-----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, NZYjZ0WN632RJL2465ueECiFoaA8JKXmGON5Vjo/hsQ9rtb5YeD9/dquIqA62YrU vYUG0P4/TGwStH8nrncbSQ== 0000912057-96-010731.txt : 19960525 0000912057-96-010731.hdr.sgml : 19960525 ACCESSION NUMBER: 0000912057-96-010731 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19960331 FILED AS OF DATE: 19960524 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: 96572004 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 MUNICIPAL BOND FINANCIAL STATMENTS & PORTFOLIOS - -------------------------------------------------------------------------------- CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. FINANCIAL STATEMENTS MARCH 31, 1996 NATIONAL MUNICIPALS ACCOUNT CALIFORNIA MUNICIPALS ACCOUNT MASSACHUSETTS MUNICIPALS ACCOUNT NEW YORK MUNICIPALS ACCOUNT OHIO MUNICIPALS ACCOUNT - -------------------------------------------------------------------------------- CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. STATEMENT OF NET ASSETS March 31, 1996 (Unaudited)
ACCOUNTS -------------------------------------------------------------------------- NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK OHIO MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS -------------------------------------------------------------------------- Assets Investment in Portfolio, at value (Note 1A) (Identified cost $2,685,863, $634,290, $136,789, $396,633, $247,256) $2,789,792 $718,895 $140,814 $407,796 $258,148 Receivable from Fund shares sold - - - 31 - -------------------------------------------------------------------------- Total Assets 2,789,792 718,895 140,814 407,827 258,148 -------------------------------------------------------------------------- Liabilities Dividends payable 15,837 3,431 758 1,857 2,131 Accrued expenses payable 7,920 1,863 214 753 494 -------------------------------------------------------------------------- Total Liabilities 23,757 5,294 972 2,610 2,625 -------------------------------------------------------------------------- Net Assets $2,766,035 $713,601 $139,842 $405,217 $255,523 -------------------------------------------------------------------------- -------------------------------------------------------------------------- Outstanding Shares 257,750 69,351 13,498 38,748 24,194 -------------------------------------------------------------------------- -------------------------------------------------------------------------- Net Asset Value per Share $10.73 $10.29 $10.36 $10.46 $10.56 -------------------------------------------------------------------------- -------------------------------------------------------------------------- Net assets consist of: Capital (par value and paid-in sur $2,656,980 $591,895 $134,553 $392,258 $242,346 Undistributed net investment incom 857 75 (124) 44 (350) Accumulated undistributed net real 4,269 37,026 1,388 1,752 2,635 Net unrealized appreciation 103,929 84,605 4,025 11,163 10,892 -------------------------------------------------------------------------- Net Assets $2,766,035 $713,601 $139,842 $405,217 $255,523 -------------------------------------------------------------------------- --------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. STATEMENT OF OPERATIONS For the six months ended March 31, 1996 (Unaudited)
ACCOUNTS -------------------------------------------------------------------------- NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK OHIO MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS -------------------------------------------------------------------------- Investment Income Interest income allocated from Portfolio $113,632 $21,986 $4,400 $12,086 $12,439 Expenses allocated from Portfolio (7,454) (1,970) (385) (974) (1,141) -------------------------------------------------------------------------- Total investment income 106,178 20,016 4,015 11,112 11,298 -------------------------------------------------------------------------- Operating Expenses 5,635 747 186 601 491 -------------------------------------------------------------------------- Net Investment Income 100,543 19,269 3,829 10,511 10,807 -------------------------------------------------------------------------- Realized and Unrealized Gain (Loss) on Investments Net realized gain (loss) from Portfolio - Investment transactions (identified cost basis) 7,402 6,835 1,603 3,832 1,538 Financial futures contracts (2,079) (773) (196) (923) 921 -------------------------------------------------------------------------- Net realized gain on investments 5,323 6,062 1,407 2,909 2,459 -------------------------------------------------------------------------- -------------------------------------------------------------------------- Change in unrealized appreciation (depreciation) - Investments (26,665) (63,664) (1,102) (3,465) (3,682) Financial futures contracts (1,972) (7,117) (1,040) (1,517) 98 -------------------------------------------------------------------------- Net realized depreciation (28,637) (70,781) (2,142) (4,982) (3,584) -------------------------------------------------------------------------- Net Realized and Unrealized Loss on Investments (23,314) (64,719) (735) (2,073) (1,125) -------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations $77,229 ($45,450) $3,094 $8,438 $9,682 -------------------------------------------------------------------------- --------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. STATEMENT OF CHANGES IN NET ASSETS For the six months ended March 31, 1996 (Unaudited) and for the period from October 3, 1994 (Inception) to September 30, 1995
ACCOUNTS ------------------------------------------------------------------------------------ NATIONAL CALIFORNIA MASSACHUSETTS MUNICIPALS MUNICIPALS MUNICIPALS ------------------------------------------------------------------------------------ 1996 1995 1996 1995 1996 1995 ------------------------------------------------------------------------------------ Increase in Net Assets From Operations: Net investment income $100,543 $101,811 $19,269 $46,849 $3,829 $2,534 Net realized gain (loss) on investments 5,323 (33,101) 6,062 (35,837) 1,407 (1,303) Net unrealized appreciation (depreciation) (28,637) 132,566 (70,781) 155,386 (2,142) 6,167 ------------------------------------------------------------------------------------ Net increase (decrease) in net assets resulting from operations 77,229 201,276 (45,450) 166,398 3,094 7,398 ------------------------------------------------------------------------------------ Dividends to Shareholders: From net investment income (99,706) (101,792) (19,440) (46,603) (3,955) (2,522) ------------------------------------------------------------------------------------ From Capital Share Transactions: Net proceeds from sale of shares 328,417 2,949,096 341,168 1,623,483 - 132,175 Net asset value of shares issued to shareholders from reinvestment of dividends 72,645 63,742 2,777 37,455 2,819 943 Cost of shares reacquired (670,159) (54,713) (120) (1,346,067) (110) - ------------------------------------------------------------------------------------ Increase (decrease) in net assets derived from capital share transactions (269,097) 2,958,125 343,825 314,871 2,709 133,118 ------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Asset (291,574) 3,057,609 278,935 434,666 1,848 137,994 Net Assets - Beginning of Period 3,057,609 - 434,666 - 137,994 - ------------------------------------------------------------------------------------ Net Assets - End of Period $2,766,035 $3,057,609 $713,601 $434,666 $139,842 $137,994 ------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------ Undistributed (distribution in excess of) net investment income included in net assets at end of period $856 $19 $75 $246 ($114) $12 ------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements. CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. STATEMENT OF CHANGES IN NET ASSETS For the six months ended March 31, 1996 (Unaudited) and for the period from October 3, 1994 (Inception) to September 30, 1995
ACCOUNTS ------------------------------------------------------------- NEW YORK OHIO MUNICIPALS MUNICIPALS ------------------------------------------------------------- 1996 1995 1996 1995 ------------------------------------------------------------- Increase in Net Assets From Operations: Net investment income $10,511 $11,897 $10,807 $11,236 Net realized gain (loss) on investments 2,909 (3,333) 2,459 (1,858) Net unrealized appreciation (depreciation) (4,982) 16,145 (3,584) 14,476 ------------------------------------------------------------- Net increase in net assets resulting from operations 8,438 24,709 9,682 23,854 ------------------------------------------------------------- Dividends to Shareholders: From net investment income (10,463) (11,878) (11,227) (11,174) ------------------------------------------------------------- From Capital Share Transactions: Net proceeds from sale of shares 67,194 361,732 47,851 453,014 Net asset value of shares issued to shareholders from reinvestment of dividends 8,539 10,466 8,823 8,525 Cost of shares reacquired (42,134) (11,386) (171,327) (102,498) ------------------------------------------------------------- Increase (decrease) in net assets derived from capital share transactions 33,599 360,812 (114,653) 359,041 ------------------------------------------------------------- Net Increase (Decrease) in Net Assets 31,574 373,643 (116,198) 371,721 Net Assets - Beginning of Period 373,643 - 371,721 - ------------------------------------------------------------- Net Assets - End of Period $405,217 $373,643 $255,523 $371,721 ------------------------------------------------------------- ------------------------------------------------------------- Undistributed (distribution in excess of) net investment income included in net assets at end of period $67 $19 ($358) $62
The accompanying notes are an integral part of these financial statements. CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. FINANCIAL HIGHLIGHTS March 31, 1996 (Unaudited) Selected data for a share of capital stock outstanding throughout the period:
Net Realized Distributions Dividends & Unrealized From Net Net Asset Year Net From Net Gain (Loss) Realized Value at Ended Investment Investment on Gain on Beginning September 30 Income Income Investments Investments of Period - -------------------------------------------------------------------------------------- NATIONAL MUNICIPALS ACCOUNT 1995(a) $.61 $(.61) $.70 $ - $10.00 1996(b) $.34 $(.34) $.03 $ - $10.70 CALIFORNIA MUNICIPALS ACCOUNT 1995(a) $.56 $(.56) $.22 $ - $10.00 1996(b) $.29 $(.29) $.07 $ - $10.22 MASSACHUSETTS MUNICIPALS ACCOUNT 1995(a) $.56 $(.56) $.33 $ - $10.00 1996(b) $.28 $(.28) $.03 $ - $10.33 NEW YORK MUNICIPALS ACCOUNT 1995(a) $.52 $(.52) $.41 $ - $10.00 1996(b) $.28 $(.28) $.05 $ - $10.41 OHIO MUNICIPALS ACCOUNT 1995(a) $.50 $(.50) $.54 $ - $10.00 1996(b) $.28 $(.28) $.02 $ - $10.54 Ratio of Ratio of Net Net Net Asset Operating Investment Assets Year Value at Expenses to Income to at End of Annual Ended End Average Average Period (In Total September 30 of Period Net Assets(c) Net Assets(c) Thousands) Return(d) - -------------------------------------------------------------------------------------- NATIONAL MUNICIPALS ACCOUNT 1995(a) $10.70 .80% 6.45% $3,058 13.40% 1996(b) $10.73 .80% 3.14% $2,766 3.37% CALIFORNIA MUNICIPALS ACCOUNT 1995(a) $10.22 .80% 5.91% $435 8.06% 1996(b) $10.29 .80% 2.90% $714 3.57% MASSACHUSETTS MUNICIPALS ACCOUNT 1995(a) $10.33 .80% 5.53% $138 9.23% 1996(b) $10.36 .80% 2.75% $140 3.05% NEW YORK MUNICIPALS ACCOUNT 1995(a) $10.41 .80% 5.48% $374 9.63% 1996(b) $10.46 .80% 2.71% $405 3.13% OHIO MUNICIPALS ACCOUNT 1995(a) $10.54 .80% 5.40% $372 10.71% 1996(b) $10.56 .80% 2.75% $256 2.96%
(a) For the period from October 3, 1994 (Inception) to September 30, 1995 (b) For the six months ended March 31, 1996 (c) Annualized (d) Annual total returns do not include the effect of sales charges CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC. NOTES TO FINANCIAL STATEMENTS March 31, 1996 (Unaudited) 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 (0.12%, 0.19%, 0.05%, 0.06% and 0.08%, at March 31, 1996, 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 actual and accrued 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 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. Shareholders may reinvest capital gain distributions in additional shares of an Account at the net asset value as of the ex-dividend date. Distributions are paid in the form of additional shares 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. Permanent differences between book and tax accounting relating to distributions are reclassified to paid in capital. 3. CAPITAL STOCK The authorized capital stock of the Fund at March 31, 1996 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 six months ended March 31, 1996 --------------------------------------------------------------------------- National California Massachusetts New York Ohio Municipals Municipals Municipals Municipals Municipals --------------------------------------------------------------------------- Shares authorized (in millions) 200 200 200 200 200 --------------------------------------------------------------------------- --------------------------------------------------------------------------- Shares sold 29,005 26,593 0 6,151 4,377 Shares issued to shareholders from reinvestment of dividends 4,803 264 169 801 819 --------------------------------------------------------------------------- Total issued 33,808 26,857 169 6,952 5,196 Shares reacquired (61,687) (11) (10) (3,966) (16,163) --------------------------------------------------------------------------- Net increase (Decrease) (27,879) 26,846 159 2,986 (10,967) --------------------------------------------------------------------------- ---------------------------------------------------------------------------
4. INVESTMENT TRANSACTIONS Increases and decreases in each Account's investment in its corresponding Portfolio for the six months ended March 31, 1996 were as follows:
--------------------------------------------------------------------- National California Massachusetts New York Ohio Municipals Municipals Municipals Municipals Municipals --------------------------------------------------------------------- Increases $317,398 $274,790 $0 $66,416 $46,969 Decreases 709,833 16,147 2,131 44,431 173,609 ---------------------------------------------------------------------
