-----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, KJjq71zI5YpuHmk6NFaNo8O+UYN381cbKTUC8DvCm/NC96YNc5qLyZ36n0a4ZV3G 2QPxDqUfUhnTYMuS3jZpUQ== 0000891804-00-000326.txt : 20000225 0000891804-00-000326.hdr.sgml : 20000225 ACCESSION NUMBER: 0000891804-00-000326 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19991231 FILED AS OF DATE: 20000224 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LIBERTY STEIN ROE FUNDS MUNICIPAL TRUST CENTRAL INDEX KEY: 0000773757 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: MA FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-04367 FILM NUMBER: 552255 BUSINESS ADDRESS: STREET 1: ONE SOUTH WACKER DRIVE STREET 2: 11TH FLOOR CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3123687836 MAIL ADDRESS: STREET 1: ONE SOUTH WACKER DR STREET 2: 11TH FLOOR CITY: CHICAGO STATE: IL ZIP: 60606 FORMER COMPANY: FORMER CONFORMED NAME: STEINROE MUNICIPAL TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: STEINROE INTERMEDIATE MUNICIPALS INC DATE OF NAME CHANGE: 19880114 N-30D 1 STEIN ROE TAX-EXEMPT BOND FUNDS Stein Roe Mutual Funds Semiannual Report December 31, 1999 [PHOTO OF BRIDGE] Stein Roe Tax-Exempt Bond Funds Tax-Exempt Funds Stein Roe Municipal Money Market Fund Stein Roe Intermediate Municipals Fund Stein Roe Managed Municipals Fund Stein Roe High-Yield Municipals Fund LOGO: STEIN ROE MUTUAL FUNDS Sensible Risks. Intelligent Investments.(R) CONTENTS - -------------------------------------------------------------------------------- FROM THE PRESIDENT................................................ 1 Stephen Gibson's thoughts on the markets and investing QUESTIONS & ANSWERS Interviews with the portfolio manager(s) and a summary of investment activity STEIN ROE MUNICIPAL MONEY MARKET FUND.................................................. 6 STEIN ROE INTERMEDIATE MUNICIPALS FUND.............................................. 9 STEIN ROE MANAGED MUNICIPALS FUND.............................. 13 STEIN ROE HIGH-YIELD MUNICIPALS FUND........................... 17 PORTFOLIOS OF INVESTMENTS......................................... 21 A complete list of investments with market values FINANCIAL STATEMENTS.............................................. 46 Statements of assets and liabilities, operations and changes in net assets NOTES TO FINANCIAL STATEMENTS..................................... 56 FINANCIAL HIGHLIGHTS.............................................. 61 Selected per-share data Must be preceded or accompanied by a prospectus. FROM THE PRESIDENT - -------------------------------------------------------------------------------- TO OUR SHAREHOLDERS On November 1, 1999, Tom Butch resigned as president of Stein Roe Mutual Funds. I would like to take this opportunity to wish him well. As the new president, I am pleased to present the semiannual report for Stein Roe Municipal Bond Funds for the six months ended December 31, 1999. Persistent inflationary worries and rising interest rates made the six-month period ended December 31, 1999 particularly difficult for bond investors. Signs that the U.S. economy was growing at a faster-than-expected pace, coupled with evidence of economic rebound in many economies overseas, sent bond yields higher early in the period. As yields rose, their prices slumped. Amid continued worries about inflation, the Federal Reserve Board raised short-term interest rates in June, August and November of 1999 by one-quarter of a percentage point each time. Although many observers welcomed those rate hikes as important preemptive measures, the actions did little to soothe the already jittery bond market. While municipal bonds were not immune to the effects of rising interest rates, they outpaced their U.S. Treasury counterparts during the period thanks to a reduction in supply that resulted as issuers decreased their refunding, or refinancing, activity. The following report will provide you with more specific information about your Fund's performance and the strategies used during the period. While the tax-exempt market has been weak, we remain confident that municipal bonds can be a rewarding asset class for tax-sensitive investors. On behalf of Stein Roe, I thank you for your continued confidence in our organization and for giving us the opportunity to serve your investment needs. Respectfully, /s/ Stephen E. Gibson Stephen E. Gibson President February 10, 2000 Because economic and market conditions change frequently, there can be no assurance that the trends described in this report will continue or come to pass. Photo of: Stephen E. Gibson FUND PERFORMANCE - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS Periods Ended December 31, 1999 6 MONTHS (CUMULATIVE RETURNS)1 YEAR 5 YEARS 10 YEARS - -------------------------------------------------------------------------------- STEIN ROE MUNICIPAL MONEY MARKET FUND 1.47% 2.77% 3.04% 3.09% U.S. Consumer Price Index (Inflation) 1.56% 2.99% 2.43% 2.96% Lipper Tax-Exempt Money Market Fund Average 1.40% 2.67% 3.02% 2.82% Number of Funds in Peer Group 138 134 108 71 STEIN ROE INTERMEDIATE MUNICIPALS FUND (0.13)% (1.41)% 5.62% 6.09% Lehman Brothers 10-Years Municipal Bond Index 0.49% (1.25)% 7.12% 7.10% Lipper Intermediate Municipal Debt Fund Average (0.38)% (1.65)% 5.55% 5.91% Numbers of Funds in Peer Group 134 133 97 25 STEIN ROE MANAGED MUNICIPALS FUND (1.97)% (3.43)% 6.15% 6.28% Lehman Brothers Municipal Bond Index (1.17)% (2.06)% 6.91% 6.89% Lipper General Municipal Debt Fund Average (2.86)% (4.63)% 5.76% 6.18% Number of Funds in Peer Group 279 265 174 79 STEIN ROE HIGH-YIELD MUNICIPALS FUND (2.53)% (2.14)% 6.78% 6.26% Lehman Brothers Municipal Bond Index (1.17)% (2.06)% 6.91% 6.89% Lipper High-Yield Municipal Debt Fund Average (3.75)% (4.16)% 6.06% 6.14% Number of Funds in Peer Group 60 58 32 15 - -------------------------------------------------------------------------------- PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND INVESTMENT RETURN WILL VARY, SO YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL SHARES. An expense limitation of 0.70% was in effect for Stein Roe Municipal Money Market Fund and Stein Roe Intermediate Municipals Fund for part of the periods shown. Returns would have been lower without the limitation. Total return includes changes in share price and reinvestment of income and capital gains distributions, if any. Each index shown above is an unmanaged group of fixed-income securities that differs from the composition of each Stein Roe fund; they are not available for direct investment. The U.S. Consumer Price Index is the government's measure of annual changes in the cost of living. Income may be subject to state or local taxes and the federal alternative minimum tax. Capital gains, if any, are subject to federal, state and local taxes. Sources: Lipper, Inc., a monitor of mutual fund performance, and Bloomberg Business News. TOTAL RETURN COMPARISON - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund - -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT December 31, 1989 to December 31, 1999 LEHMAN BROTHERS 10-YEAR INTERMEDIATE MUNICIPALS FUND MUNICIPAL BOND INDEX 12/31/89 10000 10000 12/31/90 10750 10733 12/31/91 11907 12032 12/31/92 12817 13105 12/31/93 14235 14776 12/31/94 13755 14071 12/31/95 15532 16486 12/31/96 16182 17235 12/31/97 17395 18826 12/31/98 18342 20098 12/31/99 18065 19847 PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND INVESTMENT RETURN WILL VARY, SO YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL SHARES. Total return performance includes changes in share price and reinvestment of income and capital gains distributions. The line chart assumes a $10,000 investment on 12/31/89, reinvestment of distributions and compares fund performance to an unmanaged group of fixed income securities that differs from the composition of any Stein Roe fund; it is not available for direct investment. Source: Lipper, Inc. Stein Roe Managed Municipals Fund - -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT December 31, 1989 to December 31, 1999 LEHMAN BROTHERS MANAGED MUNICIPALS FUND MUNICIPAL BOND INDEX 12/31/89 10000 10000 12/31/90 10697 10729 12/31/91 11968 12032 12/31/92 12962 13094 12/31/93 14423 14702 12/31/94 13647 13941 12/31/95 15916 16376 12/31/96 16521 17101 12/31/97 18059 18676 12/31/98 19052 19887 12/31/99 18385 19476 PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND INVESTMENT RETURN WILL VARY, SO YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL SHARES. Total return performance includes changes in share price and reinvestment of income and capital gains distributions. The line chart assumes a $10,000 investment on 12/31/89, reinvestment of distributions and compares fund performance to an unmanaged group of fixed income securities that differs from the composition of any Stein Roe fund; it is not available for direct investment. Source: Lipper, Inc. TOTAL RETURN COMPARISON Continued - -------------------------------------------------------------------------------- Stein Roe High-Yield Municipals Fund - -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT December 31, 1989 to December 31, 1999 HIGH-YIELD LEHMAN BROTHERS MUNICIPALS FUND MUNICIPAL BOND INDEX 12/31/89 10000 10000 12/31/90 10763 10729 12/31/91 11821 12032 12/31/92 12454 13094 12/31/93 13777 14702 12/31/94 13218 13941 12/31/95 15561 16376 12/31/96 16266 17101 12/31/97 17817 18676 12/31/98 18757 19887 12/31/99 18354 19476 PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND INVESTMENT RETURN WILL VARY, SO YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL SHARES. Total return performance includes changes in share price and reinvestment of income and capital gains distributions. The line chart assumes a $10,000 investment on 12/31/89, reinvestment of distributions and compares fund performance to an unmanaged group of fixed income securities that differs from the composition of any Stein Roe fund; it is not available for direct investment. Source: Lipper, Inc. TO CONTACT US. . . - -------------------------------------------------------------------------------- BY PHONE 800-338-2550 You can discuss your investment questions with a Stein Roe account representative by calling us toll free. We'll be happy to answer questions about your current account, or to provide you with information about opening a Stein Roe account, including Stein Roe Traditional, Roth and Education IRAs. We're available Monday through Friday from 7 a.m. to 7 p.m. CT, and Saturdays and Sundays from 9 a.m. to 1 p.m. CT. STEIN ROE'S FUNDS-ON-CALL(R) 24-Hour Service Line Using a touch-tone phone, call our toll-free number, day or night, for your current account balance, the latest Stein Roe Fund prices and yields, and other information. In addition, if you have a Personal Identification Number (PIN), you may place orders for the following transactions 24 hours a day: o Exchange shares between your Stein Roe accounts; o Purchase fund shares by electronic transfer; o Order additional account statements and money market fund checks; o Redeem shares by check, wire or electronic transfer. RETIREMENT PLAN ACCOUNTS Call us for information about how we can assist you with your defined contribution plan, including 401(k) plans. You can reach us toll free at 800-322-1130. For information on Traditional, Roth and Education IRA plans, call us toll free at 800-338-2550. BY MAIL OR E-MAIL If you prefer to contact us by mail, please address all correspondence to: P.O. Box 8900, Boston, MA 02205-8900. To contact us by e-mail, send correspondence directly to: comments@steinroe.com or visit us at www.steinroe.com on the Internet. ADDITIONAL REPORTS The Funds mail one shareholder report to each shareholder address. If you would like more than one report, please call 800-338-2550 and additional reports will be sent to you. Must be preceded or accompanied by a prospectus. QUESTIONS & ANSWERS AN INTERVIEW WITH VERONICA M. WALLACE, PORTFOLIO MANAGER OF STEIN ROE MUNICIPAL MONEY MARKET FUND AND SR&F MUNICIPAL MONEY MARKET PORTFOLIO - -------------------------------------------------------------------------------- FUND DATA INVESTMENT OBJECTIVE: Stein Roe Municipal Money Market Fund seeks maximum current tax-free income consistent with safety of capital and maintenance of liquidity by investing principally in a diversified portfolio of short-term municipal securities. FUND INCEPTION: March 15, 1983 NET ASSETS: $119.5 million Q: HOW DID YOU MANAGE THE PORTFOLIO IN THE PAST SIX MONTHS? WALLACE: We let our average maturity drop during the last six months from 45 days to 41 days. We did that partly in anticipation of Federal Reserve tightening and our concerns for Y2K. We had to focus on liquidity because we did not know what our needs would be at year-end. Q: HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD? WALLACE: The Portfolio's position in variable rate demand notes was increased from 75% to almost 81%. Variables offer daily and weekly liquidity and are always priced at par value, giving us the safety we seek. Because of the tremendous spike in rates at year-end, these holdings helped boost the Portfolio's 7-day yield to 4.09% as of December 31, 1999. The taxable equivalent yield during the same period was 6.77%. During most of the period, tax-exempt funds underperformed taxable funds. Tax-equivalent yields were below those of taxable funds. Q: WERE THERE ANY ATTRACTIVE OPPORTUNITIES DURING THE PERIOD? WALLACE: We did buy some tax-exempt bonds if we were able to get them at 70% of Treasury bill prices. For example, in October we purchased Lake Community College District, IL (0.7% of net assets) at 77% of the comparable Treasury bill; in November, we bought Huntsville, AL bonds (0.6% of net assets) at 72% of Treasurys. Photo of: Veronica Wallace QUESTIONS & ANSWERS continued Q: WHAT IS YOUR OUTLOOK FOR THE PORTFOLIO? WALLACE: We continue to be cautious in light of potential Fed credit tightening. The Portfolio intends to continue to hold variable notes, even though rates are expected to drop at the start of 2000. We also have to prepare the Portfolio for redemptions during income tax season. