13,372,719 Baa NR 10,180 Chaves County, New Mexico, Eastern New Mexico Medical Center, 7.25%, 12/1/22 10,376,270 NR BBB+ 8,405 Christian County, Kentucky, Jennie Stuart Medical Center, 7.625%, 4/1/10 8,768,012 Baa BBB 35,000 Colorado Health Facilities, Rocky Mountain Adventist Healthcare, 6.625%, 2/1/22 34,082,650 NR BBB- 3,000 Colorado Health Facilities, National Jewish Center For Immunology and Respiratory Medicine, 6.875%, 2/15/12 2,943,420 NR BBB- 5,015 Colorado Health Facilities, National Jewish Center For Immunology and Respiratory Medicine, 7.1%, 2/15/22 4,869,213 Baa1 NR 4,000 Crossville, Tennessee, HEFA, Cumberland Medical Center, 6.75%, 11/1/12 4,051,080 Baa1 BBB 6,000 District of Columbia, Washington Hospital Center Issue -- Medlantic Healthcare Group, Inc., 7.125%, 8/15/19 5,982,240 NR A- 5,000 Dubuque, Iowa, Finley Hospital Project, 6.875%, 1/1/12 5,234,550 NR NR 1,325 Grant County, New Mexico, Gila Regional Medical Center, 10%, 2/1/12 1,404,898 NR BBB- 5,720 Grove City Area Hospital Authority, Pennsylvania, United Community Hospital, 8.125%, 7/01/12 5,920,886 NR BBB- 4,000 Hawaii Department of Budget and Finance, Special Purpose Mortgage Revenue, Wahiawa General Hospital, 7.5%, 7/1/12 4,118,080 NR NR 4,760 Health Services Authority of Hazelton, Luzerne County, Pennsylvania, Hazelton -- Saint Joseph Medical Center, 8.375%, 7/1/12 4,921,078 NR BBB+ 4,650 Illinois, Chicago Osteopathic Health Systems, 7.125%, 5/15/11 4,795,778 NR BBB+ 4,500 Illinois, Chicago Osteopathic Health Systems, 7.25%, 5/15/22 4,615,245 Baa1 NR 1,000 Illinois HFA, Holy Cross Hospital, 6.7%, 3/1/14 1,000,660 Baa1 NR 2,650 Illinois HFA, Holy Cross Hospital, 6.75%, 3/1/24 2,623,341 Baa NR 4,500 Indiana Health Facility Financing Authority, Memorial Hospital and Health Care Center, 7.4%, 3/1/22 4,618,440 Baa1 BBB+ 3,750 Louisiana Public Facilities Authority, Woman's Hospital Foundation, 7.25%, 10/1/22 3,824,325 Baa BB+ 10,000 Maricopa County, Arizona, Sun Health Corporation, 8.125%, 4/1/12 10,701,300 Baa NR 2,000 Marshall County, Alabama, Guntersville -- Arab Medical Center, 7%, 10/1/09 2,048,160
8 NATIONAL MUNICIPALS PORTFOLIO (cont'd)
- --------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) PRINCIPAL - -------------------- AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) HOSPITALS (CONTINUED) Baa NR $ 2,000 Marshall County, Alabama, Guntersville -- Arab Medical Center, 7%, 10/1/13 $ 2,029,360 NR BBB 6,000 Midland County Hospital District, Memorial Hospital and Medical Center, 0%, 6/1/07 2,972,040 NR BBB 6,500 Midland County Hospital District, Memorial Hospital and Medical Center, 0%, 6/1/11 2,360,020 Ba NR 5,000 Mississippi Hospital Equipment and Facilities Authority, Magnolia Hospital, 7.375%, 10/1/21 4,962,800 NR BBB 5,340 Montgomery County, Ohio, Dayton Osteopathic Hospital, 6%, 12/1/12 4,956,268 Ba1 NR 3,090 Montgomery County, Pennsylvania, United Hospitals, Inc., 7.5%, 11/1/13 3,112,279 Ba1 NR 2,000 Montgomery County, Pennsylvania, United Hospitals, Inc., 7.5%, 11/1/14 2,011,620 Ba1 NR 3,465 Montgomery County, Pennsylvania, United Hospitals, Inc., 7.5%, 11/1/15 3,482,706 Baa NR 8,405 New Hampshire HEFA, Frisbie Memorial Hospital, 6.125%, 10/1/13 7,928,857 A BBB+ 10,000 Philadelphia, Pennsylvania, Albert Einstein Medical Center, 7%, 10/1/21 10,402,900 Baa1 BBB+ 9,000 Philadelphia, Pennsylvania, Graduate Health System Obligated Group, 6.625%, 7/1/21 8,829,900 Baa1 A- 9,250 Philadelphia, Pennsylvania, Temple University Hospital, 6.625%, 11/15/23 9,173,318 Baa NR 6,000 Prince George's County, Maryland, Greater Southeast Healthcare System, 6.375%, 1/1/23 5,444,700 Baa1 BBB+ 10,000 Randolph County Building Commission, West Virginia, Davis Memorial Hospital, 7.65%, 11/1/21 10,495,900 NR BB+ 8,000 Scranton -- Lackawanna Health and Welfare Authority, Pennsylvania, Moses Taylor Hospital, 8.25%, 7/1/09 8,384,720 Baa BBB 8,000 South Dakota HEFA, Prairie Lakes Health Care System Issue, 7.25%, 4/1/22 8,148,160 NR NR 5,220 Vermont Educational and Health Buildings Financing Agency, Northwestern Medical Center Project, 9.75%, 9/1/18 5,682,440 NR NR 4,950 Winslow, Arizona, IDA, Winslow Memorial Hospital, 9.5%, 6/1/22 5,444,406 ------------- 256,159,202 ------------- LIFE CARE -- 8.4% NR NR 8,616 Albuquerque, New Mexico, First Mortgage IDR, La Vida Llena Retirement Center 8.625%, 2/1/20 9,075,061 NR NR 7,000 Albuquerque, New Mexico, First Mortgage IDR, La Vida Llena Retirement Center 8.85%, 2/1/23 7,451,150 NR NR 5,744 Albuquerque, New Mexico, First Mortgage IDR, La Vida Llena Retirement Center 2.25%, 2/1/23 1,872,659 NR NR 10,000 Atlantic Beach, Florida, Fixed Rate Improvement, Fleet Landing Project, 8%, 10/1/24 10,455,200 NR NR 3,060 Chester County, Pennsylvania, Kimberton Project, (AMT), 8.5%, 9/1/25 3,066,946 NR NR 5,185 Collier County, IDA, Florida, Retirement Rental, Beverly Enterprises -- Florida, Inc., 10.75%, 3/1/03 6,088,590 NR NR 12,555 Dekalb Private Hospital, Georgia GF/Atlanta, 8.5%, 3/1/25 12,327,378 NR NR 4,320 Florence, Kentucky, Housing Facilities, Bluegrass RHF Housing, Inc., 9.5%, 7/1/17 4,582,440 NR NR 6,690 Fulton County Residential Care Facilities for the Elderly Authority, Georgia, Lenbrook Square Foundation, Inc., 9.75%, 1/1/17 7,066,112 Baa1 NR 10,000 Indianapolis, Indiana, National Benevolent Association -- Robin Run Village, 7.625%, 10/1/22 10,466,600 NR NR 4,500 Kansas City, Missouri, IDA, Kingswood United Methodist Manor, 9%, 11/15/13 4,843,755 NR NR 2,100 Loudon County, Virginia, IDA, Residential Care, Falcons Landing, 9.25%, 7/1/04 2,252,964 NR NR 20,400 Loudon County, Virginia, IDA, Residential Care, Falcons Landing, 8.75%, 11/1/24 20,793,312 NR NR 18,545 Louisiana HFA -- HCC Assisted Living Group 1, 9%, 3/1/25 18,912,747 NR NR 1,950 New Hampshire Higher Educational & Health Facilities, Riverwoods at Exeter, 8%, 3/1/01 2,000,427
9 NATIONAL MUNICIPALS PORTFOLIO (cont'd)
- --------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) PRINCIPAL - -------------------- AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) LIFE CARE (CONTINUED) NR NR $ 10,000 New Hampshire Higher Educational & Health Facilities, Riverwoods at Exeter, 9%, 3/1/23 $ 10,696,100 NR NR 3,500 New Jersey EDA, Cadbury Corporation -- 1991 Project, 7.5%, 7/1/21 3,432,975 NR NR 20,000 New Jersey EDA, Keswick Pines Project, 8.75%, 1/1/24 20,137,200 NR NR 10,000 New Jersey EDA, Forsgate Project, 8.625%, 6/1/25 9,763,200 NR NR 13,955 St Tammany Public Finance, Christwood Project, 9%, 11/15/25 13,739,116 NR NR 7,500 Vermont IDA, Wake Robin Corporation, 8.75%, 4/1/23 7,842,825 NR NR 4,500 Vermont IDA, Wake Robin Corporation, 8.75%, 3/1/23 4,840,605 ------------- 191,707,362 ------------- NURSING HOME -- 6.7% NR NR 13,680 Bell County, Texas, Riverside Healthcare, Inc. -- Normandy Terrace, 9%, 4/1/23 14,700,391 NR NR 5,500 Dauphin County IDA, Pennsylvania, Susquehanna Center Nursing Facility, 10%, 6/1/21 (4) 3,575,000 NR NR 5,000 Delaware County, Pennsylvania, Mainline -- Haverford Nursing and Rehabilitation Centers, 9%, 8/1/22 5,442,150 NR NR 930 Jefferson County IDA, Missouri, Cedar Hills Retirement Village, 12%, 12/1/15 968,716 NR NR 3,750 Lackawanna County, Pennsylvania IDA, Edella Street Associates, 8.875%, 9/1/14 4,084,012 NR NR 3,445 Luzerne County, Pennsylvania, IDA, River Street Associates, 8.75%, 6/15/07 3,708,301 NR NR 6,455 Massachusetts HEFA, Fairview Extended Care Services, Inc., 10.125%, 1/1/11 7,041,437 NR NR 11,790 Mississippi Finance Corp., Magnolia Healthcare, 7.99%, 7/1/25 11,139,546 NR NR 6,750 Missouri HEFA, Bethesda Health Group of St. Louis, Inc., 6.625%, 8/15/05 6,761,340 NR NR 14,000 Missouri HEFA, Bethesda Health Group of St. Louis, Inc., 7.5%, 8/15/12 14,417,200 NR NR 12,500 Montgomery County, Pennsylvania, IDA, Advancement of Geriatric Health Care Institute, 8.375%, 7/1/23 12,967,875 NR NR 5,000 New Jersey EDA, Claremont Health System, Inc., 9.10%, 9/1/22 5,280,600 NR NR 5,915 New Jersey EDA, Victoria Health Corporation, 7.75%, 1/1/24 5,927,067 NR NR 3,305 Okaloosa County, Florida, Beverly Enterprises -- Florida, Inc., 10.75%, 10/1/03 3,612,927 NR NR 3,500 Philadelphia, Pennsylvania, The Philadelphia Protestant Home Project, 8.625%, 7/1/21 3,559,255 Baa1 BBB 4,630 Racine County, Wisconsin, Health Center, 8.125%, 8/1/21 4,836,915 NR NR 5,000 Rhode Island Health and Education Building, Steere House, 8.25%, 7/1/15 5,276,050 NR NR 12,430 St. Paul, Minnesota, Housing and Redevelopment, Care Institute, Inc. -- Highland, 8.75%, 11/1/24 12,528,570 NR NR 5,000 Sussex County, Delaware, Delaware Health Corporation, 7.6%, 1/1/24 5,002,600 NR NR 5,000 Sussex County, Delaware, Delaware Health Corporation, 7.5%, 1/1/14 5,088,500 NR NR 4,500 Tarrant County Health Facilities, Texas, 3927 Foundation, Inc., 10.25%, 9/1/19 4,747,950 NR NR 1,805 Upshur County, West Virginia County Commission, Holbrook Nursing Home, Inc., 10.25%, 4/1/12 1,878,120 NR NR 6,000 Westmoreland County, Pennsylvania, IDA, Highland Health System, Inc., 9.25%, 6/1/22 6,291,180 NR NR 3,605 Wood County, West Virginia, West Virginia Rehabilitation Services, Inc., (AMT), 9.5%, 12/1/15 3,857,206 ------------- 152,692,908 ------------- SINGLE & MULTI-FAMILY HOUSING -- 3.1% Aa AA- 9,850 California Housing Finance Agency, (AMT), "RIBS", Variable Rate, 8/1/23 (1) 9,997,750 NR NR 7,000 Chester County, Pennsylvania, IDB, Senior Life Choice of Paoli, L.P., 8.05%, 1/1/24 7,094,570 NR NR 9,500 Lake Creek Affordable Housing Corporation, Multifamily Housing, 8%, 12/1/23 9,624,165 NR NR 8,000 Los Angeles County Housing Authority, California, Multifamily Housing, Corporate Fund for Housing Projects, 10.5%, 12/1/29 8,246,800 NR BBB+ 2,000 Massachusetts Housing Finance Authority, Multifamily, Harbor Point Revenue, (AMT), 8%, 12/1/15 2,075,680 NR NR 3,345 Minneapolis Community Development, Multifamily, Lindsay Brothers, 9.5%, 12/1/07 3,466,892 NR NR 2,185 Minneapolis Community Development, Multifamily, Lindsay Brothers, 1.5%, 12/1/07 823,985
10 NATIONAL MUNICIPALS PORTFOLIO (cont'd)
- --------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) PRINCIPAL - -------------------- AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) SINGLE & MULTI-FAMILY HOUSING (CONTINUED) NR NR $ 4,770 North Little Rock Residential Housing Facilities, Arkansas, Parkstone Place, 9.75%, 8/1/21 $ 4,994,238 NR NR 4,000 North Miami, Florida, Health Care Facilities, The Imperial Club, 8%, 1/1/13 3,651,160 NR NR 8,925 North Miami, Florida, Health Care Facilities, The Imperial Club, 9.25%, 1/1/13 9,533,863 NR NR 5,000 Village of North Syracuse Housing Authority, AJM Senior Housing, Inc., Janus Park, 8%, 6/1/24 4,878,600 NR NR 5,800 Ridgeland, Mississippi, Urban Renewal, The Orchard Limited Project, 7.75%, 12/1/15 5,740,782 ------------- 70,128,485 ------------- HOTELS -- 0.6% NR NR 3,885 Chandler, Arizona, IDA, SMP II Limited Partner, Resort/Convention Center, 7.5%, 12/1/15 3,864,409 NR NR 1,929 Illinois Development Finance Authority, Comfort Inn -- O'Hare, 10%, 5/1/16 2,107,681 NR NR 1,068 Illinois Development Finance Authority, Comfort Inn -- O'Hare, 2.5%, 5/1/16 373,194 NR NR 1,025 Kirksville, Missouri, IDA, Holiday Inn, 10.5%, 7/1/03 (4) 563,750 NR NR 3,615 Kirksville, Missouri, IDA, Holiday Inn, 11%, 7/1/16 (4) 1,988,250 NR NR 4,205 Niagara County, New York, IDA, Wintergarden Inn Associate, 9.75%, 6/1/11 (4) 2,312,750 NR NR 1,795 Orange Beach, Alabama, Romar Hotels, Inc., 10.5%, 4/1/16 1,901,156 ------------- 13,111,190 ------------- GENERAL OBLIGATIONS -- 0.5% A1 A 14,500 California, 4.75%, 9/1/23 11,848,095 ------------- LEASE/CERTIFICATES OF PARTICIPATION -- 1.0% A A 16,500 Indiana Transportation Finance, Airport Facilities, 6.25%, 11/1/16 16,422,450 NR A- 3,500 Plymouth County, Massachusetts, COP, Plymouth County Correctional Facility, 7%, 4/1/22 3,753,015 NR NR 2,500 St. Louis, Missouri, Convention and Sports Facility, 7.9%, 8/15/21 2,741,875 ------------- 22,917,340 ------------- TRANSPORTATION -- 14.4% Baa2 BB+ 28,000 Chicago, Illinois, O'Hare International, American Airlines, (AMT), 7.875%, 11/1/25 30,009,560 Baa2 BB+ 20,275 Chicago, Illinois, O'Hare International, American Airlines, 8.2%, 12/1/24 23,277,322 Baa2 BB+ 41,000 Dallas-Fort Worth, Texas, International Airport Facility, American Airlines, (AMT), 7.25%, 11/1/30 42,995,880 Baa BB 8,000 Denver, Colorado, Airport System Revenue, (AMT), 7%, 11/15/25 8,086,160 Baa BB 7,800 Denver, Colorado, Airport System Revenue, (AMT), 8%, 11/15/17 8,391,708 Baa BB 5,725 Denver, Colorado, Airport System Revenue, (AMT), 7.5%, 11/15/23 6,111,724 Baa3 BB 95,500 Denver, Colorado, United Airlines, (AMT), 6.875%, 10/1/32 96,293,605 A A- 5,000 Hawaii Airports, (AMT), 7%, 7/1/18 5,255,200 NR NR 2,200 Los Angeles International Airport, Continental Airlines, (AMT), 9%, 8/1/08 2,420,154 NR NR 4,425 Los Angeles International Airport, Continental Airlines, (AMT), 9%, 8/1/17 4,740,237 NR BBB 900 New York State Thruway Authority, Cross -- Westchester Expressway, 0%, 1/1/02 633,987 NR BBB 4,000 New York State Thruway Authority, Cross -- Westchester Expressway, 0%, 1/1/03 2,702,240 NR BBB 2,940 New York State Thruway Authority, Cross -- Westchester Expressway, 0%, 1/1/04 1,838,235 NR BBB 2,905 New York State Thruway Authority, Cross -- Westchester Expressway, 0%, 1/1/06 1,596,965 A1 AA- 15,000 Port Authority of New York and New Jersey, (AMT), Variable Rate, 1/15/27 (1) 15,537,300 B2 NR 11,000 Port Authority of New York and New Jersey, La Guardia Airport, Continental and Eastern Airlines, (AMT), 9.125%, 12/1/15 12,412,620 A1 AA- 5,000 Port of Seattle, Washington, (AMT), 6%, 12/1/14 5,001,650 NR NR 35,100 San Joaquin Hills, California, Toll Roads, 0%, 1/1/17 8,098,272 NR NR 25,000 San Joaquin Hills, California, Toll Roads, 0%, 1/1/18 5,383,250 NR NR 46,210 San Joaquin Hills, California, Toll Roads, 0%, 1/1/20 8,668,072 NR NR 72,685 San Joaquin Hills, California, Toll Roads, 0%, 1/1/21 12,724,963
11 NATIONAL MUNICIPALS PORTFOLIO (cont'd)