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 six months ended March 31, 1996, the Administrator, serving as principal underwriter for sale of shares of the Accounts, earned $16,246 related to sales charges deducted for shares sold and contingent deferred sales charges for shares redeemed. Each Portfolio has engaged the services of Boston Management and Research, a wholly owned subsidiary of Eaton Vance Management, as its investment adviser. See Note 2 of the Portfolios' Notes to Financial Statements which are included elsewhere in this report. Each Account has adopted a distribution plan (Plan) in accordance with the requirements of Rule 12b-1 of the Investment Company Act of 1940. 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 six months ended March 31, 1996. 5. SUBSEQUENT EVENT On January 29, 1996, the Accounts' Board of Directors authorized the liquidation and termination of the Accounts immediately after March 31, 1996 in accordance with a plan of liquidation which provides for the complete liquidation of the Accounts' assets and pro rata distribution of such assets to the respective Accounts' shareholders. The liquidation of the Accounts and distribution to shareholders was effective as of the close of business on April 1, 1996. NATIONAL MUNICIPALS PORTFOLIO Portfolio of Investments March 31, 1996 (Unaudited) - -------------------------------------------------------------------------------- TAX-EXEMPT INVESTMENTS - 99.96% - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT (000 OMITTED) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------------------------------- ASSISTED LIVING FACILITIES- 5.5% $6,035 Arizona Health Facilities Authority, Mesa Project, 7.625%, 1/1/26 $5,534,336 17,070 Bell County, Texas, Health Facilities, Care Institute Inc., 9%, 11/1/24 18,341,203 7,000 Chester County, Pennsylvania, IDB, Senior Life Choice of Paoli, L.P., 8.05%, 1/1/24 7,024,500 3,060 Chester County, Pennsylvania, Kimberton Project, (AMT), 8.5%, 9/1/25 3,056,297 12,555 Dekalb Private Hospital, Georgia GF/Atlanta, 8.5%, 3/1/25 12,693,733 5,000 Delaware County, Pennsylvania, Glen Riddle Project, (AMT), 8.625%, 9/1/25 5,042,850 18,740 Illinois Development Finance Authority, Care Institute Inc., 7.8%, 6/1/25 18,050,368 18,545 Lousiana HFA - HCC Assisted Living Group 1, 9%, 3/1/25 19,180,167 10,000 New Jersey EDA, Forsgate Project, (AMT), 8.625%, 6/1/25 10,084,100 7,915 Roseville, Minnesota, Elder Care Facility, Care Institute Inc., 7.75%, 11/1/23 8,033,962 12,430 St. Paul, Minnesota, Housing and Redevelopment, Care Institute, Inc., Highland Park, 8.75%, 11/1/24 13,170,952 5,000 Village of North Syracuse Housing Authority, AJM Senior Housing, Inc., Janus Park, 8%, 6/1/24 4,977,500 -------------- $125,189,968 -------------- COGENERATION FACILITIES - 3.9% $21,250 Maryland Energy, AES Warrior Run Project, (AMT), 7.4%, 9/1/19 $21,857,963 22,150 New Jersey EDA, Vineland Cogeneration Limited Partnership Project, (AMT), 7.875%, 6/1/19 23,796,410 2,300 Palm Beach County, Florida, Solid Waste IDR, Osceola Power Limited Partnership Project, (AMT), 6.95%, 1/1/22 2,332,660 5,000 Pennsylvania EDA, Northampton Generating Project, (AMT), 6.95%, 1/1/21 4,847,350 7,000 Pennsylvania EDA, Northampton Generating Project, (AMT), 6.875%, 1/1/11 6,797,350 13,450 Pennsylvania EDA, Northampton Generating Project, (AMT), 6.6%, 1/1/19 13,040,716 6,100 Pennsylvania EDA, Northampton Generating Project, (AMT), 6.5%, 1/1/13 5,894,247 10,000 Pennsylvania EDA, Colver Project, (AMT), 8.05%, 12/1/15 10,446,000 -------------- $89,012,696 -------------- COLLEGES & UNIVERSITIES - 0.4% $3,300 Massachusetts Health and Educational Facilities, Nichols College, 7%, 10/1/20 $3,407,613 4,415 New Hampshire Higher Educational and Health, Franklin Pierce Law Center, 7.5%, 7/1/22 4,708,951 -------------- $8,116,564 -------------- ESCROWED- 11.9% $65,000 Bakersfield, California, Bakersfield Assisted Living Center, 0%, 4/15/21 $11,887,200 2,200 Bexar County, Texas, Health Facilities, St. Luke's Lutheran, 7%, 5/1/21 2,546,500 177,055 Colorado HFA, Retirement Housing, Liberty Heights Project, 0%, 7/15/24 25,272,831 27,870 Colorado HFA, Retirement Housing, Liberty Heights Project, 0%, 7/15/20 5,238,445 29,600 Colorado HFA, Retirement Housing, Liberty Heights Project, 0%, 7/15/22 4,848,480 225,500 Dawson Ridge Metropolitan District No. 1, Douglas County, Colorado, 0%, 10/1/22 38,344,020 10,000 Detroit, Michigan, Unlimited Tax, 8.7%, 4/1/10 11,663,000 3,500 Detroit, Michigan, Unlimited Tax, Series 1991, 8%, 4/1/11 4,072,845 7,000 Florida, Mid-Bay Bridge Authority Revenue Bonds, 6.875%, 10/1/22 8,012,130 1,820 Hyland Hills Park and Recreation District, Adams County, Colorado, 9.75%, 7/1/01 1,862,770 2,430 Hyland Hills Park and Recreation District, Adams County, Colorado, 9.9%, 7/1/04 2,490,167 1,615 Hyland Hills Park and Recreation District, Adams County, Colorado, 10%, 7/1/06 1,655,407 30,360 Illinois Development Finance Authority, Regency Park at Lincolnwood, 0%, 7/15/25 3,932,531 186,555 Illinois Development Finance Authority, Regency Park at Lincolnwood, 0%, 7/15/23 27,783,636 4,000 Jackson County, Oklahoma, Jackson County Memorial Hospital, 9%, 8/1/15 4,355,240 12,750 Louisiana Public Facilities Authority, Southern Baptist Hospitals, Inc., 8%, 5/15/12 15,032,760 138,000 Mississippi Housing Finance Corporation, Single Family Mortgage, 0%, 6/1/15 44,455,320 6,130 North Salt Lake Municipal Building Authority, Davis County, Utah, 8.625%, 12/1/17 7,446,356
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PRINCIPAL AMOUNT (000 OMITTED) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------------------------------- 4,000 Philadelphia, Pennsylvania, Municipal Water Finance Authority, 7%, 8/1/18 4,463,560 8,885 Scottsdale, Arizona, IDA, Westminster Village, Inc., 10%, 6/1/07 9,675,676 19,165 Texas Turnpike Authority, Houston Ship Channel Bridge, 12.625%, 1/1/20 27,453,671 5,220 Vermont Educational and Health Buildings Financing Agency, Northwestern Medical Center Project, 9.75%, 9/1/18 5,952,314 2,675 Washington Public Power Supply System, Nuclear Project No. 1, 14.375%, 7/1/01 3,622,619 --------------- $272,067,478 --------------- GENERAL OBLIGATION - 0.8% $20,000 New York City, 5.75%, 2/1/10 $19,170,000 --------------- HOSPITALS - 11.4% $7,000 Arizona Health Facilities, Phoenix Memorial, 8.2%, 6/1/21 $7,583,240 2,450 Berlin, Maryland, Atlantic General, 8.375%, 6/1/22 2,601,680 12,700 Butler County, Pennsylvania, Butler Memorial, 8%, 7/1/16 13,079,730 10,180 Chaves County, New Mexico, Eastern New Mexico Medical Center, 7.25%, 12/1/22 10,515,431 8,405 Christian County, Kentucky, Jennie Stuart Medical Center, 7.625%, 4/1/10 8,714,724 32,000 Colorado Health Facilities, Rocky Mountain Adventist Healthcare, 6.625%, 2/1/22 32,432,960 3,000 Colorado Health Facilities, National Jewish Center For Immunology and Respiratory Medicine, 6.875%, 2/15/12 2,933,190 5,015 Colorado Health Facilities, National Jewish Center For Immunology and Respiratory Medicine, 7.1%, 2/15/22 4,927,087 4,000 Crossville, Tennessee, HEFA, Cumberland Medical Center, 6.75%, 11/1/12 4,075,240 6,000 District of Columbia, Washington Hospital Center Issue-Medlantic Healthcare Group, Inc., 7.125%, 8/15/19 6,219,120 5,000 Dubuque, Iowa, Finley Hospital Project, 6.875%, 1/1/12 5,237,550 1,325 Grant County, New Mexico, Gila Regional Medical Center, 10%, 2/1/12 1,391,926 5,720 Grove City Area Hospital Authority, Pennsylvania, United Community Hospital, 8.125%, 07/01/12 5,866,089 4,000 Hawaii Department of Budget and Finance, Special Purpose Mortgage Revenue, Wahiawa General Hospital, 7.5%, 7/1/12 4,138,360 4,760 Health Services Authority of Hazleton, Luzerne County, Pennsylvania, Hazleton- Saint Joseph Medical Center, 8.375%, 7/1/12 4,887,806 4,650 Illinois, Chicago Osteopathic Health Systems, 7.125%, 5/15/11 5,317,833 4,500 Illinois, Chicago Osteopathic Health Systems, 7.25%, 5/15/22 5,249,430 1,000 Illinois HFA, Holy Cross Hospital, 6.7%, 3/1/14 1,002,080 2,650 Illinois HFA, Holy Cross Hospital, 6.75%, 3/1/24 2,636,618 4,500 Indiana Health Facility Financing Authority, Memorial Hospital and Health Care Center, 7.4%, 3/1/22 4,599,450 3,750 Louisiana Public Facilities Authority, Woman's Hospital Foundation, 7.25%, 10/1/22 3,884,513 19,855 Lufkin Health Facilities Development Corporation, Memorial Health System of East Texas, 6.875%, 2/15/26 19,064,771 10,000 Maricopa County, Arizona, Sun Health Corporation, 8.125%, 4/1/12 11,032,000 2,000 Marshall County, Alabama, Guntersville-Arab Medical Center, 7%, 10/1/09 2,059,140 2,000 Marshall County, Alabama, Guntersville-Arab Medical Center, 7%, 10/1/13 2,050,380 6,000 Midland County Texas Hospital District, Memorial Hospital and Medical Center, 0%, 6/1/07 3,039,720 6,500 Midland County Texas Hospital District, Memorial Hospital and Medical Center, 0%, 6/1/11 2,416,180 5,000 Mississippi Hospital Equipment and Facilities Authority, Magnolia Hospital, 7.375%, 10/1/21 5,009,950 3,090 Montgomery County, Pennsylvania, United Hospitals, Inc., 7.5%, 11/1/13 3,126,308 2,000 Montgomery County, Pennsylvania, United Hospitals, Inc., 7.5%, 11/1/14 2,022,880 3,465 Montgomery County, Pennsylvania, United Hospitals, Inc., 7.5%, 11/1/15 3,498,125 7,405 New Hampshire HEFA, Frisbie Memorial Hospital, 6.125%, 10/1/13 7,013,644 10,000 Philadelphia, Pennsylvania, Albert Einstein Medical Center, 7%, 10/1/21 10,398,400 9,000 Philadelphia, Pennsylvania, Graduate Health System Obligated Group, 6.625%, 7/1/21 8,809,920 6,000 Prince George's County, Maryland, Greater Southeast Healthcare System, 6.375% 1/1/23 5,481,300 10,000 Randolph County Building Commission, West Virginia, Davis Memorial Hospital, 7.65%, 11/1/21 10,690,200
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PRINCIPAL AMOUNT (000 OMITTED) SECURITY VALUE - ----------------------------------------------------------------------------------------------------------------------------------- 8,000 Scranton-Lackawanna Health and Welfare Authority, Pennsylvania, Moses Taylor Hospital, 8.25%, 7/1/09 8,565,360 4,500 Scranton-Lackawanna Health and Welfare Authority, Pennsylvania, Moses Taylor Hospital, 8.5%, 7/1/20 4,846,230 8,000 South Dakota HEFA, Prairie Lakes Health Care System Issue, 7.25%, 4/1/22 8,343,280 4,950 Winslow, Arizona, IDA, Winslow Memorial Hospital, 9.5%, 6/1/22 5,401,341 --------------- $260,163,186 --------------- HOTELS - 0.4% $1,929 Illinois Development Finance Authority, Comfort Inn - O'Hare, 10%, 5/1/16 $2,063,574 1,068 Illinois Development Finance Authority, Comfort Inn - O'Hare, 2.5%, 5/1/16 377,113 1,025 Kirksville, Missouri, IDA, Holiday Inn, 10.5%, 7/1/03 (4) 563,750 3,615 Kirksville, Missouri, IDA, Holiday Inn, 11%, 7/1/16 (4) 1,988,250 4,205 Niagara County, New York, IDA, Wintergarden Inn Associates, 10%, 6/1/06 (4) 2,312,750 1,775 Orange Beach, Alabama, Romar Hotels, Inc., 10.5%, 4/1/16 1,840,622 --------------- $9,146,059 --------------- HOUSING- 2.3% $9,700 California Housing Finance Agency, (AMT), Residual Interest Bonds, Variable Rate, 8/1/23 (1) $10,015,250 9,500 Lake Creek Affordable Housing Corporation, Multifamily Housing, 8%, 12/1/23 9,744,720 8,000 Los Angeles County Housing Authority, California, Multifamily Housing, Corporate Fund for Housing Projects, 10.5%, 12/1/29 8,177,600 2,000 Massachusetts Housing Finance Authority, Multifamily, Harbor Point Revenue, (AMT), 8%, 12/1/15 2,057,320 3,305 Minneapolis Community Development, Multifamily, Lindsay Brothers, 9.5%, 12/1/07 3,472,299 2,185 Minneapolis Community Development, Multifamily, Lindsay Brothers, 1.5%, 12/1/07 837,117 4,770 North Little Rock, Arkansas, Residential Housing Facilities, Parkstone Place, 9.75%, 8/1/21 4,981,931 4,000 North Miami, Florida, Health Care Facilities, The Imperial Club, 8%, 1/1/13 3,737,880 8,840 North Miami, Florida, Health Care Facilities, The Imperial Club, 9.25%, 1/1/13 9,632,064 --------------- $52,656,181 --------------- INDUSTRIALS - 8.0% $3,000 Camden, Alabama, IDB, MacMillan Bloedel Project, 7.75%, 5/1/09 $3,225,240 2,000 Camden County, New Jersey, Holt Hauling and Warehousing System, Inc. Project, (AMT), 9.875%, 1/1/21 1,992,260 4,260 College Park, Georgia, Airport Parking Venture, 10%, 5/15/16 3,840,220 24,000 Courtland, Alabama, IDB, Champion International Corporation, (AMT), 7%, 6/1/22 24,963,360 8,040 East Chicago, Indiana, PCR, Inland Steel Company Project #9, (AMT), 10%, 11/1/11 8,502,300 3,145 East Chicago, Indiana, PCR, Inland Steel Company Project , (AMT), 6.8%, 6/1/13 3,183,715 19,000 Gulf Coast Waste Disposal, Texas, Champion International Corporation, (AMT), 6.875%, 12/1/28 19,815,100 6,000 Gwinnett County, Georgia, IDR, Plastics/Packaging, Inc., (AMT), 9%, 5/1/13 5,997,000 1,595 Kansas City, Missouri, IDA, AFCO CARGO MCI Limited Partnership Project, (AMT), 8.5% 1/1/17 1,570,246 10,000 Maine Finance Authority, Great Northern Paper, Inc., Project - Bowater Incorporated, (AMT), 7.75%, 10/1/22 10,855,900 5,000 Maine Solid Waste Disposal, Boise Cascade Corporation, (AMT), 7.9%, 6/1/15 5,378,450 1,765 Massachusetts Industrial Finance Agency, IDR, Boston Beer Company, (AMT), 11.5%, 7/15/07 1,956,573 5,000 McMinn County, Tennessee, IDB, Calhoun Newsprint Company Project - Bowater Incorporated, (AMT), 7.4%, 12/1/22 5,304,000 10,000 Michigan Strategic, S.D. Warren Co., Series 87A, (AMT), 7.375%, 1/15/22 10,225,600 15,000 Michigan Strategic, S.D. Warren Co., Series 87B, (AMT), 7.375%, 1/15/22 15,338,400 2,500 Michigan Strategic, S.D. Warren Co., Series 87C, (AMT), 7.375%, 1/15/22 2,555,875 4,200 Middleboro, Massachusetts, IDR, Read Corporation, 9.5%, 10/1/10 3,570,000 4,000 New Jersey, EDA, Holt Hauling and Warehousing System, Inc. Project, 10.25%, 9/15/14 4,177,840 12,000 State of Oregon, EDA, Georgia Pacific Corporation, (AMT), 6.35%, 8/1/25 11,779,440 7,500 Pennsylvania, EDA, MacMillan Bloedel Project, (AMT), 7.6%, 12/1/20 8,221,725
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PRINCIPAL AMOUNT (000 OMITTED) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------------------------------- 10,000 Pennsylvania, EDA, Sun Company, Inc. (R&M), (AMT), 7.6%, 12/1/24 10,903,000 12,000 Port of Corpus Christi, Texas, Valero Refining & Marketing Company, 10.25%, 6/1/17 13,043,160 2,695 Savannah, Georgia, IDR, Intercat - Savannah, Inc., (AMT), 9.75%, 7/1/10 2,885,751 4,000 Savannah, Georgia, IDR, Intercat - Savannah, Inc., (AMT), 9%, 1/1/15 4,253,000 --------------- $183,538,155 --------------- INSURED GENERAL OBLIGATIONS - 1.5% $10,000 California General Obligation, (FSA), 4.75%, 9/1/18 $8,497,000 29,500 California General Obligation, (FGIC), 4.75%, 9/1/23 24,828,085 --------------- $33,325,085 --------------- INSURED HOSPITAL- 0.8% $10,000 Louisville, Kentucky, Alliant Health System, Inc., (MBIA), Variable Rate, 10/1/14 (1) $11,262,500 7,000 Montgomery County, Pennsylvania, Abington Memorial Hospital, (AMBAC), Variable Rate, 6/1/11 (1) 7,927,500 --------------- $19,190,000 --------------- INSURED HOUSING- 0.4% $7,525 SCA Multifamily Mortgage, IDB, Hamilton County, Tennessee, (FSA), (AMT), 7.35%, 1/1/30 $8,041,667 --------------- INSURED INDUSTRIALS - 0.5% $11,950 Chicago, Illinois, The Peoples Gas Light and Coke Company, (AMBAC), (AMT), Residual Interest Bonds, Variable Rate, 12/1/23 (1) $10,530,938 --------------- INSURED SPECIAL TAX REVENUE- 5.4% $20,000 Los Angeles County, California, Metropolitan Transportation, (AMBAC), 4.75%, 7/1/18 $17,135,600 92,995 Metropolitan Pier and Exposition Authority, Illinois, McCormick Place Expansion Project, (MBIA), 0%, 6/15/28 13,051,848 92,995 Metropolitan Pier and Exposition Authority, Illinois, McCormick Place Expansion Project, (FGIC), 0%, 6/15/29 12,279,990 9,800 Metropolitan Pier and Exposition Authority, Illinois, McCormick Place Expansion Project, Residual Interest Bonds, (MBIA), Variable Rate, 6/15/27 (1) 9,628,500 3,415 New Orleans Regional Transit Authority, Louisiana, Sales Tax, (FGIC), 0%, 12/1/12 1,286,943 10,935 New Orleans Regional Transit Authority, Louisiana, Sales Tax, (FGIC), 0%, 12/1/15 3,424,295 10,000 New Orleans Regional Transit Authority, Louisiana, Sales Tax, (FGIC), 0%, 12/1/21 2,014,200 10,655 Rancho Mirage, California, Water District Financing, (AMBAC), 4.75%, 8/15/21 9,033,735 13,350 Rancho Mirage, California, Whitewater Redevelopment Project, (MBIA), 5%, 4/1/24 11,737,988 40,000 South Orange, California, Public Financing, Foothill Area, (FGIC), 5.5%, 8/15/15 37,768,000 7,000 Utah Municipal Finance Corporation, Local Government Revenue, (FSA), 0%, 3/1/10 3,119,690 6,000 Utah Municipal Finance Corporation, Local Government Revenue, (FSA), 0%, 3/1/11 2,505,000 --------------- $122,985,789 --------------- INSURED TRANSPORTATION- 2.7% $20,000 City of Austin, Texas, Airport, (MBIA), 6.125%, 11/15/25 $20,147,200 14,400 Metropolitan Washington Airports Authority, Residual Interest Bonds, (MBIA), Variable Rate, 4/1/21 (1) 13,068,000 18,200 Mobile, Alabama, Airport Authority, (MBIA), 6.375%, 10/1/14 19,194,448 10,000 Triborough Bridge and Tunnel Authority, (MBIA), Variable Rate, 1/1/19 (1) 10,100,000 --------------- $62,509,648 --------------- INSURED UTILITY REVENUE BONDS- 4.9% $20,000 Intermountain Power Agency, Utah, (MBIA), 6%, 7/1/16 (2) $20,215,800 16,500 Sacramento, California, Municipal Utility District, (MBIA), Variable Rate, 11/15/15 (1) 14,994,375 21,000 Sacramento, California, Municipal Utility District, (MBIA), 4.75%, 9/1/21 17,778,390 49,245 South Carolina Public Services, Fowards, Series 96A, (MBIA), 5.75%, 1/1/22 (2) 48,396,016 15,350 South Carolina Public Services, Residual Interest Bonds, (FGIC), Variable Rate, 1/1/25 (1) 11,147,938 --------------- $112,532,519 ---------------