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. TOTAL RETURN INCLUDES REINVESTMENT OF INCOME. YIELDS FLUCTUATE AND ARE NOT GUARANTEED. An investment in the Portfolio is neither insure nor guaranteed by the Federal Deposit Insurance Corp. (FDIC) or any government agency. Although the Portfolio seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the Portfolio . The Advisor currently limits expenses to .70% of average net assets. Absent these limits, the 7-day current tax-free yield as of 12/31/99 would have been 3.94% and the total return would have been less. Tax-free income is exempt from federal taxes but may be subject to the alternative minimum tax. Current yield is net of all fees and represents annualization of dividends declared and payable to shareholders for the last seven days of investment. Portfolio composition is disclosed for SR&F Municipal Money Market Portfolio. Portfolio holdings are as of 12/31/99 and subject to change. Source of Lipper data: Lipper, Inc. a monitor of mutual fund performance. PORTFOLIO HIGHLIGHTS - -------------------------------------------------------------------------------- SR&F Municipal Money Market Portfolio SECURITY TYPE BREAKDOWN PORTFOLIO PORTFOLIO DECEMBER 31, 1999 JUNE 30, 1999 - -------------------------------------------------------------------------------- Variable-Rate Notes 80.9% 75.0% Tax-Exempt Bonds 10.9 14.8 Other Tax-Exempt Notes 1.6 4.3 Put Bonds 3.7 3.8 Tax & Revenue Anticipation Notes 2.2 1.4 Commercial Paper 0.7 0.7 - -------------------------------------------------------------------------------- Total Investments 100.0% 100.0% PORTFOLIO STATISTICS PORTFOLIO PORTFOLIO DECEMBER 31, 1999 JUNE 30, 1999 - -------------------------------------------------------------------------------- 7-day Dollar-Weighted Average Maturity 41.1 days 45 days 7-day Current Yield* 4.09% 2.74% *Net of all fees and expenses and represents an annualization of dividends declared and payable to shareholders for the last seven days of investment. - -------------------------------------------------------------------------------- Pie Chart: MATURITY As of December 31, 1999 As of June 30, 1999 4.6 Greater than 299 Days 76.9 4.8 180-299 Days 4.7 7.0 90-179 Days 7.8 1.8 30-89 Days 3.5 81.8 1-29 Days 7.1 QUESTIONS & ANSWERS AN INTERVIEW WITH JOANNE COSTOPOULOS, PORTFOLIO MANAGER OF STEIN ROE INTERMEDIATE MUNICIPALS FUND FUND DATA - -------------------------------------------------------------------------------- INVESTMENT OBJECTIVE: Seeks high current yield exempt from federal income tax, consistent with capital preservation, through investment primarily in the three highest grades of intermediate-term municipal securities. The dollar-weighted average maturity of the Fund's portfolio is between three and 10 years. FUND INCEPTION: Oct. 9, 1985 NET ASSETS: $143.6 million Q: HOW DID THE FUND PERFORM BETWEEN JUNE 1999 AND DECEMBER 1999? COSTOPOULOS: Rising interest rates put pressure on municipal bonds, and the Fund's performance reflects the market's difficulties. The Fund provided a total return of negative 0.13% for the six-month period ended December 31, 1999. This return outperformed the Lipper Intermediate Municipal Debt Fund peer group average return of negative 0.38%. The Lehman Brothers 10-Year Municipal Bond Index, a benchmark of market performance, returned 0.49% for the same period. Q: WAS THERE ANY "SILVER LINING" TO THE MARKET'S RECENT DOWNDRAFT? COSTOPOULOS: Higher interest rates and weak municipal bond prices presented us with the opportunity to do some "tax swapping." I sold some of our poor-performing bonds at a loss to offset current and future capital gains incurred elsewhere in the portfolio. I used the proceeds from those sales to buy bonds at higher, prevailing yields. Not only did these tax swaps help improve the Fund's tax efficiency, but they also helped boost the Fund's 30-day SEC yield. As of December 31, 1999, the Fund's 30-day SEC yield was 4.53%, up from 4.08% six months earlier. Q: WHAT CHANGES DID YOU MAKE IN RESPONSE TO RISING INTEREST RATES? COSTOPOULOS: I modestly shortened the Fund's duration, which is a measure of its price sensitivity to interest rate changes, to about 5.7 years as of December 31, 1999. That compared to 5.9 years six months earlier. The shorter a fund's duration, the less its share price will fall when interest rates rise and vice versa. Earlier in the year, the Fund's duration was slightly longer than its Photo of: Joanne Costopoulos QUESTIONS & ANSWERS continued average peers because I believed that interest rates would decline since inflation was virtually nonexistent. When rates moved higher in response to stronger-than-expected economic growth, I somewhat shortened duration in order to reduce the Fund's interest-rate sensitivity. Q: DID YOU MAKE ANY CHANGES TO THE FUND'S OVERALL CREDIT QUALITY? COSTOPOULOS: More than 90% of the Fund's assets were in investment-grade securities throughout the period, as they had been six months ago. When interest rates rose, credit spreads (the difference in yield between lower-rated and higher-rated securities) widened, which caused the roughly 10% stake in lower-quality bonds to underperform. That said, we are currently starting to see somewhat tighter credit spread relationships. I believe that as demand for municipal securities increases, spreads should narrow and performance in this sector should improve. Q: WHERE HAVE YOU BEEN FINDING THE BEST VALUES LATELY? COSTOPOULOS: Generally speaking, the longer a municipal bond's maturity, the more its yield rose in response to rising interest rates. As a result, intermediate bonds in the 15- to 20-year maturity range increasingly offered attractive amounts of incremental yield over other maturities. For example, a 15-year AAA-rated general obligation bond carried almost three-quarters of a percentage point more in yield than a comparably rated 10-year general obligation bond. I also found compelling values among discount bonds, which trade below their face, or par, value. The Fund bought some discounts that were trading at prices well below what I believed to be their fair value, and locked in attractive yields at the same time. Q: WHAT CHANGES DID YOU MAKE IN THE WAY THE FUND'S ASSETS ARE DIVIDED AMONG VARIOUS STATES AND SECTORS? COSTOPOULOS: I reduced the Fund's stake in California bonds, which had done quite well throughout 1999. As a result of that strong performance, California bond yields were below those available from other states. In terms of sectors, I also reduced the Fund's exposure to health-care bonds, which came under intense pressure in 1999. Cutbacks in Medicare payments and the well-publicized problems of a few hospitals have cast doubt on the industry's long-term profitability. It's our view that the hospital sector has bottomed. Among our remaining health-care holdings, I emphasized hospitals that I feel will be able to manage through a more demanding environment. QUESTIONS & ANSWERS continued Q: WHAT IS YOUR OUTLOOK FOR THE YEAR AHEAD? COSTOPOULOS: I believe that over the short term, the Federal Reserve Board (Fed) will continue to raise interest rates in response to strong U.S. economic growth. By the end of 2000, however, I believe that the Fed's rate hikes will have their intended result of slowing economic growth. If that proves to be the case, interest rates will likely stabilize and may have room to decline. As for the municipal market, conditions appear favorable. The supply of municipal bonds is relatively stable and demand has firmed. If that holds, municipals could perform well relative to their Treasury counterparts. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND INVESTMENT RETURN WILL VARY, SO YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL SHARES. Total return includes changes in share price and reinvestment of income and capital gains distributions, if any. Portfolio holdings are as of 12/31/99 and are subject to change. The Advisor currently limits expenses to 0.70% of average net assets. Fund return as of 12/31/99 would have been lower without the limit. Absent past limits, the 30-day SEC and tax-equivalent yield as of 12/31/99 would have been 4.38% and 7.25%, respectively. Income distributions are exempt from federal income taxes but may be subject to the federal alternative minimum tax and state and local taxes. Capital gains, if any, are also taxable. The Lehman Brothers 10-Year Municipal Bond Index is an unmanaged group of investment grade municipal bonds; it is not available for direct investment. Source of Lipper data: Lipper, Inc. FUND HIGHLIGHTS - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund TOP FIVE STATES PORTFOLIO PORTFOLIO DECEMBER 31, 1999 JUNE 30, 1999 - -------------------------------------------------------------------------------- New York 13.03% New York 10.7% Illinois 8.45 Georgia 10.0 Georgia 7.64 Illinois 9.9 Arizona 7.02 Texas 8.6 Michigan 6.25 Arizona 6.7 PORTFOLIO STATISTICS PORTFOLIO PORTFOLIO DECEMBER 31, 1999 JUNE 30, 1999 - -------------------------------------------------------------------------------- Average Duration 5.7 years 5.9 years Average Weighted Maturity 8.2 years 8.6 years Average Weighted Coupon 6.25% 6.28% - -------------------------------------------------------------------------------- Pie Chart: MATURITY As of December 31, 1999 As of June 30, 1999 14.1% GREATER THAN 18.9% 15 YEARS 43.0% 10-15 YEARS 40.5% 27.8% 5-10 YEARS 26.6% 15.1% 0-5 YEARS 14.0% - -------------------------------------------------------------------------------- Pie Chart: PORTFOLIO QUALITY As of December 31, 1999 As of June 30, 1999 62.9% AAA 67.6% 9.6% AA 8.2% 1.4% CASH EQUIVALENTS 16.1% A 14.5% 6.4% BBB AND BELOW 9.7% 3.6% NON-RATED Questions & Answers - -------------------------------------------------------------------------------- An Interview with Brian Hartford and Bill Loring, Portfolio Managers of Stein Roe Managed Municipals Fund FUND DATA INVESTMENT OBJECTIVE: Pursues high tax-free income consistent with capital preservation by investing in a quality-conscious portfolio of long-term municipal securities. FUND INCEPTION: Feb. 23, 1977 NET ASSETS: $479.2 million Q: HOW DID THE FUND PERFORM FOR THE FIRST HALF OF FISCAL 2000? A: Rising interest rates translated into negative returns for Stein Roe Managed Municipals Fund, although it outpaced its peers during a difficult market environment. For the six-month period ended December 31, 1999, the Fund posted a negative 1.97% total return. This was higher than the average return of its Lipper General Municipal Debt Fund peer group, which was negative 2.86% (see page 2). The Lehman Brothers Municipal Bond