- --------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) PRINCIPAL - -------------------- AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) TRANSPORTATION (CONTINUED) NR NR $ 29,225 San Joaquin Hills, California, Toll Roads, 0%, 1/1/22 $ 4,775,365 NR NR 45,045 San Joaquin Hills, California, Toll Roads, 0%, 1/1/23 6,869,363 NR NR 108,260 San Joaquin Hills, California, Toll Roads, 0%, 1/1/24 15,409,728 ------------- 329,233,560 ------------- WATER & SEWER -- 0.6% A A- 10,000 New York City Municipal Water Finance Authority, 6.25%, 6/15/21 10,065,500 Baa BBB 4,000 Philadelphia, Pennsylvania, Municipal Water Finance Authority, 7%, 8/1/18 4,473,320 ------------- 14,538,820 ------------- SOLID WASTE -- 2.7% Baa2 BBB+ 6,050 Carbon County, Utah, Laidlaw, (AMT), 7.5%, 2/1/10 6,466,603 NR A- 2,625 Eastern Connecticut, Resource Recovery, Wheelabrator, 5.5%, 1/1/14 2,382,923 NR A- 11,495 Eastern Connecticut, Resource Recovery, Wheelabrator, 5.5%, 1/1/20 10,306,187 Ba NR 2,000 Mercer County, New Jersey, Improvement Authority, (AMT), 0%, 4/1/14 533,040 Ba NR 5,000 Mercer County, New Jersey, Improvement Authority, (AMT), 0%, 4/1/15 1,240,650 Ba NR 10,000 Mercer County, New Jersey, Improvement Authority, (AMT), 0%, 4/1/16 2,310,100 NR NR 35,000 Village of Robbins, Cook County, Illinois, Robbins Resource Recovery Partners, L.P., 9.25%, 10/15/16 38,525,200 ------------- 61,764,703 ------------- COGENERATION FACILITIES -- 3.3% NR NR 14,000 Maryland Energy, AES Warrior Run Project, (AMT), 7.4%, 9/1/19 14,411,740 NR NR 21,150 New Jersey EDA, Vineland Cogeneration Limited Partnership Project, (AMT), 7.875%, 6/1/19 23,738,155 NR NR 2,300 Palm Beach County, Florida, Solid Waste IDR, Osceola Power Limited Partnership Project, (AMT), 6.95%, 1/1/22 2,294,135 NR NR 7,000 Pennsylvania EDA, Northampton Generating Project, Junior Leins, (AMT), 6.875%, 1/1/11 6,777,750 NR NR 13,450 Pennsylvania EDA, Northampton Generating Project, (AMT), 6.6%, 1/1/19 12,760,822 NR NR 5,100 Pennsylvania EDA, Northampton Generating Project, (AMT), 6.5%, 1/1/13 4,955,364 NR NR 10,000 Pennsylvania EDA, Colver Project, (AMT), 8.05%, 12/1/15 10,371,200 ------------- 75,309,166 ------------- INDUSTRIALS -- 10.4% Baa2 NR 3,000 Camden, Alabama, IDB, MacMillan Bloedel Project, 7.75%, 5/1/09 3,191,250 NR NR 4,325 College Park, Georgia, Airport Parking Venture, 10%, 5/15/16 3,892,500 Baa1 BBB 24,000 Courtland, Alabama, IDB, Champion International Corporation, (AMT), 7%, 6/1/22 24,943,920 Baa1 BBB 20,245 Courtland, Alabama, IDB, Champion International Corporation, (AMT), 6.375%, 3/1/29 19,792,119 NR NR 8,040 East Chicago, Indiana, PCR, Inland Steel Company Project #9, (AMT), 10%, 11/1/11 8,679,743 Baa1 BBB 19,000 Gulf Coast Waste Disposal, Texas, Champion International Corporation, (AMT), 6.875%, 12/1/28 19,621,680 NR NR 6,000 Gwinnett County, Georgia, IDR, Plastics/Packaging, Inc., (AMT), 9.00%, 5/1/13 6,000,000 Baa1 BBB- 10,000 Maine Finance Authority, Great Northern Paper, Inc., Project -- Bowater Incorporated, (AMT), 7.75%, 10/1/22 10,687,400 NR BB+ 5,000 Maine Solid Waste Disposal, Boise Cascade Corporation, (AMT), 7.9%, 6/1/15 5,295,600 NR NR 1,765 Massachusetts Industrial Finance Agency, IDR, Boston Beer Company, (AMT), 11.5%, 7/15/07 2,015,348 Baa1 BBB- 5,000 McMinn County, Tennessee, IDB, Calhoun Newsprint Company Project -- Bowater Incorporated, (AMT), 7.4%, 12/1/22 5,302,750 NR NR 10,000 Michigan Strategic, S.D. Warren Co., Series 87A, (AMT), 7.375%, 1/15/22 10,235,500 NR NR 15,000 Michigan Strategic, S.D. Warren Co., Series 87B, (AMT), 7.375%, 1/15/22 15,353,250 NR NR 2,500 Michigan Strategic, S.D. Warren Co., Series 87C, (AMT), 7.375%, 1/15/22 2,559,425
12 NATIONAL MUNICIPALS PORTFOLIO (cont'd)
- --------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) PRINCIPAL - -------------------- AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) INDUSTRIALS (CONTINUED) Baa1 BBB $ 4,370 Middleboro, Massachusetts, IDR, Read Corporation, 9.5%, 10/1/10 $ 3,714,500 Baa2 BBB- 7,500 Pennsylvania, EDA, MacMillan Bloedel Project, (AMT), 7.6%, 12/1/20 8,177,925 Baa1 BBB+ 10,000 Pennsylvania, EDA, Sun Company, Inc. (R&M), (AMT), 7.6%, 12/1/24 10,911,100 Baa3 BBB- 12,000 Port of Corpus Christi, Texas, Valero Refining & Marketing Company, 10.25%, 6/1/17 13,492,920 NR NR 2,695 Savannah, Georgia, IDR, Intercat -- Savannah, Inc., (AMT), 9.75%, 7/1/10 2,896,936 NR NR 4,000 Savannah, Georgia, IDR, Intercat -- Savannah, Inc., (AMT), 9%, 1/1/15 4,278,600 A1 AA- 61,120 Valdez, Alaska, Marine Terminal, BP Pipelines, Inc., 5.5%, 10/1/28 (3) 55,694,378 ------------- 236,736,844 ------------- INSURED UTILITY REVENUE BONDS -- 5.2% Aaa AAA 20,000 Intermountain Power Agency, (MBIA) Utah, 6%, 7/1/16 (2) 19,224,000 Aaa AAA 10,000 Puerto Rico Telephone Authority, (MBIA), Variable Rate, 1/25/07 (1) 9,962,500 Aaa AAA 16,500 Sacramento, California, Municipal Utility District, (MBIA), Variable Rate 11/15/15 (1) 14,870,625 Aaa AAA 21,000 Sacramento, California, Municipal Utility District, (MBIA), 4.75%, 9/1/21 (3) 17,617,320 Aaa AAA 49,245 South Carolina Public Services, Forwards, Series 96A, (MBIA), 5.75%, 1/1/22 (2) 46,506,486 Aaa AAA 15,350 South Carolina Public Services, "RIBS", (FGIC), Variable Rate, 1/1/25 (1) 10,572,312 ------------- 118,753,243 ------------- INSURED TRANSPORTATION -- 1.8% Aaa AAA 14,400 Metropolitan Washington Airports Authority, (MBIA), Variable Rate, 4/1/21 (1) 12,510,000 Aaa AAA 18,200 Mobile, Alabama, Airport Authority, (MBIA), 6.375%, 10/1/14 (3) 19,056,128 Aaa AAA 10,000 Triborough Bridge and Tunnel Authority, "Rites", (MBIA), Variable Rate, 1/1/19 (1) 10,110,100 ------------- 41,676,228 ------------- INSURED HOSPITAL -- 0.8% Aaa AAA 10,000 Louisville, Kentucky, Alliant Health System, Inc., (MBIA), Variable Rate, 10/1/14 (1) 11,000,000 Aaa AAA 7,000 Montgomery County, Pennsylvania, Abington Memorial Hospital, (AMBAC), Variable Rate, 6/1/11 (1) 7,931,980 ------------- 18,931,980 ------------- INSURED SPECIAL TAX REVENUE -- 5.6% Aaa AAA 20,000 Los Angeles County (California), Metropolitan Transportation, (AMBAC), 4.75%, 7/1/18 16,960,600 Aaa AAA 92,995 Metropolitan Pier and Exposition Authority, Illinois, McCormick Place Expansion Project, (MBIA), 0%, 6/15/28 12,225,123 Aaa AAA 92,995 Metropolitan Pier and Exposition Authority, Illinois, McCormick Place Expansion Project, (FGIC), 0%, 6/15/29 11,489,532 Aaa AAA 9,800 Metropolitan Pier and Exposition Authority, Illinois, McCormick Place Expansion Project, (MBIA), "RIBS", Variable Rate, 6/15/27 (1) 9,114,000 Aaa AAA 3,415 New Orleans Regional Transit Authority, Louisiana, Sales Tax, (FGIC), 0%, 12/1/12 1,227,078 Aaa AAA 10,935 New Orleans Regional Transit Authority, Louisiana, Sales Tax, (FGIC), 0%, 12/1/15 3,190,833 Aaa AAA 10,000 New Orleans Regional Transit Authority, Louisiana, Sales Tax, (FGIC), 0%, 12/1/21 1,982,200 Aaa AAA 21,655 Rancho Mirage, California, Water District Financing, (AMBAC), 4.75%, 8/15/21 18,168,978 Aaa AAA 13,350 Rancho Mirage, California, Whitewater Redevelopment Project, (MBIA), 5%, 4/1/24 11,635,459 Aaa AAA 40,000 South Orange, California, Public Financing, Foothill Area, (FGIC), 5.5%, 8/15/15 (3) 36,909,200 Aaa AAA 7,000 Utah Municipal Finance Corporation, Local Government Revenue, (FSA), 0%, 3/1/10 2,975,700 Aaa AAA 6,000 Utah Municipal Finance Corporation, Local Government Revenue, (FSA), 0%, 3/1/11 2,385,840 ------------- 128,264,543 ------------- INSURED INDUSTRIALS -- 0.4% Aaa AAA 11,950 Chicago, Illinois, The Peoples Gas Light and Coke Company, (AMBAC), "RIBS", (AMT), Variable Rate, 12/1/23 (1) 10,217,250 -------------
13 NATIONAL MUNICIPALS PORTFOLIO (cont'd)
- --------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) PRINCIPAL - -------------------- AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) INSURED HOUSING -- 0.4% Aaa AAA $ 7,525 SCA Multifamily Mortgage, IDB, Hamilton County, Tennessee, (FSA) (AMT), 7.35% 1/1/30 $ 8,057,845 ------------- INSURED GENERAL OBLIGATIONS STATE & SCHOOL DISTRICT -- 0.9% Aaa AAA 10,000 California General Obligation, (FSA), 4.75%, 9/1/18 8,475,500 Aaa AAA 15,000 California General Obligation, (FGIC), 4.75%, 9/1/23 12,509,250 ------------- 20,984,750 ------------- INSURED WATER & SEWER -- 0.9% Aaa AAA 10,300 Harrisburg, Pennsylvania, Water Revenue Bonds, (FGIC), Variable, 8/11/16 9,447,572 Aaa AAA 10,000 New York City Municipal Water Finance Authority, (FSA), Variable Rate, 6/15/21 (1) 10,075,000 ------------- 19,522,572 ------------- REFUNDED & ESCROWED -- 9.7% NR AAA 65,000 Bakersfield, California, Bakersfield Assisted Living Center, 0%, 4/15/21 11,924,250 NR NR 2,200 Bexar County, Texas, Health Facilities, St. Luke's Lutheran, 7%, 5/1/21 2,501,422 NR AAA 177,055 Colorado HFA, Retirement Housing, Liberty Heights Project, 0%, 7/15/24 24,484,936 NR AAA 27,870 Colorado HFA, Retirement Housing, Liberty Heights Project, 0%, 7/15/20 5,159,016 Aaa NR 29,600 Colorado HFA, Retirement Housing, Liberty Heights Project, 0%, 7/15/22 4,745,176 Ba1 BBB 10,000 Detroit, Michigan, Unlimited Tax, 8.7%, 4/1/10 11,823,200 Ba1 BBB 3,500 Detroit, Michigan, Unlimited Tax, Series 1991, 8%, 4/1/11 4,111,275 NR NR 7,000 Florida, Mid-Bay Bridge Authority Revenue Bonds, 6.875%, 10/1/22 7,864,570 NR NR 1,820 Hyland Hills Park and Recreation District, Adams County, Colorado, 9.75%, 7/1/01 1,856,400 NR NR 2,430 Hyland Hills Park and Recreation District, Adams County, Colorado, 9.9%, 7/1/04 2,573,297 NR NR 1,615 Hyland Hills Park and Recreation District, Adams County, Colorado, 10%, 7/1/06 1,711,690 NR AAA 30,360 Illinois Development Finance Authority, Regency Park at Lincolnwood, 0%, 7/15/25 3,897,313 NR AAA 186,555 Illinois Development Finance Authority, Regency Park at Lincolnwood, 0%, 7/15/23 27,781,770 NR AAA 4,000 Jackson County, Oklahoma, Jackson County Memorial Hospital, 9%, 8/1/15 4,420,640 NR AAA 12,750 Louisiana Public Facilities Authority, Southern Baptist Hospitals, Inc., 8%, 5/15/12 15,393,075 Aaa NR 138,000 Mississippi Housing Finance Corporation, Single Family Mortgage, 0%, 6/1/15 41,157,120 Aaa NR 6,130 North Salt Lake Municipal Building Authority, Davis County, Utah, 8.625%, 12/1/17 7,617,690 NR NR 8,885 Scottsdale IDA, Arizona, Westminster Village, Inc., 10%, 6/1/07 9,982,831 Aaa AAA 19,165 Texas Turnpike Authority, Houston Ship Channel Bridge, 0%, 1/1/20 26,769,672 Aaa AAA 2,675 Washington Public Power Supply System, Nuclear Project No. 1, 14.375%, 7/1/01 3,927,167 NR BBB- 1,000 West Virginia HFA, Logan General Hospital, 8.625%, 4/1/01 1,042,720 NR BBB- 1,750 West Virginia HFA, Logan General Hospital, 8.75%, 4/1/13 1,825,845 ------------- 222,571,075 ------------- COLLEGES & UNIVERSITIES -- 0.4% NR BBB- 3,300 Massachusetts Health and Educational Facilities, Nichols College, 7%, 10/1/20 3,381,048 NR NR 4,415 New Hampshire Higher Educational and Health, Franklin Pierce Law Center, 7.5%, 7/1/22 4,690,452 ------------- 8,071,500 ------------- TAX ALLOCATION -- 0.2% Baa BBB 3,870 Inglewood, California Public Financing Authority, In-Town, Manchester-Prairie and North Inglewood Industrial Park Redevelopment Projects -- Redevelopment Loans, 7%, 5/1/22 3,959,745 ------------- SPECIAL ASSESSMENT -- 0.8% A BBB 8,000 Hoffman Estates, Illinois, Economic Development Project Area, 0%, 5/15/05 4,630,720 A BBB 11,000 Hoffman Estates, Illinois, Economic Development Project Area, 0%, 5/15/06 5,929,330 A BBB 17,460 Hoffman Estates, Illinois, Economic Development Project Area, 0%, 5/15/07 8,740,651 ------------- 19,300,701 -------------
14 NATIONAL MUNICIPALS PORTFOLIO (cont'd)
- --------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) PRINCIPAL - -------------------- AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) MISCELLANEOUS -- 3.5% NR NR $ 6,805 American Samoa Economic Development, Executive Office Building, 10.125%, 9/1/08 $ 7,677,129 NR NR 11,500 Harris County, Texas, Space Center Houston Project, 9.25%, 8/15/15 (5) 3,450,000 NR A- 16,500 Los Angeles Regional Airports Improvement Corporation, LAXFuel, (AMT), 6.5%, 1/1/32 16,204,650 NR NR 4,710 Mille Lacs Capital Improvements, Mille Lacs Band of Chippewa Indians, 9.25%, 11/1/12 5,198,898 NR NR 22,500 New Jersey, Sports & Exhibition Authority, Monmouth Park Project, 8%, 1/1/25 24,552,675 NR NR 10,200 Orange County Community Activity Center Revenue Bonds, 8%, 3/1/24 10,374,420 NR NR 19,500 Retama, Texas, Special Facilities Revenue, Retama Race Track, 8.75%, 12/15/18 (5) 11,700,000 ------------- 79,157,772 ------------- TOTAL TAX-EXEMPT INVESTMENTS (IDENTIFIED COST, $2,147,410,455) 2,282,787,373 TAXABLE INVESTMENT -- 0.04% NR NR 935 Ridgeland, Mississippi, Urban Renewal, The Orchard Limited Project, 9%, 12/1/00 (identified cost, $935,000) 932,663 ------------- TOTAL INVESTMENTS (IDENTIFIED COST, $2,148,345,455) $2,283,720,036 ------------- -------------