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PRINCIPAL AMOUNT (000 OMITTED) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------------------------------- INSURED WATER & SEWER- 0.7% $7,150 Harrisburg, Pennsylvania, Water Revenue Bonds, (FGIC), Variable Rate, 8/11/16 (1) $6,211,563 10,000 New York City Municipal Water Finance Authority, (FSA), Variable Rate, 6/15/21 (1) 10,262,500 --------------- $16,474,063 --------------- LEASE/COP - 1.0% $16,500 Indiana Transportation Finance, Airport Facilities, 6.25%, 11/1/16 $16,542,240 3,500 Plymouth County, Massachusetts, COP, Plymouth County Correctional, 7%, 4/1/22 3,755,150 2,500 St. Louis, Missouri, Convention and Sports Facility, 7.9%, 8/15/21 2,758,875 --------------- $23,056,265 --------------- LIFE CARE - 6.0% $8,616 Albuquerque, New Mexico, First Mortgage IDR, La Vida Llena Retirement Center 8.625%, 2/1/20 $9,139,077 7,000 Albuquerque, New Mexico, First Mortgage IDR, La Vida Llena Retirement Center 8.85%, 2/1/23 7,492,520 5,744 Albuquerque, New Mexico, First Mortgage IDR, La Vida Llena Retirement Center 2.25%, 2/1/23 1,945,263 10,000 Atlantic Beach, Florida, Fixed Rate Improvement, Fleet Landing Project, 8%, 10/1/24 10,318,400 4,320 Florence, Kentucky, Housing Facilities, Bluegrass RHF Housing, Inc., 9.5%, 7/1/17 4,474,094 6,595 Fulton County Residential Care Facilities for the Elderly Authority, Georgia, Lenbrook Square Foundation, Inc., 9.75%, 1/1/17 6,881,948 4,300 Kansas City, Missouri, IDA, Kingswood United Methodist Manor, 9%, 11/15/13 4,650,579 2,100 Loudon County, Virginia, IDA, Residential Care, Falcons Landing, 9.25%, 11/1/04 2,259,222 20,400 Loudon County, Virginia, IDA, Residential Care, Falcons Landing, 8.75%, 11/1/24 20,753,532 1,950 New Hampshire Higher Educational & Health Facilities, Riverwoods at Exeter, 8%, 3/1/01 2,003,703 10,000 New Hampshire Higher Educational & Health Facilities, Riverwoods at Exeter, 9%, 3/1/23 10,835,300 3,500 New Jersey EDA, Cadbury Corporation-1991 Project, 7.5%, 7/1/21 3,548,685 20,000 New Jersey EDA, Keswick Pines Project, 8.75%, 1/1/24 20,975,200 5,800 Ridgeland, Mississippi, Urban Renewal, The Orchard Limited, 7.75%, 12/1/15 5,799,014 13,955 St. Tammany Public Finance, Christwood Project, 9%, 11/15/25 13,628,733 7,500 Vermont IDA, Wake Robin Corporation, 8.75%, 4/1/23 8,120,175 4,500 Vermont IDA, Wake Robin Corporation, 8.75%, 3/1/23 4,867,380 --------------- $137,692,825 --------------- MISCELLANEOUS - 3.0% $6,805 American Samoa Economic Development, Executive Office Building, 10.125%, 9/1/08 $7,580,022 16,500 Los Angeles Regional Airports Improvement Corporation, LAXFuel, (AMT), 6.5%, 1/1/32 16,425,090 4,710 Mille Lacs Capital Improvements, Mille Lacs Band of Chippewa Indians, 9.25%, 11/1/12 5,291,779 22,500 New Jersey, Sports & Exhibition Authority, Monmouth Park Project, 8%, 1/1/25 24,582,825 10,200 Orange County Community Activity Center Revenue Bonds, 8%, 3/1/24 10,455,306 18,863 Retama, Texas, Special Facilities Revenue, Retama Race Track, 8.75%, 12/15/18 (5) 4,715,696 --------------- $69,050,718 --------------- NURSING HOME - 7.5% $13,550 Bell County, Texas, Riverside Healthcare, Inc.- Normandy Terrace, 9%, 4/1/23 $14,691,181 4,910 Collier County, Florida, IDA, Retirement Rental, Beverly Enterprises - Florida, Inc., 10.75%, 3/1/03 5,626,222 5,000 Delaware County, Pensylvania, Mainline - Haverford Nursing and Rehabilitation Centers, 9%, 8/1/22 5,487,200 5,460 Hillsborough County, Florida, IDA, Center for Independent Living, Tampa Projects, 11%, 3/1/19 (5) 4,368,000 4,650 Hillsborough County, Florida, IDA, Center for Independent Living, Tampa Projects, 10.25%, 3/1/09 (5) 3,720,000 10,000 Indianapolis, Indiana, National Benevolent Association - Robin Run Village, 7.625%, 10/1/22 10,737,600 3,750 Lackawanna County, Pennsylvania, IDA, Edella Street Associates, 8.875%, 9/1/14 4,097,513 3,445 Luzerne County, Pennsylvania, IDA, River Street Associates, 8.75%, 6/15/07 3,721,840 6,250 Massachusetts HEFA, Fairview Extended Care Services, Inc., 10.125%, 1/1/11 7,092,938
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PRINCIPAL AMOUNT (000 OMITTED) SECURITY VALUE - ----------------------------------------------------------------------------------------------------------------------------------- 13,250 Massachusetts IFA, AGE Institute of Massachusetts Project, 8.05%, 11/1/25 13,233,703 11,790 Mississippi Finance Corp, Magnolia Healthcare, 7.99%, 7/1/25 11,501,735 6,750 Missouri HEFA, Bethesda Health Group of St. Louis, Inc., 6.625%, 8/15/05 6,719,085 14,000 Missouri HEFA, Bethesda Health Group of St. Louis, Inc., 7.5%, 8/15/12 14,311,500 12,500 Montgomery County, Pennsylvania, IDA, Advancement of Geriatric Health Care Institute, 8.375%, 7/1/23 13,051,875 5,000 New Jersey EDA, Claremont Health System, Inc., 8.75%, 9/1/22 5,291,450 5,915 New Jersey EDA, Victoria Health Corporation, 7.75%, 1/1/24 5,982,668 3,305 Okaloosa County, Florida, Beverly Enterprises-Florida, Inc., 10.75%, 10/1/03 3,565,930 3,500 Philadelphia, Pennsylvania, The Philadelphia Protestant Home Project, 8.625%, 7/1/21 3,575,460 4,630 Racine County, Wisconsin, Health Center, 8.125%, 8/1/21 4,763,622 5,000 Rhode Island Health and Education Building, Steere House, 8.25%, 7/1/15 5,281,450 5,000 Sussex County, Delaware, Delaware Health Corporation, 7.6%, 1/1/24 4,937,050 5,000 Sussex County, Delaware, Delaware Health Corporation, 7.5%, 1/1/14 4,946,500 4,500 Tarrant County Health Facilities, Texas, 3927 Foundation, Inc., 10.25%, 9/1/19 4,546,890 6,000 Westmoreland County, Pennsylvania, IDA, Highland Health System, Inc., 9.25%, 6/1/22 6,324,060 3,555 Wood County, West Virginia, West Virginia Rehabilitation Services, Inc., (AMT), 9.5%, 12/1/15 3,730,685 --------------- $171,306,157 --------------- SOLID WASTE - 1.7% $6,050 Carbon County, Utah, Laidlaw, (AMT), 7.5%, 2/1/10 $6,497,640 2,500 Mercer County, New Jersey, Improvement Authority, (AMT), 0%, 4/1/14 641,925 5,000 Mercer County, New Jersey, Improvement Authority, (AMT), 0%, 4/1/15 1,190,400 10,690 Mercer County, New Jersey, Improvement Authority, (AMT), 0%, 4/1/16 2,359,924 35,000 Robbins, Cook County, Illinois, Robbins Resource Recovery Partners, L.P., 9.25%, 10/15/16 28,000,000 --------------- $38,689,889 --------------- SPECIAL ASSESSMENT- 0.9% $8,000 Hoffman Estates, Illinois, Economic Development Project Area, 0%, 5/15/05 $4,705,280 11,000 Hoffman Estates, Illinois, Economic Development Project Area, 0%, 5/15/06 6,026,790 17,460 Hoffman Estates, Illinois, Economic Development Project Area, 0%, 5/15/07 8,869,505 --------------- $19,601,575 --------------- TAX ALLOCATION - 0.2% $3,870 Inglewood, California Public Financing Authority, In-Town, Manchester-Prairie and North Inglewood Industrial Park Redevelopment Projects-Redevelopment Loans 7%, 5/1/22 $4,083,198 --------------- TRANSPORTATION - 15.3% $28,000 Chicago, Illinois, O'Hare International, American Airlines, (AMT), 7.875%, 11/1/25 $30,234,120 20,275 Chicago, Illinois, O'Hare International, American Airlines, 8.2%, 12/1/24 23,422,288 41,000 Dallas-Fort Worth, Texas, International Airport Facility, American Airlines, (AMT), 7.25%, 11/1/30 43,690,010 8,000 Denver, Colorado, Airport System Revenue, (AMT), 7%, 11/15/25 8,285,920 7,800 Denver, Colorado, Airport System Revenue, (AMT), 8%, 11/15/17 8,328,216 5,725 Denver, Colorado, Airport System Revenue, (AMT), 7.5%, 11/15/23 6,413,889 95,500 Denver, Colorado, United Airlines, (AMT), 6.875%, 10/1/32 96,445,450 5,000 Hawaii Airports, (AMT), 7%, 7/1/18 5,345,450 2,200 Los Angeles International Airport, Continental Airlines, (AMT), 9%, 8/1/08 2,393,402 4,425 Los Angeles International Airport, Continental Airlines, (AMT), 9%, 8/1/17 4,707,713 4,000 New York State Thruway Authority, Cross-Westchester Expressway, 0%, 1/1/03 2,739,800 2,940 New York State Thruway Authority, Cross-Westchester Expressway, 0%, 1/1/04 1,899,857 2,905 New York State Thruway Authority, Cross-Westchester Expressway, 0%, 1/1/06 1,645,799 15,000 Port Authority of New York and New Jersey, (AMT), Variable Rate, 1/15/27 (1) 15,607,500 11,000 Port Authority of New York and New Jersey, La Guardia Airport, Continental and Eastern Airlines, (AMT), 9.125%, 12/1/15 12,212,640
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PRINCIPAL AMOUNT (000 OMITTED) SECURITY VALUE - ----------------------------------------------------------------------------------------------------------------------------------- 5,000 Port of Seattle, Washington, (AMT), 6%, 12/1/14 4,930,550 35,100 San Joaquin Hills, California, Toll Roads, 0%, 1/1/17 9,138,285 54,400 San Joaquin Hills, California, Toll Roads, 0%, 1/1/18 13,273,600 20,000 San Joaquin Hills, California, Toll Roads, 0%, 1/1/19 4,573,600 46,210 San Joaquin Hills, California, Toll Roads, 0%, 1/1/20 9,790,975 72,685 San Joaquin Hills, California, Toll Roads, 0%, 1/1/21 14,426,519 29,225 San Joaquin Hills, California, Toll Roads, 0%, 1/1/22 5,393,182 45,045 San Joaquin Hills, California, Toll Roads, 0%, 1/1/23 7,784,677 108,260 San Joaquin Hills, California, Toll Roads, 0%, 1/1/24 17,521,881 -------------- $350,205,323 -------------- UTILITY REVENUE BONDS - 2.4% $10,000 Brazos River Authority, Texas, PCR, Texas Utilities Electric Company, 9.25%, 3/1/18 $10,924,800 10,000 Los Angeles, California, Department of Water & Power, 5%, 10/15/33 8,507,600 29,700 Washington Public Power Supply System, Project 2, 4.8%, 7/1/04 28,734,451 5,000 West Feliciana, Louisiana, PCR ,Gulf States Utilities Company Project, (AMT), 9%, 5/1/15 5,631,750 -------------- $53,798,601 -------------- WATER & SEWER - 0.4% $10,000 New York City Municipal Water Finance Authority, 6.25%, 6/15/21 $10,169,600 -------------- TOTAL TAX-EXEMPT INVESTMENTS - (identified cost, $2,144,487,157) $2,282,304,147 -------------- TAXABLE INVESTMENTS - 0.04% $870 Ridgeland, Mississippi, Urban Renewal, The Orchard Limited Project, 9%, 12/1/00 $870,000 (identified cost, $870,000) -------------- TOTAL INVESTMENTS (IDENTIFIED COST, $2,145,357,157) $2,283,174,147 -------------- --------------
(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 not accruing on this security but has received partial payments which are recorded as income when received. At March 31, 1996, the concentration of the Portfolio's investments in various states, determined as a percentage of total investments is as follows: California 12.7% Colorado 10.9% Other, representing less than 10% individually 76.4% The Portfolio invests primarily in debt securities issued by municipalities. The ability of the issuers of the debt securities to meet their debt obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at March 31, 1996, 16.9% of the securities in the portfolio of investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage by financial institution ranged from 1.4% to 9.2% of total investments. Note: The classification of securities by sector set forth above is unaudited. See notes to financial statements CALIFORNIA MUNICIPALS PORTFOLIO Portfolio of Investments March 31, 1996 (Unaudited) - -------------------------------------------------------------------------------- Tax-Exempt Investments - 100% - -------------------------------------------------------------------------------- RATINGS (UNAUDITED)
PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------- COGENERATION - 5.6% NR BBB- $4,985 Central Valley Financing Authority, Carson Ice, 6.20%, 7/1/20 $ 4,850,455 NR BBB- 10,900 Sacramento Cogeneration Authority, Procter & Gamble, 6.50%, 7/1/21 11,011,071 NR BBB- 6,000 Sacramento Power Authority, Cogeneration Project, 6.00%, 7/1/22 5,718,000 ------------ $ 21,579,526 ------------ ESCROWED - 16.9% NR NR $1,575 Fontana Public Financing Authority, 7.75%, 12/1/20 $ 1,844,010 NR NR 4,000 Huntington Beach Public Financing Authority, 8.375%, 5/1/18 4,402,120 NR NR 3,200 Oceanside Community Development Commission, 8.40%, 6/1/18 3,288,512 Aaa AAA 6,400 Port of Oakland, (BIGI) 0%, 11/1/15 3,876,288 NR NR 3,000 Poway Redevelopment Agency, 7.75%, 12/15/21 3,515,100 NR BBB 2,000 City of Rancho Mirage, Joint Power Financing Authority, 7.50%, 4/1/17 2,288,060 NR A- 2,360 Richmond Joint Power Financing Authority, 7.00%, 5/15/07 2,618,585 Aaa AAA 8,000 County of Sacramento, SFMR, (AMT), (GNMA) 8.125%, 7/1/16 (2) 10,141,680 Aaa AAA 14,285 County of Sacramento, SFMR, (AMT), (GNMA) 8.50%, 11/1/16 (2) 18,883,199 Aaa AAA 6,000 County of Sacramento, SFMR, (AMT), (GNMA) 8.25%, 1/1/21 (2) 7,822,020 Aaa AAA 3,000 City and County of San Francisco Sewer System, (AMBAC), Variable, 10/1/21 (1) 3,519,000 NR A- 2,375 City of San Luis Obispo, 8.25%, 6/1/06 2,440,122 ------------ $ 64,638,696 ------------ GENERAL OBLIGATIONS - 1.6% Aa AA $5,000 East Bay Municipal Utilities District, 5.00%, 4/1/15 $ 4,548,450 NR NR 1,500 Virgin Islands, 7.25%, 10/1/18 1,563,600 ------------ $ 6,112,050 ------------ HOSPITALS - 1.2% NR BBB+ $2,700 City of Stockton, Dameron Hospital Association, 8.30%, 12/1/14 $ 2,830,923 NR BBB- 1,500 City of Woodland , Woodland Memorial Hospital, 8.20%, 8/1/15 1,595,625 ------------ $ 4,426,548 ------------ HOUSING - 8.7% NR NR $2,000 Los Angeles County, Corporate Fund Housing Authority, 10.50%, 12/1/29 $ 2,044,400 NR A+ 1,915 City of Oakland, Housing Finance Agency, 7.10%, 1/1/10 1,954,621 Aa AA- 2,500 California Housing Finance Agency, 8.20%, 8/1/17 2,582,325 Aa AA- 1,280 California Housing Finance Agency, (AMT), 8.60%, 8/1/19 1,342,643 Aa AA- 2,500 California Housing Finance Agency, 8.10%, 8/1/16 2,557,650 Aa AA- 3,680 California Housing Finance Agency, (AMT), 7.375%, 8/1/11 3,833,971 Aa AA- 8,185 California Housing Finance Agency, (AMT), (FHA) 7.65%, 8/1/23 8,557,172 Aa AA- 4,730 California Housing Finance Agency, (AMT), 7.40%, 8/1/26 4,962,811 Aa AA- 3,855 California Housing Finance Agency, (AMT), 7.50%, 8/1/25 3,980,172 A1 NR 845 Los Angeles County, SFMR, 7.875%, 8/1/16 842,039 NR AAA 455 Riverside County, SFMR, (AMT), (GNMA) 6.85%, 10/1/16 484,120 ------------ $ 33,141,924 ------------ INSURED EDUCATION - 1.5% Aaa AAA $3,330 University of California, Multiple Purpose Project, (MBIA) 4.75%, 9/1/21 $ 2,836,627 Aaa AAA 3,500 University of California, Multiple Purpose Project, (AMBAC) 5.00%, 9/1/23 3,082,975 ------------ $ 5,919,602 ------------ INSURED LEASE/CERTFICATE OF PARTICIPATION - 4.6% Aaa AAA $3,300 California Statewide Communities Development Authority, $ 2,954,655 Aaa AAA Motion Picture and Television Fund, (AMBAC) 5.68%, 1/1/24 Aaa AAA 7,700 Moulton Niguel Water District, (AMBAC) 4.80%, 9/1/17 6,736,653 Aaa AAA 4,350 City of Stockton, Wastewater Treatment Plant, (FGIC) 6.80%, 9/1/24 4,756,856 Aaa AAA 13,985 Visalia Unified School District, (MBIA) 0%, 12/1/17 3,358,777 ------------ $ 17,806,941 ------------