Index, a benchmark of market performance, returned negative 1.17% for the same period. Q: WHAT CAUSED INTEREST RATES TO MOVE HIGHER? A: Stronger U.S economic growth and the turnaround of many foreign economies triggered inflationary concerns and interest rate worries throughout the period. The Federal Reserve Board (Fed) raised short-term interest rates by a total of a half a percentage point during the period, in moves designed to ward off any potential inflationary pressures. Both Treasury and municipal yields rose in response to higher interest rates, although municipals proved more resilient and posted smaller losses as a result. Q: WHAT HELPED THE FUND OUTPACE ITS PEERS? A: The main reason the Fund did better than its peers was that its duration-- a measure of its interest-rate sensitivity -- was shorter than average. The shorter a fund's duration, the less its share price will fall when interest rates rise and vice versa. The Fund's shorter duration stemmed from large weighting in intermediate-maturity bonds in the seven- to 20-year range. Intermediate-maturity bonds provided some measure of protection against rising rates. Photos of: Brian Hartford and Bill Loring QUESTIONS & ANSWERS continued Q: WHAT CHANGES DID YOU MAKE IN RESPONSE TO RISING INTEREST RATES? A: Rising interest rates and weaker municipal bond prices allowed us to do some "tax swapping." We sold some of our poorer performers at a loss to offset current and future capital gains incurred elsewhere in the Portfolio. When the market presented us with attractive opportunities to do so, we invested the proceeds in higher-yielding bonds. The benefit of these tax swaps was two-fold. First, it helped improve the Fund's tax efficiency and second, it helped boost the Fund's 30-day SEC yield, which was 5.21% on December 31, 1999. Q: WHERE HAVE YOU BEEN FINDING THE BEST VALUES LATELY? A: We've found some compelling values among discount bonds, which trade below their par (face) value. Because of their heightened interest-rate, discount bonds generally posted bigger losses than par and premium bonds, which trade above their face value. Given their poor performance during much of 1999, we were able to add some discounts to the Fund at very attractive prices at year end. We also found some attractive values among higher-yielding, lower-quality municipal bonds. The spread-- or difference in yields-- between lower- and higher-quality bonds widened quite a bit and high-yield bonds lagged their investment-grade counterparts. At the end of 1999, a bond rated BBB offered as much as 85 basis points (0.85%) more in yield than a bond rated AAA. In choosing high-yielding bonds, we're very selective. As one measure of that selectivity, we've kept more than 87.8% of the Fund's net assets in bonds rated A or higher. But the past year presented us with some unique opportunities to add holdings that we believe have good potential, paying fairly cheap prices for them while locking in their high yields. One example was bonds issued by New Jersey Economic Development Authority (0.4% of net assets) for the purpose of expanding the Continental Airlines' terminal at Newark Airport. We also added bonds issued by Cedar Sinai Hospital (0.8% of net assets), which has done a good job managing through a difficult health-care environment. Q: WHAT IS YOUR OUTLOOK FOR THE YEAR? A:Over the short-term, we remain cautious. Our outlook calls for continued strong U.S. economic growth during the first calendar quarter or so, which may push interest rates somewhat higher. Beyond that, however, we're optimistic. We think that the Fed's tightening actions will result in QUESTIONS & ANSWERS continued slower economic growth. If growth does slow, interest rates and bond yields could begin to fall, creating a better backdrop for performance. As for the municipal market, we see some favorable trends. The supply should be in line with historical levels in 2000, now that higher interest rates have stymied much of the refunding activity that took place in 1998 and early 1999. At the end of 1999, municipals were priced attractively compared to their Treasury counterparts. Finally, the economic expansion of the 1990s has left most municipal issuers in reasonably good shape. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND INVESTMENT RETURN WILL VARY, SO YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL SHARES. Total return includes changes in share price and reinvestment of income and capital gains distributions, if any. Portfolio holdings are as of 12/31/99 and are subject to change. Income distributions are exempt from federal income taxes but may be subject to the federal alternative minimum tax and state and local taxes. Capital gains, if any, are also taxable. The Lehman Brothers Municipal Bond Index is an unmanaged group of investment grade municipal bonds; it is not available for direct investment. Source of Lipper data: Lipper, Inc. FUND HIGHLIGHTS - -------------------------------------------------------------------------------- Stein Roe Managed Municipals Fund TOP FIVE STATES PORTFOLIO PORTFOLIO DECEMBER 31, 1999 JUNE 30, 1999 - -------------------------------------------------------------------------------- Georgia 11.4% Georgia 10.5% Massachusetts 10.0 Illinois 10.4 Illinois 9.9 Massachusetts 9.9 New York 8.3 New York 9.2 California 5.8 Washington 6.0 PORTFOLIO STATISTICS PORTFOLIO PORTFOLIO DECEMBER 31, 1999 JUNE 30, 1999 - -------------------------------------------------------------------------------- Average Duration 7.6 years 7.8 years Average Weighted Maturity 16.0 years 16.3 years Average Weighted Coupon 5.97% 5.90% - -------------------------------------------------------------------------------- Pie Chart: MATURITY As of December 31, 1999 As of June 30, 1999 11.4% GREATER THAN 14.3% 25 YEARS 19.1% 20-25 YEARS 17.0% 20.0% 15-20 YEARS 20.2% 29.1% 10-15 YEARS 29.6% 12.8% 5-10 YEARS 10.2% 7.6% LESS THAN 8.7% 5 YEARS - -------------------------------------------------------------------------------- Pie Chart: PORTFOLIO QUALITY As of December 31, 1999 As of June 30, 1999 33.7% AAA 34.6% 27.8% AA 29.2% 1.0% CASH EQUIVALENTS 26.3% A 25.0% 7.8% BBB AND BELOW 11.2% 3.4% NON-RATED QUESTIONS & ANSWERS AN INTERVIEW WITH MAUREEN NEWMAN, PORTFOLIO MANAGER OF STEIN ROE HIGH-YIELD MUNICIPALS FUND AND SR&F HIGH-YIELD MUNICIPALS PORTFOLIO - -------------------------------------------------------------------------------- FUND DATA INVESTMENT OBJECTIVE: Seeks a high level of tax-free income consistent with capital preservation by investing in long-term municipal securities, principally of medium or lower quality. FUND INCEPTION: March 5, 1984 NET ASSETS: $268.9 million Q: HOW DID THE PORTFOLIO PERFORM DURING THE FIRST HALF OF FISCAL 2000? NEWMAN: Although it was an extremely difficult period for the municipal bond market, Stein Roe High-Yield Municipals Fund outperformed the average of its Lipper peers for the six-month period ended December 31, 1999 (see page 2). However, because of rising interest rates, the Portfolio had a total return of negative 2.53%, with dividends reinvested, for the six-month period. The Lehman Brothers Municipal Bond Index, a broad gauge of the municipal market's performance, returned negative 1.17% for the same period. Stronger-than-expected growth in the U.S. and rebounding foreign economies fanned inflationary concerns and interest rate worries throughout the period. In efforts designed to stymie any potential inflationary pressures, the Federal Reserve Board (Fed) raised short-term interest rates by a total of a half a percentage point during the period. Both Treasury and municipal bonds experienced rising yields and falling prices in response to inflationary concerns, although municipals proved more resilient than Treasurys and posted smaller price declines as a result. Q: WHAT HELPED THE PORTFOLIO OUTPACE ITS PEERS? NEWMAN: A number of individual holdings in the Portfolio performed particularly well, giving the Portfolio much of its performance advantage. We are selling the underlying assets of a defaulted security. The bids we received represented a higher value on the security than we had anticipated, so the price of those bonds increased. Other good performers included bonds issued on behalf of the Colorado-based housing development known as Briargate (1.4% of net assets). Those bonds paid out a premium to its bondholders. Another Photo of: Maureen Newman QUESTIONS & ANSWERS continued factor aiding performance was the Portfolio's below-average stake in lower-quality securities, which underperformed during the period. Q: HOW DID YOU MANAGE THE PORTFOLIO'S INTEREST-RATE SENSITIVITY? NEWMAN: The Portfolio's duration-- a measure of its interest-rate sensitivity -- remained neutral. By that I mean the Portfolio was no more or less sensitive to rising rates than the overall high-yield municipal market. I chose to maintain a neutral stance because it was unclear whether the market would welcome potential interest rate hikes as preemptive strikes against inflation, or whether it would view tightening actions as an indication that inflationary pressures existed. Given that the market's reaction to interest rate hikes was mostly negative, the Portfolio's neutral stance did not detract from performance. Q: YOU MENTIONED IN THE REPORT TO SHAREHOLDERS SIX MONTHS AGO THAT YOU HAD EXPANDED THE NUMBER OF HOLDINGS IN THE PORTFOLIO AFTER TAKING IT OVER IN NOVEMBER 1998. DID YOU CONTINUE TO ADD NEW BONDS OVER THE PAST SIX MONTHS? NEWMAN: Yes, but at a slower pace. Total issuers in the Portfolio have increased to 122, up from 112 six months earlier. My goal was to diversify the Portfolio's holdings further, adding more high-yielding, lower-rated and non-rated securities. In particular, I found some attractive opportunities in the hospital sector, which had come under pressure due to a combination of cutbacks in Medicare reimbursements, some well-publicized problems with scattered facilities around the country, and the pullback on the part of some municipal bond insurers from lower-rated hospitals. That environment provided the Portfolio with selective opportunities to add high-yielding hospital bonds at very attractive prices. I chose well-managed hospitals that were either the sole provider in their communities or those that had a dominant market share in their service region. Q: BEYOND THE HEALTH-CARE SECTOR, IN WHAT OTHER AREAS DID YOU FIND THE BEST OPPORTUNITIES? NEWMAN: I found attractively priced, high-yielding opportunities among land-based bonds used to fund single-family residential developments in California and Florida. I chose projects headed by larger, more experienced developers who had successfully sold a fair amount of the homes prior to development. QUESTIONS & ANSWERS continued Q: WHAT IS YOUR OUTLOOK FOR THE YEAR AHEAD? NEWMAN: We're reasonably optimistic that the interest rate environment will improve by year-end. Our outlook calls for slower economic growth later this year in response to rising interest rates. If this anticipated economic slowdown occurs, we believe that long-term interest rates will stabilize. I expect that the Fed will continue to hike short-term interest rates during the first half of 2000 in its fight against inflation. Whether the market reacts positively or negatively to further rate hikes remains uncertain, so it wouldn't be surprising if the market remains volatile. That's why I plan to keep the Portfolio's duration neutral for the time being. As for high-yield municipals, we believe they will do well relative to their higher-rated counterparts as the supply and demand imbalance that caused them to underperform in late 1999 abates. Furthermore, we believe municipal bonds are likely to remain an attractive alternative to taxable fixed-income securities for investors in high tax brackets. As of December 31, 1999, the Fund's SEC yield was 5.36%, which translates to a tax-equivalent yield of 8.88% for investors in the highest 39.6% federal tax bracket. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND INVESTMENT RETURN WILL VARY, SO YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL SHARES. Total return includes changes in share price and reinvestment of income and capital gains distributions, if any. Portfolio holdings are disclosed as a percentage of SR&F High-Yield Municipals Portfolio as of 12/31/99 and are subject to change. Investing in high-yield bonds involves greater credit risks than investing in higher-quality bonds. Income distributions are exempt from federal income taxes but may be subject to the federal alternative minimum tax and state and local taxes. Capital gains, if any, are also taxable. The Lehman Brothers Municipal Bond Index is an unmanaged group of investment grade municipal bonds; it is not available for direct investment. Source of Lipper data: Lipper, Inc. PORTFOLIO HIGHLIGHTS - -------------------------------------------------------------------------------- SR&F High-Yield Municipals Portfolio TOP FIVE STATES PORTFOLIO PORTFOLIO DECEMBER 31, 1999 JUNE 30, 1999 - -------------------------------------------------------------------------------- Pennsylvania 11.8% Indiana 11.9% Indiana 8.6 Pennsylvania 11.2 Florida 5.9 Colorado 8.0 Colorado 5.1 Texas 5.6 New York 5.1 New York 4.5 PORTFOLIO STATISTICS PORTFOLIO PORTFOLIO DECEMBER 31, 1999 JUNE 30, 1999 - -------------------------------------------------------------------------------- Average Duration 7.1 years 7.9 years Average Weighted Maturity 16.7 years 17.1 years Average Weighted Coupon 6.71% 6.68% - -------------------------------------------------------------------------------- Pie Chart: MATURITY As of December 31, 1999 As of June 30, 1999 17.3% GREATER THAN 23.4% 25 YEARS 24.8% 20-25 YEARS 18.4% 18.8% 15-20 YEARS 18.8% 14.3% 10-15 YEARS 13.2% 10.0% 5-10 YEARS 12.3% 14.8% LESS THAN 13.9% 5 YEARS - -------------------------------------------------------------------------------- Pie Chart: PORTFOLIO QUALITY As of December 31, 1999 As of June 30, 1999 13.0% AAA 18.4% 7.3% AA 6.9% 21.3% A 19.5% 1.8% CASH EQUIVALENTS 21.9% BBB 8.0% BB AND BELOW 26.7% NON-RATED BB AND BELOW/ NOT RATED 31.9% SR&F MUNICIPAL MONEY MARKET PORTFOLIO - -------------------------------------------------------------------------------- Portfolio of Investments at December 31, 1999 (Unaudited) (All amounts in thousands)
MUNICIPAL SECURITIES 100.4% Par Value - ----------------------------------------------------------------------------------------------------------- ALABAMA - 0.7% Huntsville, Series 1998 A 4.000% 11/1/00............................... $ 1,000 $ 1,000 ARIZONA - 3.9% Clark County, Reynolds Metals Co., Series 1992, VRDB 5.600% 8/1/22..... 3,000 3,000 Phoenix Industrial Development Authority, Spring Air Mattress Co., Series 1999, (a) VRDB 5.650% 4/1/19................................. 1,870 1,870 Scottsdale, GO Series 1992 C, 7.750% 7/1/00............................ 450 459 ------- 5,329 CALIFORNIA - 1.5% California Higher Education Loan Authority, Series 1994 A, Put 6/1/00 (a) 3.200% 7/1/05....................................................... 1,000 1,000 Los Angeles County Transportation, Series 1999 A 4.000% 6/30/00........ 1,000 1,003 ------- 2,003 COLORADO - 5.9% Colorado Educational & Cultural Facilities Authority: Naropa University, Series 1999, VRDB5.600% 11/1/24.................. 2,100 2,100 National Cable Television Center, Series 1999, VRDB 5.600% 10/1/06.. 1,700 1,700 Colorado Springs, Catalano Family L.L.P., Series 1998, VRDB (a) 5.600% 7/1/18....................................................... 1,145 1,145 Lowry Economic Redevelopment Authority, Series 1998 B, VRDB 5.350% 12/1/20...................................................... 1,000 1,000 SBC Metropolitan District Colorado, Mandatory Put 12/1/00, 4.000% 12/7/29...................................................... 2,000 2,000 ------- 7,945 GEORGIA - 1.8% Gwinnett County Development Authority, Price Co., Inc., Series 1995, VRDB (a) 5.700% 6/1/10................................. 2,400 2,400 ILLINOIS - 28.7% ABN AMRO Munitops Certificate 1998-14 VR7, VRDB (b) 5.660% 10/4/06...................................................... 1,000 1,000 Chicago, Archer Court Apartments, Series B, VRDB 5.770% 6/1/19......... 1,010 1,010 Chicago, Crane Carton Co., VRDB 5.600% 6/1/12.......................... 2,150 2,150 Chicago, De LaSalle Institute, VRDB 5.600% 4/1/27...................... 900 900 Chicago, Midway Airport, VRDB 5.750% 1/1/29............................ 1,960 1,960 Chicago, PS Greetings, Inc., VRDB 5.650% 5/1/24........................ 1,500 1,500 Chicago, Stockyards Redevelopment Project, VRDB 5.600% 12/1/11......... 1,470 1,470 Chicago School Finance Authority, Series 1992 A, 5.900% 6/1/00......... 1,000 1,009 Chicago Wastewater Transmission, Series 1998 B, 4.250% 1/1/00.......... 500 500 De Kalb County Community United School, District No. 428, Series 1999, 4.100% 12/1/00...................................................... 1,205 1,206 DuPage & Cook Counties United School District, Series 1999, 5.400% 1/1/00....................................................... 767 767 Elgin Corporate Purpose Bonds, Series 1999 5.500% 1/1/00............... 445 445 Glendale Heights IDR, Judy L.L.C. Series 1998, VRDB (a) 5.500% 8/1/28.. 1,540 1,540 Illinois Development Finance Authority Revenue: American Osteopathic Assoc., VRDB 5.500% 9/15/18.................... 2,100 2,100 Nutrasweet Co., VRDB 5.750% 11/1/23................................. 4,400 4,400 Rest Haven Illiana Christian Convalescent Home, VRDB 5.500% 1/1/27.................................................... 1,000 1,000 Wheaton Academy, VRDB 5.550% 10/1/28................................ 1,000 1,000 SR&F Municipal Money Market Portfolio - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- ILLINOIS (CONTINUED) Illinois Educational Facilities Authority Revenue, Aurora University, Series 1989, VRDB 5.450% 1/1/09..................................... $ 1,200 $ 1,200 Illinois Health Facilities Authority Revenue, University of Chicago, Series 1985 A, Put 3/30/00, 3.750% 8/1/15........................... 1,000 1,000 Illinois State Toll Highway Authority, Series 1993 A, 4.500% 1/1/00.... 1,000 1,000 Lake County Community College District No. 532, Series 1999 B, 9.000% 11/1/00...................................................... 805 836 Melrose Park, Ninos Enterprises, Inc., Series 1999, VRDB, 5.650% 12/1/24................................... 2,500 2,500 Morton, Morton Welding Co., Inc., Series 1996 A VRDB, (a) 5.700% 4/1/16.............................. 905 905 Palatine, Series 1998, VRDB, 5.500% 12/1/28............................ 1,000 1,000 Quad Cities Regional Economic Development Authority, Steel Warehouse Quad Cities: Series 1997, VRDB, (a) 5.600% 12/1/12............................ 2,000 2,000 Series 1997, VRDB, (a) 5.600% 12/1/13............................ 2,200 2,200 Springfield IDR, Phillips Brothers, Inc., Series 1998, VRDB, 5.600% 6/1/18....................................................... 1,350 1,350 Springfield IDR, Oak Terrace Joint Venture L.P., Series 1999, VRDB, (a) 5.500% 12/1/25...................................................... 1,000 1,000 ------- 38,948 INDIANA - 12.4% Allen County, Golden Years Homestead, Inc., Series 1996, VRDB, 5.500% 8/1/21....................................................... 1,430 1,430 Crawfordsville Economic Development Revenue, Pedcor Investments, Series 1995, VRDB, (a) 5.500% 4/1/30................................ 1,558 1,558 Elkhart, Adorn, Inc., Series 1995, VRDB, 5.700% 8/1/05................. 1,200 1,200 Franklin Economic Development Revenue, Lakeview Apartments, Series 1994, VRDB, (a) 5.500% 9/1/30................................ 2,789 2,789 Indiana Development Finance Authority, Carr Metal Products, Inc., Series 1999, VRDB, 5.750% 1/1/09.................................... 1,300 1,300 Indiana Health Facilities Financing Authority, Pathfinder Services, Inc., Series 1996, VRDB, 5.500% 11/1/19................................... 2,275 2,275 Indiana University, Series 1990 G, VRDB, Prerefunded 8/1/00, 7.000% 8/1/10....................................................... 300 314 Kokomo Economic Development Revenue, Village Community Partners IV L.P., Series 1995, VRDB, (a) 5.500% 9/1/30.......................... 2,940 2,940 La Porte County Economic Development Revenue, Woodland Crossing Apartments, Series 1994, VRDB, (a) 5.500% 10/1/29................... 1,945 1,945 Plymouth Economic Development Revenue, Hillcrest Apartments, Series 1998 A, VRDB, (a) 5.650% 4/1/28..................................... 1,000 1,000 ------- 16,751 IOWA - 6.6% Iowa Higher Education Loan Authority, Briar Cliff College, Series 1999, VRDB 5.600% 6/1/19.................................................. 430 430 Clinton IDR, Sethness Products Co., Series 1996, VRDB, (a) 5.500% 9/1/11....................................................... 3,400 3,400 Muscatine County, Monsanto Co., Series 1992, VRDB, 5.200% 10/1/07...... 2,100 2,100 Scott County Industrial Waste Revenue, Nichols Aluminum Project, Series 1999, VRDB, 5.600% 6/1/14.................................... 3,000 3,000 ------- 8,930 SR&F Municipal Money Market Portfolio - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- KANSAS - 1.1% Kansas City Industrial Development Authority, Lanter Co., Series 1987 A, VRDB, 3.350% 2/1/03................................................. $ 680 $ 680 Olathe IDR, Garmin International, Inc., Series 1995, VRDB, (a) 3.250% 1/1/25....................................................... 800 800 ------- 1,480 KENTUCKY - 3.5% Covington Industrial Building Revenue, White Castle Distributing, Inc., Series 1991, VRDB, (a) 3.400% 4/1/06................................ 3,205 3,205 Shelby County Industrial Building Revenue Roll Forming Corp., Series 1996, VRDB, (a) 3.400% 4/1/16................................ 1,595 1,595 ------- 4,800 MARYLAND - 0.9% Anne Arundel County, Baltimore Gas & Electric Co., Series 1988, Commercial paper due 3/8/00, (a) 3.800% 12/1/18..................... 1,000 1,000 University of Maryland, Series 1991, Prerefunded 4/1/00, A 6.500% 4/2/07....................................................... 250 257 ------- 1,257 MICHIGAN - 2.5% ABN AMRO Munitops Certificate 1998-13 VR7, VRDB, (b) 5.630% 10/4/06...................................................... 2,000 2,000 Detroit School District: GO, 4.000% 6/1/00................................................... 1,000 1,003 MBIA Insured, 3.250% 5/1/00......................................... 385 385 ------- 3,388 MINNESOTA - 1.7% Minneapolis, MN: Series 1994 A, VRDB, 5.400% 12/1/05................................. 1,200 1,200 Series 1998 B, VRDB, 5.400% 12/1/16................................. 935 935 Minneapolis Convention Center GO, Series 1999, VRDB, 5.400% 12/1/18...................................................... 200 200 ------- 2,335 MISSOURI - 3.3% Jefferson County Industrial Development Authority, Sinclair & Rush, Inc., Series 1994 A, VRDB, (a) 5.600% 11/1/09............................. 3,445 3,445 St. Louis General Federal Revenue, Series 1999, 4.000% 6/30/00......... 1,000 1,004 ------- 4,449 NEBRASKA - 0.1% Omaha Public Power District, Series 1993 A, 4.850% 2/1/00.............. 125 125 OHIO - 1.6% Environment Improvement Authority, U.S. Steel Corp. Project, VRDB, 4.150% 12/1/01...................................................... 400 400 Hancock County Multi-Family Revenue, Crystal Glen Apartments Project, Series 1998 B, VRDB, (a) 5.620% 1/1/31.............................. 750 750 Summit County Bond Anticipation Notes, Series 1999 A, VRDB, 3.800% 6/1/00....................................................... 1,000 1,002 ------- 2,152 PENNSYLVANIA - 1.3% Fayette County Hospital Authority, Uniontown Hospital, Series 1996, 4.700% 6/15/00...................................................... 250 251 Quakertown General Authority, Series 1996 A,VRDB, 5.750% 7/1/26........ 1,513 1,513 ------- 1,764 SR&F Municipal Money Market Portfolio - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- RHODE ISLAND - 0.2% Convention Center Authority, Series 1993 B, VRDB, 4.600% 5/15/00....... $ 300 $ 301 SOUTH CAROLINA - 1.7% Newberry County, Series 1999, 4.250% 9/1/00............................ 310 311 South Carolina Jobs Economic Development Authority Specialty Equipment Co., Inc., Series 1995 (a) VRDB 5.600% 11/1/10...................... 2,045 2,045 ------- 2,356 SOUTH DAKOTA - 0.2% State Health & Educational Facilities Authority, Prince of Peace Hospital, Series 1993, 4.600% 7/1/00.......................................... 260 261 TENNESSEE - 2.7% Clarksville Public Building Authority, Series 1999, VRDB, 5.400% 6/1/29 2,000 2,000 Rutherford County Industrial Development Board, Farmers Project, Series B, VRDB, 5.600% 11/1/14...................................... 