(1)The above designated securities have been issued as inverse floater bonds. (2)When-issued security. (3)Security has been segregated to cover when-issued securities. (4)Non-income producing security. (5)The Portfolio is accruing only partial interest on this security. (6) At September 30, 1995, the concentration of the Portfolio's investments in the various states, determined as a percentage of total investments is as follows: California -- 12.1% The Portfolio invests primarily in debt securities issued by municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at September 30, 1995, 16.0% of the securities in the portfolio of investments are backed by bond insurance of various financial guaranty assurance agencies. The aggregate percentage by financial institution ranges from 1.4% to 9.1% of total investments. Note: The classification of securities by industry sector set forth above is unaudited. See notes to financial statements 15 - --------------------------------------------------------------- PORTFOLIO OF INVESTMENTS September 30, 1995 CALIFORNIA TAX FREE PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS -- 100% COGENERATION -- 3.4% NR BBB- $ 2,985 Central Valley Financing Authority, Carson Ice-Gen Project, 6.20%, 7/1/20 $ 2,914,584 NR BBB- 10,900 Sacramento Cogeneration Authority, Procter & Gamble Project, 6.50%, 7/1/21 10,987,636 ----------- 13,902,220 ----------- ESCROWED TO MATURITY -- 16.2% NR NR 130 City of Commerce Joint Powers Financing Authority, 8.00%, 3/1/22 153,456 NR BBB 2,000 City of Rancho Mirage Joint Powers Financing Authority, Civic Center, 7.50%, 4/1/17 2,320,380 Aaa AAA 8,000 County of Sacramento, SFMRB (GNMA), (AMT), 8.125%, 7/1/16 (2) 9,771,840 Aaa AAA 6,000 County of Sacramento, SFMRB (GNMA), (AMT), 8.25%, 1/1/21 (2) 7,790,400 Aaa AAA 14,285 County of Sacramento, SFMRB (GNMA), (AMT), 8.50%, 11/1/16 (2) 18,319,941 Aaa AAA 3,000 City and County of San Francisco Sewer System Secondary "RITES", (AMBAC), Variable, 10/1/21 (1) 3,604,680 Baa1 A- 2,375 City of San Luis Obispo, Capital Improvement Board, 8.25%, 6/1/06 2,489,523 NR BBB 1,575 Fontana Public Financing Authority, North Fontana Redevelopment Project, 7.75%, 12/1/20 1,871,462 Aaa AAA 6,400 Port of Oakland, (BIGI), 0%, 11/1/05 3,784,960 NR NR 3,200 Oceanside California Community Development Commission, 8.40%, 6/1/18 3,357,408 NR NR 3,000 Poway Redevelopment Agency, Paguay Redevelopment Project, 7.75%, 12/15/21 3,567,420 NR BBB+ 1,000 City of Upland Police Building Construction, 8.20%, 8/1/16 1,054,870 NR NR 4,000 Huntington Beach Public Financing Authority, Huntington Beach Redevelopment Projects, 8.375%, 5/1/18 4,472,080 NR NR 2,975 Sacramento -- Yolo Port District Port Facilities, 8.30%, 12/1/03 3,286,125 ----------- 65,844,545 ----------- GENERAL OBLIGATIONS -- 1.9% Baa1 A 3,000 Puerto Rico, 6.50%, 7/1/23 3,131,640 AA Aa 5,000 East Bay Municipal Utilities District, Wastewater System, 5.00%, 4/1/15 4,435,100 ----------- 7,566,740 ----------- HOSPITALS -- 1.1% NR BBB+ 2,700 City of Stockton, Dameron Hospital Association, 8.30%, 12/1/14 2,854,818 NR A 1,500 Woodland, Memorial Hospital, 8.20%, 8/1/15 1,610,175 ----------- 4,464,993 ----------- HOUSING -- 8.6% Aa AA- 3,770 California Housing Finance Agency (HFA), (AMT), 7.375%, 8/1/11 3,923,288 Aa AA- 800 California HFA, 7.375%, 8/1/17 855,792 Aa AA- 5,000 California HFA, (AMT), 7.40%, 8/1/26 5,381,050 Aa AA- 3,875 California HFA, (AMT), (FHA), 7.50%, 8/1/25 4,150,513 Aa AA- 8,185 California HFA, (AMT), (FHA), 7.65%, 8/1/23 8,549,724 Aa AA- 2,500 California HFA, 8.10%, 8/1/16 2,571,800 Aa AA- 2,500 California HFA, 8.20%, 8/1/17 2,596,875 Aa AA- 1,325 California HFA, (AMT), 8.60%, 8/1/19 1,394,165 Aa3 NR 60 California HFA, 9.875%, 8/1/10 61,343 A NR 845 The Housing Authority of the County of Los Angeles, 7.875%, 8/1/16 874,541 NR NR 2,000 The Housing Authority of the County of Los Angeles, 10.50%, 12/1/29 2,061,700 NR A+ 2,050 City of Oakland, California HFA, 7.10%, 1/1/10 2,086,716 NR AAA 495 County of Riverside, California HFA, (GNMA), (AMT), 6.85%, 10/1/16 526,452 ----------- 35,033,959 -----------
16 CALIFORNIA TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) INSURED EDUCATION -- 1.0% Aaa AAA $ 3,330 Regents of the University of California, (MBIA), 4.75%, 9/1/21 $ 2,770,826 Aaa AAA 1,500 Regents of the University of California, (AMBAC), 4.875%, 9/1/19 1,280,340 ----------- 4,051,166 ----------- INSURED GENERAL OBLIGATION -- 0.3% Aaa AAA 4,700 Roseville Unified High School District, (FGIC), 0%, 6/1/20 1,032,919 ----------- INSURED HOUSING -- 0.2% Aaa AAA 720 California HFA, (MBIA), (AMT), 7.00%, 8/1/23 752,177 ----------- INSURED HOSPITALS -- 1.1% Aaa AAA 5,250 Anaheim Memorial Hospital, (AMBAC), 5.125%, 5/15/20 4,547,813 ----------- INSURED LEASE REVENUE/CERTIFICATE OF PARTICIPATION -- 4.3% Aaa AAA 3,300 California Statewide Communities Development Authority, Motion Picture and Television Fund, (AMBAC), 5.68%, 1/1/24 3,052,401 Aaa AAA 7,700 Moulton Niguel Water District, (AMBAC), 4.80%, 9/1/17 6,548,003 Aaa AAA 4,350 Stockton, California Wastewater Treatment Plant, (FGIC), 6.80%, 9/1/24 4,701,350 Aaa AAA 13,985 Visalia Unified School District, (MBIA), 0%, 12/1/17 3,206,201 ----------- 17,507,955 ----------- INSURED TAX ALLOCATION -- 1.0% Aaa AAA 4,850 City of San Jose Redevelopment Agency, (MBIA), 4.75%, 8/1/24 4,000,086 ----------- INSURED TRANSPORTATION -- 3.1% Aaa AAA 10,000 Port of Oakland, (AMT), (BIGI), 0%, 11/1/19 1,734,500 Aaa AAA 10,000 Airports Commission City and County of San Francisco, San Francisco International Airport, (MBIA), 6.75%, 5/1/13 10,807,200 ----------- 12,541,700 ----------- INSURED UTILITIES -- 8.8% Aaa AAA 5,700 Anaheim Public Financing Authority, Anaheim Electric Utility, (FGIC), 5.75%, 10/1/22 5,444,754 Aaa AAA 8,000 Northern California Power Agency "RIBS," (MBIA), Variable, 9/2/25 (1) 8,640,960 Aaa AAA 3,500 Sacramento Municipal Utilities District, (MBIA), 6.375%, 8/15/22 3,627,820 Aaa AAA 4,000 Southern California Public Power Authority, (FGIC), Variable, 7/1/12 4,000,000 Aaa AAA 6,915 Southern California Public Power Authority, (MBIA), 5.00%, 1/1/20 6,044,747 Aaa AAA 2,750 Southern California Public Power Authority, (MBIA), 5.50%, 7/1/20 2,576,970 Aaa AAA 5,750 Southern California Public Power Authority, (MBIA), 5.75%, 7/1/21 5,569,393 ----------- 35,904,644 ----------- INSURED WATER & SEWER -- 2.7% Aaa AAA 5,000 East Bay Municipal Utility District "Yield Curve Notes," (MBIA), Variable, 6/1/08 (1) 4,799,800 Aaa AAA 3,430 San Buenaventura Water District, (AMBAC), 4.75%, 10/1/13 2,965,441 Aaa AAA 3,000 San Diego County Water Authority, "RITES," (FGIC), Variable, 4/22/09 (1) 3,074,790 ----------- 10,840,031 ----------- LEASE REVENUE/CERTIFICATES OF PARTICIPATION -- 22.6% A1 AA- 2,945 City of Beverly Hills, 6.75%, 6/1/19 3,026,606 A1 A- 3,140 California State Public Works Board, Various Community College Projects, 5.625%, 12/1/18 2,879,694 A1 A- 7,485 California State Public Works Board, Various University of California Projects, 5.00%, 6/1/23 6,209,107 A1 A- 3,000 California State Public Works Board, Various University of California Projects, 5.50%, 6/1/10 2,866,080 A1 A- 8,000 California State Public Works Board, Various University of California Projects, 5.50%, 6/1/14 7,376,800 A A- 2,800 California State Public Works Board, California State Prison -- Susanville, 5.375%, 6/1/12 2,586,500
17 CALIFORNIA TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) LEASE REVENUE/CERTIFICATES OF PARTICIPATION (CONTINUED) A A- $ 3,500 California State Public Works Board, California State Prison -- Susanville, 5.375%, 6/1/18 $ 3,107,965 A1 A- 5,000 California State Public Works Board, Various University of California Projects, 5.25%, 6/1/20 4,369,250 A1 A- 14,025 California State Public Works Board, Various University of California Projects, 5.50%, 6/1/19 12,717,029 NR A 4,150 California Statewide Community Development Authority, Eskaton Health Facilities, 5.875%, 5/1/20 3,862,322 A BBB 2,750 City of Inglewood, California, Civic Center Improvement Project, 7.00%, 8/1/19 2,841,438 A A- 5,115 County of Los Angeles, Disney Parking Project, 0%, 3/1/16 1,217,114 A A- 1,925 County of Los Angeles, Disney Parking Project, 0%, 3/1/17 426,927 A A- 5,370 County of Los Angeles, Disney Parking Project, 0%, 3/1/18 1,110,086 A A- 3,100 County of Los Angeles, Disney Parking Project, 0%, 3/1/20 550,188 A A- 5,000 County of Los Angeles, Disney Parking Project, 0%, 9/1/17 1,070,600 A A- 1,000 County of Los Angeles, Disney Parking Project, 6.50%, 3/1/23 992,330 NR NR 14,000 County of Los Angeles, Capital Asset Leasing Corporation, Marina del Rey, 6.50%, 7/1/08 13,725,460 Aa AA 4,305 County of Orange Water District, 5.00%, 8/15/18 3,668,376 A1 A+ 4,000 Pasadena Parking Facility Project, 6.25%, 1/1/18 4,111,480 NR A- 2,360 Richmond Joint Powers Financing Authority, 7.00%, 5/15/07 2,532,091 Aa A+ 4,000 City of Sacramento Financing Authority, 5.40%, 11/1/20 3,666,440 Aa NR 6,000 University of California at Los Angeles Chiller/Cogeneration Project, 5.60%, 11/1/20 5,537,460 NR BBB 1,000 Watsonville Mammoth Lakes, 7.875%, 6/1/11 1,072,130 ----------- 91,523,473 ----------- NURSING HOMES -- 0.8% NR NR 3,250 Banning, San Georgonio Pass Convalescent Hospital, (AMT), 9.50%, 12/1/11 3,381,365 ----------- SOLID WASTE -- 0.6% Baa1 NR 2,350 Mojave Desert and Mountain Solid Waste Joint Powers Authority, (AMT), 7.875%, 6/1/20 2,569,396 ----------- SPECIAL TAX -- 4.9% NR NR 2,100 City of Fairfield, Green Valley Road -- Mangels Boulevard Extension Assessment District, 7.375%, 9/2/18 2,147,880 NR NR 970 City of Fairfield, Green Valley Road -- Mangels Boulevard Extension Assessment District, 8.00%, 9/2/11 999,876 NR NR 3,000 Lincoln Unified School District, 7.625%, 9/1/21 3,128,730 Baa NR 10,800 Pleasanton Joint Powers Financing Authority, 6.15%, 9/2/12 10,654,200 NR NR 3,000 County of Riverside Community Facilities District, 7.55%, 9/1/17 3,053,790 ----------- 19,984,476 ----------- TAX ALLOCATION -- 9.0% NR NR 2,945 City of Commerce Joint Powers Financing Authority, 8.00%, 3/1/22 3,110,951 NR BBB 5,000 County of Contra Costa Public Financing Authority, 7.10%, 8/1/22 5,134,300 NR BBB 3,910 Fontana Public Financing Authority, Downtown Redevelopment Project, 7.00%, 9/1/21 3,952,111 NR BBB 8,220 Fontana Redevelopment Agency, Jurupa Hills Redevelopment Project Area, 7.00%, 10/1/14 8,351,191 NR BBB 2,500 City of Pittsburg Redevelopment Agency, 7.40%, 8/15/20 2,614,900 NR BBB 600 City of Rancho Mirage Joint Powers Financing Authority, 7.50%, 4/1/17 632,592 NR BBB 2,500 County of Riverside Redevelopment Agency, 7.50%, 10/1/26 2,619,025 NR BBB 5,605 San Carlos Redevelopment Agency, 7.10%, 9/1/17 5,777,185
18 CALIFORNIA TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) TAX ALLOCATION (CONTINUED) NR NR $ 1,400 City of Simi Valley Community Development Agency, 8.20%, 9/1/12 $ 1,419,852 Baa1 BBB+ 3,000 Westminster Redevelopment Agency, 7.30%, 8/1/21 3,107,820 ----------- 36,719,927 ----------- TRANSPORTATION -- 5.8% NR BBB 3,050 Guam Airport Authority, (AMT), 6.70%, 10/1/23 3,056,558 Aa AA- 2,000 City of Long Beach Harbor Revenue Bonds, (AMT), 7.25%, 5/15/19 2,154,720 A1 A- 1,400 County of Orange, California Airport Revenue Bonds, 8.125%, 7/1/16 1,449,294 NR NR 12,000 San Joaquin Hills Transportation Corridor Agency, Toll Road Revenue Bonds, (Fitch: rated BBB), 0%, 1/1/14 3,481,440 NR NR 5,765 San Joaquin Hills Transportation Corridor Agency, Toll Road Revenue Bonds, (Fitch: rated BBB), 0%, 1/1/26 721,778 NR NR 35,975 San Joaquin Hills Transportation Corridor Agency, Toll Road Revenue Bonds, (Fitch: rated BBB), 0%, 1/1/27 4,205,117 NR NR 4,940 San Joaquin Hills Transportation Corridor Agency, Toll Road Revenue Bonds, (Fitch: rated BBB), 7.00%, 1/1/30 5,074,368 Baa1 BBB 1,500 Stockton Port District, 7.95%, 1/1/05 1,598,940 Baa1 BBB 1,500 Stockton Port District, 8.10%, 1/1/14 1,611,510 ----------- 23,353,725 ----------- UTILITIES -- 1.7% Aa AA- 7,070 Southern California Public Power Authority, 0%, 7/1/15 2,109,829 Aa AA- 3,425 Southern California Public Power Authority, 5.50%, 7/1/20 3,176,277 Aa AA 1,490 Southern California Public Power Authority, 6.875%, 7/1/15 1,530,170 ----------- 6,816,276 ----------- WATER & SEWER -- 0.9% NR BBB 3,190 Orange Cove Irrigation District, 6.625%, 2/1/17 3,232,905 Aa AA- 515 City of Pasadena, Water Revenue Bonds, 5.00%, 7/1/18 449,760 ----------- 3,682,665 ----------- TOTAL TAX-EXEMPT INVESTMENTS (IDENTIFIED COST $381,719,158) $406,022,257 ----------- -----------
(1)The above designated securities have been issued as inverse floater bonds. (2)Security has been segregated to cover margin requirements on open financial futures contracts. The Portfolio invests primarily in debt securities issued by California municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at September 30, 1995, 35.2% of the securities in the portfolio of investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage by financial institution ranged from 0.1% to 13.0% of total investments. See notes to financial statements 19 - --------------------------------------------------------------- PORTFOLIO OF INVESTMENTS September 30, 1995 MASSACHUSETTS TAX FREE PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS -- 100% EDUCATION -- 9.8% Aa1 AA+ $ 1,625 Massachusetts Health and Educational Facilities Authority (HEFA), Amherst College, 6.80%, 11/1/21 $ 1,740,440 A1 A+ 250 Massachusetts HEFA, Tufts University, 7.75%, 8/1/13 271,052 NR BBB- 3,700 Massachusetts HEFA, Merrimack College, 7.125%, 7/1/12 3,882,003 NR AAA 2,900 Massachusetts HEFA, Wentworth Institute, (Connie Lee), 5.50%, 10/1/23 2,675,047 NR BBB- 6,855 Massachusetts HEFA, Smithe College, 5.75%, 7/1/24 6,694,182 Aaa AAA 5,180 Massachusetts HEFA, Harvard University, 5.625%, 11/1/28 5,114,577 Aa1 AA 4,690 Massachusetts Industrial Finance Agency, Phillips Academy, 5.375%, 9/1/23 4,385,056 A1 NR 2,000 The New England Education Loan Marketing Corporation, (AMT), 6.90%, 11/1/09 2,157,440 NR BBB- 1,300 Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Authority, Polytechnic University, 5.50%, 8/1/24 1,128,491 NR BBB- 1,000 Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Authority, Polytechnic University, 6.50%, 8/1/24 990,870 ----------- 29,039,158 ----------- GENERAL OBLIGATIONS -- 13.7% Baa1 NR 1,000 City of Lowell, 6.375%, 8/15/01 1,067,490 A1 A+ 3,900 Commonwealth of Massachusetts, 5.00%, 1/1/12 3,609,060 A1 A+ 875 Commonwealth of Massachusetts, 5.00%, 1/1/14 795,839 A1 A+ 2,500 Massachusetts Bay Transportation Authority (MBTA), 5.75%, 3/1/18 2,465,775 A1 A+ 4,750 MBTA, 5.50%, 3/1/21 4,525,135 A1 A+ 14,000 MBTA, 5.75%, 3/1/25 13,593,440 A1 A+ 1,000 MBTA, 5.90%, 3/1/12 1,014,690 NR BBB 1,175 Government of Guam, 5.40%, 11/15/18 1,022,650 A NR 3,375 Town of Nantucket, 6.80%, 12/1/11 3,634,875 Baa1 A 100 Puerto Rico Public Buildings Authority, 5.50%, 7/1/21 92,369 Baa1 A 1,900 Puerto Rico Aqueduct and Sewer Authority, 7.00%, 7/1/19 2,037,313 A A 2,500 University of Massachusetts Building Authority, 6.875%, 5/1/14 2,839,950 A A 250 University of Massachusetts Building Authority, 7.20%, 5/1/04 287,396 NR NR 3,350 Virgin Islands Public Finance Authority, 7.25%, 10/1/18 3,528,321 ----------- 40,514,303 ----------- HOSPITALS -- 8.4% A A- 3,000 Massachusetts HEFA, Charlton Memorial Hospital, 7.25%, 7/1/13 3,147,750 A1 A 530 Massachusetts HEFA, Spaulding Rehabilitation Hospital, 7.625%, 7/1/21 568,632 Baa1 BBB+ 2,000 Massachusetts HEFA, New England Baptist Hospital, 7.35%, 7/1/17 2,067,480 Aa NR 3,100 Massachusetts HEFA, Daughters of Charity Health System, 6.10%, 7/1/14 3,143,524 A1 A+ 1,000 Massachusetts HEFA, Dana-Farber Cancer Institute, 6.65%, 12/1/15 1,020,340 A A 4,250 Massachusetts HEFA, The Medical Center of Central Massachusetts, 7.10%, 7/1/21 4,394,755 Baa BBB 1,825 Massachusetts HEFA, Sisters of Providence Health System, 6.50%, 11/15/08 1,887,870 NR A- 1,470 Massachusetts HEFA, Jordan Hospital, 6.875%, 10/1/15 1,052,722 NR A- 1,470 Massachusetts HEFA, Jordan Hospital, 6.875%, 10/1/22 1,507,073 NR AAA 2,625 Massachusetts HEFA, Winchester Hospital, (Connie Lee), 5.75%, 7/1/14 2,557,223 NR AAA 3,650 Massachusetts HEFA, Winchester Hospital, (Connie Lee), 5.75%, 7/1/24 3,486,917 ----------- 24,824,286 -----------