- -------------------------------------------------------------------------------- Tax-Exempt Investments (Continued) - -------------------------------------------------------------------------------- RATINGS (UNAUDITED)
PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------- INSURED SPECIAL TAX - 1.1% Aaa AAA $4,850 City of San Jose Redevelopment Agency, (MBIA) 4.75%, 8/1/24 $ 4,098,056 ------------ INSURED TRANSPORTATION - 4.2% Aaa AAA $10,000 City and County of San Fransisco Airport, (MBIA) 6.75%, 5/1/13 $ 10,841,900 Aaa AAA 3,500 City and County of San Fransisco Airport, (AMT), (MBIA) 5.625%, 5/1/21 3,339,420 Aaa AAA 10,000 Port of Oakland, (AMT), (BIGI), 0%, 11/1/19 1,809,500 ------------ $ 15,990,820 ------------ INSURED UTILITIES - 6.4% Aaa AAA $4,000 Anaheim Public Financing Authority, (FGIC) 5.75%, 10/1/22 $ 3,878,400 Aaa AAA 8,000 Northern California Power Agency, (MBIA), Variable, 8/1/25 (1) 8,896,000 Aaa AAA 3,500 Sacramento Municipal Utilities District, (MBIA) 6.375%, 8/15/22 3,648,085 Aaa AAA 2,000 Southern California Public Power Authority, (FGIC), Variable, 7/1/12 (1) 1,812,000 Aaa AAA 6,915 Southern California Public Power Authority, (MBIA), 5.00%, 1/1/20 6,100,620 ------------ $ 24,335,105 ------------ INSURED WATER & SEWER - 3.3% Aaa AAA $5,000 East Bay Municipal Utility District, (MBIA), Variable, 6/1/08 (1) $ 4,825,000 Aaa AAA 3,430 San Buenaventura Water District, (AMBAC) 4.75%, 10/1/13 3,044,297 Aaa AAA 2,000 San Diego Public Finance Authority, (FGIC) 5.00%, 5/15/25 1,763,480 Aaa AAA 3,000 San Diego County Water Authority, (FGIC), Variable, 4/22/09 (1) 3,102,000 ------------ $ 12,734,777 ------------ LEASE/CERTIFICATE OF PARTICIPATION - 20.5% A1 A- $8,000 California Public Works, University of California, 5.50%, 6/1/14 $ 7,636,960 A1 A- 6,500 California Public Works, University of California, 5.00%, 6/1/23 5,625,815 A1 A- 3,000 California Public Works, University of California, 5.50%, 6/1/10 2,970,660 A A- 3,500 California Public Works, Susanville Prison, 5.375%, 6/1/18 3,229,415 A A- 2,800 California Public Works, State Prison System, 5.375%, 6/1/12 2,645,160 A1 A- 5,000 California Public Works, University of California, 5.25%, 6/1/20 4,548,050 A1 A- 14,025 California Public Works, University of California, 5.50%, 6/1/19 13,052,787 Aaa AAA 2,500 California Statewide Public Works, J. Paul Getty Trust, 5.00%, 10/1/23 2,220,500 A BBB 2,750 City of Inglewood, Civic Center Improvement, 7.00%, 8/1/19 2,857,993 Baa1 BBB 3,100 County of Los Angeles, Disney Parking Project, 0%, 3/1/20 613,645 Baa1 BBB 5,115 County of Los Angeles, Disney Parking Project, 0%, 3/1/16 1,340,437 Baa1 BBB 1,925 County of Los Angeles, Disney Parking Project, 0%, 3/1/17 466,909 Baa1 BBB 5,000 County of Los Angeles, Disney Parking Project, 0%, 9/1/17 1,172,400 Baa1 BBB 5,370 County of Los Angeles, Disney Parking Project, 0%, 3/1/18 1,217,218 Baa1 BBB 6,925 County of Los Angeles, Disney Parking Project, 0%, 9/1/20 1,325,098 Baa1 BBB 1,000 County of Los Angeles, Disney Parking Project, 6.50%, 3/1/23 1,003,940 NR NR 11,000 County of Los Angeles, Marina Del Rey, 6.50%, 7/1/08 10,970,960 A1 A+ 5,000 Pasadena Parking Facility Project, 6.25%, 1/1/18 5,187,250 Aa A+ 4,000 City of Sacramento Financing Authority, 5.40%, 11/1/20 3,761,720 A A 3,000 San Bernadino Joint Power Financing Authority, 5.50%, 12/1/20 2,753,820 Aa AA 4,425 Orange County Water District, 5.00%, 8/15/18 3,834,792 ------------ $ 78,435,528 ------------ NURSING HOMES - 0.9% NR NR $3,170 City of Banning, San Gorgonio Pass Convalescent, (AMT), 9.50%, 12/1/11 $ 3,286,339 ------------ SOLID WASTE - 0.6% Baa1 NR $2,350 Mojave Desert and Mountain Joint Power Authority, (AMT), 7.875%, 6/1/20 $ 2,569,702 ------------ SPECIAL TAX - 14.6% NR NR $3,000 Lincoln Unified School District, 7.625%, 9/1/21 $ 3,108,450 NR NR 3,000 Riverside County Community Facilities District, 7.55%, 9/1/17 3,036,930 NR NR 945 City of Fairfield, North Cordelia District, 8.00%, 9/2/11 973,803 NR NR 2,090 City of Fairfield, North Cordelia District, 7.375%, 9/2/18 2,118,528
- -------------------------------------------------------------------------------- Tax-Exempt Investments (Continued) - -------------------------------------------------------------------------------- RATINGS (UNAUDITED)
PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------- SPECIAL TAX (CONTINUED) Baa NR 9,725 City of Pleasanton, Joint Power Financing Authority, 6.15%, 9/2/12 9,731,224 NR NR 2,915 City of Commerce, Joint Power Financing Authority, 8.00%, 3/1/22 3,057,660 NR BBB 5,000 Contra Costa County, Public Financing Authority, 7.10%, 8/1/22 5,154,300 NR BBB 3,910 City of Fontana, Public Financing Authority, 7.00%, 9/1/21 3,968,180 NR BBB 8,220 Fontana Redevelopment Agency, Jurupa Hills, 7.00%, 10/1/14 8,388,346 NR BBB 2,500 City of Pittsburg Redevelopment Agency, 7.40%, 8/15/20 2,619,525 NR BBB 600 City of Rancho Mirage, Joint Power Financing Authority, 7.50%, 4/1/17 633,636 NR BBB 2,500 Riverside County Redevelopment Agency, 7.50%, 10/1/26 2,625,300 NR BBB 5,605 San Carlos Redevelopment Agency, 7.10%, 9/1/17 5,802,632 NR NR 1,400 City of Simi Valley Community Development, Sycamore Plaza II, 8.20%, 9/1/12 1,412,698 Baa BBB+ 3,000 Westminster Redevelopment Agency, Community Redevelopment, 7.30%, 8/1/21 3,135,992 ------------ $ 55,767,204 ------------ TRANSPORTATION - 6.4% NR BBB $3,050 Guam Airport Authority, (AMT), 6.70%, 10/1/23 $ 3,097,001 A A- 1,400 Orange County, John Wayne International Airport, (AMT), 8.125%, 7/1/16 1,460,788 Baa1 BBB 1,500 Stockton Port District, 7.95%, 1/1/05 1,583,820 Baa1 BBB 1,500 Stockton Port District, 8.10%, 1/1/14 1,596,285 NR NR 12,000 San Joaquin Hills Transportation Corridor Agency, 0%, 1/1/14 3,732,960 NR NR 35,975 San Joaquin Hills Transportation Corridor Agency, 0%, 1/1/27 4,756,974 NR NR 5,765 San Joaquin Hills Transportation Corridor Agency, 0%, 1/1/26 814,191 NR NR 4,940 San Joaquin Hills Transportation Corridor Agency, 7.00%, 1/1/30 5,148,863 AA AA- 2,000 City of Long Beach Harbor, (AMT), 7.25%, 5/15/19 2,137,720 ------------ $ 24,328,602 ------------ UTILITIES - 1.0% A1 AA- $1,490 Southern California Public Power Authority, 6.875%, 7/1/15 $ 1,531,690 Aa A+ 7,070 Southern California Public Power Authority, 0%, 7/1/15 2,211,991 ------------ $ 3,743,681 ------------ WATER AND SEWER - 0.9% NR BBB $3,190 Orange Cove Irrigation District, 6.625%, 2/1/17 $ 3,262,382 ------------ TOTAL TAX - EXEMPT INVESTMENTS $382,177,484 (IDENTIFIED COST $356,860,992) ------------ ------------
(1) The above designated securities have been issued as inverse floater bonds. (2) Security has been degregated to cover margin requirements on open financial futures contracts. The Portfolio invests primarily in debt securities issued by California muncipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at March 31, 1996, 21.1% of the securities in the portfolio of investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage by financial institution ranged from 4.0% to 12.5% of total investments. SEE NOTES TO FINANCIAL STATEMENTS MASSACHUSETTS MUNICIPALS PORTFOLIO Portfolio of Investments March 31, 1996 (Unaudited) - -------------------------------------------------------------------------------- TAX EXEMPT INVESTMENTS - 100% - --------------------------------------------------------------------------------
RATINGS (UNAUDITED) - ------------------- PRINCIPAL AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------------ EDUCATION - 6.4% Aa1 AA+ $1,625 Massachusetts Health and Educational Facilities Authority, (HEFA), Amherst College, 6.80%, 11/1/21 $1,758,998 A1 A+ 250 Massachusetts HEFA, Tufts University, 7.75%, 8/1/13 272,715 NR BBB- 3,700 Massachusetts HEFA, Merrimack College, 7.125%, 7/1/12 3,917,819 Aa AA- 7,605 Massachusetts HEFA, Smith College, 5.75%, 7/1/24 7,427,803 Aa1 AA 2,300 Massachusetts Industrial Finance Agency (IFA), Phillips Academy, 5.375%, 9/1/23 2,148,591 A1 NR 2,000 New England Educational Loan Marketing Corporation, 6.90%, 11/1/09 2,110,140 NR BBB- 1,000 Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Authority, Polytechnic University, 6.50%, 8/1/24 1,003,610 ------------ $18,639,676 ------------ ESCROWED - 0.7% Baa1 AAA $1,900 Puerto Rico Aqueduct and Sewer Authority, Prerefunded to 7/1/98, 7.00%, 7/1/19 $2,055,800 ------------ GENERAL OBLIGATIONS - 9.2% Baa1 NR $1,000 City of Lowell, 6.375%, 8/15/01 $1,071,220 A1 A+ 3,400 Commonwealth of Massachusetts, 5.00%, 1/1/12 3,177,946 A1 A+ 8,765 Massachusetts Bay Transportation Authority, 5.50%, 3/1/21 (4) 8,222,972 A1 A+ 1,000 Massachusetts Bay Transportation Authority, 5.90%, 3/1/12 1,020,230 NR BBB 2,145 Government of Guam, 5.40%, 11/15/18 1,894,957 A NR 3,375 Town of Nantucket, 6.80%, 12/1/11 3,706,257 Baa1 A 100 Puerto Rico Public Buildings Authority, 5.50%, 7/1/21 92,796 Baa1 A 2,000 Puerto Rico Aqueduct and Sewer Authority, 5.00%, 7/1/15 1,798,620 A1 A+ 250 University of Massachusetts Building Authority, 7.20%, 5/1/04 286,285 A1 A+ 2,500 University of Massachusetts Building Authority, 6.875%, 5/1/14 2,868,600 NR NR 3,350 Virgin Islands Public Finance Authority, 7.25%, 10/1/18 2,449,640 ------------ $26,589,523 ------------ HEALTH CARE - 2.6% NR AA $1,485 Massachusetts HEFA, (FHA), Deutsches Altenheim, 7.70%, 11/1/31 $1,592,484 NR AAA 2,100 Massachusetts IFA, Heights Crossing, (AMT), 6.15%, 2/1/35 2,027,739 NR NR 9,000 Massachusetts IFA, Biomedical Research Corporation, 0%, 8/1/09 4,009,320 ------------ $7,629,543 ------------ HOSPITALS - 6.9% A A $3,000 Massachusetts HEFA, Charlton Memorial Hospital, 7.25%, 7/1/13 $3,179,400 A1 A+ 530 Massachusetts HEFA, Spaulding Rehabilitation Hospital, 7.625%, 7/1/21 563,952 Baa1 BBB+ 2,000 Massachusetts HEFA, New England Baptist Hospital, 7.35%, 7/1/17 2,110,860 Aa N 3,100 Massachusetts HEFA, Daughters of Charity Health System, 6.10%, 7/1/14 3,132,550 A1 A 500 Massachusetts HEFA, Dana-Farber Cancer Institute, 6.65%, 12/1/15 511,865 A A 4,250 Massachusetts HEFA. The Medical Center of Central Mass., 7.10%, 7/1/21 (4) 4,469,938 Baa BBB 1,825 Massachusetts HEFA, Sisters of Providence Health System, 6.50%, 11/15/08 1,815,528 Ba BBB 1,635 Massachusetts HEFA, Sisters of Providence Health System, 6.625%, 11/15/22 1,580,375
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RATINGS (UNAUDITED) - ------------------- PRINCIPAL AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HOSPITALS (Continued) NR A- 1,020 Massachusetts HEFA, Jordan Hospital, 6.875%, 10/1/15 1,048,672 NR A- 1,470 Massachusetts HEFA, Jordan Hospital, 6.875%, 10/1/22 1,501,693 ------------ $19,914,833 ------------ HOUSING - 12.0% NR AAA $2,750 Framingham Housing Authority, (GNMA), 6.65%, 2/20/32 $2,783,220 A1 A+ 5,855 Massachusetts Housing Finance Agency, (HFA), 6.375%, 4/1/21 5,836,791 Aa A+ 400 HFA, 7.35%, 12/1/16 422,444 Aaa AAA 2,750 Massachusetts HFA, (FNMA), 6.90%, 11/15/21 2,901,525 Aaa AAA 1,000 Massachusetts HFA, (FNMA), 6.875%, 11/15/11 1,069,770 Aa A+ 2,795 Massachusetts HFA, (AMT), 7.125%, 6/1/25 2,914,710 Aa A+ 1,500 Massachusetts HFA, (AMT), 8.10%, 12/1/21 1,605,675 Aa A+ 2,195 Massachusetts HFA, (AMT), 8.10%, 6/1/20 2,302,665 Aa A+ 7,250 Massachusetts HFA, (AMT), 6.60%, 12/1/26 (4) 7,365,565 Aa A+ 6,400 Massachusetts HFA, (AMT), 6.60%, 12/1/26 (4) 6,502,016 Aa A+ 1,000 Massachusetts HFA, 6.35%, 6/1/17 1,008,640 ------------ $34,713,021 ------------ INDUSTRIAL DEVELOPMENT/POLLUTION CONTROL - 2.7% NR NR $2,075 Massachusetts IFA, Hingham Water Company, (AMT), 6.60%, 12/1/15 $2,122,186 NR NR 3,000 Massachusetts IFA, Hingham Water Company, (AMT), 6.90%, 12/1/29 3,079,410 A1 AA- 1,550 Puerto Rico Industrial, Medical and Environmental Pollution Control Authority, The Upjohn Company, 7.50%, 12/1/23 1,684,013 Baa3 BB+ 1,000 Puerto Rico Port Authority, American Airlines, (AMT), 6.30%, 6/1/23 1,008,880 ------------ $7,894,489 ------------ INSURED EDUCATION - 4.7% Aaa AAA $335 Massachusetts Educational Finance Authority, (MBIA), (AMT), 7.25%, 1/1/09 $338,991 Aaa AAA 2,000 Massachusetts Educational Finance Authority, (AMBAC), (AMT), 7.375%, 1/1/12 2,092,420 Aaa AAA 250 Massachusetts HEFA, Northeastern University, (AMBAC), 7.50%, 10/1/08 272,668 Aaa AAA 400 Massachusetts HEFA, Boston University "RIBS", (MBIA), Variable, 10/1/31 (1) 452,000 NR AAA 2,500 Massachusetts HEFA, Suffolk University, (CLEE), 5.75%, 7/1/26 2,389,525 Aaa AAA 3,000 Massachusetts HEFA, Tufts University, (FGIC), 5.95%, 8/15/18 3,029,220 NR AAA 5,470 Massachusetts HEFA, Wentworth Institute, (CLEE), 5.50%, 10/1/23 5,014,677 ------------ $13,589,501 ------------ INSURED GENERAL OBLIGATIONS - 1.2% Aaa AAA $1,795 City of Boston, (FSA), 4.875%, 9/1/09 $1,705,806 Aaa AAA 1,000 Commonwealth of Puerto Rico "RIBS", (AMBAC), Variable, 7/1/15 (1) 1,011,000 Aaa AAA 600 Town of Tyngsborough, (AMBAC), 6.90%, 5/15/08 677,976 ------------ $3,394,782 ------------ INSURED HOSPITALS - 14.6% Aaa AAA $300 Massachusetts HEFA, Berkshire Health Systems, (MBIA), 7.60%, 10/1/14 $329,325 Aaa AAA 1,250 Massachusetts HEFA, Beth Israel Hospital, (AMBAC), Variable, 7/1/25 (1) 1,260,625 Aaa AAA 1,500 Massachusetts HEFA, Capital Asset Program, (MBIA), 7.20%, 7/1/09 1,643,940
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RATINGS (UNAUDITED) - ------------------- PRINCIPAL AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------------ INSURED HOSPITALS (CONTINUED) Aaa AAA 2,050 Massachusetts HEFA, Fallon Healthcare System (FSA), 6.75%, 6/1/20 2,214,759 Aaa AAA 4,500 Massachusetts HEFA, Fallon Healthcare System (FSA), 6.875%, 6/1/11 4,948,965 Aaa AAA 2,040 Massachusetts HEFA, Beverly Hospital, (MBIA), 7.30%, 7/1/13 2,234,697 Aaa AAA 1,320 Massachusetts HEFA, Baystate Medical Center, (FGIC), 5.00%, 7/1/20 1,167,685 Aaa AAA 1,000 Massachusetts HEFA, Emerson Hospital, (FSA), 5.80%, 8/15/18 985,140 Aaa AAA 2,000 Massachusetts HEFA, Cooley Dickenson Hospital, (AMBAC), 5.50%, 11/15/25 1,875,220 Aaa AAA 3,000 Massachusetts HEFA, The Medical Center of Central Massachusetts, (AMBAC), "CARS", Variable, 6/23/22 (1) 3,343,500 Aaa AAA 2,000 Massachusetts HEFA, St. Elizabeth Hospital, "LEVRRS", (FSA), Variable, 8/15/21 (1) 2,262,000 Aaa AAA 2,600 Massachusetts HEFA, Saint Luke's Hospital, "Yield Curve Notes", (MBIA), Variable, 8/15/13 (1) 2,492,100 Aaa AAA 2,600 Massachusetts HEFA, Saint Luke's Hospital, "Yield Curve Notes", (MBIA), Variable, 8/15/13 (1) 2,545,400 Aaa AAA 1,200 Massachusetts HEFA, University Hospital, (MBIA), 7.25%, 7/1/19 1,331,676 Aaa AAA 6,950 Massachusetts HEFA, Lahey Clinic, (MBIA), 5.375%, 7/1/23 6,440,009 Aaa AAA 1,000 Massachusetts HEFA, New England Medical Center, (FGIC), 6.50%, 7/1/12 1,057,990 NR AAA 2,625 Massachusetts HEFA, Winchester Hospital, (CLEE), 5.75%, 7/1/14 2,558,194 NR AAA 3,650 Massachusetts HEFA, Winchester Hospital, (CLEE), 5.75%, 7/1/24 3,487,976 ------------ $42,179,201 ------------ INSURED HOUSING - 1.6% Aaa AAA $2,500 Massachusetts HFA, (AMT), (AMBAC), 6.40%, 12/1/15 (2) $2,508,325 Aaa AAA 2,000 Massachusetts HFA, (AMBAC), 6.45%, 1/1/36 2,051,200 ------------ $4,559,525 ------------ INSURED TRANSPORTATION - 2.2% Aaa AAA $5,860 Massachusetts Port Authority, (AMT), (FGIC), 7.50%, 7/1/20 $6,510,753 ------------ INSURED WATER AND SEWER - 0.7% Aaa AAA $2,500 Massachusetts Water Resources Authority, (MBIA), 4.75%, 12/1/21 $2,127,950 ------------ LEASE/CERTIFICATE OF PARTICIPATION - 3.3% NR A- $7,800 Plymouth County, Massachusetts Correctional Facility Project, 7.00%, 4/1/22 (3) $8,368,620 NR BBB 1,200 Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Authority, Guaynabo Lease, 5.625%, 7/1/22 1,100,844 ------------ $9,469,464 ------------ NURSING HOMES - 2.1% NR NR $2,400 Massachusetts HEFA, Fairview Care Facilities, 10.25%, 1/1/21 $2,735,544 NR NR 3,225 Massachusetts IFA, Age Institute of Massachusetts, 8.05%, 11/1/25 3,221,033 ------------ $5,956,577 ------------ SOLID WASTE - 0.4% NR NR $1,245 City of Pittsfield, Vicon Recovery Associates Project, 7.95%, 11/1/04 $1,301,648 ------------