1,000 1,000 Wilson County Industrial Development Board, Briskin Manufacturing Co., Series 1999, VRDB, 5.650% 7/1/29.................................... 700 700 ------- 3,700 TEXAS - 5.8% Fort Bend County Industrial Development Corp., W.W. Grainger, Inc., Series 1989, VRDB, 5.650% 12/1/02................................... 1,110 1,110 Garland, Series 1992 B, 5.700% 8/15/00................................. 400 405 Grand Prairie Industrial Development Authority, Series 1986, VRDB, 5.900% 12/1/11...................................................... 800 800 Gulf Coast Waste Disposal Authority, Amoco Corp., Series 1995, VRDB, (a) 5.350% 7/1/27....................................................... 300 300 Harris County Industrial Development Authority, Precision General, Inc., Series 1991, VRDB, (a) 5.600% 10/1/16............................... 2,060 2,060 Texas Department of Housing & Community Affairs, Series 1999 B-2, VRDB, 3.900% 1/1/33................................................. 1,000 1,000 Texas Transportation, Series 1999 A, 4.500% 8/31/00.................... 1,000 1,005 Tarrant County Housing Finance Corp., Remington Hill, Series 1998, VRDB, 5.500% 2/15/28................................................ 800 800 Webb County Certificates of Obligation, Series 1999, 6.000% 2/1/00..... 355 356 ------- 7,836 UTAH - 0.8% Davis County School District, Series 1993, 4.550% 6/1/00............... 250 251 Utah Municipal Power Agency, Series 1993 A, 4.900% 7/1/00.............. 750 754 ------- 1,005 WASHINGTON - 0.8% Washington State Housing Finance Commission, Hamilton Place Senior Living, Series 1996 A, VRDB, (a) 5.550% 7/1/28...................... 1,125 1,125 WISCONSIN - 10.7% Campbellsport School District, Series 1999, 3.500% 3/1/00.............. 120 120 Chase IDR, Belgiosio Cheese, Inc., Series 1998, VRDB, (a) 5.600% 4/1/11 1,000 1,000 Fond du Lac IDR, Brenner Tank, Inc., Series 1994, VRDB, (a) 5.600% 11/1/04...................................................... 2,125 2,125 Fox Valley Technical College District, Series 1999 B, 4.100% 6/1/00.... 410 410 Holland IDR, White Clover Dairy, Inc., Series 1994, VRDB, (a) 5.600% 5/1/05....................................................... 2,275 2,275 Kenosha IDR Monarch Plastics, Inc., Series 1994, VRDB, (a) 5.600% 12/1/09...................................................... 1,750 1,750 SR&F MUNICIPAL MONEY MARKET PORTFOLIO - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- WISCONSIN (CONTINUED) Mid-State Technical College District, Series 1999, 4.900% 6/1/00....... $ 100 $ 100 Milwaukee Area Technical College District, Series 1999, 4.750% 6/1/00.. 685 688 Outagamie County, Series 1999, 4.000% 10/1/00.......................... 365 365 Racine, Series 1999 B, 4.600% 12/1/00.................................. 690 694 Wisconsin State Health & Educational Facilities Authority, Grace Lutheran Foundation, Series 1999, VRDB, 5.700% 7/1/14........................ 2,555 2,555 Wisconsin Housing & Economic Development Authority, Series 1997 H, 4.350% 3/1/00....................................................... 525 526 Wisconsin, Series 1991 D, Prerefunded 5/1/00, 6.600% 5/1/10............ 525 540 Two Rivers GO Series, Series 1999 B, 3.500% 4/1/00..................... 100 100 Whitnall School District GO, Series 1999, 3.900% 4/1/00................ 255 256 Wisconsin Public Power, Inc., Series 1990 A, Prerefunded 7/1/00, 7.500% 7/1/10.................................................... 1,000 1,038 ------- 14,542 - ---------------------------------------------------------------------------------------------------------- TOTAL MUNICIPAL SECURITIES (cost of $136,182) (c).............................................. 136,182 OTHER ASSETS, LESS LIABILITIES - (0.4%)................................ (568) -------- NET ASSETS - 100.0%.................................................... $135,614 ======== - ----------------------------------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS - -------------------------------------------------------------------------------- (a) Security is subject to federal alternative minimum tax. At December 31, 1999, the aggregated amortized cost of these securities represented 37.7% of net assets. (b) Represents private placement securities issued under Rule 144A, which are exempt from the registration of the Securities Act of 1933. These securities are generally issued to qualified institutional buyers, such as the Portfolio, and any resale by the Portfolio must be an exempt transaction, normally to other qualified institutional investors. At December 31, 1999, the aggregate amortized cost of the Portfolio's private placement securities was $3,000 which represented 2.2% of net assets. (c) Cost for financial statement and federal income tax purposes is the same. Variable rate demand bonds (VRDB) are securities whose yields are periodically reset at levels that are generally comparable to tax-exempt commercial paper. These securities are payable on demand within seven calendar days and normally incorporate an irrevocable letter or credit or line of credit with a major bank. Acronym Name ---------- ------------ GO General Obligation IDR Industrial Development Revenue See accompanying Notes to Financial Statements. STEIN ROE INTERMEDIATE MUNICIPALS FUND - -------------------------------------------------------------------------------- Portfolio of Investments at December 31, 1999 (Unaduited) (All amounts in thousands)
MUNICIPAL BONDS 97.3% Par Value - ---------------------------------------------------------------------------------------------------------- EDUCATION - 2.9% EDUCATION - 1.4% CA State Educational Facilities Authority, University of San Francisco, Series 1996, 5.600% 10/1/10 ..................................... $ 1,000 $ 1,041 FL Miami-Dade County Educational Facilities Authority, University of Miami, Series 1999 A, 5.250% 4/1/15.............................. 1,000 949 ------- 1,990 STUDENT LOANS - 1.5% ME State Educational Loan Authority, Series 1992 A-2, 6.650% 12/1/02................................................... 515 527 TX State Higher Education Coordinating Board, Texas College, Series 1991, 7.450% 10/1/06...................................... 1,590 1,644 ------- 2,171 HEALTHCARE - 5.9% HOSPITALS - 5.6% CA State Health Facilities Financing Authority, Cedars-Sinai Medical Center, Series 1999 A, 6.125% 12/1/19............................ 1,250 1,231 MA State Health & Educational Facilities Authority, Daughters of Charity, Series 1990 C, 7.250% 7/1/00............................ 200 203 NJ State Health Care Facilities Financing Authority, Christ Hospital, Series 1994, 7.000% 7/1/03....................................... 1,730 1,848 PA Dauphin County General Authority, Hapsco Group, Inc., Series 1992 B, 5.800% 7/1/02........................................ 1,600 1,640 SC Sumter County, Tuomey Regional Medical Center, Series 1991, 6.625% 11/15/04.................................................. 1,040 1,115 TN Knox City Health Educational & Housing Facilities Board, Baptist Health Systems of East Tennessee, 5.500% 4/15/11................. 2,000 1,987 ------- 8,024 NURSING HOMES - 0.3% MN New Hope, North Ridge Care Center, Inc., Series 1999, 5.400% 3/1/08.................................................... 500 468 HOUSING - 0.6% SINGLE FAMILY CA State Housing Finance Agency, Series B-1, 5.900% 2/1/04.......... 810 837 OTHER - 15.2% POOL/BOND BANKS - 1.5% IN Indianapolis Local Public Improvement Bond Bank, Series 1992 D, 6.500% 2/1/06.................................................... 2,100 2,244 REFUNDED/ESCROWED (A) - 13.7% AZ Maricopa County, Samaritan Health Services, Series 1978, 7.625% 1/1/08.................................................... 1,935 2,137 AZ Phoenix Civic Improvement Corp., Series 1993, 6.000% 7/1/07...... 1,500 1,588 CA Los Angeles County Public Works Financing Authority, Series 1994 A, 5.800% 10/1/05.................................... 1,500 1,600 IL Chicago, Skyway Toll Bridge, Series 1994, 6.750% 1/1/17.......... 1,500 1,631 IL Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project, Series 1992 A: 7.250% 6/15/05................................................. 385 425 7.250% 6/15/05................................................. 1,145 1,272 STEIN ROE INTERMEDIATE MUNICIPALS FUND - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- OTHER - CONT. REFUNDED/ESCROWED (A) - (CONTINUED) IN State Toll Road Commission, Series 1980, 9.000% 1/1/15.......... $ 2,240 $ 2,982 IN State Transportation Finance Authority, Series 1992 A, 6.500% 11/1/07................................................... 1,210 1,290 MA State Health & Educational Facilities Authority, Carney Hospital, Series 1994 D, 6.000% 7/1/09..................................... 1,000 1,052 MI State Hospital Finance Authority, Daughters of Charity and Providence, Series 1991, 6.500% 11/1/01.......................... 585 599 OH Loveland School District, Series 1992, 7.100% 12/1/09............ 3,000 3,251 PA Westmoreland County Municipal Authority, Municipal Services, Series 1993-C, (b) 8/15/17....................................... 1,250 428 SC Piedmont Municipal Power Agency, Series 1991 A, 6.125% 1/1/07.... 335 357 SC Sumter County, Tuomey Regional Medical Center, Series 1991, 6.625% 11/15/04.................................................. 960 1,035 ------- 19,647 RESOURCE RECOVERY - 4.6% DISPOSAL - 1.6% IL Development Finance Authority, Waste Management, Inc., Series 1997, 5.050% 1/1/10.............................................. 615 514 MI State Strategic Fund, United Waste Systems, Inc., Series 1995, 5.200% 4/1/10.................................................... 1,000 866 PA Westmoreland County Industrial Development Authority, Mid-America Waste Systems, Inc., Series 1993, 5.100% 5/1/18...... 1,000 862 ------- 2,242 RESOURCE RECOVERY - 3.0% MI Greater Detroit Resource Recovery Authority, Series 1996 A, 6.250% 12/13/05.................................................. 2,000 2,135 NJ Bergen County Utilities Authority, Series 1992 A, 6.250% 6/15/06. 2,000 2,140 ------- 4,275 TAX-BACKED - 34.3% LOCAL GENERAL OBLIGATIONS - 17.0% AZ Cochise County Unified School District No. 68,.Sierra V Project, Series 1990 B, 9.000% 7/1/01..................................... 1,115 1,187 AZ Maricopa County Unified School District 97, Series 1996 A, 6.250% 7/1/06.................................................... 1,750 1,872 AZ Pima County, Series 1992, 6.300% 7/1/02.......................... 2,500 2,598 AZ Tempe Unified School District No. 213, Series 1994, 7.000% 7/1/08.................................................... 500 565 CA Union Elementary School District, Series 1999 A, (b) 9/1/20..... 1,000 282 CO Adams County, School District Number 12, Series 1995 A, (b) 12/15/12......................................................... 1,300 622 HI Honolulu City & County, Series 1990 A, 7.350% 7/1/06............. 1,000 1,122 IL Chicago Board of Education, Series 1996, 6.250% 12/1/12.......... 2,100 2,248 LA Orleans Levee District, Series 1995 A, 5.950% 11/1/07............ 2,200 2,320 NY New York City: Series 1996 C, 5.700% 2/1/06..................................... 1,000 1,026 Series 1997 H, 6.000% 8/1/17..................................... 2,000 1,991 Series 1997 J, 6.125% 8/1/11..................................... 5,000 5,261 OH Olmsted Falls School District, Series 1999, 5.500% 12/1/04....... 420 408 TX Round Rock Independent School District, Series 1995 A, 7.500% 8/1/02.................................................... 1,200 1,281 WA Snohomish County School District No. 002, Series 1993, 7.000% 12/1/02................................................... 1,500 1,593 ------- 24,376 STEIN ROE INTERMEDIATE MUNICIPALS FUND - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- TAX-BACKED - CONT. SPECIAL NON-PROPERTY TAX - 6.5% IL Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project, Series 1992 A, 7.250% 6/15/05................. $ 1,220 $ 1,343 MI State, Underground Storage Tank Financial Assistance, Series 1996 I, 6.000% 5/1/05.................................................... 5,000 5,257 NM Santa Fe, Series 1996 A, 6.500% 6/1/06.......................... 2,555 2,765 ------- 9,365 SPECIAL PROPERTY TAX - 2.1% FL Stoneybrook Community Development District, Series 1998 B, 5.700% 5/1/08.................................................... 