20 MASSACHUSETTS TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) HOUSING -- 11.4% NR AAA $ 2,750 Framingham Housing Authority, (GNMA), 6.65%, 2/20/32 $ 2,783,275 A1 A+ 6,000 Massachusetts Housing Finance Agency (HFA), 6.375%, 4/1/21 5,973,720 Aa A+ 7,250 Massachusetts HFA, (AMT), 6.60%, 12/1/26 7,328,952 Aa A+ 6,400 Massachusetts HFA, (AMT), 6.60%, 12/1/26 6,469,696 Aaa AAA 1,000 Massachusetts HFA, (FNMA), 6.875%, 11/15/11 1,063,630 Aaa AAA 2,750 Massachusetts HFA, (FNMA), 6.90%, 11/15/21 2,882,330 Aa A+ 2,795 Massachusetts HFA, (AMT), 7.125%, 6/1/25 2,908,924 Aa A+ 400 Massachusetts HFA, 7.35%, 12/1/16 425,408 Aa A+ 2,265 Massachusetts HFA, (AMT), 8.10%, 6/1/20 2,369,734 Aa A+ 1,500 Massachusetts HFA, (AMT), 8.10%, 12/1/21 1,576,035 ----------- 33,781,704 ----------- INDUSTRIAL DEVELOPMENT/POLLUTION CONTROL -- 7.0% Baa1 BBB 14,185 City of Boston Harbor Electric Energy Company Project, (AMT), 7.30%, 5/15/15 15,178,942 NR NR 9,000 Massachusetts Industrial Finance Agency, Massachusetts Biomedical Research Corporation, 0%, 8/1/19 3,817,800 Aa3 AA 1,550 Puerto Rico Industrial, Medical and Environmental Pollution Control Authority, The Upjohn Company, 7.50%, 12/1/23 1,697,235 ----------- 20,693,977 ----------- INSURED EDUCATION -- 2.1% Aaa AAA 335 Massachusetts Educational Finance Authority, (MBIA), (AMT), 7.25%, 1/1/09 350,460 Aaa AAA 2,000 Massachusetts Educational Finance Authority, (AMBAC), (AMT), 7.30%, 1/1/12 2,096,840 Aaa AAA 250 Massachusetts HEFA, Northeastern University, (AMBAC), 7.50%, 10/1/08 273,820 Aaa AAA 400 Massachusetts HEFA, Boston University "RIBS", (MBIA), Variable, 10/1/31 (1) 439,464 Aaa AAA 3,000 Massachusetts HEFA, Tufts University, (FGIC), 5.95%, 8/15/18 3,032,640 ----------- 6,193,224 ----------- INSURED GENERAL OBLIGATION -- 1.7% Aaa AAA 1,795 City of Boston, (FSA), 4.875%, 9/1/09 1,686,833 Aaa AAA 1,000 Commonwealth of Puerto Rico "RIBS", (AMBAC), Variable, 7/1/15 (1) 1,009,940 Aaa AAA 600 Town of Tyngsborough, (AMBAC), 6.90%, 5/15/08 663,798 Aaa AAA 1,770 MBTA, (MBIA), 5.50%, 3/1/21 1,663,995 ----------- 5,024,566 ----------- INSURED HOSPITALS -- 11.8% Aaa AAA 300 Massachusetts HEFA, Berkshire Health Systems, (MBIA), 7.60%, 10/1/14 332,346 Aaa AAA 1,250 Massachusetts HEFA, Beth Israel Hospital, Inverse Floaters, (AMBAC), Variable, 7/1/25 (1) 1,253,675 Aaa AAA 1,500 Massachusetts HEFA, Capital Asset Program, (MBIA), 7.20%, 7/1/09 1,649,085 AAA AAA 2,050 Massachusetts HEFA, Fallon Healthcare System (CGIC), 6.75%, 6/1/20 (2) 2,171,442 AAA AAA 4,500 Massachusetts HEFA, Fallon Healthcare System (CGIC), 6.875%, 6/1/11 4,881,465 Aaa AAA 2,040 Massachusetts HEFA, Beverly Hospital, (MBIA), 7.30%, 7/1/13 2,219,581 Aaa AAA 1,000 Massachusetts HEFA, Baystate Medical Center, (FGIC), 5.00%, 7/1/20 883,550 Aaa AAA 3,000 Massachusetts HEFA, The Medical Center of Central Massachusetts, (AMBAC), "CARS", Variable, 6/23/22 (1) 3,330,090
21 MASSACHUSETTS TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) INSURED HOSPITALS (CONTINUED) Aaa AAA $ 2,000 Massachusetts HEFA, St. Elizabeth Hospital Issue, "LEVRRS", (FSA), Variable, 8/15/21 (1) $ 2,196,960 Aaa AAA 2,600 Massachusetts HEFA, Saint Luke's Hospital, "Yield Curve Notes", (MBIA), Variable, 8/15/13 (1) 2,556,970 Aaa AAA 1,200 Massachusetts HEFA, University Hospital, (MBIA), 7.25%, 7/1/19 1,323,552 Aaa AAA 6,950 Massachusetts HEFA, Lahey Clinic, (MBIA), 5.375%, 7/1/23 6,454,118 Aaa AAA 5,000 Massachusetts HEFA, New England Medical Center, (MBIA), 5.375%, 7/1/24 4,664,350 Aaa AAA 1,000 Massachusetts HEFA, New England Medical Center, (FGIC), 6.50%, 7/1/12 1,052,960 ----------- 34,970,144 ----------- INSURED HOUSING -- 0.7% Aaa AAA 2,000 Massachusetts Housing Finance Agency, (AMBAC), 6.45%, 1/1/36 2,027,680 ----------- INSURED TRANSPORTATION -- 2.2% Aaa AAA 5,860 Massachusetts Port Authority, (AMT), (FGIC), 7.50%, 7/1/20 6,490,243 ----------- LEASE/CERTIFICATE OF PARTICIPATION -- 2.9% NR A 7,800 Plymouth County, Massachusetts Correctional Facility Project, 7.00%, 4/1/22 8,363,862 ----------- NURSING HOMES -- 0.5% NR AA 1,495 Massachusetts HEFA, Deutches Altenheim, Incorporated, (FHA), 7.70%, 11/1/31 (2) 1,613,195 ----------- SOLID WASTE -- 2.6% Baa1 BBB 5,970 Massachusetts Industrial Finance Agency, Massachusetts Refusetech, Inc. Project, 6.30%, 7/1/05 6,242,531 NR NR 1,340 City of Pittsfield, Vicon Recovery Associates Project, 7.95%, 11/1/04 1,409,425 ----------- 7,651,956 ----------- SPECIAL TAX -- 4.2% A1 A+ 5,695 Commonwealth of Massachusetts, Special Obligation Revenue Bonds, 6.00%, 6/1/13 5,747,223 A1 A+ 4,560 Commonwealth of Massachusetts, Special Obligation Revenue Bonds, 5.80%, 6/1/14 4,518,550 Baa1 A 2,000 Puerto Rico Highway and Transportation Authority, 6.625%, 7/1/18 2,099,080 ----------- 12,364,853 ----------- TRANSPORTATION -- 5.2% NR BBB 7,950 Guam Airport Authority, (AMT), 6.70%, 10/1/23 7,967,093 Aa AA- 7,300 Massachusetts Port Authority, 6.00%, 7/1/23 7,260,069 ----------- 15,227,162 ----------- UTILITY -- 6.0% NR BBB 2,765 Guam Power Authority, 5.25%, 10/1/23 2,382,103 A BBB+ 2,610 Massachusetts Municipal Wholesale Electric Company, 6.00%, 7/1/18 2,555,843 A BBB+ 5,560 Massachusetts Municipal Wholesale Electric Company, 6.625%, 7/1/18 5,747,205 A BBB+ 3,500 Massachusetts Municipal Wholesale Electric Company, 6.75%, 7/1/11 3,664,010 Baa1 A- 1,850 Puerto Rico Electric Power Authority, 5.50%, 7/1/13 1,755,447 Baa1 A- 150 Puerto Rico Electric Power Authority, 5.50%, 7/1/20 138,746 NR NR 1,500 Virgin Islands Water and Power Authority, 7.40%, 7/1/11 1,575,314 ----------- 17,818,668 -----------
22 MASSACHUSETTS TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) WATER & SEWER -- 9.8% NR NR $ 2,075 Massachusetts Industrial Finance Authority, American Hingham Water, 6.60%, 12/1/15 $ 2,095,480 A A 18,620 Massachusetts Water Resources Authority (MWRA), 4.75%, 12/1/23 15,364,479 A A 5,000 MWRA, 5.00%, 3/1/22 4,323,500 A A 1,500 MWRA, 5.25%, 3/1/13 1,390,095 A A 3,915 MWRA, 5.25%, 12/1/15 3,608,260 NR NR 2,000 Virgin Islands Water and Power Authority, 7.60%, 1/1/12 2,122,760 ----------- 28,904,574 ----------- TOTAL TAX-EXEMPT INVESTMENTS (IDENTIFIED COST $277,979,560) $295,503,555 ----------- -----------
(1)The above designated securities have been issued as inverse floater bonds. (2)Security has been segregated to cover margin requirements on open financial futures contracts. The Portfolio invests primarily in debt securities issued by Massachusetts municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at September 30, 1995, 21.2% of the securities in the portfolio of investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage by financial institution ranged from 0.5% to 7.3% of total investments. See notes to financial statements. 23 - --------------------------------------------------------------- PORTFOLIO OF INVESTMENTS September 30, 1995 NEW YORK TAX FREE PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS -- 100.0% ASSISTED LIVING -- 0.3% NR NR $ 1,970 Village of North Syracuse Housing Authority, (AJM Senior Housing, Inc. Janus Park Project), 8.00%, 6/1/24 $ 1,922,168 ----------- EDUCATION -- 12.7% A NR 1,000 Dutchess County IDA, Bard College, 7.00%, 11/1/17 1,084,310 A1 NR 6,295 Monroe County IDA, University of Rochester, 7.25%, 12/1/16 6,646,324 NR BBB- 1,660 City of New Rochelle IDA Civic Facilities, College of New Rochelle, 6.75%, 7/1/22 1,704,920 Baa1 BBB+ 6,895 Dormitory Authority, State University Educational Facilities, 4.75%, 7/1/14 6,124,208 Baa1 BBB+ 2,500 Dormitory Authority, State University Educational Facilities, 5.00%, 5/15/18 2,118,800 Baa1 BBB+ 11,500 Dormitory Authority, State University Educational Facilities, 5.25%, 5/15/13 10,464,310 Baa1 BBB+ 7,600 Dormitory Authority, State University Educational Facilities, 5.25%, 5/15/15 6,850,260 Baa1 BBB+ 7,605 Dormitory Authority, State University Educational Facilities, 5.25%, 5/15/19 6,714,759 Baa1 BBB+ 6,805 Dormitory Authority, State University Educational Facilities, 5.25%, 5/15/21 6,043,657 Baa1 BBB+ 3,130 Dormitory Authority, State University Educational Facilities, 5.50%, 5/15/08 3,041,139 Baa1 BBB+ 28,250 Dormitory Authority, State University Educational Facilities, 5.50%, 5/15/13 26,375,613 Baa1 BBB+ 415 Dormitory Authority, State University Educational Facilities, 7.375%, 5/15/14 450,279 Baa1 BBB+ 1,300 Dormitory Authority, State University Educational Facilities, 7.50%, 5/15/11 1,497,184 NR AA 1,300 Dormitory Authority, New York Medical College, (Asset Guaranty), 6.875%, 7/1/21 1,391,845 A1 A+ 950 Dormitory Authority, University of Rochester, 5.625%, 7/1/12 927,276 ----------- 81,434,884 ----------- ELECTRIC UTILITIES -- 4.9% A1 A 2,500 New York State Energy Resource & Development Authority, Brooklyn Union Gas (RIBS) (AMT), Variable, 7/1/26 (1) 2,918,350 Aa3 A+ 500 New York State Energy Resource & Development Authority, Consolidated Edison (AMT), 7.75%, 1/1/24 538,345 Aa3 A+ 2,365 New York State Energy Resource & Development Authority, Consolidated Edison (AMT), 7.50%, 7/1/25 2,563,684 Aa3 A+ 1,000 New York State Energy Resource & Development Authority, Consolidated Edison (AMT), 7.50%, 1/1/26 1,098,470 Aa AA- 18,000 Power Authority of the State of New York, 5.25%, 1/1/18 16,447,500 Baa1 A- 11,500 Puerto Rico Electric Power Authority, 0%, 7/1/17 3,023,350 Baa1 A- 2,250 Puerto Rico Electric Power Authority, 5.50% 7/1/20 2,081,183 NR NR 3,000 Virgin Islands Water and Power Authority, 7.40%, 7/1/11 3,150,630 ----------- 31,821,512 ----------- ESCROWED -- 7.6% Aaa AAA 725 Albany Municipal Water (MBIA), 7.50%, 12/1/17 806,592 Aaa BBB 1,000 Dormitory Authority, City University, 7.625%, 7/1/20 1,152,840 Aaa BBB+ 1,530 Dormitory Authority, State University Educational Facilities, 7.70%, 5/15/12 1,763,677 NR BBB 1,000 Dormitory Authority, City University, 8.125%, 7/1/08 1,116,170 Baa1 BBB- 2,250 Dormitory Authority, Upstate Community College, 7.20%, 7/1/21 2,582,842 Baa1 NR 2,000 Dormitory Authority, Upstate Community College, 7.30%, 7/1/21 2,305,860 Aaa AAA 500 Erie County Water Authority, Water Works System, 6.00%, 12/1/08 528,920 Aaa AAA 500 Metropolitan Transportation Authority Commuter Facilities Bonds, 7.50%, 7/1/19 571,735 Aaa AAA 1,000 New York Local Government Assistance Corporation (LGAC), 7.00%, 4/1/16 1,136,100 Aaa AAA 5,500 New York LGAC, 6.75%, 4/1/21 6,238,980 Aaa BBB 1,000 New York State Housing Finance Agency Service Contracts, 7.80%, 9/15/11 1,173,510 Aaa AAA 1,775 New York State Housing Finance Agency Service Contracts, 7.375%, 9/15/21 2,073,520
24 NEW YORK TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) ESCROWED (CONTINUED) Aaa BBB+ $ 90 New York State Medical Care Facilities Finance Agency, Mental Health Services Facilities, 7.75%, 8/15/10 $ 103,334 Aaa AAA 450 New York State Medical Care Facilities Finance Agency, Mental Health Services Facilities, 7.875%, 8/15/08 525,047 Aaa AAA 3,320 New York State Medical Care Facilities Finance Agency, Mental Health Services Facilities, 7.50%, 2/15/21 3,842,004 Aaa NR 8,100 New York State Urban Development Corporation Correctional Facilities, 6.50%, 1/1/21 8,848,197 Baa1 BBB 4,750 New York State Thruway Authority, Local Highway and Bridge Service Contract Bonds, 7.25%, 1/1/10 (2) 5,404,740 Baa1 BBB 5,350 New York State UDC, Onondaga Co. Convention Center, 7.875%, 1/1/10 6,241,577 NR AA- 500 Power Authority of the State of New York, 8.00% 1/1/17 548,960 NR A 1,760 Puerto Rico Highway & Transportation Authority, 6.625%, 7/1/18 1,989,310 ----------- 48,953,915 ----------- GENERAL OBLIGATIONS -- 1.6% Baa1 A- 120 New York City, 8.25%, 11/15/16 136,942 Baa1 A- 4,000 New York City, 7.50%, 2/1/18 4,399,280 Aa AA 1,700 Onondaga County, 5.875%, 2/15/11 1,758,259 Aa AA 1,600 Onondaga County, 5.875%, 2/15/12 1,641,424 Baa1 A 2,175 Puerto Rico Public Building Authority, Public Education and Health Facilities, 5.75%, 7/1/15 2,102,594 ----------- 10,038,499 ----------- HEALTH CARE -- 19.1% NR AAA 6,705 Dormitory Authority, United Health Services (FHA), 7.35%, 8/1/29 7,225,509 Aa AAA 4,785 New York State Medical Care Facilities Finance Agency (MCFFA), Hospital Insured Mortgage (FHA), 5.25%, 8/15/14 4,443,782 NR AA 2,670 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.10%, 8/15/15 2,663,645 NR AAA 3,710 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.125%, 2/15/14 3,902,994 Aa AA 1,000 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.55%, 8/15/12 1,043,570 Aa AA 3,800 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.65%, 8/15/32 3,946,338 NR AA 9,000 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.70%, 8/15/23 9,446,220 Aa AA 1,050 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.75%, 2/15/12 1,107,446 Aa AA 1,500 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.95%, 2/15/32 1,586,430 Aa AA 2,190 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 7.00%, 8/15/32 2,326,262 Aa AA 6,600 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 7.25%, 2/15/31 7,124,634 Aa AA 750 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 7.35%, 2/15/29 819,128 Aa AA 2,425 New York State MCFFA, Insured Mortgage Project (FHA), 6.20%, 2/15/10 2,484,607 Aa AA 3,500 New York State MCFFA, Insured Mortgage Project (FHA), 6.20%, 8/15/14 3,591,490 Aa AA 5,625 New York State MCFFA, Insured Mortgage Project (FHA), 6.20%, 8/15/15 5,723,775 Aa AA 6,550 New York State MCFFA, Insured Mortgage Project (FHA), 6.25%, 8/15/15 6,661,285 Aa AA 2,500 New York State MCFFA, Insured Mortgage Project (FHA), 6.50%, 2/15/35 2,552,300 Aa AA 950 New York State MCFFA, Insured Mortgage Project (FHA), 7.45%, 8/15/31 1,030,095 Baa1 BBB+ 10,205 New York State MCFFA, Mental Health Services Facilities, 5.25%, 2/15/19 9,320,737 Baa1 BBB+ 11,500 New York State MCFFA, Mental Health Services Facilities, 5.25%, 8/15/23 9,895,865 Baa1 BBB+ 6,625 New York State MCFFA, Mental Health Services Facilities, Series 1994A, 5.25%, 8/15/23 5,700,879 Baa1 BBB+ 1,230 New York State MCFFA, Mental Health Services Facilities, 7.50%, 2/15/21 1,372,754 Baa1 BBB+ 1,610 New York State MCFFA, Mental Health Services Facilities, 7.625%, 8/15/17 1,777,150 Baa1 BBB+ 145 New York State MCFFA, Mental Health Services Facilities, 7.75%, 8/15/10 161,153 Baa1 BBB+ 495 New York State MCFFA, Mental Health Services Facilities, 7.875%, 8/15/08 558,469