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RATINGS (UNAUDITED) - ------------------- PRINCIPAL AMOUNT STANDARD (000 MOODY'S & POOR'S OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------------ SPECIAL TAX REVENUE - 3.4% A1 AA $3,000 Commonwealth of Massachusetts, 6.00%, 6/1/13 $3,049,020 A1 AA- 4,560 Commonwealth of Massachusetts, 5.80%, 6/1/14 4,559,544 Baa1 A 2,000 Puerto Rico Highway and Transportation Authority, 6.625%, 7/1/18 2,205,640 ------------ $9,814,204 ------------ TRANSPORTATION - 4.6% NR BBB $7,950 Guam Airport Authority, (AMT), 6.70%, 10/1/23 $6,041,690 Aa AA- 7,300 Massachusetts Port Authority, 6.00%, 7/1/23 7,366,138 ------------ $13,407,828 ------------ UTILITIES - 7.9% NR BBB $2,765 Guam Power Authority, 5.25%, 10/1/23 $2,362,361 A BBB+ 3,500 Massachusetts Municipal Wholesale Electric Company, 6.75%, 7/1/11 3,705,625 A BBB+ 5,610 Massachusetts Municipal Wholesale Electric Company, 6.00%, 7/1/18 5,602,538 A BBB+ 9,060 Massachusetts Municipal Wholesale Electric Company, 6.625%, 7/1/18 9,446,862 Baa1 A- 150 Puerto Rico Electric Power Authority, 5.50%, 7/1/20 140,103 NR NR 1,500 Virgin Islands Water and Power Authority, 7.40%, 7/1/11 1,569,750 ------------ $22,827,239 ------------ WATER AND SEWER - 12.8% Baa1 BBB $12,185 City of Boston Harbor Electric Energy Company Project, (AMT), 7.375%, 5/15/15 (3) $13,103,871 A A 1,500 Massachusetts Water Resources Authority, 5.25%, 3/1/13 1,393,440 A A 5,175 Massachusetts Water Resources Authority, 5.00%, 3/1/22 4,516,999 A A 1,360 Massachusetts Water Resources Authority, 5.50%, 3/1/17 1,276,428 A A 13,000 Massachusetts Water Resources Authority, 4.75%, 12/1/23 10,788,050 A A 4,165 Massachusetts Water Resources Authority, 5.25%, 12/1/15 3,865,744 ------------ NR NR 2,000 Virgin Islands Water and Power Authority, 7.60%, 1/1/12 2,127,920 $37,072,452 ------------ TOTAL TAX-EXEMPT INVESTMENTS (identified cost $274,146,153) $289,648,009 ------------ ------------
(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 securites. (4) Security has been segregated to cover margin requirements for open financial futures contracts. The Portfolio invests primarily in debt securities issued by Massachusetts municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at March 31, 1996, 25.0% of the securities in the portfolio of investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage by financial institution ranged from 4.1% to 6.9% of total investments. See notes to financial statements NEW YORK MUNICIPALS PORTFOLIO Portfolio of Investments March 31, 1996 (Unaudited) - -------------------------------------------------------------------------------- Tax-Exempt Investments - 100% - -------------------------------------------------------------------------------- RATINGS(UNAUDITED) - ------------------
PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------- ASSISTED LIVING - 0.3% NR NR $1,970 Village of North Syracuse Housing Authority, (AJM Senior Housing, $1,961,135 Inc. Janus Park Project), 8.00%, 6/1/24 --------------- EDUCATION - 14.5% A NR $1,000 Dutchess County IDA, Bard College, 7.00%, 11/1/17 $1,077,270 A1 NR 6,170 Monroe County IDA, University of Rochester, 7.25%, 12/1/16 6,448,884 Baa BBB- 1,660 City of New Rochelle IDA Civic Facilities, College of New 1,705,102 Rochelle, 6.75%, 7/1/22 Baa1 BBB+ 9,000 Dormitory Authority, State University Educational Facilities, 8,978,220 6.25%, 5/15/17 Baa1 BBB+ 1,300 Dormitory Authority, State University Educational Facilities, 1,498,939 7.50%, 5/15/11 Baa1 BBB+ 11,500 Dormitory Authority, State University Educational Facilities, 10,618,870 5.25%, 5/15/13 Aaa AA+ 6,895 Dormitory Authority, State University Educational Facilities, 6,215,290 4.75%, 7/1/14 Aa AA 2,650 Dormitory Authority, State University Educational Facilities, 2,437,550 5.00%, 7/01/15 Baa1 BBB+ 415 Dormitory Authority, State University Educational Facilities, 454,911 7.375%, 5/15/14 Baa1 BBB+ 9,850 Dormitory Authority, State University Educational Facilities, 8,984,382 5.25%, 5/15/15 Baa1 BBB+ 7,605 Dormitory Authority, State University Educational Facilities, 6,843,663 5.25%, 5/15/19 Baa1 BBB+ 6,805 Dormitory Authority, State University Educational Facilities, 6,081,901 5.25%, 5/15/21 NR AA 1,300 Dormitory Authority, New York Medical College (Asset Guaranty), 1,402,453 6.875%, 7/1/21 Baa1 BBB+ 28,975 Dormitory Authority, State University Educational Facilities, 27,495,247 5.50%, 5/15/13 --------------- $90,242,682 --------------- ELECTRIC UTILITIES - 4.9% A1 A $2,500 New York State Energy Resource & Development Authority, $2,963,750 Brooklyn Union Gas (RIBS)(AMT), Variable, 7/1/26 (1) A1 A+ 500 New York State Energy Resource & Development Authority, 529,000 Consolidated Edison (AMT), 7.75%, 1/1/24 A1 A+ 2,365 New York State Energy Resource & Development Authority, 2,544,480 Consolidated Edison (AMT), 7.50%, 7/1/25 A1 A+ 1,000 New York State Energy Resource & Development Authority, 1,081,580 Consolidated Edison (AMT), 7.50%, 1/1/26 Aa AA- 19,445 Power Authority of the State of New York, 5.25%, 1/1/18 17,950,457 Baa1 A- 1,500 Puerto Rico Electric Power Authority, 0%, 7/1/17 404,085 Baa1 A- 2,250 Puerto Rico Electric Power Authority, 5.50%, 7/1/20 2,101,545 NR NR 3,000 Virgin Islands Water and Power Authority, 7.40%, 7/1/11 3,139,500 --------------- $30,714,397 ---------------
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PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------- ESCROWED - 11.4% Aaa AAA $725 Albany Municipal Water (MBIA), 7.50%, 12/1/17 $799,501 Aaa BBB 1,000 Dormitory Authority, City University, 7.625%, 7/1/20 1,140,150 Aaa BBB+ 1,530 Dormitory Authority, State University Educational Facilities, 1,743,695 7.70%, 5/15/12 NR BBB 1,000 Dormitory Authority, City University, 8.125%, 7/1/08 1,102,480 Baa1 BBB- 2,250 Dormitory Authority, Upstate Community College, 7.20%, 7/1/21 2,560,725 Baa1 NR 2,000 Dormitory Authority, Upstate Community College, 7.30%, 7/1/21 2,285,440 Baa BBB+ 13,380 New York State Housing Finance Agency Health Facilities, 13,379,197 6.00%, 5/1/16 Aaa AAA 500 Erie County Water Authority, Water Works System, 6.00%, 535,280 12/1/08 Aaa AAA 500 Metropolitan Transportation Authority Commuter Facilities 565,600 Bonds, 7.50%, 7/1/19 Aaa AAA 1,000 New York Local Government Assistance Corporation, 7.00%, 4/1/16 1,126,720 Aaa AAA 1,500 New York Local Government Assistance Corporation, 6.75%, 4/1/21 1,690,125 Aaa BBB 1,000 New York State Housing Finance Agency Service Contracts, 1,160,990 7.80%, 9/15/11 Aaa AAA 1,775 New York State Housing Finance Agency Service Contracts, 2,055,876 7.375%, 9/15/21 Aaa BBB+ 90 New York State Medical Care Facilities Finance Agency, (MCFFA), 102,127 Mental Health Services Facilities, 7.75%, 8/15/10 Aaa AAA 450 New York State MCFFA, Mental Health Services Facilities, 7.875%, 8/15/08 518,917 Aaa AAA 3,320 New York State MCFFA, Mental Health Services Facilities, 7.50%, 2/15/21 3,804,189 Aaa NR 8,100 New York State Urban Development Corporation Correctional 8,784,450 Facilities, 6.50%, 1/1/21 Baa1 BBB 4,750 New York State Thruway Authority, Local Highway and Bridge 5,357,145 Service Contract Bonds, 7.25%, 1/1/10 (2) Baa1 BBB 7,200 New York State Urban Development Corporation, 5.70%, 4/1/20 6,839,496 Baa1 BBB 500 New York State Urban Development Corporation, Alfred Technology 567,825 7.875%, 1/01/20 Baa1 BBB 750 New York State Urban Development Corporation, Clarkson Center 864,997 7.80%, 1/01/20 Baa1 BBB 750 New York State Urban Development Corporation, Clarkson Center 841,538 8.00%, 1/01/20 Aaa AAA 5,350 New York State UDC, Onondaga Co. Convention Center, 7.875% 6,199,741 1/1/10 NR AA- 500 Power Authority of the State of New York, 8.00%, 1/1/17 542,215 NR A 1,760 Puerto Rico Highway & Transportation Authority, 6.625%, 7/1/18 1,976,339 Baa1 AAA 3,750 Puerto Rico Aqueduct & Sewer Authority, 7.875%, 7/1/17 4,127,212 --------------- $70,671,970 --------------- GENERAL OBLIGATIONS - 2.3% A A- $5,965 New York State, 6.125%, 6/15/14 $6,186,421 Baa1 A- 120 New York City, 8.25%, 5/15/16 138,904 Baa1 A- 4,000 New York City, 7.50%, 2/1/18 4,333,440 Aa AA 1,700 Onondaga County, 5.875%, 2/15/11 1,776,364 Aa AA 1,600 Onondaga County, 5.875%, 2/15/12 1,659,392 --------------- $14,094,521 ---------------
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PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 15.3% NR AAA $6,705 Dormitory Authority, United Health Services, FHA, 7.35%, 8/1/29 $7,243,344 NR AA 1,000 Dormitory Authority, St. Johns, FHA Insured Nursing Home 1,010,840 6.05%, 2/1/16 Aa AA 750 New York State MCFFA, Hospital and Nursing Insured Mortgage 809,108 (FHA), 7.35%, 2/15/29 NR AAA 3,550 New York State MCFFA, Hospital and Nursing Insured Mortgage 3,640,809 (FHA), 6.125%, 2/15/14 NR AA 9,000 New York State MCFFA, Hospital and Nursing Insured Mortgage 9,402,750 (FHA), 6.70%, 8/15/23 Aa AA 6,600 New York State MCFFA, Hospital and Nursing Insured Mortgage 7,119,354 (FHA), 7.25%, 2/15/31 Aa AA 1,500 New York State MCFFA, Hospital and Nursing Insured Mortgage 1,591,065 (FHA), 6.95%, 2/15/32 Aa AA 2,190 New York State MCFFA, Hospital and Nursing Insured Mortgage 2,342,577 (FHA), 7.00%, 8/15/32 Aa AA 1,050 New York State MCFFA, Hospital and Nursing Insured Mortgage 1,110,837 (FHA), 6.75%, 2/15/12 Aa AA 1,000 New York State MCFFA, Hospital and Nursing Insured Mortgage 1,037,660 (FHA), 6.55%, 8/15/12 NR AA 2,670 New York State MCFFA, Hospital and Nursing Insured Mortgage 2,676,461 (FHA), 6.10%, 8/15/15 Aa AA 3,500 New York State MCFFA, Insured Mortgage Project (FHA), 3,588,445 6.20%, 8/15/14 Aa AA 2,425 New York State MCFFA, Insured Mortgage Project (FHA), 2,500,199 6.20%, 2/15/10 Aa AA 2,500 New York State MCFFA, Insured Mortgage Project (FHA), 2,546,525 6.50%, 2/15/35 Aa AA 6,550 New York State MCFFA, Insured Mortgage Project (FHA), 6,720,824 6.25%, 8/15/15 Aa AA 6,625 New York State MCFFA, Insured Mortgage Project (FHA), 6,678,133 6.20%, 8/15/15 Aa AA 950 New York State MCFFA, Insured Mortgage Project (FHA), 1,027,511 7.45%, 8/15/31 Baa1 BBB+ 1,610 New York State MCFFA, Mental Health Services Facilities, 1,797,404 7.625%, 8/15/17 Baa1 BBB+ 145 New York State MCFFA, Mental Health Services Facilities, 159,949 7.75%, 8/15/10 Baa1 BBB+ 495 New York State MCFFA, Mental Health Services Facilities, 554,821 7.875%, 8/15/08 Baa1 BBB+ 1,230 New York State MCFFA, Mental Health Services Facilities, 1,365,940 7.50%, 2/15/21 Baa1 BBB+ 4,785 New York State MCFFA, Mental Health Services Facilities, 4,149,887 Series 1994 A, 5.25%, 8/15/23 Baa NR 5,540 New York State MCFFA, Secured Hospital, 7.35%, 8/15/11 5,919,435 Baa BBB 19,700 New York State MCFFA, Secured Hospital (Brookdale), 6.80%, 20,323,701 8/15/12 --------------- $95,317,579 --------------- HOSPITALS - 0.7% Aa AAA $1,500 Dormitory Authority, Long Island Jewish Medical Center (FHA), $1,605,150 7.75%, 8/15/27 NR AAA 1,000 Dormitory Authority, St. Francis Hospital (FHA), 7.65%, 8/1/30 1,106,890
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PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------- HOSPITALS (CONTINUED) Baa1 BBB+ 1,800 Syracuse Industrial Development Agency (IDA), St. Joseph's Hospital 1,904,688 Health Center, 7.50%, 6/1/18 --------------- $4,616,728 --------------- HOUSING - 5.8% NR NR $4,704 New York City Housing Development Corporation (HDC), $4,770,839 Allerville Project, 6.50%, 11/15/18 NR NR 2,062 New York City HDC, Dayton Project, 6.50% 11/15/18 2,067,436 NR AAA 2,550 New York City HDC, Multi-Unit Management, 7.35%, 6/1/19 2,678,163 Baa A 4,750 New York City HDC, General Housing, 6.50%, 5/1/22 4,797,785 Aa AAA 235 New York State Housing Finance Agency, Baytown, 7.10%, 8/15/35 248,468 Aa NR 565 New York State Mortgage Agency, 7.70%, 10/1/12 606,754 Aaa AAA 250 New York State Mortgage Agency, 6.90%, 4/1/03 262,945 Aa NR 8,750 New York State Mortgage Agency, 6.90%, 4/1/15 9,266,950 Aa NR 500 New York State Mortgage Agency, 6.65%, 4/1/22 515,280 Aa NR 1,000 New York State Mortgage Agency, 7.50%, 4/1/15 1,083,300 Aa NR 270 New York State Mortgage Agency, 8.00%, 10/1/17 284,880 Aa NR 275 New York State Mortgage Agency, 7.65%, 4/1/19 290,820 Aa NR 1,600 New York State Mortgage Agency (AMT), 7.95%, 10/1/21 1,715,344 Aa NR 6,350 New York State Mortgage Agency (AMT), 6.40%, 10/1/20 6,431,280 Baa BBB 350 Puerto Rico Commonwealth Urban Renewal & Housing Corporation, 389,575 7.875%, 10/1/04 Aaa AAA 380 Puerto Rico Housing Financial Corporation Single-Family (GNMA), 399,646 7.65%, 10/15/22 --------------- $35,809,465 --------------- INSURED COLLEGE & UNIVERSITY - 1.9% Aaa AAA $2,485 Dormitory Authority, State University (AMBAC), 5.25%, 7/1/14 $2,353,544 Aaa AAA 6,950 Dormitory Authority, Marist College (MBIA), 6.00%, 7/1/22 7,025,685 Aaa AAA 2,000 Dormitory Authority, New York University (MBIA), 5.00%, 7/1/11 1,893,560 Aaa AAA 450 Dormitory Authority, Colgate University, 6.00%, 7/1/16 466,592 --------------- $11,739,381 --------------- INSURED GENERAL OBLIGATIONS - 0.8% Aaa AAA 1,035 Erie County Water Authority (AMBAC), 0%, 12/1/17 $218,965 Aaa AAA 2,480 New York State Environmental Facilities Corporation (EFC), Jamaica 2,686,584 Water Supply Company (AMT) (AMBAC), 7.625%, 4/1/29 Aaa AAA 1,955 New York State Dorm Authority, City University, 5.75%,7/1/13 1,980,474 --------------- $4,886,023 --------------- INSURED GENERAL OBLIGAIONS LOCAL - 1.8% Aaa AAA $465 Chautauqua County Unlimited Tax (FGIC), 7.30%, 4/1/07 $548,128 Aaa AAA 520 Chautauqua County Unlimited Tax (FGIC), 6.40%, 9/15/08 574,132 Aaa AAA 770 Chautauqua County Unlimited Tax (FGIC), 6.40%, 9/15/09 846,800 Aaa AAA 725 Jamestown, (Secondary AMBAC), 7.00%, 3/15/07 836,164 Aaa AAA 600 Jamestown, (Secondary AMBAC), 7.00%, 3/15/08 692,304 Aaa AAA 700 Jamestown, (Secondary AMBAC), 7.10%, 3/15/09 813,372 Aaa AAA 700 Jamestown, (Secondary AMBAC), 7.10%, 3/15/10 815,542 Aaa AAA 700 Jamestown, (Secondary AMBAC), 7.10%, 3/15/11 817,033 Aaa AAA 675 Jamestown, (Secondary AMBAC), 7.10%, 3/15/12 788,683