3,200 3,072 STATE APPROPRIATED - 5.5% MO State, Regional Convention & Sports Facility Project, Series 1991 A, 6.600% 8/15/03................................................ 830 874 NY Metropolitan Transportation Authority, Series 1993 O, 5.500% 7/1/17.................................................... 1,000 955 NY State Dormitory Authority: City University of New York, Series 1995, 5.625% 7/1/16.......... 5,000 4,966 Series 1995 A, 6.500% 5/15/05.................................... 1,000 1,063 ------- 7,858 STATE GENERAL OBLIGATIONS - 3.2% GA State, Series 1997 A, 6.250% 4/1/07.............................. 2,000 2,157 MA Massachusetts Bay Transportation Authority, Series 1994 A, 7.000% 3/1/07.................................................... 2,250 2,507 ------- 4,664 TRANSPORTATION - 9.0% AIR TRANSPORTATION - 1.3% NJ State Economic Development Authority, Continental Airlines, Inc., Series 1999, 6.250% 9/15/19...................................... 2,000 1,865 AIRPORTS - 5.2% GA Atlanta, Airport Facilities, Series 1996, 6.500% 1/1/07.......... 5,000 5,426 IL Chicago, Midway Airport, Series 1994 A, 5.700% 1/1/04............ 1,000 1,028 IN State Transportation Finance Authority, Airport Facilities Lease, Series 1992 A, 6.500% 11/1/07.................................... 1,040 1,096 ------- 7,550 TOLL FACILITIES - 2.5% KY State Turnpike Authority, Series 1992, 5.800% 1/1/04............. 2,500 2,582 OH State Turnpike Commission, Series 1998 A, 5.500% 2/15/24......... 1,000 943 ------- 3,525 UTILITY - 24.8% INVESTOR OWNED - 1.8% NH State Business Finance Authority, United Illuminating Co., Series 1999, 5.400% 12/1/29...................................... 1,000 998 NV Clark County, Southern California Edison Co., Series 1990 A, 7.125% 6/1/09.................................................... 1,500 1,559 ------- 2,557 STEIN ROE INTERMEDIATE MUNICIPALS FUND - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- UTILITY - CONT. JOINT POWER AUTHORITY - 7.6% GA Municipal Electric Authority Power, Series 1997 Y, 6.400% 1/1/13. $ 3,000 $ 3,248 NC Eastern Municipal Power Agency: Catawba No. 1, Series 1992, 5.900% 1/1/03........................ 1,500 1,548 Series 1993 C, 5.500% 1/1/07..................................... 3,100 3,025 NE State Public Gas Agency, Series 1995 A, 5.400% 4/1/04............ 1,000 1,003 SC Piedmont Municipal Power Agency, Series 1991 A, 6.125% 1/1/07.... 2,015 2,123 ------- 10,947 MUNICIPAL ELECTRIC - 1.0% TX Lower Colorado River Authority, Series 1999 A, 5.500% 5/15/21.... 1,500 1,390 WATER & SEWER - 14.4% AR Beaver Water District, Benton & Washington Counties, Series 1994, 6.000% 11/15/04.................................................. 2,580 2,715 DE State Economic Development Authority, Wilmington Suburban Water Corp., Series 1992 B, 6.450% 12/1/07....................... 1,165 1,244 IL Chicago, Series 1993, 6.500% 11/1/09............................. 2,155 2,353 IL Du Page County Special Service Area No. 11, Series 1995, 6.750% 1/1/14.................................................... 1,090 1,165 MA State Water Pollution Abatement Trust, Series 1999 A, 6.000% 8/1/19.................................................... 2,500 2,526 NY State Environmental Facilities Corp., Series 1994 D, 6.300% 5/15/05................................................... 3,000 3,204 TN Metropolitan Government of Nashville & Davidson Counties, Series 1993, 6.500% 1/1/10.............................................. 2,750 3,013 TX Houston Water Conveyance System, Series J, 6.125% 12/15/06....... 1,000 1,058 TX San Antonio, Series 1992, 6.000% 5/15/01......................... 2,460 2,509 TX Water Development Board, Series 1996 B, 5.125% 7/15/18........... 1,000 896 ------- 20,683 ------- TOTAL MUNICIPAL BONDS (cost of $136,061) (c).............................................. 139,750 - ---------------------------------------------------------------------------------------------------------- SHORT-TERM OBLIGATIONS - 1.4% - ---------------------------------------------------------------------------------------------------------- VARIABLE RATE DEMAND NOTES (D) TX Gulf Coast Waste Disposal Authority, Amoco Oil Co., Series 1998, 4.750% 1/1/26.................................................... 200 200 TX Gulf Coast Waste Disposal Authority, Monsanto Co., Series 1994, 5.650% 4/1/13.................................................... 1,700 1,700 TX Gulf Coast Waste Disposal Authority, Amoco Corp., Series 1995, 5.350% 7/1/27.................................................... 100 100 ------- TOTAL SHORT-TERM OBLIGATIONS........................................... 2,000 - ---------------------------------------------------------------------------------------------------------- OTHER ASSETS, LESS LIABILITIES - 1.3%.................................. 1,829 -------- NET ASSETS - 100.0%.................................................... $143,579 ======== - ----------------------------------------------------------------------------------------------------------
STEIN ROE INTERMEDIATE MUNICIPALS FUND - -------------------------------------------------------------------------------- Continued - -------------------------------------------------------------------------------- NOTES TO PORTFOLIO OF INVESTMENTS (a) The Fund has been informed that each issuer has placed direct obligations of the U.S. Government in an irrevocable trust, solely for the payment of the principal and interest. (b) Zero coupon bond. (c) Cost for financial statement and federal income tax purposes is the same. (d) Variable rate demand notes are considered short-term obligations. Interest rates change periodically on specified dates. These securities are payable on demand and are secured by either letters of credit or other credit support agreements from banks. The rates listed are as of December 31, 1999. See notes to financial statements. STEIN ROE MANAGED MUNICIPALS FUND - -------------------------------------------------------------------------------- Portfolio of Investments at December 31, 1999 (Unaduited) (All amounts in thousands)
MUNICIPAL BONDS 97.4% Par Value - ---------------------------------------------------------------------------------------------------------- EDUCATION - 2.2% EDUCATION - 0.5% MA State Development Finance Agency, Boston University, Series 1999 P, 5.450% 5/15/59 .......................................... $ 1,000 $ 833 MN Victoria, Holy Family Catholic High School, Series 1999 A, 5.850% 9/1/24 ................................................. 1,000 896 PR Commonwealth of Puerto Rico, Ana G. Mendez University System, Series 1999, 5.375% 2/1/29....................................... 600 511 ------- 2,240 STUDENT LOANS - 1.7% AK State Student Loan Corp., Series 1994-A, 6.200% 7/1/09 ........ 3,870 4,015 ME State Educational Loan Marketing Corp., Series 1994 B-1, 6.500% 11/1/09 .................................................. 3,000 3,050 TX Brazos Higher Educational Facilities Authority, Series 1993 C-2, 5.875% 6/1/04 ................................................... 1,305 1,315 ------- 8,380 HEALTHCARE - 8.3% CONGREGATE CARE RETIREMENT - 0.9% OR Clackamas County Hospital Facilities Authority, Willamette View, Series 1999 A, 7.500% 11/1/29 ................................... 1,000 957 PA Montgomery County Industrial Development Authority, Adult Communities Total Services, Series 1996 B, 5.750% 11/15/17 ...... 3,500 3,180 ------- 4,137 HEALTH SERVICES - 0.6% MA State Development Finance Agency, Boston Biomedical research Institute, Series 1999, 5.650% 2/1/19 ........................... 310 266 WI State Health & Educational Facilities Authority, Marshfield Clinic, Series 1999, 6.250% 2/15/29 ..................................... 2,500 2,415 ------- 2,681 HOSPITALS - 6.0% CA State Health Facilities Financing Authority, Cedars-Sinai Medical Center, Series 1999 A, 6.125% 12/1/30 ........................... 4,000 3,858 IL State Development Finance Authority, Adventist Health System, Series 1999, 5.500% 11/15/20 .................................... 3,000 2,495 LA State Public Facilities Authority, Touro Infirmary, Series 1999, 5.625% 8/15/29................................................... 2,900 2,398 MA State Health & Educational Facilities Authority: Dana Farber Cancer Institute, Series 1995 G-1, 6.250% 12/1/22 ... 6,500 6,285 Massachusetts General Hospital, Series 1992 F, 6.250% 7/1/12 .... 5,750 6,206 South Shore Hospital, Series 1999 F, 5.750% 7/1/29 .............. 2,500 2,217 MI Dickinson County, Series 1999, 5.800% 11/1/24 ................... 1,000 846 NC State Medical Care Commission, Gaston Health Care, Series 1998, 5.000% 2/15/29 .................................................. 1,000 807 NV Henderson, Catholic Healthcare West, Series 1999 A, 6.750% 7/1/20 ................................................... 1,000 968 OH Franklin County, Doctors OhioHealth Corp., Series 1998 A, 5.600% 12/1/28 .................................................. 3,000 2,439 TX Richardson Hospital Authority, Baylor Richardson Medical Center, Series 1998, 5.625% 12/1/28...................................... 500 407 ------- 28,926 STEIN ROE MANAGED MUNICIPALS FUND - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- HEALTHCARE - CONT. INTERMEDIATE CARE FACILITIES - 0.5% IN State Health Facilities Financing Authority, Hoosier Care, Inc., Series 1999 A, 7.125% 6/1/34..................................... $ 2,495 $ 2,264 NURSING HOMES - 0.3% IN State Health Facilities Financing Authority, Metro Health Indiana, Inc., Series 1998, 6.400% 12/1/33 ............................... 1,400 1,206 MN Minneapolis, Walker Methodist Senior Services Group, Series 1998 A, 5.875% 11/15/18.......................................... 450 383 ------- 1,589 HOUSING - 9.7% MULTI-FAMILY - 2.6% Charter Mac Equity Issue Trust, 6.625% 6/30/49 (a).................. 2,000 1,945 CO Housing Financing Authority, Series 1978: 6.000% 10/1/09 .................................................. 1,490 1,492 6.000% 10/1/10 .................................................. 1,590 1,592 6.000% 10/1/11 .................................................. 1,710 1,712 6.000% 10/1/12 .................................................. 1,830 1,832 FL Orange County Housing Finance Authority, Palms at Brentwood Apartments, Series 1998 K, 6.500% 12/1/34 ....................... 2,000 1,753 IL State Development Finance Authority, Catholic Charities Housing Development Corp.: Series 1993 C, 5.950% 1/1/09 .................................. 1,450 1,405 Series 1990 A, 8.000% 6/1/26 .................................. 950 981 ------- 12,712 SINGLE FAMILY - 7.1% IA State Housing Finance Authority, Series 1991 B, 7.450% 7/1/23 ... 630 647 ID State Housing Agency, Series 1990 E, 7.875% 7/1/24 .............. 770 796 IL State Housing Development Authority, Series 1990 A, 7.800% 12/1/12 .................................................. 125 128 KY State Housing Corp., Series 1990 C, 8.100% 1/1/22 ............... 1,195 1,227 MN Minneapolis-St. Paul Housing Finance Board, Series 1991: 7.250% 8/1/21.................................................... 1,725 1,767 7.300% 8/1/31 ................................................... 2,560 2,622 MN State Housing Finance Authority, Series 1991 A, 7.450% 7/1/22 ... 1,335 1,367 MO State Housing Development Commission, Series 1985, 9.375% 4/1/16 ................................................... 15 15 NV State Housing Division, Series 1991 A-2, 7.750% 4/1/22 .......... 2,255 2,326 OK Tulsa County Home Finance Authority, Series 1991 B, 7.550% 5/1/23 ................................................... 1,430 1,467 RI State Housing & Mortgage Finance Corp., Series 1-E, 7.550% 10/1/22 .................................................. 5,650 5,832 SC State Housing Finance & Development Authority, Series 1990 C, 7.750% 7/1/22 ................................................... 4,775 4,896 TN State Housing Development Agency, Series 1990 T, 7.300% 7/1/11 ................................................... 10,000 10,158 TX Travis County Housing Finance Corp., Series 1990, 8.000% 9/1/10 ................................................... 685 706 ------- 33,954 INDUSTRIAL - 8.1% FOOD PRODUCTS - 3.7% GA Cartersville Development Authority, Anheuser Busch Cos., Inc., Series 1999, 7.375% 5/1/09 ...................................... 