25 NEW YORK TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) HEALTH CARE (CONTINUED) Baa BBB $ 19,700 New York State MCFFA, Secured Hospital (Brookdale), 6.80%, 8/15/12 $20,263,223 Baa BBB 5,540 New York State MCFFA, Secured Hospital, 7.35%, 8/15/11 5,881,652 ----------- 122,611,392 ----------- HOSPITALS -- 0.7% Aa AAA 1,500 Dormitory Authority, Long Island Jewish Medical Center (FHA), 7.75%, 8/15/27 1,629,735 NR AAA 1,000 Dormitory Authority, St. Francis Hospital (FHA), 7.65%, 8/1/30 1,119,780 Baa1 BBB+ 1,800 Syracuse Industrial Development Agency (IDA), St. Joseph's Hospital Health Center, 7.50%, 6/1/18 1,914,804 ----------- 4,664,319 ----------- HOUSING -- 5.5% NR NR 4,744 New York City Housing Development Corporation (HDC), Allerville Project, 6.50%, 11/15/18 4,772,297 Baa A 4,750 New York City HDC, General Housing, 6.50%, 5/1/22 4,797,690 NR NR 2,080 New York City HDC, Dayton Project, 6.50%, 11/15/18 2,092,643 NR AAA 2,550 New York City HDC, Multi-Unit Management, 7.35%, 6/1/19 2,702,439 Aa A+ 235 New York State Housing Finance Agency, Baytown, 7.10%, 8/15/35 248,280 Aa NR 250 New York State Mortgage Agency, 6.90%, 4/1/03 263,523 Aa NR 8,750 New York State Mortgage Agency, 6.90%, 4/1/15 9,220,313 Aa NR 1,000 New York State Mortgage Agency, 7.50%, 4/1/15 1,082,280 Aa NR 295 New York State Mortgage Agency, 7.65%, 4/1/19 311,963 Aa NR 625 New York State Mortgage Agency, 7.70%, 10/1/12 676,644 Aa NR 270 New York State Mortgage Agency, 8.00%, 10/1/17 287,312 Aa NR 6,350 New York State Mortgage Agency (AMT), 6.40%, 10/1/20 6,318,568 Aa NR 1,600 New York State Mortgage Agency (AMT), 7.95%, 10/1/21 1,727,808 Baa BBB 350 Puerto Rico Commonwealth Urban Renewal & Housing Corporation, 7.875%, 10/1/04 395,693 Aaa AAA 410 Puerto Rico Housing Financial Corporation Single-Family (GNMA), 7.65%, 10/15/22 434,124 ----------- 35,331,577 ----------- INSURED COLLEGE & UNIVERSITY -- 1.8% Aaa AAA 6,950 Dormitory Authority, Marist College (MBIA), 6.00%, 7/1/22 6,958,549 Aaa AAA 5,000 Dormitory Authority, New York University (MBIA), 5.00%, 7/1/11 4,698,350 ----------- 11,656,899 ----------- INSURED GENERAL OBLIGATIONS -- 1.0% Aaa AAA 1,035 Erie County Water Authority (AMBAC), 0%, 12/1/17 211,295 Aaa AAA 3,900 New York City Trust for Cultural Resources, Museum of Modern Art (AMBAC), 5.40%, 1/1/12 3,764,748 Aaa AAA 2,480 New York State Environmental Facilities Corporation (EFC), Jamaica Water Supply Company (AMT) (AMBAC), 7.625%, 4/1/29 2,677,334 ----------- 6,653,377 ----------- INSURED GENERAL OBLIGATIONS (LOCAL) -- 1.8% Aaa AAA 520 Chautauqua County Unlimited Tax (FGIC), 6.40%, 9/15/08 574,621 Aaa AAA 770 Chautauqua County Unlimited Tax (FGIC), 6.40%, 9/15/09 847,123 Aaa AAA 465 Chautauqua County Unlimited Tax (FGIC), 7.30%, 4/1/07 547,793 Aaa AAA 725 Jamestown, (Secondary AMBAC), 7.00%, 3/15/07 838,521 Aaa AAA 600 Jamestown, (Secondary AMBAC), 7.00%, 3/15/08 693,852 Aaa AAA 675 Jamestown, (Secondary AMBAC), 7.00%, 3/15/13 789,278 Aaa AAA 700 Jamestown, (Secondary AMBAC), 7.10%, 3/15/09 814,891
26 NEW YORK TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) INSURED GENERAL OBLIGATIONS (LOCAL) (CONTINUED) Aaa AAA $ 700 Jamestown, (Secondary AMBAC), 7.10%, 3/15/10 $ 816,739 Aaa AAA 700 Jamestown, (Secondary AMBAC), 7.10%, 3/15/11 817,929 Aaa AAA 675 Jamestown, (Secondary AMBAC), 7.10%, 3/15/12 789,271 Aaa AAA 515 Jamestown, (Secondary AMBAC), 7.10%, 3/15/14 601,808 Aaa AAA 2,000 New York City (AMBAC), 7.00%, 8/1/17 2,201,300 Aaa AAA 500 Oyster Bay (FGIC), 6.60%, 2/15/12 533,400 Aaa AAA 450 Oyster Bay (FGIC), 6.60%, 2/15/13 480,060 ----------- 11,346,586 ----------- INSURED GENERAL OBLIGATIONS (SCHOOL DISTRICT) -- 0.2% Aaa AAA 700 Bethlehem Central School District (AMBAC), 7.10%, 11/1/08 819,903 Aaa AAA 700 Bethlehem Central School District (AMBAC), 7.10%, 11/1/09 814,716 ----------- 1,634,619 ----------- INSURED GENERAL OBLIGATIONS (TERRITORY) -- 0.7% Aaa AAA 4,500 Commonwealth of Puerto Rico Public Improvement Residual Interest Tax Exempt Securities (FSA), Variable, 7/1/22 (1) 4,616,865 ----------- INSURED HEALTH CARE -- 4.4% Aaa AAA 1,500 New York State MCFFA, Long Term Health Care (CGIC), 6.80%, 11/1/14 1,588,695 Aaa AAA 1,300 New York State MCFFA, New York Hospital (FHA) (AMBAC), 6.60%, 2/15/11 1,409,226 Aaa AAA 5,400 New York State MCFFA, New York Hospital (FHA) (AMBAC), 6.75%, 8/15/14 5,794,146 Aaa AAA 20,525 New York State MCFFA, Mental Health Services Facilities (MBIA), 5.375%, 2/15/14 19,280,980 ----------- 28,073,047 ----------- INSURED HOUSING -- 0.1% Aaa AAA 500 New York City HDC, Charter Oaks (MBIA), 7.375%, 4/1/17 524,525 ----------- INSURED MISCELLANEOUS -- 0.1% Aaa AAA 500 New York City IDA, (USTA National Tennis Center Incorporated Project) (FSA), 6.375%, 11/15/14 522,020 ----------- INSURED SOLID WASTE -- 1.6% Aaa AAA 1,650 Dutchess County Resource Recovery Solid Waste (FGIC), 7.50%, 1/1/09 1,814,505 Aaa AAA 6,795 Islip Resource Recovery Agency (MBIA), 6.50%, 7/1/09 7,272,960 Aaa AAA 1,000 Montgomery, Otesgo, Schoharie Solid Waste Management Authority (MBIA), 5.25%, 1/1/14 936,350 ----------- 10,023,815 ----------- INSURED TOLL & TURNPIKE -- 1.0% Aaa AAA 3,000 Triborough Bridge & Tunnel Authority Residual Interest Securities (MBIA), Variable, 1/1/19 (1) 3,033,030 Aaa AAA 3,000 Triborough Bridge & Tunnel Authority Residual Interest Securities (MBIA), Variable, 1/1/12 (1) 3,229,230 ----------- 6,262,260 ----------- INSURED WATER & SEWER -- 0.1% Aaa AAA 275 Albany Municipal Water Financial Authority (MBIA), 7.50%, 12/1/17 298,944 ----------- LEASE/CERTIFICATE OF PARTICIPATION -- 8.7% Baa1 BBB 1,955 Dormitory Authority, City University, 5.75%, 7/1/13 1,869,000 Baa1 BBB 17,815 Dormitory Authority, City University, 5.75%, 7/1/13 17,031,318 Baa1 BBB 250 Dormitory Authority, City University, 6.375%, 7/1/08 256,618 Baa1 BBB 5,100 Dormitory Authority, City University, 7.00%, 7/1/09 5,653,044 Baa1 BBB 4,325 Dormitory Authority, City University, 7.50%, 7/1/10 4,967,133 Baa1 BBB 6,125 New York State HFA Service Contract, 5.375%, 9/15/11 5,635,000
27 NEW YORK TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) LEASE/CERTIFICATE OF PARTICIPATION (CONTINUED) NR BBB $ 5,865 New York State Thruway Authority, 0%, 1/1/01 $ 4,438,046 Baa1 BBB 5,775 New York State Urban Development Corporation (UDC) Correctional Facilities, 5.50%, 1/1/14 5,342,337 Baa1 BBB 7,670 New York State UDC Correctional Facilities, 5.25%, 1/1/13 6,896,557 Baa1 BBB 500 New York State UDC, Alfred Technology, 7.875%, 1/1/20 549,070 Baa1 BBB 750 New York State UDC, Clarkson Center for Advanced Materials, 7.80%, 1/1/20 821,512 Baa1 BBB 750 New York State UDC, Clarkson Center for Advanced Materials, 8.00%, 1/1/20 839,737 A1 A 1,825 Syracuse -- Hancock International Airport Certificates of Participation, 6.625%, 1/1/12 1,921,105 ----------- 56,220,477 ----------- MISCELLANEOUS -- 1.6% Aa AA- 200 City of New York Municipal Assistance Corporation, 7.50%, 7/1/08 218,888 Aa AA- 485 City of New York Municipal Assistance Corporation, 7.625%, 7/1/08 530,896 Aa AA- 635 City of New York Municipal Assistance Corporation, 7.625%, 7/1/08 714,724 NR NR 1,300 New York City IDA, (YMCA of Greater New York), 8.00%, 8/1/16 1,394,536 Aaa AAA 7,000 VRDC -- IVRC Trust, Variable Rate, 6/26/02 (1) 7,214,340 ----------- 10,073,384 ----------- SOLID WASTE -- 2.0% Baa1 A- 2,665 Hempstead IDA Resource Recovery, American Refunding Fuel Co., 7.40%, 12/1/10 2,782,473 Baa NR 9,530 New York State EFC Resource Recovery, Huntington Project, 7.50%, 10/1/12 10,056,056 ----------- 12,838,529 ----------- SPECIAL TAX REVENUE -- 12.5% A A 12,160 New York State LGAC, 5.00%, 4/1/21 10,582,240 A A 5,000 New York State LGAC, 5.00%, 4/1/21 4,368,900 A A 8,750 New York State LGAC, 5.00%, 4/1/23 7,526,313 A A 4,750 New York State LGAC, 5.25%, 4/1/16 4,406,908 A A 2,500 New York State LGAC, 5.25%, 4/1/19 2,265,400 A A 4,500 New York State LGAC, 5.375%, 4/1/16 4,221,180 A A 5,225 New York State LGAC, 5.50%, 4/1/17 4,960,040 A A 12,420 New York State LGAC, 5.50%, 4/1/18 11,731,808 A A 13,000 New York State LGAC, 5.50%, 4/1/21 12,140,570 NR BBB+ 2,630 New York State Municipal Bond Bank Agency, 6.875%, 3/15/06 2,866,095 Baa1 BBB 3,100 New York State Thruway Authority Contract, Local & Highway Building, 5.25%, 4/1/13 2,800,478 Baa1 A 2,000 Puerto Rico Highway and Transportation Authority, 5.50%, 7/1/15 1,902,740 Baa1 A 2,500 Puerto Rico Highway and Transportation Authority, 5.50%, 7/1/15 2,378,425 Baa1 A 4,840 Puerto Rico Highway and Transportation Authority, 6.625%, 7/1/18 5,079,774 Baa1 BBB 3,335 Triborough Bridge & Tunnel Authority, Convention Center, 6.00%, 1/1/11 3,318,158 ----------- 80,549,029 ----------- TRANSPORTATION -- 6.2% Baa1 BBB 4,025 MTA Transit Facilities Service Contract, 4.75%, 7/1/19 3,261,417 Baa1 BBB 3,670 MTA Transit Facilities Service Contract, 4.75%, 7/1/19 2,973,764 Baa1 BBB 2,000 MTA Transit Facilities Service Contract, 5.75%, 7/1/13 1,928,740 Baa1 BBB 725 MTA Transit Facilities Service Contract, 5.75%, 7/1/13 699,168 NR BBB 2,350 New York State Thruway Authority, Cross Westchester Expressway Project, 0%, 1/1/03 1,587,566 Ba1 BB 6,500 Port Authority of New York and New Jersey, 5.75%, 6/15/30 6,254,170 Ba1 BB 2,800 Port Authority of New York and New Jersey, Delta Airlines LaGuardia Airport, 6.95%, 6/1/08 2,969,512 A1 AA- 1,500 Port Authority of New York and New Jersey (AMT), Variable, 1/15/27 (1) 1,553,730 Aa A+ 5,330 Triborough Bridge and Tunnel Authority (TBTA) General Purpose, 5.00%, 1/1/12 4,869,062
28 NEW YORK TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) TRANSPORTATION (CONTINUED) Aa A+ $ 11,580 TBTA General Purpose, 5.50%, 1/1/17 $11,048,941 Aa A+ 2,500 TBTA General Purpose, 6.125%, 1/1/21 2,583,100 ----------- 39,729,170 ----------- WATER & SEWER REVENUE -- 3.8% Aa A 11,050 New York State EFC, State Water Pollution Control, 6.875%, 6/15/10 12,110,568 Aa A+ 4,545 New York State EFC, State Water Pollution Control, 7.20%, 3/15/11 5,052,540 Aa A 2,750 New York State EFC, State Water Pollution Control, 7.00%, 6/15/12 3,053,738 Aa A 150 New York State EFC, State Water Pollution Control, 7.50%, 6/15/12 169,304 Baa1 A 3,750 Puerto Rico Aqueduct & Sewer Authority, 7.875%, 7/1/17 4,160,625 ----------- 24,546,775 ----------- TOTAL TAX-EXEMPT INVESTMENTS (IDENTIFIED COST $610,645,613) $642,348,587 ----------- -----------
(1)The above designated securities have been issued as inverse floater bonds. (2)Security has been segregated to cover margin requirements on open financial futures contracts. The Portfolio invests primarily in debt securities issued by New York municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at September 30, 1995, 23.7% of the securities in the portfolio of investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage by financial institution ranged from 0.1% to 11.0% of total investments. See notes to financial statements 29 - --------------------------------------------------------------- PORTFOLIO OF INVESTMENTS September 30, 1995 OHIO TAX FREE PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS -- 100% EDUCATION -- 7.9% A A+ $ 1,000 University of Cincinnati, 6.50%, 12/1/11 $ 1,035,190 A1 AA- 650 University of Cincinnati, 6.50%, 6/1/11 684,314 Aa AA- 550 Ohio State Higher Educational Facilities, Case Western University, 6.50%, 10/1/20 604,335 NR AA 1,000 Ohio State Higher Educational Facilities, Oberlin College, 5.375%, 10/1/15 942,190 NR AAA 2,100 Ohio Higher Educational Facilities, Ohio Northern University, (CLEE), 5.60%, 5/1/13 2,069,886 NR AAA 2,750 Ohio Higher Educational Facilities, Ohio Northern University, (CLEE), 5.65%, 5/1/18 2,688,153 A1 A+ 1,300 Ohio State Higher Educational Facilities, Public Facilities, 5.50%, 12/1/07 1,319,513 A1 NR 7,000 Ohio State Student Loan Funding Corp., (AMT), 6.10%, 8/1/07 7,165,200 A1 NR 7,000 Ohio State Student Loan Funding Corp., (AMT), 6.10%, 8/1/08 7,121,100 A1 AA- 1,500 Ohio State University Revenue, 5.75%, 12/1/09 1,523,325 ----------- 25,153,206 ----------- ESCROWED -- 0.2% A1 NR 500 Gahanna, Ohio General Obligation, 7.00%, 6/1/12 566,875 ----------- GENERAL OBLIGATIONS -- 9.1% NR NR 3,035 Belmont County, 7.30%, 12/1/17 3,190,392 A NR 600 City of Brunswick, Various Purpose, 6.30%, 12/1/12 617,586 NR NR 2,450 Cleveland City School District, 7.25%, 6/15/98 2,498,069 Aaa AAA 1,035 City of Columbus, 5.50%, 11/1/12 1,025,902 A1 NR 1,360 Copley-Fairlawn City School District, 6.25%, 12/1/15 1,403,180 NR BBB 3,500 Guam Government, 5.375%, 11/15/13 3,104,535 A1 NR 3,340 Hilliard City School District, 6.30%, 12/1/14 3,462,344 A1 NR 500 Huber Heights, Ohio, 6.75%, 12/1/11 534,185 A NR 1,200 Mansfield Ohio Waterworks Improvement, 5.60%, 12/1/13 1,162,692 A1 NR 725 City of Medina, Ohio Fire Station Improvement, 3.00%, 12/1/10 527,445 Aa AA 1,500 Ohio State Infrastructure Improvement, 0%, 8/1/11 632,685 Baa1 NR 1,000 Scioto County, Ohio Human Services Building, 7.15%, 8/1/11 1,136,590 NR NR 1,000 Tuscarawas Public Library Improvement, 6.90%, 12/1/11 1,055,300 Baa NR 1,000 Youngstown, Ohio, 7.55%, 12/1/11 1,080,240 NR NR 6,855 Youngstown, Ohio 7.35%, 6/15/05 7,413,614 ----------- 28,844,759 ----------- HEALTH CARE -- 2.4% NR AAA 1,000 Allen County Ohio, LIMA Convalescent Home Foundation (GNMA), 6.40%, 1/1/21 1,022,330 Aa2 NR 1,600 Hamilton County, Episcopal Retirement Homes, 6.80%, 1/1/08 1,745,504 NR BBB- 1,800 Marion County, United Church Homes, 6.30%, 11/15/15 1,734,354 Baa BBB 2,925 Puerto Rico Urban Renewal & Housing Corporation, 0%, 10/1/99 2,364,570 Aa2 NR 600 Warren County, Otterbein Home Project, 7.20%, 7/1/11 662,418 ----------- 7,529,176 ----------- HOSPITALS -- 19.3% Baa BBB- 1,000 Butler County, Hamilton-Hughe Hospital, 7.50%, 1/1/10 1,032,270 NR BBB 1,000 Cambridge Ohio, Guernsey Memorial Hospital, 8.00%, 12/1/11 1,068,500 A1 A 2,100 Cuyahoga County, Fairview General Hospital, 6.25%, 8/15/10 2,152,101 A1 A 2,370 Cuyahoga County, Meridia Health System, 7.00%, 8/15/23 2,505,967 A1 A 2,000 Cuyahoga County, Meridia Health System, 6.50%, 8/15/12 2,052,600 Aa AA 750 Cuyahoga County, University Hospitals Health System, 6.50%, 1/15/19 778,560 Aa AA 4,450 Cuyahoga County, University Hospitals Health System, 6.00%, 1/15/22 4,487,024 NR BBB 4,500 Defiance Hospital, Inc., 7.625%, 11/1/03 4,641,075 Baa BBB- 665 East Liverpool City Hospital -- Series A, 8.00%, 10/1/21 696,893