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PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------- INSURED GENERAL OBLIGAIONS LOCAL (CONTINUED) Aaa AAA 675 Jamestown, (Secondary AMBAC), 7.10%, 3/15/13 788,947 Aaa AAA 515 Jamestown, (Secondary AMBAC), 7.10%, 3/15/14 601,736 Aaa AAA 2,000 New York City (AMBAC), 7.00%, 8/1/17 2,227,220 Aaa AAA 500 Oyster Bay (FGIC), 6.60%, 2/15/12 554,610 Aaa AAA 450 Oyster Bay (FGIC), 6.60%, 2/15/13 499,149 --------------- $11,403,820 --------------- INSURED GENERAL OBLIGATIONS SCHOOL DISTRICT - 0.3% Aaa AAA $700 Bethlehem Central School District (AMBAC), 7.10%, 11/1/08 $819,497 Aaa AAA 700 Bethlehem Central School District (AMBAC), 7.10%, 11/1/09 822,332 --------------- $1,641,829 --------------- INSURED GENERAL OBLIGATIONS TERRITORY - 0.7% Aaa AAA $4,500 Commonwealth of Puerto Rico Public Improvement Residual $4,628,250 Interest Tax Exempt Securities (FSA), Variable, 7/1/22 (1) --------------- INSURED HEALTH CARE - 4.8% Aaa AAA $9,130 New York State Dormitory Authorty, Mental Health Facilities (MBIA) $8,282,188 5.125%, 8/15/21 Aaa AAA 1,500 New York State MCFFA, Long Term Health Care (CGIC), 6.80%, 1,600,530 11/1/14 Aaa AAA 1,300 New York State MCFFA, New York Hospital FHA Insured Mortgage 1,417,156 (AMBAC), 6.60%, 2/15/11 Aaa AAA 5,400 New York State MCFFA, New York Hospital FHA Insured Mortgage 5,845,014 (AMBAC), 6.75%, 8/15/14 Aaa AAA 13,025 New York State MCFFA, Mental Health Services Facilities (MBIA), 12,330,116 5.375%, 2/15/14 --------------- $29,475,004 --------------- INSURED HOUSING - 0.1% Aaa AAA $500 New York City HDC, Charter Oaks (MBIA), 7.375% 4/1/17 $520,650 --------------- INSURED MISCELLANEOUS - 3.7% Aaa AAA $500 New York City IDA, (USTA National Tennis Center Incorporated $523,725 Project) (FSA), 6.375%, 11/15/14 Aaa AAA 2,000 New York State Dormitory Authority, City University, (Sec. AMBAC) 2,026,060 5.75%, 7/1/13 Aaa AAA 21,500 New York State Energy Research & Development Authority 20,601,515 Brooklyn Union Gas, 5.50%, 1/1/21 --------------- $23,151,300 --------------- INSURED SOLID WASTE - 1.6% Aaa AAA $1,650 Dutchess County Resource Recovery Solid Waste (FGIC), $1,805,232 7.50%, 1/1/09 Aaa AAA 6,795 Islip Resource Recovery Agency (MBIA), 6.50%, 7/1/09 7,426,052
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PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------- INSURED SOLID WASTE (CONTINUED) Aaa AAA 1,000 Montgomery, Otesgo, Schoharie Solid Waste Management 943,690 Authority (MBIA), 5.25%, 1/1/14 --------------- $10,174,974 --------------- INSURED TOLL & TURNPIKE - 0.5% Aaa AAA $3,000 Triborough Bridge & Tunnel Authority Residual Interest Tax Exempt $3,030,000 Securities (MBIA), Variable, 1/1/19 (1) --------------- INSURED TRANSIT - 0.5% Aaa AAA $3,000 Triborough Bridge & Tunnel Authority Residual Interest Tax Exempt $3,225,000 Securities (MBIA), Variable, 1/1/12 (1) --------------- INSURED WATER & SEWER - 0.1% Aaa AAA $275 Albany Municipal Water Financial Authority (MBIA), 7.50%, 12/1/17 $297,014 --------------- LEASE/CERTIFICATE OF PARTICIPATION - 6.1% Baa1 BBB $5,100 Dormitory Authority, City University, 7.00%, 7/1/09 $5,634,735 Baa1 BBB 4,325 Dormitory Authority, City University, 7.50%, 7/1/10 4,994,034 Baa1 BBB 15,815 Dormitory Authority, City University, 5.75%, 7/1/13 15,326,000 Baa1 BBB 250 Dormitory Authority, City University, 6.375%, 7/1/08 256,977 NR BBB 5,865 New York State Thruway Authority, 0%, 1/1/01 4,535,932 Baa1 BBB 5,775 New York State Urban Development Corporation (UDC) Correctional 5,461,706 Facilities, 5.50%, 1/1/14 A A 1,825 Syracuse - Hancock International Airport Certificates of 1,909,535 Participation, 6.625%, 1/1/12 --------------- $38,118,919 --------------- MISCELLANEOUS - 1.6% Aa AA- $200 City of New York Municipal Assistance Corporation, 7.50%, 7/1/08 $216,092 Aa AA- 485 City of New York Municipal Assistance Corporation, 7.625%, 7/1/08 524,110 Aa AA- 635 City of New York Municipal Assistance Corporation, 7.625%, 7/1/08 703,377 NR NR 1,300 New York City IDA, (YMCA of Greater New York), 8.00%, 8/1/16 1,393,392 7,000 VRDC-IVRC Trust, Variable, 6/26/02 (1) 7,200,900 --------------- $10,037,871 --------------- SOLID WASTE - 2.1% Baa1 A- $2,665 Hempstead IDA Resource Recovery, American Refunding Fuel Co., $2,754,731 7.40%, 12/1/10 Baa NR 9,530 New York State EFC Resource Recovery, Huntington Project, 10,037,091 7.50%, 10/1/12 --------------- $12,791,822 ---------------
- -------------------------------------------------------------------------------- Tax-Exempt Investments - (Continued) - -------------------------------------------------------------------------------- RATINGS(UNAUDITED) - ------------------
PRINCIPAL STANDARD AMOUNT MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------- SPECIAL TAX REVENUE - 11.2% A A $4,750 New York State LGAC, 5.25%, 4/1/16 $4,411,325 A A 5,225 New York State LGAC, 5.50%, 4/1/17 4,999,437 A A 7,420 New York State LGAC, 5.50%, 4/1/18 6,927,238 A A 33,135 New York State LGAC, 5.50%, 4/1/21 30,801,633 5,270 New York State LGAC, 5.00%, 4/1/23 4,550,856 A A 5,000 New York State LGAC, 5.00%, 4/1/21 4,409,650 NR BBB+ 2,630 New York State Municipal Bond Bank Agency, 6.875%, 3/15/06 2,837,323 Baa1 A 4,840 Puerto Rico Highway and Transportation Authority, 6.625%, 7/1/18 5,337,649 Baa1 A 2,000 Puerto Rico Highway and Transportation Authority, 5.50%, 7/1/15 1,926,280 Baa1 BBB 3,335 Triborough Bridge & Tunnel Authority, Convention Center, 6.00%, 1/1/11 3,331,398 --------------- $69,532,789 --------------- Baa1 TRANSPORTATION - 3.7% Baa1 BBB $2,000 MTA Transit Facilities Service Contract, 5.75%, 7/1/13 $1,952,800 Baa1 BBB 725 MTA Transit Facilities Service Contract, 5.75%, 7/1/13 711,711 NR BBB 2,350 New York State Thruway Authority, Cross Westchester 1,609,633 Expressway Project, 0%, 1/1/03 Ba1 BB 2,800 Port Authority of New York and New Jersey, Delta Airlines 2,967,496 LaGuardia Airport, 6.95%, 6/1/08 A1 AA- 1,500 Port Authority of New York and New Jersey (AMT), Variable, 1,560,750 1/15/27 (1) Aa A+ 11,580 TBTA General Purpose, 5.50%, 1/1/17 11,230,630 Aa A+ 2,500 TBTA General Purpose, 6.125%, 1/1/21 2,629,475 --------------- $22,662,495 --------------- WATER & SEWER REVENUE - 3.3% Aa A $11,050 New York State EFC, State Water Pollution Control, 6.875%, 6/15/10 $12,211,797 Aa A+ 4,545 New York State EFC, State Water Pollution Control, 7.20%, 3/15/11 4,979,138 Aa A 2,750 New York State EFC, State Water Pollution Control, 7.00%, 6/15/12 3,028,053 Aa A 150 New York State EFC, State Water Pollution Control, 7.50%, 6/15/12 166,228 --------------- $20,385,216 --------------- TOTAL TAX-EXEMPT INVESTMENTS (IDENTIFIED COST $591,994,397) $621,130,834 --------------- ---------------
(1) The above securities have been issued as inverse floater bonds. (2) Security has been segregated to cover margin requirements on open financial futures contracts. The Portfolio invests primarily in debt securities issued by new York municipalities. the ability of the issuers of thedebt securioties to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at March 31, 1996, 16.8% of the securities in the portfolio of investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage by the financial institution ranged from 0.3% to 9.1% of total investments. SEE NOTES TO FINANCIAL STATEMENTS OHIO MUNICIPALS PORTFOLIO Portfolio of Investments March 31, 1996 (Unaudited)
-------------------------------------------------------------------------------------------------------- Tax-Exempt Investments - 100% - ---------------------------------------------------------------------------------------------------------------------------------- RATINGS(UNAUDITED) - ------------------ PRINCIPAL STANDARD AMOUNT MOODY'& POOR'S (000 OMITTED) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION - 7.4% A A+ $1,000 University of Cincinnati, 6.50%, 12/1/11 $1,036,680 A1 AA- 650 University of Cincinnati, 6.50%, 6/1/11 689,956 Aa AA- 550 Ohio State Higher Educational Facilities, Case Western University, 6.50%, 10/1/20 596,222 NR AAA 2,100 Ohio Higher Educational Facilities, Ohio Northern University (CLEE), 5.60%, 5/1/13 2,079,399 NR AAA 1,750 Ohio Higher Educational Facilities, Ohio Northern University (CLEE), 5.65%, 5/1/18 1,708,945 A1 A+ 1,300 Ohio State Higher Educational Facilities, Public Facilities, 5.50%, 12/1/07 1,328,626 A1 NR 7,000 Ohio State student Loan Funding Corp (AMT), 6.10%, 8/1/07 7,144,130 A1 NR 7,000 Ohio State student Loan Funding Corp (AMT), 6.10%, 8/1/08 7,102,340 A1 AA- 1,500 Ohio State University Revenue, 5.75%, 12/1/09 1,535,805 ----------- $23,222,103 ----------- ESCROWED - 1.4% A AAA $2,760 Middleburg Heights Hospital - Southwest General, 6.75%, 8/15/21 $3,089,406 Baa1 NR 1,000 Scioto City Ohio, 7.15%, 8/1/11 1,127,040 ----------- $4,216,446 ----------- GENERAL OBLIGATIONS - 6.2% NR NR $3,035 Belmont County, 7.30%, 12/1/17 $3,179,314 NR NR 2,450 Cleveland City School District, 7.25%, 6/15/98 2,486,260 Aaa AAA 1,035 City of Columbus, 5.50%, 11/1/12 1,029,380 A1 NR 1,360 Copley-Fairlawn City School District, 6.25%, 12/1/15 1,419,976 A1 NR 500 Huber Heights, Ohio, 6.75%, 12/1/11 544,610 A1 NR 725 City of Medina, Ohio Fire Station Improvement, 3.00%, 12/1/10 535,754 Aa AA 1,500 Ohio State Infrastructure Improvement, 0%, 8/1/11 633,810 NR NR 1,000 Tuscarawas Public Library Improvement, 6.90%, 12/1/11 1,076,350 Baa NR 1,000 Youngstown, Ohio, 7.55%, 12/1/11 1,103,900 NR NR 6,855 Youngstown, Ohio, 7.35%, 6/15/05 7,397,436 ----------- $19,406,790 ----------- HEALTH CARE - 2.5% NR AAA $1,000 Allen County Ohio, LIMA Convalescent Home Foundation (GNMA), 6.40%, 1/1/21 $1,018,790 Aa2 NR 1,600 Hamilton County, Episcopal Retirement Homes, 6.80%, 1/1/08 1,715,248 NR BBB- 1,800 Marion County, United Church Homes, 6.30%, 11/15/15 1,754,406 Baa BBB 2,925 Puerto Rico Urban Renewal & Housing Corporation, 0%, 10/1/99 2,473,994 Aa2 NR 600 Warren County, Otterbein Home Project, 7.20%, 7/1/11 656,604 ----------- $7,619,042 ----------- Hospitals - 18.2% Baa BBB- $1,000 Butler County, Hamilton-Hughe Hospital, 7.50%, 1/1/10 $1,044,840 NR BBB 1,000 Cambridge Ohio, Guernsey Memorial Hospital, 8.00%, 12/1/11 1,071,600 A1 A 2,100 Cuyahoga County, Fairview General Hospital, 6.25%, 8/15/10 2,139,837 A1 A 2,370 Cuyahoga County, Meridia Health System, 7.00%, 8/15/23 2,484,803 A1 A 2,000 Cuyahoga County, Meridia Health System, 6.50%, 8/15/12 2,039,600 Aa AA 750 Cuyahoga County, University Hospitals Health System, 6.50%, 1/15/19 775,313 Aa AA 4,450 Cuyahoga County, University Hospitals Health System, 6.00%, 1/15/22 4,474,208 -------------------------------------------------------------------------------------------------------- Tax-Exempt Investments - (Continued) - ---------------------------------------------------------------------------------------------------------------------------------- RATINGS(UNAUDITED) - ------------------ PRINCIPAL STANDARD AMOUNT MOODY'& POOR'S (000 OMITTED) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------------------------------- NR BBB 4,130 Defiance Hospital, Inc., 7.625%, 11/1/03 4,236,389 Baa BBB- 765 East Liverpool City Hospital-Series A, 8.00%, 10/1/21 806,287 Baa BBB- 1,000 East Liverpool City Hospital-Series B, 8.00%, 10/1/21 1,053,970 A A- 4,000 Erie County, Firelands Community Hospital, 6.75%, 1/1/08 4,208,440 Aa NR 3,000 Franklin County, Children's Hospital, 6.60%, 5/1/13 3,151,920 A A 1,015 City of Garfield Heights, Marymount Hospital, 6.65%, 11/15/11 1,048,454 A A 1,000 City of Garfield Heights, Marymount Hospital, 6.70%, 11/15/15 1,036,270 Aa2 NR 1,000 Hamilton County, Wesley Hall Project, 6.50%, 3/1/15 1,056,770 A1 A 4,000 Hamilton County, Bethesda Hospital, Inc., 6.25%, 1/1/12 4,015,520 A1 A+ 1,095 Lorain County, Humility of Mary Health Care Corp., 7.125%, 12/15/06 1,189,707 A1 A+ 5,900 Lorain County, Humility of Mary Health Care Corp., 5.90%, 12/15/08 6,012,572 A1 A+ 1,000 Lorain County, Humility of Mary Health Care Corp., 7.20%, 12/15/11 1,073,370 NR A+ 1,750 Lorain County, Lakeland Community Hospital, Inc., 6.50%, 11/15/12 1,787,993 NR BBB+ 1,000 Lucas County, Flowers Hospital, 6.125%, 12/1/13 935,960 NR A 1,000 Muskingham County - Bethesda Care System (CLEE), 5.40%, 12/1/16 924,930 NR NR 10,000 Mt Vernon, Knox Community Hospital, 7.875%, 6/1/12 10,063,500 ----------- $56,632,252 ----------- HOUSING - 9.3% Aa NR $1,300 City of Clermont, Laurels Project (FHA), 6.00%, 9/1/20 $1,294,956 Aa NR 1,000 Franklin County, Hamilton Creek Apartments (FHA), (AMT), 5.80%, 7/1/14 949,230 Aa NR 3,650 Franklin County, Hamilton Creek Apartments (FHA), (AMT), 5.55%, 7/1/24 3,259,669 Aa NR 2,500 Franklin County MFMR - Tuttle Park Project (FHA), (AMT), 6.50%, 3/1/26 2,539,650 Aa NR 5,985 Franklin County MFMR - Tuttle Park Project (FHA), (AMT), 6.50%, 3/1/36 6,086,625 NR AAA 3,490 Ohio HFA, (GNMA), (AMT), 6.375%, 3/1/25 3,525,424 NR AAA 4,735 Ohio HFA, (GNMA), (AMT), 6.70%, 3/1/25 4,844,994 NR AAA 1,250 Ohio HFA, MFMR-Asbury Woods (FHA), 7.00%, 10/1/24 1,277,900 Aa NR 2,850 Ohio HFA, Oakleaf Village Project, (FHA), 5.70%, 9/1/26 2,666,916 Aa NR 1,000 Ohio HFA, Aristocrat South Board & Care Project (FHA), (AMT), 7.30%, 8/1/31 1,031,250 Aaa AAA 1,035 Ohio HFA SFMR, (GNMA) (AMT), Variable, 3/31/31 (1) 1,098,777 A1 A+ 500 Ohio Building Authority Juvenile Correctional Building, 5.80%, 10/1/07 517,480 ----------- $29,092,871 ----------- INDUSTRIAL DEVELOPMENT / POLLUTION CONTROL REVENUES - 8.3% Baa1 NR $3,750 Ohio Air Quality Development Authority, Ashland Oil Inc, 6.85%, 4/1/10 $3,988,425 NR A- 585 Ohio IDR, Enterprise Bond Fund, Burrows Paper Corp. (AMT), 7.625%, 6/1/11 646,197 NR A- 300 Ohio IDR, Enterprise Bond Fund, Cheryl & Co., (AMT), 5.50%, 12/1/04 299,157 NR A- 530 Ohio IDR, Enterprise Bond Fund, Cheryl & Co., (AMT), 5.90%, 12/1/09 533,281 NR A- 1,775 Ohio IDR, Enterprise Bond Fund, Consolidated Biscuit, (AMT), 7.00%, 12/1/09 1,970,694 NR A- 3,385 Ohio IDR, Enterprise Bond Fund, J J & WLP Project (AMT), 6.70%, 12/1/14 3,509,399 NR A- 750 Ohio IDR, Enterprise Bond Fund, Luigino's Inc. (AMT), 6.85%, 6/1/01 766,793 NR A- 935 Ohio IDR, Enterprise Bond Fund, Progress Plastic Products, (AMT), 6.80%, 12/1/01 1,012,699 NR A- 1,525 Ohio IDR, Enterprise Bond Fund, Progress Plastic Products, (AMT), 7.80%, 12/1/09 1,770,357 NR A- 680 Ohio IDR, Enterprise Bond Fund, Royal Appliance Manufacturing Co., Series 1991 #9 (AMT), 7.625%, 12/1/11 755,888 NR A- 1,000 Ohio IDR, Enterprise Bond Fund, Royal Appliance Manufacturing Co., Series 1991 #5 (AMT), 7.625%, 12/1/11 1,111,600 NR A- 880 Ohio IDR, Enterprise Bond Fund, VSM Corp., (AMT), 7.375%, 12/1/11 967,666 -------------------------------------------------------------------------------------------------------- Tax-Exempt Investments - (Continued) - ---------------------------------------------------------------------------------------------------------------------------------- RATINGS(UNAUDITED) - ------------------ PRINCIPAL STANDARD AMOUNT MOODY'& POOR'S (000 OMITTED) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------------------------------- NR AA- 1,000 Ohio Pollution Control, Standard Oil Company, 6.75%, 12/1/15 1,129,480 NR BB 1,020 Ohio Economic Development, KMART Corp., 6.75%, 5/15/07 901,790 Baa2 BBB 3,990 Ohio Water Development Authority, Union Carbide Corp. Project, 5.50%, 1/15/07 5.50%, 1/15/07 3,885,263 Ba2 NR 1,500 Portage County, Kroger Corporation, 7.25%, 7/1/99 1,580,940 Ba2 NR 1,000 Summit County, Kroger Corporation, 6.85%, 7/1/99 1,044,020 ----------- $25,873,649 ----------- INSURED EDUCATION - 0.3% Aaa AAA $1,000 Ohio Higher Education, University of Dayton Project (FGIC), 5.80%, 12/1/14 $1,005,430 ----------- INSURED GENERAL OBLIGATIONS - 2.3% Aaa AAA $1,000 Hilliard Ohio School District (FGIC), 5.00%, 12/1/20 $894,460 Aaa AAA 1,595 Marion County Local School District (MBIA), 5.375%, 12/1/19 1,514,086 Aaa AAA 1,700 Puerto Rico (AMBAC), Variable, 7/1/15 (1) 1,718,700 Aaa AAA 3,000 Puerto Rico (FSA), Variable, 7/1/22 (1) 3,085,500 ----------- $7,212,746 ----------- INSURED HEALTH CARE - 2.4% Aaa AAA $1,945 Hamilton County, Sisters of Charity Health Care System (MBIA), 5.25%, 5/15/13 $1,833,765 Aaa AAA 5,925 Montgomery County, Sisters of Charity Health Care System (MBIA), 5.25%, 5/15/11 5,732,556 ----------- $7,566,321 ----------- INSURED HOSPITAL - 13.1% Aaa AAA $2,500 Akron, Bath and Copley Townships Children's Hospital Medical