9,000 10,144 STEIN ROE MANAGED MUNICIPALS FUND - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- INDUSTRIAL - CONT. FOOD PRODUCTS - (CONTINUED) IN Hammond, American Maize Products Co., Series 1994, 8.000% 12/1/24................................................... $ 5,000 $ 5,399 MI State Strategic Fund, Michigan Sugar Co., Carrolton Project: Series 1998 B, 6.450% 11/1/25 ................................... 700 648 Series 1998 C, 6.550% 11/1/25 ................................... 800 720 PA State Economic Development Financing Authority, USG Corp., Series 1999, 6.000% 6/1/31....................................... 1,000 897 ------- 17,808 FOREST PRODUCTS - 3.7% LA De Soto Parish, International Paper Co., Series A, 7.700% 11/1/18 3,250 3,522 SC Richland County, Union Camp Corp., Series 1991 B, 7.125% 9/1/21.................................................... 5,000 5,108 WA Port Longview Industrial Development Corp., Weyerhaeuser Corp., Series 1992, 6.875% 10/1/08...................................... 8,750 9,176 ------- 17,806 MANUFACTURING - 0.4% MO State Development Finance Board, Proctor & Gamble Co., Series 1999, 5.200% 3/15/29 ..................................... 1,000 853 NM Albuquerque Industrial Development Authority, Motorola, Inc., Series 1983 A, 10.000% 6/1/13 ................................... 1,000 1,020 ------- 1,873 METALS & MINING - 0.3% VA Peninsula Ports Authority, Ziegler Coal Project, Series 1997, 6.900% 5/2/22 ................................................... 1,500 1,294 OTHER - 12.1% REFUNDED/ESCROWED (B) CA Central Contra Costa Sanitary District, Wastewater Facilities Improvement Project, Series 1994: 6.250% 9/1/13 ................................................... 2,025 2,199 6.250% 9/1/14 ................................................... 1,295 1,406 CA Foothill/Eastern Transportation Corridor Agency, Series 1995 A, (b) 1/1/18 .......................................................... 10,000 3,438 CA Southern California Public Power Authority, Southern Transmission Project, Series 1988 A, (c) 7/1/14 .............................. 8,155 3,600 FL State, Jacksonville Transportation Authority, Series 1985, 9.200% 1/1/15 ................................................... 2,000 2,670 GA Fulton County, Series 1992, 6.375% 1/1/14 ....................... 13,270 14,353 IL Chicago, Skyway Toll Bridge, Series 1994, 6.750% 1/1/17 ......... 1,500 1,631 MA Health and Educational Facilities Authority, Brigham and Women's Hospital, 6.750% 7/1/24 ......................................... 3,000 3,153 MD Washington Suburban Sanitary District, Series 1994: 6.600% 6/1/16 ................................................... 2,795 2,991 6.625% 6/1/17 ................................................... 1,660 1,778 6.625% 6/1/19 ................................................... 2,320 2,485 NC Eastern Municipal Power Agency, Series 1991 A, 6.500% 1/1/18 .... 4,315 4,665 NY New York City, Series 1995 D, 6.000% 2/15/25 ................... 5,165 5,448 SC Calhoun County, Solid Waste Disposal Facilities, Eastman Kodak Co., Series 1992, 6.750% 5/1/17 ........................... 3,000 3,278 SD State Student Loan Assistance Corp., Series 1989 B, 7.450% 8/1/00 5,000 5,091 ------- 58,186 STEIN ROE MANAGED MUNICIPALS FUND - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- OTHER REVENUE - 2.2% RECREATION - 2.0% CA Long Beach Aquarium of the Pacific, Series 1995 A: 6.125% 7/1/15 ................................................... $ 4,000 $ 3,862 6.125% 7/1/23.................................................... 6,000 5,601 ------- 9,463 RETAIL - 0.2% NJ State Economic Development Authority, Glimcher Properties L.P. Project, 6.000% 11/1/28..................................... 850 752 RESOURCE RECOVERY - 0.2% DISPOSAL IL Development Finance Authority, Waste Management, Inc., Series 1997, 5.050% 1/1/10 ............................................. 500 418 MI State Strategic Fund, United Waste Systems, Inc., Series 1995, 5.200% 4/1/10 ................................................... 500 433 ------- 851 TAX-BACKED - 24.0% LOCAL APPROPRIATED - 1.1% IL Chicago Board of Education, Series 1992 A, 6.000% 1/1/16 ........ 5,000 5,098 LOCAL GENERAL OBLIGATIONS - 7.3% AK North Slope Borough, Series 1999 B, (c) 6/30/10 ................. 2,515 1,407 CA Golden West School Financing Authority, Series 1999 A, (c) 8/1/15........................................ 2,500 1,009 CA Union Elementary School District, Series 1999 A, (c) 9/1/17 ..... 2,300 797 FL Broward County, Series 1986: 12.500% 1/1/03 .................................................. 1,000 1,216 12.500% 1/1/04 .................................................. 1,195 1,525 12.500% 1/1/05................................................... 2,000 2,665 HI Honolulu, Series 1998, 4.500% 7/1/28 ............................ 2,000 1,513 IL Champaign County, Series 1999, 8.250% 1/1/20 .................... 1,015 1,266 IL Chicago Board of Education, Series 1996, 6.250% 12/1/12 ......... 2,500 2,676 IL Chicago Public Building Commission, Series 1999 B, 5.250% 12/1/18 .................................................. 2,000 1,829 IL Will County Forest Preservation District, Series 1999, (c) 12/1/16 4,660 1,664 LA New Orleans: Series 1991, (c) 9/1/12 ......................................... 6,250 3,056 Series 1998, 4.750% 12/1/26 ..................................... 2,000 1,596 MO Springfield School District No. R-12, Series 1991 B, 9.500% 3/1/07.................................................... 600 756 NY New York City, Series 1995 D, 6.000% 2/15/25..................... 7,815 7,607 NY Yonkers, Series 1999 A, 4.500% 12/1/17 .......................... 1,000 813 TX North East Independent School District, Series 1999, 4.500% 10/1/28 .................................................. 2,000 1,514 VA Virginia Beach, Series 1986, 12.750% 7/15/01 .................... 2,000 2,242 ------- 35,151 SPECIAL NON-PROPERTY TAX - 3.5% IL Metropolitan Pier & Exposition Authority, Series 1996 A: (c) 6/15/12...................................................... 5,000 2,462 (c) 12/15/12..................................................... 8,300 3,972 IL State, Series 1992 Q, 6.000% 6/15/12 ............................ 10,000 10,458 ------- 16,892 STEIN ROE MANAGED MUNICIPALS FUND - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- RESOURCE RECOVERY - CONT. SPECIAL PROPERTY TAX - 0.5% CA Capistrano Unified School District, Ladera Community Facilities District No. 98-2, Series 1999, 5.750% 9/1/29................... $ 1,000 $ 860 CA Santa Margarita Water District, Series 1999, 6.250% 9/1/29 ...... 750 698 FL Indigo Community Development District, Series 1999 B, 6.400% 5/1/06 ................................................... 1,000 988 ------- 2,546 STATE APPROPRIATED - 0.9% KY State Turnpike Authority, Series 1992, (c) 1/1/10 ............... 7,500 4,338 STATE GENERAL OBLIGATIONS - 10.7% FL State, Broward County Expressway, Series 1984, 9.875% 7/1/09..... 1,100 1,430 IL Chicago Board of Education, Series 1999 A, 5.500% 12/1/26 ....... 2,250 2,078 MA Massachusetts Bay Transportation Authority: Series 1992 B, 6.200% 3/1/16 .................................... 9,825 10,285 Series 1994 A: 7.000% 3/1/14.................................................. 3,150 3,573 7.000% 3/1/19 ................................................. 2,500 2,811 MA State College Building Authority Project: Series A, 7.500% 5/1/11.......................................... 1,500 1,778 Series 1994 A, 7.500% 5/1/14 .................................... 3,500 4,135 NJ State General Obligation, Series D, 6.000% 2/15/11 .............. 5,150 5,490 NV Clark County, Series 1998 B, 4.500% 12/1/17 ..................... 2,675 2,177 PA State, Series 1992 2, 6.250% 7/1/12 ............................. 11,200 12,089 WA State, Series 1992 B, 6.000% 6/1/13 ............................. 5,090 5,344 ------- 51,190 TRANSPORTATION - 11.9% AIR TRANSPORTATION - 3.1% IN Indianapolis Airport Authority, United Airlines Project, Series A, 6.500% 11/15/31 ................................................. 5,000 4,675 NJ State Economic Development Authority, Continental Airlines, Inc., Series 1999, 6.400% 9/15/23...................................... 2,000 1,880 NY New York City Industrial Development Agency, Terminal One Group Assoc. Project, 6.000% 1/1/15.............................. 8,340 8,307 ------- 14,862 AIRPORTS - 2.3% GA Atlanta, Airport Facilities, Series 1996, 6.500% 1/1/10 ......... 2,000 2,184 HI State, Airport System Revenue, Series 1991, 6.900% 7/1/12........ 6,000 6,649 IN State Transportation Finance Authority, Airport Facilities Lease, Series 1992 A, 6.250% 11/1/16 ................................... 1,475 1,476 MA State Port Authority, Series 1999, 7.750% 7/1/29 ................ 1,000 930 ------- 11,239 TOLL FACILITIES - 5.4% IL State Toll Highway Authority, Series 1992 A, 6.300% 1/1/11 ...... 7,500 8,042 NY Triborough Bridge & Tunnel Authority: Series 1991 X, 6.625% 1/1/12 .................................... 9,915 11,019 Series 1992 Y, 6.125% 1/1/21..................................... 5,500 5,655 VA Richmond Metropolitan Authority, Series 1998, 5.250% 7/15/22 .... 1,100 992 ------- 25,708 STEIN ROE MANAGED MUNICIPALS FUND - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- TRANSPORTATION - CONT. TRANSPORTATION - 1.1% GA Metropolitan Atlanta Rapid Transit Authority, Series 1992 P, 6.250% 7/1/20 ................................................... $ 4,000 $ 4,151 OH Toledo-Lucas County Port Authority, CSX Transportation, Inc., Series 1992, 6.450% 12/15/21 .................................... 1,000 975 ------- 5,126 UTILITY - 18.7% INDEPENDENT POWER PRODUCER - 0.1% NY Suffolk County Industrial Development Agency, Nissequogue Cogen Partners, Series 1998, 5.500% 1/1/23 ............................ 500 429 INVESTOR OWNED - 3.2% IN Michigan City, Northern Indiana Public Service Co., Series 1973 A, 5.700% 10/1/03 .................................................. 6,995 7,006 KY Trimble County, Louisville Gas & Electric Co., Series 1990 A, 7.625% 11/1/20 .................................................. 6,670 6,927 MS State Business Finance Corp., Systems Energy Resources, Inc., Series 1999, 5.900% 5/1/22 ...................................... 1,600 1,384 ------- 15,317 JOINT POWER AUTHORITY - 8.1% GA Municipal Electric Authority, Series 1991 V, 6.600% 1/1/18 ...... 21,300 22,613 NC Eastern Municipal Power Agency, Series 1991 A, 6.500% 1/1/18 .... 2,185 2,135 NC State Municipal Power Agency, Catawba No. 1, Series 1992, (c) 1/1/09........................................................... 2,360 1,432 TX State Municipal Power Agency, (c) 9/1/08......................... 1,475 926 WA State Public Power Supply System, Nuclear Project No. 2: Series 1992 A, 6.300% 7/1/12 .................................. 3,500 3,715 Series 1989 B, (c) 7/1/08 ..................................... 7,000 4,396 Nuclear Project No. 3, Series 1989 B, (c) 7/1/05 ................ 5,000 3,762 ------- 38,979 MUNICIPAL ELECTRIC - 2.4% NC University of North Carolina at Chapel Hill, Series 1997, (c) 8/1/20........................................................... 1,750 498 SD Heartland Consumers Power District, Series 1992, 6.000% 1/1/17... 8,000 8,154 TX Austin, Series 1998, 5.250% 5/15/25 ............................. 3,000 2,687 ------- 11,339 WATER & SEWER - 4.9% DE State Economic Development Authority, Wilmington Suburban Water Corp.: Series 1992 B, 6.450% 12/1/07 ................................. 1,160 1,239 Series 1992 A, 6.800% 12/1/23 ................................. 3,500 3,558 FL Jacksonville, General Waterworks Corp., Series 1992, 6.750% 6/1/22 ................................................... 1,500 1,566 GA Fulton County, Series 1992, 6.375% 1/1/14 ...................... 430 463 MA State Water Resources Authority, Series 1998 B, 4.500% 8/1/22 ... 6,000 4,696 PA Allegheny County Sanitation Authority, Series 1991 A, (c) 6/1/07 2,370 1,600 PA Dauphin County Industrial Development Authority, Dauphin Water Supply Co., Series 1992 A, 6.900% 6/1/24 .......... 3,400 3,702 TX Houston, Series 1991 C: (c) 12/1/08 ..................................................... 4,000 2,476 (c) 12/1/09 ..................................................... 4,000 2,331 (c) 12/1/10...................................................... 