30 OHIO TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) HOSPITALS (CONTINUED) Baa BBB- $ 1,000 East Liverpool City Hospital -- Series B, 8.00%, 10/1/21 $ 1,044,880 A A- 4,000 Erie County, Firelands Community Hospital, 6.75%, 1/1/08 4,237,640 Aa NR 3,000 Franklin County, Children's Hospital, 6.60%, 5/1/13 3,167,310 Aa NR 1,900 Franklin County, Riverside United Methodist Hospital, 5.75%, 5/15/20 1,804,088 A A 1,015 City of Garfield Heights, Marymount Hospital, 6.65%, 11/15/11 1,052,058 A A 1,000 City of Garfield Heights, Marymount Hospital, 6.70%, 11/15/15 1,040,670 Aa2 NR 1,000 Hamilton County, Wesley Hall Project, 6.50%, 3/1/15 1,022,560 A1 A 4,000 Hamilton County, Bethesda Hospital, Inc., 6.25%, 1/1/12 4,027,400 A1 A+ 1,095 Lorain County, Humility of Mary Health Care Corp., 7.125%, 12/15/06 1,199,266 A1 A+ 5,900 Lorain County, Humility of Mary Health Care Corp., 5.90%, 12/15/08 6,048,208 A1 A+ 1,000 Lorain County, Humility of Mary Health Care Corp., 7.20%, 12/15/11 1,081,030 NR A+ 1,750 Lorain County, Lakeland Community Hospital, Inc., 6.50%, 11/15/12 1,794,538 NR BBB+ 1,000 Lucas County, Flowers Hospital, 6.125%, 12/1/13 939,000 A A 2,760 City of Middleburg Heights, Southwest General Hospital Project, 6.75%, 8/15/21 2,880,971 NR NR 10,000 Mt Vernon, Knox Community Hospital, 7.875%, 6/1/12 10,358,900 ----------- 61,113,509 ----------- HOUSING -- 7.1% Aa NR 1,300 City of Clermont, Laurels Project, (FHA), 6.00%, 9/1/20 1,285,011 Aa NR 1,000 Franklin County, Hamilton Creek Apartments (FHA), (AMT), 5.80%, 7/1/14 942,190 Aa NR 3,660 Franklin County, Hamilton Creek Apartments (FHA), (AMT), 5.55%, 7/1/24 3,239,905 NR AAA 3,490 Ohio HFA, (GNMA), (AMT), 6.375%, 3/1/25 3,523,853 NR AAA 4,735 Ohio HFA, (GNMA), (AMT), 6.70%, 3/1/25 4,844,899 NR AAA 835 Ohio HFA, SFMR, (GNMA), 7.60%, 9/1/16 871,723 NR AAA 1,250 Ohio HFA, MFMR -- Asbury Woods, (FHA), 7.00%, 10/1/24 1,279,350 Aa NR 2,850 Ohio HFA, Oakleaf Village Project, (FHA), 5.70%, 9/1/26 2,643,746 Aa NR 1,000 Ohio HFA, Aristocrat South Board & Care Project (FHA), (AMT), 7.30%, 8/1/31 1,037,330 Aaa AAA 1,085 Ohio HFA SFMR, (GNMA) (AMT), Variable, 3/31/31 (1) 1,162,317 NR BBB+ 1,020 Ohio Economic Development, KMART Corp., 6.75%, 5/15/07 1,034,810 A1 A+ 500 Ohio Building Authority Juvenile Correctional Building, 5.80%, 10/1/07 515,125 ----------- 22,380,259 ----------- INDUSTRIAL DEVELOPMENT/POLLUTION CONTROL REVENUE -- 8.8% NR BBB 510 Madison County, IDR, KMART Corp., 6.75%, 9/15/06 523,734 Baa1 NR 3,750 Ohio Air Quality Development Authority, Ashland Oil Inc, 6.85%, 4/1/10 3,991,163 NR A- 595 Ohio IDR, Enterprise Bond Fund, Burrows Paper Corp. (AMT), 7.625%, 6/1/11 659,546 NR A- 310 Ohio IDR, Enterprise Bond Fund, Cheryl & Co., (AMT), 5.50%, 12/1/04 307,774 NR A- 530 Ohio IDR, Enterprise Bond Fund, Cheryl & Co., (AMT), 5.90%, 12/1/09 530,806 NR A- 1,815 Ohio IDR, Enterprise Bond Fund, Consolidated Biscuit, (AMT), 7.00%, 12/1/09 2,014,051 NR A- 3,425 Ohio IDR, Enterprise Bond Fund, J J & W LP Project, (AMT), 6.70%, 12/1/14 3,536,826 NR A- 750 Ohio IDR, Enterprise Bond Fund, Luigino's Inc. (AMT), 6.85%, 6/1/01 772,388 NR A- 1,000 Ohio IDR, Enterprise Bond Fund, Progress Plastic Products, (AMT), 6.80%, 12/1/01 1,086,040 NR A- 1,525 Ohio IDR, Enterprise Bond Fund, Progress Plastic Products, (AMT), 7.80%, 12/1/09 1,772,660 NR A- 680 Ohio IDR, Enterprise Bond Fund, Royal Appliance Manufacturing Co., Series 1991 #9 (AMT), 7.625%, 12/1/11 758,234 NR A- 1,000 Ohio IDR, Enterprise Bond Fund, Royal Appliance Manufacturing Co., Series 1991 #5, (AMT), 7.625%, 12/1/11 1,115,050 NR A- 1,800 Ohio IDR, Enterprise Bond Fund, Speco Corp. (AMT), 6.60%, 6/1/04 1,857,186 NR A- 170 Ohio IDR, Enterprise Bond Fund, Speco Corp. (AMT), 6.25%, 6/1/00 173,553 NR A- 880 Ohio IDR, Enterprise Bond Fund, VSM Corp., (AMT), 7.375%, 12/1/11 969,936 NR AA- 1,000 Ohio Pollution Control, Standard Oil Company, 6.75%, 12/1/15 1,167,220 Baa2 BBB 4,065 Ohio Water Development Authority, Union Carbide Corp. Project, 5.50%, 1/15/07 3,935,245
31 OHIO TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) INDUSTRIAL DEVELOPMENT/POLLUTION CONTROL REVENUE (CONTINUED) Ba2 NR $ 1,500 Portage County, Kroger Corporation, 7.25%, 7/1/99 $ 1,592,175 Ba2 NR 1,000 Summit County, Kroger Corporation, 6.85%, 7/1/99 1,050,140 ----------- 27,813,727 ----------- INSURED EDUCATION -- 1.1% Aaa AAA 1,000 Adams & Highland County Local School District, (MBIA), 5.25%, 12/1/21 923,810 Aaa AAA 1,500 Delaware County, Buckeye Valley Local School District, (MBIA), 5.25%, 12/1/20 1,402,665 Aaa AAA 1,000 Ohio Higher Education, University of Dayton Project (FGIC), 5.80%, 12/1/14 1,000,720 ----------- 3,327,195 ----------- INSURED GENERAL OBLIGATIONS -- 1.5% Aaa AAA 1,700 Puerto Rico (AMBAC), Variable, 7/1/15 (1) 1,716,898 Aaa AAA 3,000 Puerto Rico (FSA), Variable, 7/1/22 (1) 3,077,910 ----------- 4,794,808 ----------- INSURED HEALTHCARE -- 2.4% Aaa AAA 1,945 Hamilton County, Sisters of Charity Health Care System (MBIA), 5.25%, 5/15/13 1,819,645 Aa AA- 5,925 Montgomery County, Sisters of Charity Health Care System (MBIA), 5.25%, 5/15/11 5,563,871 ----------- 7,383,516 ----------- INSURED HOSPITALS -- 11.7% Aaa AAA 2,500 Akron, Bath and Copley Townships Children's Hospital Medical Center of Akron, (AMBAC), 5.25%, 11/15/20 2,276,175 Aaa AAA 1,000 Clermont County, Mercy Health System (AMBAC), Variable, 10/5/21 (1) 1,128,810 Aaa AAA 1,500 Cuyahoga County, Fairview Hospital, (MBIA), 5.50%, 8/15/19 1,389,270 Aaa AAA 5,885 Franklin County, Riverside United Methodist (AMBAC), 5.75%, 5/15/12 5,797,961 Aaa AAA 10,500 Franklin County, Riverside United Methodist (AMBAC), 5.75%, 5/15/20 10,085,565 Aaa AAA 1,455 Hamilton County, The Christ Hospital (FGIC), 5.50%, 1/1/08 1,472,169 Aaa AAA 1,500 Hamilton County, Children's Hospital Medical Center, (FGIC), 5.00%, 5/15/13 1,370,130 Aaa AAA 2,750 Mansfield General Hospital (AMBAC), 6.70%, 12/1/09 2,970,028 Aaa AAA 1,000 Montgomery County, Ohio Miami Valley Hospital, (AMBAC), 6.25%, 11/15/16 1,030,000 Aaa AAA 6,565 Portage County, Robinson Memorial Hospital, (MBIA), 5.80%, 11/15/15 6,272,201 Aaa AAA 3,500 Stark County, Timkon Mercy Medical, (MBIA), 5.00%, 12/1/19 3,113,320 ----------- 36,905,629 ----------- INSURED HOUSING -- 0.6% Aaa AAA 990 Ohio Capital Corporation FHA Insured Mortgage Loans, (MBIA), 7.25%, 7/1/24 1,032,649 Aaa AAA 750 Ohio Capital Corporation FHA Insured Mortgage Loans, (MBIA), 6.50%, 1/1/25 763,965 ----------- 1,796,614 ----------- INSURED INDUSTRIAL DEVELOPMENT REVENUE -- 2.3% Aaa AAA 7,000 Ohio Air Quality Development Authority, JMG Funding, L.P. Project, (AMBAC), (AMT), 6.375%, 1/1/29 7,180,670 ----------- INSURED LEASE -- 2.6% Aaa AAA 1,000 Ohio Higher Education, University of Dayton, (FGIC), 0%, 12/1/06 560,870 Aaa AAA 8,000 Ohio State Public Building Authority -- Workers Comp Facilities (MBIA), 4.50%, 4/1/04 7,785,200 ----------- 8,346,070 ----------- INSURED SPECIAL TAX REVENUE -- 4.9% Aaa AAA 2,110 Hudson Local School District, (FGIC), 0%, 12/15/09 976,656 Aaa AAA 2,115 Hudson Local School District, (FGIC), 0%, 12/15/10 920,427 Aaa AAA 2,000 North Canton City School District, (AMBAC), 5.90%, 12/1/14 2,024,260 Aaa AAA 1,400 Pickerington Local School District, (AMBAC), 0%, 12/1/11 562,800 Aaa AAA 2,000 Puerto Rico Highway & Transportation Authority (FSA), 5.50%, 7/1/17 1,911,920
32 OHIO TAX FREE PORTFOLIO (cont'd)
- ---------------------------------------------------------------------------------------------------------------------------------- RATINGS (UNAUDITED) - -------------------- PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE TAX-EXEMPT INVESTMENTS (CONTINUED) INSURED SPECIAL TAX REVENUE (CONTINUED) Aaa AAA $ 7,000 Puerto Rico Highway & Transportation Authority (FSA), 5.25%, 7/1/21 $ 6,435,380 Aaa AAA 3,000 Puerto Rico Highway & Transportation Authority (FSA), 5.25%, 7/1/20 2,762,220 ----------- 15,593,663 ----------- INSURED UTILITIES -- 2.4% Aaa AAA 1,650 Cleveland Public Power System, (MBIA), 7.00%, 11/15/17 1,809,605 Aaa AAA 2,000 Cuyahoga County Medical Center Utility System (AMT) (MBIA), 6.10%, 8/15/15 2,001,480 Aaa AAA 1,380 OH Municipal Electric Generation Agency (AMBAC), 5.375%, 2/15/24 1,289,665 Aaa AAA 2,300 Puerto Rico Electric Power Authority, (FSA), Variable, 7/1/02 (1) 2,548,814 ----------- 7,649,564 ----------- LEASE/CERTIFICATES OF PARTICIPATION -- 1.1% A NR 1,000 University of Akron COP, West Campus Parking Deck, 5.50%, 1/1/14 974,080 Baa1 A 2,500 Puerto Rico Public Building Authority, 6.00%, 7/1/12 2,504,675 ----------- 3,478,755 ----------- LIFE CARE -- 0.6% Aa NR 2,000 Franklin County, Kensington Place Project, 6.75%, 1/1/34 2,046,600 ----------- SPECIAL TAX REVENUE -- 4.2% Baa1 A 3,000 Puerto Rico Highway & Transportation Authority, 6.625%, 7/1/12 3,168,450 Baa1 A 1,500 Puerto Rico Highway & Transportation Authority, 5.50%, 7/1/15 1,427,055 Baa1 A 5,000 Puerto Rico Highway & Transportation Authority, 5.25%, 7/1/20 4,466,150 Baa1 A 4,995 Puerto Rico Highway & Transportation Authority, 5.00%, 7/1/22 4,280,216 ----------- 13,341,871 ----------- TRANSPORTATION -- 1.7% NR BBB 2,750 Guam Airport Authority, (AMT), 6.70%, 10/1/23 2,755,913 A1 AA- 2,830 Ohio Turnpike Commission, 5.75%, 2/15/24 2,771,617 ----------- 5,527,530 ----------- UTILITIES -- 7.2% NR BBB 5,500 Guam Power Authority, 5.25%, 10/1/13 4,960,170 NR BBB 5,000 Guam Power Authority, 5.25%, 10/1/23 4,307,600 Baa1 A- 3,000 Puerto Rico Electric Power Authority, 5.00%, 7/1/12 2,709,060 Baa1 A- 360 Puerto Rico Electric Power Authority, 7.125%, 7/1/14 392,580 Baa1 A- 4,000 Puerto Rico Electric Power Authority, 6.00%, 7/1/14 3,968,440 Baa1 A- 20,165 Puerto Rico Electric Power Authority, 0%, 7/1/17 5,301,379 NR NR 1,000 Virgin Islands Water and Power Authority, 7.40%, 7/1/11 1,050,210 ----------- 22,689,439 ----------- WATER & SEWER REVENUE -- 0.9% NR NR 800 The Mahoning Valley Sanitary District, 7.80%, 12/15/08 855,392 NR NR 950 The Mahoning Valley Sanitary District, 7.80%, 12/15/09 1,013,099 NR NR 1,000 City of Vermilion, Ohio Water System, 7.25%, 8/15/15 1,066,720 ----------- 2,935,211 ----------- TOTAL TAX-EXEMPT INVESTMENTS (IDENTIFIED COST, $304,406,955) $316,398,646 ----------- -----------
(1)The above designated securities have been issued as inverse floater bonds. The Portfolio invests primarily in debt securities issued by Ohio municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at September 30, 1995, 36.3% of the securities in the portfolio of investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage by financial institution ranged from 2.0% to 11.4% of total investments. See notes to financial statements. 33 - --------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES September 30, 1995