Center of Akron, (AMBAC), 5.25%, 11/15/20 $2,302,375 Aaa AAA 1,000 Clermont County, Mercy Health System (AMBAC), Variable, 10/5/21 (1) 1,157,000 Aaa AAA 1,500 Cuyahoga County, Fairview Hospital, (MBIA), 5.50%, 8/15/19 1,400,925 Aaa AAA 4,000 Cuyahoga County, Fairview Hospital, (MBIA), 5.50%, 1/15/17 (2) 3,823,200 Aaa AAA 10,500 Franklin County, Riverside United Methodist (AMBAC), 5.75%, 5/15/20 10,258,290 Aaa AAA 6,700 Franklin County, Riverside United Methodist (MBIA), 5.75%, 5/15/20 6,587,976 Aaa AAA 2,750 Mansfield General Hospital (AMBAC), 6.70%, 12/1/09 2,967,003 Aaa AAA 5,000 Middleburg Heights Hospital-Southwestern General (FSA), 5.75%, 8/15/21 4,895,100 Aaa AAA 1,000 Montgomery County, Ohio Miami Valley Hospital, (AMBAC), 6.25%, 11/15/16 1,036,270 Aaa AAA 6,565 Portage County, Robinson Memorial Hospital, (MBIA), 5.80%, 11/15/15 6,319,140 ----------- $40,747,279 ----------- INSURED HOUSING - 0.9% Aaa AAA $985 Ohio Capital Corporation FHA Insured Mortgage Loans, (MBIA), 7.25%, 7/1/24 $1,026,990 Aaa AAA 750 Ohio Capital Corporation FHA Insured Mortgage Loans, (MBIA), 6.50%, 1/1/25 763,388 Aaa AAA 1,100 Ohio Capital Corporation MFMR - Horizon Apts. (MBIA), 6.50%, 1/1/23 1,124,662 ----------- $2,915,040 ----------- INSURED IDR / IDB - 2.3% Aaa AAA $7,000 Ohio Air Quality Development Authority, JMG Funding, L.P. Project, (AMBAC), (AMT), 6.375%, 1/1/29 $7,207,690 ----------- -------------------------------------------------------------------------------------------------------- Tax-Exempt Investments - (Continued) - ---------------------------------------------------------------------------------------------------------------------------------- RATINGS(UNAUDITED) - ------------------ PRINCIPAL STANDARD AMOUNT MOODY'& POOR'S (000 OMITTED) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------------------------------- INSURED LEASE - 0.2% Aaa AAA $1,000 Ohio Higher Education, University of Dayton, (FGIC), 0%, 12/1/06 $572,530 ----------- INSURED SPECIAL TAX REVENUES - 0.7% Aaa AAA $2,110 Hudson Local School District, (FGIC), 0%, 12/15/09 $1,008,728 Aaa AAA 1,000 Hudson Local School District, (FGIC), 0%, 12/15/10 449,770 Aaa AAA 1,400 Pickerington Local School District, (AMBAC), 0%, 12/1/11 582,344 ----------- $2,040,842 ----------- INSURED UTILITIES - 2.0% Aaa AAA $1,650 Cleveland Public Power System, (MBIA), 7.00%, 11/15/17 $1,810,034 Aaa AAA 2,000 Cuyahoga County Medical Center Utility System (AMT) (MBIA), 6.10%, 8/15/15 2,011,220 Aaa AAA 2,300 Puerto Rico Electric Power Authority, (FSA), Variable, 7/1/02 (1) 2,523,100 ----------- $6,344,354 ----------- LEASE / CERTIFICATE OF PARTICIPATION - 0.8% Baa1 A $2,500 Puerto Rica Public Building Authority, 6.00%, 7/1/12 $2,504,800 ----------- LIFE CARE - 0.7% Aa NR $2,000 Franklin County, Kensington Place Project, 6.75%, 1/1/34 $2,046,060 ----------- NURSING HOMES - 1.7% NR NR $1,650 Cuyahoga County- Judson Retirement Community, 8.875%, 11/15/19 $1,788,485 NR NR 3,100 Green County - Fairview Exrended Care, 10.125%, 1/1/11 3,496,180 ----------- $5,284,665 ----------- SPECIAL TAX REVENUE - 4.7% Baa1 A $3,000 Puerto Rico Highway & Transportation Authority, 6.625%, 7/1/12 $3,209,700 Baa1 A 5000 Puerto Rico Highway & Transportation Authority, 5.25%, 7/1/20 4,511,800 Baa1 A 4995 Puerto Rico Highway & Transportation Authority, 5.00%, 7/1/22 4,326,616 Baa1 A 1850 Puerto Rico Highway & Transportation Authority, 5.50%, 7/1/36 1,684,055 Baa1 A 1000 Puerto Rico Highway & Transportation Authority, 5.00%, 7/1/36 835,650 ----------- $14,567,821 ----------- TRANSPORTATION - 3.2% NR BBB $5,630 Guam Airport Authority, (AMT), 6.70%, 10/1/23 $5,716,759 A1 AA- 4,330 Ohio Turnpike Commission, 5.75%, 2/15/24 4,235,519 ----------- $9,952,278 ----------- UTILITIES - 10.5% NR BBB $5,500 Guam Power Authority, 5.25%, 10/1/13 $4,903,690 A1 A+ 18,335 OH State Air Quality Development Authority, 6.10%, 9/01/30 18,281,279 Baa1 A- 3,000 Puerto Rico Electric Power Authority, 5.00%, 7/1/12 2,714,220 Baa1 A- 360 Puerto Rico Electric Power Authority, 7.125%, 7/1/14 388,109 Baa1 A- 20,165 Puerto Rico Electric Power Authority, 0%, 7/1/17 5,432,249 NR NR 1,000 Virgin Islands Water and Power Authority, 7.40%, 7/1/11 1,046,500 ----------- $32,766,047 ----------- -------------------------------------------------------------------------------------------------------- Tax-Exempt Investments - (Continued) - ---------------------------------------------------------------------------------------------------------------------------------- RATINGS(UNAUDITED) - ------------------ PRINCIPAL STANDARD AMOUNT MOODY'& POOR'S (000 OMITTED) SECURITY VALUE - ---------------------------------------------------------------------------------------------------------------------------------- WATER & SEWER REVENUE - 0.9% NR NR $800 The Mahoning Valley Sanitary District, 7.00%, 12/15/08 $849,672 NR NR 950 The Mahoning Valley Sanitary District, 7.00%, 12/15/09 1,006,069 NR NR 1,000 City of Vermilion, Ohio Water System, 7.25%, 8/15/15 1,070,950 ----------- $2,926,691 ----------- TOTAL TAX-EXEMPT INVESTMENTS (IDENTIFIED COST, $300,256,227) $311,723,747 ----------- -----------
(1) The above security has been issued as an inverse floater bond. The Portfolio invests primarily in debt securities issued by Ohio municipalities. The ability of the issuers of the debt securities to meet their debt obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at March 31, 1996, 24.3% of the securities in the portfolio of investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage by financial institution ranged from 1.3% to 10.9% of total investments. See notes to financial statements. MUNICIPALS PORTFOLIOS FINANCIAL STATEMENTS STATEMENTS OF ASSETS AND LIABILITIES - -------------------------------------------------------------------------------- March 31, 1996 (Unaudited) - --------------------------------------------------------------------------------
National California Massachusetts New York Ohio Portfolio Portfolio Portfolio Portfolio Portfolio -------------- ------------- ------------- ------------- ------------- ASSETS: Investments- Identified cost $ 2,145,357,157 $ 356,860,992 $ 274,146,153 $ 591,994,397 $ 300,256,227 Unrealized appreciation 137,816,990 25,316,492 15,501,856 29,136,437 11,467,520 -------------- ------------- ------------- ------------- ------------- Total investments, at value (Note 1A) $ 2,283,174,147 $ 382,177,484 $ 289,648,009 $ 621,130,834 $ 311,723,747 Cash 311 2,547,155 781 3,375,215 7,869,755 Receivable for investments sold 37,179,971 40,000 463,399 4,926,254 747,946 Interest receivable 42,678,679 6,109,166 5,369,086 10,283,430 5,018,083 Deferred organization expenses (Note 1D) 36,857 11,743 9,821 11,773 7,330 -------------- ------------- ------------- ------------- ------------- Total assets $ 2,363,069,965 $ 390,885,548 $ 295,491,096 $ 639,727,506 $ 325,366,861 -------------- ------------- ------------- ------------- ------------- LIABILITIES: Demand note payable (Note 5) $ 14,083,000 $ - $ 1,742,000 $ - $ - Payable for investments purchased - 2,191,672 - 5,015,784 18,119,428 Payable for when-issued securities (Note 1F) 97,457,676 - 2,500,000 - - Payable for daily variation margin on open financial futures contracts (Note 1E) - 150,000 277,500 258,000 - Payable to affiliate- Trustees' fees 7,474 4,831 4,336 5,327 4,336 Accrued expenses 27,487 10,332 8,660 12,083 21,267 -------------- ------------- ------------- ------------- ------------- Total liabilities $ 111,575,637 $ 2,356,835 $ 4,532,496 $ 5,291,194 $ 18,145,031 -------------- ------------- ------------- ------------- ------------- Net Assets applicable to investors' interest in Portfolio $ 2,251,494,328 $ 388,528,713 $ 290,958,600 $ 634,436,312 $ 307,221,830 -------------- ------------- ------------- ------------- ------------- -------------- ------------- ------------- ------------- ------------- Sources of Net Assets: Net proceeds from capital contributions and withdrawals $ 2,113,677,338 $ 363,299,110 $ 275,050,926 $ 604,659,199 $ 295,754,310 Unrealized appreciation of investments and financial futures contracts (computed on the basis of identified cost) 137,816,990 25,229,603 15,907,674 29,777,113 11,467,520 -------------- ------------- ------------- ------------- ------------- Total $ 2,251,494,328 $ 388,528,713 $ 290,958,600 $ 634,436,312 $ 307,221,830 -------------- ------------- ------------- ------------- ------------- -------------- ------------- ------------- ------------- -------------
See notes to financial statements
STATEMENTS OF OPERATIONS For the Six Months Ended March 31, 1996 (Unaudited) National California Massachusetts Portfolio Portfolio Portfolio ------------ ------------ -------------- INVESTMENT INCOME: Interest income (Note 1B) $ 81,171,360 $ 13,137,711 $ 9,374,783 ------------- ------------- ------------- Expenses - Investment adviser fee (Note 2) $ 5,037,145 $ 1,012,878 $ 690,932 Compensation of Trustees not members of the Investment Adviser's organization (Note 2) 14,384 9,294 8,340 Custodian fee (Note 2) 195,049 77,494 87,923 Interest expense (Note 5) - - - Legal and accounting services 67,746 38,502 33,302 Amortization of organization expenses (Note 1D) 9,784 2,820 2,611 Miscellaneous 182,582 40,482 27,780 ------------- ------------- ------------- Total expenses $ 5,506,690 $ 1,181,470 $ 850,888 Deduct - Reduction of custodian fee (Note 2) 195,049 - 30,338 ------------- ------------- ------------- Net expenses $ 5,311,641 $ 1,181,470 $ 820,550 ------------- ------------- ------------- Net investment income $ 75,859,719 $ 11,956,241 $ 8,554,233 ------------- ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) - Investment transactions (identified cost basis) $ 5,341,009 $ 3,915,509 $ 3,445,962 Financial futures contracts (1,550,260) (454,837) (427,273) ------------- ------------- ------------- Net realized gain on investments $ 3,790,749 $ 3,460,672 $ 3,018,689 ------------- ------------- ------------- Change in unrealized appreciation (depreciation) - Investments $ 2,442,409 $ 1,013,399 $ (2,022,139) Financial futures contracts - 86,610 509,918 ------------- ------------- ------------- Net unrealized appreciation (depreciation) of investments $ 2,442,409 $ 1,100,009 $ (1,512,221) ------------- ------------- ------------- Net realized and unrealized gain on investments $ 6,233,158 $ 4,560,681 $ 1,506,468 ------------- ------------- ------------- Net increase in net assets from operations $ 82,092,877 $ 16,516,922 $ 10,060,701 ------------- ------------- ------------- ------------- ------------- ------------- New York Ohio Portfolio Portfolio ------------- ------------- INVESTMENT INCOME: Interest income (Note 1B) $ 19,853,641 $ 9,795,126 ------------- ------------- Expenses - Investment adviser fee (Note 2) $ 1,509,619 $ 725,887 Compensation of Trustees not members of the Investment Adviser's organization (Note 2) 10,249 8,340 Custodian fee (Note 2) 91,978 76,322 Interest expense (Note 5) - 61,516 Legal and accounting services 39,502 33,202 Amortization of organization expenses (Note 1D) 3,148 1,986 Miscellaneous 41,668 17,244 ------------ ------------- Total expenses $ 1,696,164 $ 924,497 Deduct - Reduction of custodian fee (Note 2) 91,978 24,147 ------------- ------------- Net expenses $ 1,604,186 $ 900,350 ------------- ------------- Net investment income $ 18,249,455 $ 8,894,776 ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) - Investment transactions (identified cost basis) $ 6,438,218 $ 1,154,949 Financial futures contracts (1,688,687) 645,899 ------------- ------------- Net realized gain on investments $ 4,749,531 $ 1,800,848 ------------- ------------- Change in unrealized appreciation (depreciation) - Investments $ (2,566,537) $ (524,171) Financial futures contracts 1,003,538 - ------------- ------------- Net unrealized appreciation (depreciation) of investments $ (1,562,999) $ (524,171) ------------- ------------- Net realized and unrealized gain on investments $ 3,186,532 $ 1,276,677 ------------- ------------- Net increase in net assets from operations $ 21,435,987 $ 10,171,453 ------------- ------------- ------------- -------------
See notes to financial statements
Statements of Changes in Net Assets For the Six Months Ended March 31, 1996 (Unaudited) National California Massachusetts Portfolio Portfolio Portfolio ----------------- ----------------- ----------------- Increase (Decrease) in Net Assets: From operations- Net investment income $ 75,859,719 $ 11,956,241 $ 8,554,233 Net realized gain on investments 3,790,749 3,460,672 3,018,689 Change in unrealized appreciation (depreciation) of investments 2,442,409 1,100,009 (1,512,221) ----------------- --------------- --------------- Net increase in net assets from operations $ 82,092,877 $ 16,516,922 $ 10,060,701 ----------------- --------------- --------------- Capital transactions- Contributions $ 252,121,526 $ 9,588,831 $ 7,365,133 Withdrawals (343,366,438) (48,247,178) (28,637,481) ----------------- --------------- --------------- Decrease in net assets resulting from capital transactions $ (91,244,912) (38,658,347) $ (21,272,348) ----------------- --------------- --------------- Total decrease in net assets $ (9,152,035) $ (22,141,425) $ (11,211,647) Net Assets: At beginning of period 2,260,646,363 410,670,138 302,170,247 ------------------ --------------- --------------- At end of period $ 2,251,494,328 $ 388,528,713 $ 290,958,600 ----------------- --------------- --------------- ----------------- --------------- --------------- New York Ohio Portfolio Portfolio ------------------ ---------------- Increase (Decrease) in Net Assets: From operations- Net investment income $ 18,249,455 $ 8,894,776 Net realized gain on investments 4,749,531 1,800,848 Change in unrealized appreciation (depreciation) of investments (1,562,999) (524,171) ----------------- --------------- Net increase in net assets from operations $ 21,435,987 $ 10,171,453 ----------------- --------------- Capital transactions- Contributions $ 21,355,757 $ 7,415,543 Withdrawals (61,091,741) (29,381,814) ----------------- -------------- Decrease in net assets resulting from capital transactions $ (39,735,984) $ (21,966,271) ----------------- --------------- Total decrease in net assets $ (18,299,997) $ (11,794,818) Net Assets: At beginning of period 652,736,309 319,016,648 ----------------- --------------- At end of period $ 634,436,312 $ 307,221,830 ----------------- --------------- ----------------- --------------- For the Year Ended September 30, 1995 National California Massachusetts Portfolio Portfolio Portfolio ----------------- --------------- --------------- Increase (Decrease) in Net Assets: From operations- Net investment income $ 155,285,975 $ 26,176,138 $ 17,915,854 Net realized loss on investments (86,966,435) (23,050,795) (15,667,434) Change in unrealized appreciation of investments 177,320,778 33,475,523 23,987,414 ----------------- --------------- --------------- Net increase in net assets from operations $ 245,640,318 $ 36,600,866 $ 26,235,834 ----------------- --------------- --------------- Capital transactions- Contributions $ 443,671,368 $ 39,676,667 $ 27,917,577 Withdrawals (639,601,609) (110,738,796) (60,522,944) ----------------- --------------- --------------- Decrease in net assets resulting from capital transactions $ (195,930,241) $ (71,062,129) $ (32,605,367) ----------------- --------------- --------------- Total increase (decrease) in net assets $ 49,710,077 $ (34,461,263) $ (6,369,533) Net Assets: At beginning of period 2,210,936,286 445,131,401 308,539,780 ----------------- --------------- --------------- At end of period $ 2,260,646,363 $ 410,670,138 $ 302,170,247 ----------------- --------------- --------------- ----------------- --------------- --------------- New York Ohio Portfolio Portfolio ----------------- --------------- Increase (Decrease) in Net Assets: From operations- Net investment income $ 38,506,539 $ 18,465,329 Net realized loss on investments (19,277,660) (7,231,426) Change in unrealized appreciation of investments 43,043,554 20,963,434 ----------------- --------------- Net increase in net assets from operations $ 62,272,433 $ 32,197,337 ----------------- --------------- Capital transactions- Contributions $ 61,423,633 $ 24,237,228 Withdrawals (126,606,533) (61,829,470) ----------------- --------------- Decrease in net assets resulting from capital transactions $ (65,182,900) $ (37,592,242) ----------------- --------------- Total increase (decrease) in net assets $ (2,910,467) $ (5,394,905) Net Assets: At beginning of period 655,646,776 324,411,553 ----------------- --------------- At end of period $ 652,736,309 $ 319,016,648 ----------------- --------------- ----------------- ---------------
See notes to financial statements SUPPLEMENTARY DATA
NATIONAL PORTFOLIO ------------------------------------------------------------------------- YEAR ENDED ---------------------------------------------------- SIX MONTHS ENDED SEPTEMBER 30, MARCH 31, 1996 ---------------------------------------------------- (UNAUDITED) 1995 1994 1993* ---------------- ------------ ----------------- ---------------- Ratios (As a percentage of average daily net assets): Net expenses (1) 0.47% + 0.50% 0.50% 0.47% + Net expenses, after expense reductions (1) 0.45% + 0.49% 0.50% 0.47% + Net investment income 6.52% + 7.00% 6.55% 6.58% + Net assets, end of year (000 omitted) $ 2,251,494 $ 2,260,646 $ 2,210,936 $ 2,083,322 Portfolio Turnover 12% 54% 40% 13% CALIFORNIA PORTFOLIO ------------------------------------------------------------------------- YEAR ENDED ---------------------------------------------------- SIX MONTHS ENDED SEPTEMBER 30, MARCH 31, MARCH 31, 1996 -------------------------------- ---------------- (UNAUDITED) 1995 1994*** 1993** ---------------- ------------ ----------------- ---------------- Ratios (As a percentage of average daily net assets): Net expenses (1) 0.58% + 0.59% 0.57% + 0.55% + Net expenses, after expense reductions (1) 0.58% + 0.58% 0.57% + 0.55% + Net investment income 5.86% + 6.22% 6.09% + 5.72% + Net assets, end of year (000 omitted) $ 388,529 $ 410,763 $ 445,131 $ 467,259 Portfolio Turnover 8% 58% 40% 91% MASSACHUSETTS PORTFOLIO ------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 1996 ---------------------------------------------------- (UNAUDITED) 1995 1994 1993* ---------------- ----------- ----------------- ---------------- Ratios (As a percentage of average daily net assets): Net expenses (1) 0.56% + 0.56% 0.51% 0.49% + Net expenses, after expense reductions (1) 0.54% + 0.53% 0.51% 0.49% + Net investment income 5.64% + 6.00% 5.74% 5.72% + Net assets, end of year (000 omitted) $ 290,959 $ 302,170 $ 308,540 $ 290,613 Portfolio Turnover 29% 87% 53% 38% NEW YORK PORTFOLIO ------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 1996 ---------------------------------------------------- (UNAUDITED) 1995 1994 1993* ---------------- ----------- ----------------- ---------------- Ratios (As a percentage of average daily net assets): Net expenses (1) 0.52% + 0.54% 0.48% 0.48% + Net expenses, after expense reductions (1) 0.50% + 0.51% 0.48% 0.48% + Net investment income 5.55% + 5.97% 5.70% 5.64% + Net assets, end of year (000 omitted) $ 634,436 $ 652,736 $ 655,647 $ 648,807 Portfolio Turnover 28% 55% 47% 37%
+ Annualized. * 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. *** For the six months ended September 30, 1994. The Portfolio changed its fiscal year from March 31 to September 30, effective September 30, 1994. (1) The annualized expense ratios for the six months ended March 31, 1996 and year ended September 30, 1995 have been adjusted to reflect a change in reporting requirements. The new reporting guidelines require each Portfolio to increase its expense ratio by the effect of any expense offset arrangements with its service providers. The expense ratios for each of the periods ended on or before September 30, 1994 have not been adjusted to reflect this change. See notes to financial statements SUPPLEMENTARY DATA
- ------------------------------------------------------------------------------------------------------------------------------------ OHIO PORTFOLIO -------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 1996 ---------------------------------------------- (UNAUDITED) 1995 1994 1993* -------------- ------------ ------------ -------------- Ratios (As a percentage of average daily net assets): Net expenses (1) 0.58%+ 0.57% 0.51% 0.49% + Net expenses, after expense reductions (1) 0.57%+ 0.55% 0.51% 0.49% + Net investment income 5.57%+ 5.80% 5.61% 5.61% + Net assets, end of year (000 omitted) $ 307,222 $ 319,017 $ 324,412 $ 298,092 Portfolio Turnover 25% 51% 31% 24%
+ Annualized. * For the period from the start of business, February 1, 1993, to September 30, 1993. (1) The annualized expense ratios for the six months ended March 31, 1996 and year ended September 30, 1995 have been adjusted to reflect a change in reporting requirements. The new reporting guidelines require each Portfolio to increase its expense ratio by the effect of any expense offset arrangements with its service providers. The expense ratios for each of the periods ended on or before September 30, 1994 have not been adjusted to reflect this change. See notes to financial statements NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (1) SIGNIFICANT ACCOUNTING POLICIES National Municipal Portfolio (National Portfolio) is registered under the investment Company Act of 1940 as diversified open-end investment companies which was organized as a trust under the laws of the State of New York on May 1, 1992. California Municipals Portfolio (California Portfolio), Massachusetts Municipals Portfolio (Massachusetts Portfolio), New York Municipals Portfolio (New York Portfolio), and Ohio Municipals Portfolio (Ohio Portfolio), collectively the Portfolios, are registered under the Investment Company Act of 1940 as non-diversified open-end investment companies which were organized as trusts under the laws of the state of New York on May 1, 1992, except the California Portfolio was organized on May 3, 1993. The Declarations of Trust permit the Trustees to issue interests in the Portfolios. The following is a summary of significant accounting policies of the Portfolio. 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 is ultimately responsible for the payment of any taxes. Since some of the Portfolios' investors are regulated investment companies that invest all or substantially all of their assets in the Portfolios, the Portfolios normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for their respective investors to satisfy them. The Portfolios will allocate at least annually among their respective investors each investor's distributive share of the Portfolios' net taxable (if any) and tax-exempt investment income, net realized capital gains, and any other items of income, gain, loss, deductions or credit. Interest income received by the Portfolios on investments in municipal bonds, which is excludable from gross income under the Internal Revenue Code, will retain its statues 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 future 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. MUNICIPALS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 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 plan of reorganization for an investment are added to the cost of the investment. G. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS - The Portfolios may engage in when-issued or 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 accruing interest on settlement date. E. USE OF ESTIMATES - The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenue and expense during the reporting period. Actual results could differ from those estimates. I. OTHER - Investment transactions are accounted for on a trade date basis. J. INTERIM FINANCIAL STATEMENTS - The interim financial statements relating to March 31, 1996 and for the six month period then ended have not been audited by independent certified public accountants, but in the opinion of each Portfolio's management, reflect all adjustments, consisting only of normal recurring adjustments necessary for the fair presentation of the financial statements. - -------------------------------------------------------------------------------- (2) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES The investment adviser fee is earned by Boston Management and Research (BMR), as compensation for management and investment advisory services rendered to each Portfolio. The fee is based upon a percentage of average daily net assets plus a percentage of gross income (i.e., income other than gains from the sale of securities). For the six months ended March 31, 1996, each Portfolio paid advisory fees as follows:
Effective Portfolio Amount Rate* --------- ------ ---------- National $5,037,145 0.43% California 1,012,878 0.50% Massachusetts 690,932 0.46% New York 1,509,619 0.46% Ohio 725,887 0.45%
* Advisory fees paid as a percentage of average daily net assets (annualized) 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) serves as custodian of the Portfolios. Prior to November 10, 1995, IBT was an affiliate of EVM and BMR. Pursuant to the custodian agreements, IBT receives a fee reduced by credits which are determined based on the average daily cash balances each Portfolio maintains with IBT. All significant credit balances used to reduce each Portfolio's custody fees are reported as a reduction of expenses on 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 six months ended March 31, 1996, no significant amounts have been deferred. MUNICIPALS PORTFOLIOS NOTES TO FINANCIAL STATEMENT (UNAUDITED) (3) INVESTMENTS Purchases and sales of investments, other than U.S. Government securities and short-term obligations, for the six months ended March 31, 1996 were as follows:
National California Massachusetts Portfolio Portfolio Portfolio --------- --------- --------- Purchases $269,054,650 $ 31,732,251 $86,272,069 ----------- ------------- ----------- ----------- ------------- ----------- Sales $287,638,344 $ 61,551,010 $93,730,224 ----------- ------------- ----------- ----------- ------------- ----------- New York Ohio Portfolio Portfolio --------- --------- Purchases $ 180,172,889 $ 79,718,030 ------------- ------------ ------------- ------------ Sales $ 205,937,344 $ 85,450,807 ------------- ------------ ------------- ------------
- -------------------------------------------------------------------------------- (4) FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized depreciation/appreciation in value of the investments owned by each Portfolio at March 31, 1996, as computed on a federal income tax basis, are as follows:
National California Massachusetts Portfolio Portfolio Portfolio --------- --------- --------- Aggregate Cost $2,145,357,157 $356,860,992 $274,146,153 -------------- ------------ ------------ -------------- ------------ ------------ Gross unrealized depreciation $ 172,555,222 $ 26,181,413 $ 16,144,890 Gross unrealized appreciation 34,738,232 864,921 643,034 -------------- ------------ ------------ Net unrealized depreciation $ 137,816,990 $ 25,316,492 $ 15,501,856 -------------- ------------ ------------ -------------- ------------ ------------ New York Ohio Portfolio Portfolio --------- --------- Aggregate Cost $591,994,397 $300,256,227 ------------ ------------ ------------ ------------ Gross unrealized depreciation $ 32,622,519 $ 12,865,533 Gross unrealized appreciation 3,486,082 1,398,013 ------------ ------------ Net unrealized depreciation $ 29,136,437 $ 11,467,520 ------------ ------------ ------------ ------------
- -------------------------------------------------------------------------------- (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 withdrawal requests or settle securities transactions. Interest is charged to each portfolio or fund based on its borrowings at an amount above either the bank's adjusted certificate of deposit rate, a variable adjusted certificate of deposit rate, or a federal funds effective rate. In addition, a fee computed at an annual rate of 1/4 of 1% on the $20 million committed facility and on the daily unused portion of the $100 million discretionary facility is allocated among the participating funds and portfolios at the end of each quarter. At March 31, 1996, the National Portfolio and Massachusetts Portfolio had loan balances outstanding pursuant to this line of credit of $14,083,000 and $1,742,000, respectively. For the Ohio Portfolio, the average daily loan balance for the six months ended March 31, 1996 was $2,970,800 and the average interest rate was 7.02%. The maximum borrowing outstanding at any time during the six months ended March 31,1996 was $6,862,000. The National, California, Massachusetts, and New York Portfolios did not have any significant borrowings or allocated fees during the period. MUNICIPALS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (6) FINANCIAL INSTRUMENTS The Portfolios regularly trade in financial instruments with off-balance sheet risk in the normal course of their investing activities to assist in managing exposure to various market risks. These financial instruments include written options and futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment a Portfolio has in particular classes of financial instruments and does not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at March 31, 1996 is as follows:
Futures Net Unrealized Contracts Appreciation Portfolio Expiration Date Contracts Position (Depreciation) - --------- --------------- --------- -------- -------------- California 6/96 200 U.S. Treasury Bonds Short $ (86,889) Massachusetts 6/96 370 U.S. Treasury Bonds Short $ 405,818 New York 6/96 344 U.S. Treasury Bonds Short $ 640,676
At March 31, 1996 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 March 31, 1996. INVESTMENT MANAGEMENT PORTFOLIOS - -------------------------------------------------------------------------------- Officers Independent Trustees Thomas J. Petter Donald R. Dwight President and Portfolio Manager President, Dwight Partners, Inc. of the Ohio Municipals Chairman, Newspaper of Portfolio New England, Inc. James E. Hawkes Vice President, Trustee Samuel L. Hayes III Jacob H. Schiff Professor of Investment Banking, Harvard Robert B. MacIntosh Graduate School of Business Vice President and Portfolio Administration Manager of the California and Massachusetts Municipals Portfolios Norton H. Reamer President and Director James L. O'Connor United Asset Management Treasurer Corporation Barbara E. Campbell John L. Thorndike Assistant Treasurer Director, Fiduciary Trust Company Douglas C. Miller Jack L. Treynor Assistant Treasurer Investment Advisor and Consultant Thomas Otis Secretary Janet E. Sanders Assistant Treasurer and Assistant Secretary Portfolio Managers Nicole Anderes, New York Municipals Portfolio Tom Metzold, National Municipals Portfolio -----END PRIVACY-ENHANCED MESSAGE-----