- -------------------------------------------------------------------------------------------------------------------- P O R T F O L I O S NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO OHIO PORTFOLIO ASSETS: Investments -- Identified cost $2,148,345,455 $381,719,158 $277,979,560 $610,645,613 $304,406,955 Unrealized appreciation 135,374,581 24,303,093 17,523,995 31,702,974 11,991,691 -------------- -------------- -------------- -------------- -------------- Total investments, at value (Note 1A) 2,283,720,036 406,022,251 295,503,555 642,348,587 316,398,646 Cash 3,616,689 589 6,632 696 522 Receivable for investments sold 32,684,771 50,000 13,030,253 17,612,917 998,095 Interest receivable 43,138,659 6,743,380 5,219,546 10,635,275 5,490,518 Deferred organization expenses (Note 1D) 46,641 14,563 12,432 14,921 9,316 -------------- -------------- -------------- -------------- -------------- Total assets 2,363,206,796 412,830,783 313,772,418 670,612,396 322,897,097 -------------- -------------- -------------- -------------- -------------- LIABILITIES: Demand note payable (Note 5) -- 2,032,000 2,018,000 476,000 3,860,000 Payable for investments purchased 5,033,541 -- 9,507,914 16,908,493 -- Payable for when-issued securities (Note 1G) 97,457,676 -- -- -- -- Payable for daily variation margin on open financial futures contracts (Note 1E) -- 103,125 61,875 477,125 -- Payable to affiliates -- Trustees' fees 7,368 4,638 4,126 5,150 4,126 Custodian fees -- 8,667 4,381 1,500 6,183 Accrued expenses 61,848 12,215 5,875 7,819 10,140 -------------- -------------- -------------- -------------- -------------- Total liabilities 102,560,433 2,160,645 11,602,171 17,876,087 3,880,449 -------------- -------------- -------------- -------------- -------------- NET ASSETS applicable to investors' interest in Portfolio $2,260,646,363 $410,670,138 $302,170,247 $652,736,309 $319,016,648 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- SOURCES OF NET ASSETS: Net proceeds from capital contributions and withdrawals $2,125,271,782 $386,540,544 $284,750,352 $621,396,197 $307,024,957 Unrealized appreciation of investments and financial futures contracts (computed on the basis of identified cost) 135,374,581 24,129,594 17,419,895 31,340,112 11,991,691 -------------- -------------- -------------- -------------- -------------- Total $2,260,646,363 $410,670,138 $302,170,247 $652,736,309 $319,016,648 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
See notes to financial statements 34 - --------------------------------------------------------------- STATEMENTS OF OPERATIONS For the Year Ended September 30, 1995
- -------------------------------------------------------------------------------------------------------------------- P O R T F O L I O S NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK OHIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO INVESTMENT INCOME: Interest Income (Note 1B) $166,061,913 $28,624,042 $19,516,946 $41,798,094 $20,219,008 -------------- -------------- -------------- -------------- -------------- Expenses -- Investment adviser fee (Note 2) 9,944,026 2,121,262 1,383,407 3,031,508 1,463,895 Compensation of Trustees not members of the Investment Adviser's organization (Note 2) 29,082 18,570 16,111 20,640 19,598 Custodian fee (Note 2) 374,289 187,581 135,884 221,548 157,716 Interest expense (Note 5) -- -- -- -- 114,074 Legal and accounting fees 117,108 42,258 30,407 37,661 30,478 Amortization of organization expenses (Note 1D) 19,459 5,625 5,209 6,278 3,960 Miscellaneous 609,017 120,219 91,575 193,968 31,370 -------------- -------------- -------------- -------------- -------------- Total expenses 11,092,981 2,495,515 1,662,593 3,511,603 1,821,091 Deduct reduction of custodian fee (Note 2) 317,043 47,611 61,501 220,048 67,412 -------------- -------------- -------------- -------------- -------------- Net expenses 10,775,938 2,447,904 1,601,092 3,291,555 1,753,679 -------------- -------------- -------------- -------------- -------------- NET INVESTMENT INCOME 155,285,975 26,176,138 17,915,854 38,506,539 18,465,329 -------------- -------------- -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized loss -- Investment transactions (identified cost basis) (60,263,375) (19,076,355) (12,310,806) (12,293,704) (4,554,010) Financial futures contracts (26,703,060) (3,974,440) (3,356,628) (6,983,956) (2,677,416) -------------- -------------- -------------- -------------- -------------- Net realized loss on investments (86,966,435) (23,050,795) (15,667,434) (19,277,660) (7,231,426) -------------- -------------- -------------- -------------- -------------- Change in unrealized appreciation (depreciation) -- Investments 177,320,778 34,125,832 24,470,289 43,541,560 20,963,434 Financial futures contracts -- (650,309) (482,875) (498,006) -- -------------- -------------- -------------- -------------- -------------- Net unrealized appreciation 177,320,778 33,475,523 23,987,414 43,043,554 20,963,434 -------------- -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 90,354,343 10,424,728 8,319,980 23,765,894 13,732,008 -------------- -------------- -------------- -------------- -------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $245,640,318 $36,600,866 $26,235,834 $62,272,433 $32,197,337 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
See notes to financial statements 35 - --------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS For the Year Ended September 30, 1995
- -------------------------------------------------------------------------------------------------------------------- P O R T F O L I O S NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK OHIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO INCREASE (DECREASE) IN NET ASSETS: FROM OPERATIONS -- Net investment income $155,285,975 $26,176,138 $17,915,854 $38,506,539 $18,465,329 Net realized loss on investments (86,966,435) (23,050,795) (15,667,434) (19,277,660) (7,231,426) Change in unrealized appreciation of investments 177,320,778 33,475,523 23,987,414 43,043,554 20,963,434 -------------- -------------- -------------- -------------- -------------- Net increase in net assets from operations 245,640,318 36,600,866 26,235,834 62,272,433 32,197,337 -------------- -------------- -------------- -------------- -------------- CAPITAL TRANSACTIONS -- Contributions 443,671,368 39,676,667 27,917,577 61,423,633 24,237,228 Withdrawals (639,601,609) (110,738,796) (60,522,944) (126,606,533) (61,829,470) -------------- -------------- -------------- -------------- -------------- Decrease in net assets resulting from capital transactions (195,930,241) (71,062,129) (32,605,367) (65,182,900) (37,592,242) -------------- -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS 49,710,077 (34,461,263) (6,369,533) (2,910,467) (5,394,905) NET ASSETS: At beginning of year 2,210,936,286 445,131,401 308,539,780 655,646,776 324,411,553 -------------- -------------- -------------- -------------- -------------- At end of year $2,260,646,363 $410,670,138 $302,170,247 $652,736,309 $319,016,648 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
See notes to financial statements 36 - --------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS For the Year Ended September 30, 1994
- -------------------------------------------------------------------------------------------------------------------- P O R T F O L I O S NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK OHIO PORTFOLIO PORTFOLIO+ PORTFOLIO PORTFOLIO PORTFOLIO INCREASE (DECREASE) IN NET ASSETS: FROM OPERATIONS -- Net investment income $144,467,768 $13,943,369 $17,598,654 $38,006,256 $18,012,641 Net realized loss on investment transactions (8,642,077) (10,624,666) (5,575,616) (2,555,481) (413,084) Change in unrealized depreciation of investments (224,012,810) (942,071) (26,955,377) (67,884,728) (32,855,282) -------------- -------------- -------------- -------------- -------------- Net increase (decrease) in net assets from operations (88,187,119) 2,376,632 (14,932,339) (32,433,953) (15,255,725) -------------- -------------- -------------- -------------- -------------- CAPITAL TRANSACTIONS -- Contributions 760,864,297 24,605,354 73,999,994 135,102,754 78,699,031 Withdrawals (545,063,348) (49,109,598) (41,140,572) (95,828,619) (37,123,714) -------------- -------------- -------------- -------------- -------------- Increase (decrease) in net assets resulting from capital transactions 215,800,949 (24,504,244) 32,859,422 39,274,135 41,575,317 -------------- -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS 127,613,830 (22,127,612) 17,927,083 6,840,182 26,319,592 NET ASSETS: At beginning of year 2,083,322,456 467,259,013 290,612,697 648,806,594 298,091,961 -------------- -------------- -------------- -------------- -------------- At end of year $2,210,936,286 $445,131,401 $308,539,780 $655,646,776 $324,411,553 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
+ For the California Portfolio, the Statement of Changes in Net Assets is for the six months ended September 30, 1994 (Note 7). See notes to financial statements 37 - --------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS For the period from the start of business, May 3, 1993, to March 31, 1994 -------------
CALIFORNIA PORTFOLIO INCREASE (DECREASE) IN NET ASSETS: FROM OPERATIONS -- Net investment income $ 25,183,098 Net realized gain on investment transactions 10,976,521 Change in unrealized depreciation of investments (34,132,327) -------------- Net increase in net assets from operations $ 2,027,292 -------------- CAPITAL TRANSACTIONS -- Contributions 553,867,973 Withdrawals (88,736,272) -------------- Increase in net assets resulting from capital transactions 465,131,701 -------------- NET INCREASE IN NET ASSETS 467,158,993 NET ASSETS: At beginning of period 100,020 -------------- At end of period $467,259,013 -------------- --------------
See notes to financial statements 38 - --------------------------------------------------------------- SUPPLEMENTARY DATA
- -------------------------------------------------------------------------------------------------------------------- P O R T F O L I O S ------------------------------------------------------------------------ NATIONAL CALIFORNIA 1995 1994 1993** 1995 1994* RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET ASSETS): Expenses 0.50% 0.50% 0.47%+ 0.59% 0.57%+ Net investment income 7.00% 6.55% 6.58%+ 6.22% 6.09%+ Portfolio turnover 54% 40% 13% 58% 40% Net assets, at end of period (000 omitted) $2,260,646 $2,210,936 $2,083,322 $410,763 $445,131 ------------------------------------------------------------------------ MASSACHUSETTS NEW YORK 1995 1994 1993** 1995 1994 RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET ASSETS): Expenses 0.56% 0.51% 0.49%+ 0.54% 0.48% Net investment income 6.00% 5.74% 5.72%+ 5.97% 5.70% Portfolio turnover 87% 53% 38% 55% 47% Net assets, at end of period (000 omitted) $302,170 $308,540 $290,613 $652,736 $655,647 --------------------------- OHIO 1995 1994 RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET ASSETS): Expenses 0.57% 0.51% Net investment income 5.80% 5.61% Portfolio turnover 51% 31% Net assets, at end of period (000 omitted) $319,017 $324,412 - ------------------------------------------------ ------------- 1993*** RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET ASSETS): Expenses 0.55%+ Net investment income 5.72%+ Portfolio turnover 91% Net assets, at end of period (000 omitted) $467,259 --------------------------- 1993** RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET ASSETS): Expenses 0.48%+ Net investment income 5.64%+ Portfolio turnover 37% Net assets, at end of period (000 omitted) $648,807 1993** RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET ASSETS): Expenses 0.49%+ Net investment income 5.61%+ Portfolio turnover 24% Net assets, at end of period (000 omitted) $298,092
+ Annualized. * For the six months ended September 30, 1994 (Note 7). ** For the period from the start of business, February 1, 1993, to September 30, 1993. *** For the period from the start of business, May 3, 1993 to March 31, 1994. See notes to financial statements 39 - --------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------- (1) SIGNIFICANT ACCOUNTING POLICIES National Municipals Portfolio (National Portfolio) and California Tax Free Portfolio (California Portfolio) are registered under the Investment Company Act of 1940 as diversified open-end management investment companies which were organized as trusts under the laws of the State of New York on May 1, 1992. Massachusetts Tax Free Portfolio (Massachusetts Portfolio), New York Tax Free Portfolio (New York Portfolio), and Ohio Tax Free Portfolio (Ohio Portfolio), collectively the Portfolios, are registered under the Investment Company Act of 1940 as non-diversified open-end management investment companies which were organized as trusts under the laws of the State of New York on May 1, 1992. The Declarations of Trust permit the Trustees to issue interests in the Portfolios. The following is a summary of significant accounting policies of the Portfolios. The policies are in conformity with generally accepted accounting principles. A. INVESTMENT VALUATION - Municipal bonds are normally valued on the basis of valuations furnished by a pricing service. Taxable obligations, if any, for which price quotations are readily available are normally valued at the mean between the latest bid and asked prices. Futures contracts listed on commodity exchanges are valued at closing settlement prices. Short-term obligations, maturing in sixty days or less, are valued at amortized cost, which approximates value. Investments for which valuations or market quotations are unavailable are valued at fair value using methods determined in good faith by or at the direction of the Trustees. B. INCOME - Interest income is determined on the basis of interest accrued, adjusted for amortization of premium or discount when required for federal income tax purposes. C. INCOME TAXES - The Portfolios are treated as partnerships for Federal tax purposes. No provision is made by the Portfolios for federal or state taxes on any taxable income of the Portfolios because each investor in the Portfolios are ultimately responsible for the payment of any taxes. Since some of the Portfolios' investors are regulated investment companies that invest all or substantially all of their assets in the Portfolios, the Portfolios normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for their respective investors to satisfy them. The Portfolios will allocate at least annually among their respective investors each investor's distributive share of the Portfolios' net taxable (if any) and tax-exempt investment income, net realized capital gains, and any other items of income, gain, loss, deductions or credit. Interest income received by the Portfolios on investments in municipal bonds, which is excludable from gross income under the Internal Revenue Code, will retain its status as income exempt from federal income tax when allocated to each Portfolio's investors. The portion of such interest, if any, earned on private activity bonds issued after August 7, 1986, may be considered a tax preference item for investors. D. DEFERRED ORGANIZATION EXPENSES - Costs incurred by a Portfolio in connection with its organization are being amortized on the straight-line basis over five years. E. FINANCIAL FUTURES CONTRACTS - Upon the entering of a financial futures contract, a Portfolio is required to deposit ("initial margin") either in cash or securities an amount equal to a certain percentage of the purchase price indicated in the financial futures contract. Subsequent payments are made or received by a Portfolio ("margin maintenance") each day, dependent on the daily fluctuations in the value of the underlying security, and are recorded for book purposes as unrealized gains or losses by a Portfolio. A Portfolio's investment in financial futures contracts is designed only to hedge against anticipated future changes in interest rates. Should interest rates move unexpectedly, a Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. F. LEGAL FEES - Legal fees and other related expenses incurred as part of negotiations of the terms and requirements of capital infusions, or that are expected to result in the restructuring of or a plan of reorganization for an investment are recorded as realized losses. Ongoing expenditures to protect or enhance an investment are treated as operating expenses. G. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS - The Portfolios may engage in when-issued and delayed delivery transactions. The Portfolios record when-issued securities on trade date and maintain security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are marked to market daily and begin earning interest on settlement date. H. OTHER - Investment transactions are accounted for on a trade date basis. 40 - --------------------------------------------------------------- (2) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES The investment adviser fee is earned by Boston Management and Research (BMR), as compensation for management and investment advisory services rendered to each Portfolio. The fee is based upon a percentage of average daily net assets plus a percentage of gross income (i.e., income other than gains from the sale of securities). For the year ended September 30, 1995, each Portfolio paid advisory fees as follows:
- ------------------------------------------------------------------------------------------------------------------ PORTFOLIO AMOUNT National $9,944,026 California 2,121,262 Massachusetts 1,383,407 New York 3,031,508 Ohio 1,463,895 PORTFOLIO EFFECTIVE RATE National 0.45% California 0.50% Massachusetts 0.46% New York 0.47% Ohio 0.46%
Except as to Trustees of the Portfolios who are not members of BMR's organization, officers and Trustees receive remuneration for their services to the Portfolios out of such investment adviser fee. Investors Bank & Trust Company (IBT), an affiliate of BMR, serves as custodian of the Portfolios. Pursuant to the custodian agreements, IBT receives a fee reduced by credits which are determined based on the average daily cash balances each Portfolio maintains with IBT. All significant credit balances are reported as a reduction of expenses in the statement of operations. Certain of the officers and Trustees of the Portfolios are officers and directors/trustees of the above organizations. Trustees of the Portfolios that are not affiliated with the Investment Adviser may elect to defer receipt of all or a portion of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the year ended September 30, 1995, no significant amounts have been deferred. - --------------------------------------------------------------- (3) INVESTMENTS Purchases and sales of investments, other than U.S. Government securities and short-term obligations, for the year ended September 30, 1995 were as follows:
- ---------------------------------------------------------------------------------------------------------------------- NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO Purchases $1,192,305,188 $240,733,525 $256,567,304 $355,016,997 --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- Sales $1,201,905,002 $289,176,459 $272,646,745 $397,804,899 --------------- --------------- --------------- --------------- --------------- --------------- --------------- --------------- - ---------------------------------------------------------------------------------------------------------------------- OHIO PORTFOLIO Purchases $159,675,006 --------------- --------------- Sales $188,427,313 --------------- ---------------
- -------------------------------------------------- (4) FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation/depreciation in value of the investments owned by each Portfolio at September 30, 1995, as computed on a federal income tax basis, are as follows:
- ---------------------------------------------------------------------------------------------------------------------------- NATIONAL CALIFORNIA MASSACHUSETTS PORTFOLIO PORTFOLIO PORTFOLIO Aggregate Cost $2,148,345,455 $381,719,158 $277,979,560 --------------- --------------- --------------- --------------- --------------- --------------- Gross unrealized appreciation $ 165,148,448 $24,714,474 $17,673,126 Gross unrealized depreciation 29,773,867 411,381 149,131 --------------- --------------- --------------- Net unrealized appreciation $ 135,374,581 $24,303,093 $17,523,995 --------------- --------------- --------------- --------------- --------------- --------------- - ---------------------------------------------------------------------------------------------------------------------------- NEW YORK OHIO PORTFOLIO PORTFOLIO Aggregate Cost $610,645,613 $304,406,955 --------------- --------------- --------------- --------------- Gross unrealized appreciation $34,539,991 $13,447,996 Gross unrealized depreciation 2,837,017 1,456,305 --------------- --------------- Net unrealized appreciation $31,702,974 $11,991,691 --------------- --------------- --------------- ---------------
41 - --------------------------------------------------------------- (5) LINE OF CREDIT The Portfolios participate with other portfolios and funds managed by BMR in a $120 million unsecured line of credit agreement with a bank. The line of credit consists of a $20 million committed facility and a $100 million discretionary facility. Each Portfolio may temporarily borrow up to 5% of its total assets to satisfy redemption requests and settle securities transactions. Interest is charged to each portfolio or fund based on its borrowings at an amount above either the bank's adjusted certificate of deposit rate, a variable adjusted certificate of deposit rate, or a federal funds effective rate. In addition, a fee computed at an annual rate of 1/4 of 1% on the $20 million committed facility and on the daily unused portion of the $100 million discretionary facility is allocated among the participating funds and portfolios at the end of each quarter. At September 30, 1995, the California Portfolio, Massachusetts Portfolio, New York Portfolio and Ohio Portfolio had balances outstanding pursuant to this line of credit of $2,032,000, $2,018,000, $476,000 and $3,860,000, respectively. For the year ended September 30, 1995, the Ohio Portfolio had an average daily balance outstanding pursuant to this line of credit of $2,928,000 at an average interest rate of 7.27%. The Ohio Portfolio's maximum outstanding month end balance during the year was $9,776,000. The National Portfolio, California Portfolio, Massachusetts Portfolio and New York Portfolio did not have any significant borrowings or allocated fees during the year ended September 30, 1995. - --------------------------------------------------------------- (6) FINANCIAL INSTRUMENTS The Portfolios regularly trade in financial instruments with off-balance sheet risk in the normal course of their investing activities to assist in managing exposure to various market risks. These financial instruments include written options and futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment a Portfolio has in particular classes of financial instruments and does not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at September 30, 1995 is as follows:
- ---------------------------------------------------------------------------------------------------------------------------- FUTURES CONTRACTS PORTFOLIO EXPIRATION DATE CONTRACTS POSITION California 12/95 75 U.S. Treasury Bonds Short Massachusetts 12/95 45 U.S. Treasury Bonds Short New York 12/95 347 U.S. Treasury Bonds Short - ---------------------------------------------------- NET UNREALIZED PORTFOLIO DEPRECIATION California $ 173,499 Massachusetts 104,100 New York 362,862
At September 30, 1995, each Portfolio had sufficient cash and/or securities to cover margin requirements on open futures contracts. The National Portfolio and Ohio Portfolio did not have any open obligations under these financial instruments at September 30, 1995. - --------------------------------------------------------------- (7) CHANGE OF FISCAL YEAR The California Portfolio changed its fiscal year end from March 31, to September 30, effective September 30, 1994. 42 - --------------------------------------------------------------- INDEPENDENT AUDITORS' REPORT TO THE TRUSTEES AND INVESTORS OF: NATIONAL MUNICIPALS PORTFOLIO CALIFORNIA TAX FREE PORTFOLIO MASSACHUSETTS TAX FREE PORTFOLIO NEW YORK TAX FREE PORTFOLIO OHIO TAX FREE PORTFOLIO We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of National Municipals Portfolio, California Tax Free Portfolio, Massachusetts Tax Free Portfolio, New York Tax Free Portfolio, and Ohio Tax Free Portfolio as of September 30, 1995, the related statements of operations for the year then ended, the statements of changes in net assets for the years ended September 30, 1995 and 1994, and for the California Tax Free Portfolio the year ended March 31, 1994, and the supplementary data for each of the years in the three-year period ended September 30, 1995. These financial statements and supplementary data are the responsibility of each Trusts' management. Our responsibility is to express an opinion on the financial statements and supplementary data based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and supplementary data are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned at September 30, 1995, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other audit procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, such financial statements and supplementary data present fairly, in all material respects, the financial position of National Municipals Portfolio, California Tax Free Portfolio, Massachusetts Tax Free Portfolio, New York Tax Free Portfolio, and Ohio Tax Free Portfolio at September 30, 1995, the results of their operations, the changes in their net assets and their supplementary data for the respective stated periods in conformity with generally accepted accounting principles. DELOITTE & TOUCHE LLP Boston, Massachusetts October 27, 1995 43 INVESTMENT MANAGEMENT PORTFOLIOS ------------------------------------------ OFFICERS AND BOARD OF TRUSTEES OFFICERS THOMAS J. FETTER President and Portfolio Manager of the Ohio Tax Free Portfolio JAMES B. HAWKES Vice President, Trustee ROBERT B. MACINTOSH Vice President and Portfolio Manager of the California and Massachusetts Tax Free Portfolios JAMES L. O'CONNOR Treasurer BARBARA E. CAMPBELL Assistant Treasurer DOUGLAS C. MILLER Assistant Treasurer THOMAS OTIS Secretary JANET E. SANDERS Assistant Treasurer and Assistant Secretary INDEPENDENT TRUSTEES DONALD R. DWIGHT President, Dwight Partners, Inc. Chairman, Newspaper of New England, Inc. SAMUEL L. HAYES, III Jacob H. Schiff Professor of Investment Banking, Harvard Graduate School of Business Administration NORTON H. REAMER President and Director, United Asset Management Corporation JOHN L. THORNDIKE Director, Fiduciary Trust Company JACK L. TREYNOR Investment Adviser and Consultant PORTFOLIO MANAGERS NICOLE ANDERES, New York Tax Free Portfolio TOM METZOLD, National Municipals Portfolio CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. -------------------------------------- BOARD OF DIRECTORS AND OFFICERS DIRECTORS RICHARD H. AYERS Chairman and Chief Executive Officer The Stanley Works DAVID E. A. CARSON President, Chairman and Chief Executive Officer People's Bank DONALD H. POND, JR., FSA, CLU Retired Executive Vice President Connecticut Mutual Life Insurance Company RICHARD W. GREENE Executive Vice President and Treasurer University of Rochester BEVERLY L. HAMILTON President ARCO Investment Management Company DAVID E. SAMS, JR. President and Chief Executive Officer Connecticut Mutual Life Insurance Company OFFICERS DONALD H. POND, JR., FSA, CLU, President Retired Executive Vice President Connecticut Mutual Life Insurance Company LINDA M. NAPOLI, Treasurer and Controller Treasurer, Mutual Funds Connecticut Mutual Life Insurance Company LOUIS A. LACCAVOLE, CPA, General Auditor Vice President and General Auditor Connecticut Mutual Life Insurance Company ANN F. LOMELI, Secretary Corporate Secretary and Counsel Connecticut Mutual Life Insurance Company AUDITORS ARTHUR ANDERSEN LLP Hartford, CT This report has been prepared for shareholders of the Account and may be distributed to prospective investors in the Account when preceded or accompanied by a current prospectus. CMIA SHAREHOLDER SERVICES AGENT National Financial Data Services P.O. Box 419694 Kansas City, MO 64179-0948 1-800-322-CMIA YOUR CMIA REPRESENTATIVE IS: National Distributor Connecticut Mutual Financial Services, LLC an affiliate of [LOGO] CONNECTICUT MUTUAL THE BLUE CHIP COMPANY CONNECTICUT MUTUAL LIFE INSURANCE COMPANY 140 Garden Street Hartford, CT 06154 1-800-234-5606 -----END PRIVACY-ENHANCED MESSAGE-----