3,750 2,050 ------- 23,681 ------- STEIN ROE MANAGED MUNICIPALS FUND - ---------------------------------------------------------------------------------------------------------- Continued Value - ---------------------------------------------------------------------------------------------------------- TOTAL MUNICIPAL BONDS (cost of $452,904) ................................................. $466,811 - ---------------------------------------------------------------------------------------------------------- OPTIONS - 0.1% Contracts - ---------------------------------------------------------------------------------------------------------- March 2000 Treasury Bond Put, Strike Price 91.875, Expiration 02/19/00 (cost of $583) .................................................... 38,500 391 March 2000 Treasury Bond Call, Strike Price 98.000, expiration 02/19/00 (cost of $531) ..................................................... 56,700 35 ------- TOTAL OPTIONS (cost of $1,114) ................................................... 426 - ---------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT - 97.5% (cost of $454,018)(d)............................................... 467,237 - ---------------------------------------------------------------------------------------------------------- Short-Term Obligations - 1.0% Par - ---------------------------------------------------------------------------------------------------------- VARIABLE RATE DEMAND NOTES (e) IL Galesburg, Knox College, Series 1999, 5.500% 7/1/24 ............. $ 900 900 IL Sauget, Monsanto Co., Series 1996, 5.650% 9/1/14 ................ 700 700 IL Will County, Amoco Corp., Series 1998, 5.350% 3/1/28 ............ 1,300 1,300 MN Minneapolis: Series 1994 A, 5.400% 12/1/05 ................................... 400 400 Series 1999, 5.400% 12/1/18 ..................................... 900 900 TX Gulf Coast Industrial Development Authority, Amoco Oil Co., Series 1993, 5.350% 4/1/28 ...................................... 600 600 ------- TOTAL SHORT-TERM OBLIGATIONS........................................... 4,800 - ---------------------------------------------------------------------------------------------------------- OTHER ASSETS, LESS LIABILITIES - 1.5%.................................. 7,171 -------- NET ASSETS - 100.0%.................................................... $479,208 ======== - ----------------------------------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS - -------------------------------------------------------------------------------- (a) The security is exempt from registration under Rule 144M of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers at December 31, 1999, the value of this security amounted to $1,945 or 0.4% of net assets. (b) The Fund has been informed that each issuer has placed direct obligations of the U.S. Government in an irrevocable trust, solely for the payment of the interest and principal. (c) Zero coupon bond. (d) Cost for financial statement and federal income tax purposes is the same. (e) Variable rate demand notes are considered short-term obligations. Interest rates change periodically on specified dates. These securities are payable on demand and are secured either by letters of credit or other credit support agreements from banks. The rates listed are as of December 31, 1999. See accompanying Notes to Financial Statements.
SR&F HIGH-YIELD MUNICIPALS PORTFOLIO - -------------------------------------------------------------------------------- Portfolio of Investments at December 31, 1999 (Unaudited) (All amounts in thousands) MUNICIPAL BONDS - 96.1% Par Value - ---------------------------------------------------------------------------------------------------------- EDUCATION - 3.3% EDUCATION - 0.9% IL State Development Finance Authority, Latin School of Chicago, Series 1998, 5.650% 8/1/28....................................... $ 1,725 $ 1,515 MN Victoria, Holy Family Catholic High School, Series 1999-A, 5.875% 9/1/29.................................................... 1,200 1,066 ------- 2,581 STUDENT LOANS - 2.4% NE Nebhelp, Inc., Series 1993 A-6, 6.450% 6/1/18.................... 4,000 4,020 NM State Educational Assistance Foundation, Series 1996 A-2, 6.650% 11/1/25................................................... 1,955 1,955 TX Brazos Higher Educational Facilities Authority, Series 1993 C-2, 5.875% 6/1/04.................................................... 390 393 ------- 6,368 HEALTHCARE - 19.7% CONGREGATE CARE RETIREMENT - 6.7% FL Orange County Health Facilities Authority, Orlando Lutheran Towers, Inc., Series 1996, 8.625% 7/1/20......................... 5,000 5,319 MA State Development Finance Agency, Series 1999-A: 5.625% 7/1/15.................................................... 500 436 5.750% 7/1/23.................................................... 250 211 NJ State Economic Development Authority, Winchester Gardens, Series 1996-A, 8.625% 11/1/25.................................... 5,000 5,381 TN Metropolitan Government, Nashville and Davidson County, Blakeford at Green Hills, Series 1998, 5.650% 7/1/24............. 1,500 1,215 TX Abilene Health Facilities Development Corp., Sears Methodist Retirement Obligation Group: Series 1998-A, 5.900% 11/15/25................................. 2,100 1,748 Series 1999, 6.000% 11/15/29................................... 500 419 WI State Health & Educational Facilities Authority: Attic Angel Obligated Group, 5.750% 11/15/27..................... 1,250 1,021 Clement Manor, Series 1998, 5.750% 8/15/24....................... 3,000 2,471 ------- 18,221 HEALTH SERVICES - 0.1% MA State Development Finance Agency, Boston Biomedical Research Institute, Series 1999, 5.650% 2/1/19............................ 250 215 HOSPITALS - 9.4% AZ Health Facilities Authority, Phoenix Memorial Hospital,Series 1991, 8.125% 6/1/12.................................................... 2,500 2,528 CO La Junta, Arkansas Valley Regional Medical Center, Series 1999, 6.100% 4/1/24.................................................... 500 439 CO State Health Care Facilities Authority, National Jewish Medical & Research Center, Series 1998, 5.375% 1/1/23...................... 250 200 FL Orange County Health Facilities Authority, Orlando Regional Healthcare System, Series 1999, 6.000% 10/1/26................... 1,200 1,123 IL Southwestern Illinois Development Authority, Anderson Hospital, Series 1999: 5.500% 8/15/20................................................. 500 414 5.625% 8/15/29................................................. 250 204 SR&F HIGH-YIELD MUNICIPALS PORTFOLIO - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- HEALTHCARE - CONT. HOSPITALS - (CONTINUED) IN State Health Facilities Financing Authority, Riverview Hospital, Series 1999, 5.500% 8/1/24....................................... $ 575 $ 475 KS Wichita, CSJ Health System of Wichita, Inc., Series 1991-X, 7.000% 11/15/18.................................................. 2,000 2,123 LA State Public Facilities Authority, Touro Infirmary, Series 1999, 5.625% 8/15/29................................................... 1,500 1,241 MA State Health & Educational Facilities Authority, Dana Farber Cancer Institute, Series 1995 G-1, 6.250% 12/1/22................ 2,000 1,934 MI Dickinson County, Series 1999, 5.800% 11/1/24.................... 1,300 1,100 MI State Hospital Finance Authority, Detroit Medical Center, Series 1998-A, 5.250% 8/15/28.................................... 1,000 752 MN Maplewood, Healtheast, Inc., Series 1996, 5.700% 11/15/02........ 500 488 NC State Medical Care Commission, Stanley Memorial Hospital, Series 1999, 6.375% 10/1/29...................................... 1,000 973 NH State Higher Educational & Health Facilities Authority, Littleton Hospital Assoc., Inc., Series 1998-A, 6.000% 5/1/28.............. 1,000 843 OH Franklin County, Doctors OhioHealth Corp., Series 1998-A, 5.600% 12/1/28................................................... 2,650 2,155 OH Highland County Joint Township Hospital District, Series 1999, 6.750% 12/1/29................................................... 1,250 1,142 OH Miami County, Upper Valley Medical Center, Inc., Series 1996-A, 6.375% 5/15/26................................................... 1,015 929 PA Philadelphia Hospitals & Higher Education Facilities Authority, Temple University Hospital, Series 1997, 5.875% 11/15/23......... 3,160 2,686 TX Richardson Hospital Authority, Baylor Richardson Medical Center, Series 1998, 5.625% 12/1/28...................................... 900 733 TX Tyler Health Facilities Development Corp., Mother Frances Hospital, Series 1997-A, 5.625% 7/1/13..................................... 1,785 1,585 WA State Health Care Facilities Authority, Sacred Heart Medical Center, Series 1992, 6.875% 2/15/12...................................... 1,500 1,588 ------- 25,655 INTERMEDIATE CARE FACILITIES - 0.6% IL State Development Finance Authority, Hoosier Care, Inc., Series 1999-A, 7.125% 6/1/34..................................... 1,500 1,361 IN State Health Facilities Financing Authority, Hoosier Care, Inc., Series 1999-A, 7.125% 6/1/34..................................... 150 136 ------- 1,497 NURSING HOMES - 2.9% AK Juneau, St. Ann's Care Center, Series 1999, 6.875% 12/1/25....... 700 637 CO State Health Facilities Authority, Volunteers of America Care Facilities, Inc., Series 1999-A, 5.750% 7/1/10................... 1,095 1,001 IN State Health Facilities Financing Authority, Metro Health Indiana, Inc., Series 1998, 6.400% 12/1/33....................... 1,500 1,292 MA State Development Finance Agency, Alliance Health Care Facilities, Series 1999, 7.100% 7/1/32....................................... 1,250 1,176 MN Minneapolis, Walker Methodist Senior Services Group, Series 1998-C, 6.000% 11/15/28................................... 1,300 1,079 MN New Hope, North Ridge Care Center, Inc., Series 1999, 5.875% 3/1/29.................................................... 900 759 MN Sartell, Foundation for Healthcare, Series 1999-A, 6.625% 9/1/29. 2,000 1,782 ------- 7,726 SR&F HIGH-YIELD MUNICIPALS PORTFOLIO - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- HOUSING - 7.8% ASSISTED LIVING/SENIOR - 1.9% DE Kent County, Heritage at Dover, Series 1999, 7.625% 1/1/30....... $ 1,500 $ 1,451 GA Columbus Housing Authority, The Gardens at Calvary, Series 1999, 7.000% 11/15/29.................................................. 1,000 918 LA State Public Facilities Authority, Progressive Healthcare Providers, Inc., Series 1998, 6.375% 10/1/28................................ 2,000 1,740 NC State Medical Care Commission, DePaul Community Facilities Project, Series 1999, 7.625% 11/1/29............................. 1,250 1,211 ------- 5,320 MULTI-FAMILY - 4.0% Charter Mac Equity Issue Trust, 6.625% 6/30/49 (a).................. 2,000 1,945 CO State Health Facilities Authority, Birchwood Manor Series 1991-A, 7.250% 4/1/11.................................................... 610 623 FL Housing Finance Agency, Palm Aire Retirement Facility Project, Series 1989-S, 10.000% 1/1/20 (b)................................ 2,731 2,676 GA Clayton County Housing Authority, Magnolia Park Apartments, Series 1999-A, 6.250% 6/1/30..................................... 1,000 911 IL State Development Finance Authority, Catholic Charities Housing Development Corp., Series 1993-C, 5.950% 1/1/09.................. 1,400 1,356 IL State Housing Development Authority, Series 1991-C, 7.400% 7/1/23.................................................... 140 146 IN New Castle, Raintree Apartments, Series 1988-B, (c) 3/1/18 (b) .................................................. 30,655 77 MO State Health & Educational Facilities Authority, Lutheran Senior Services, Series 1997, 5.750% 2/1/17............................. 2,000 1,830 OH Greater Allen County Housing Development Authority, Steiner-McBride Apartments, 10.250% 9/1/03....................... 1,260 1,260 ------- 10,824 SINGLE FAMILY - 1.9% IA State Housing Finance Authority, Series 1984-A, (c) 9/1/16....... 9,590 1,515 ID State Housing Agency, Series 1991-B, 7.500% 7/1/24............... 1,465 1,516 MT State Housing Board: Series 1991 B-1, 7.300% 10/1/17.................................. 300 308 Series 1991 B-2, 7.500% 4/1/23................................... 330 339 UT State Housing Finance Agency: Series 1991 B-2, 7.750% 1/1/23................................... 60 61 Series 1991 C-3, 7.550% 7/1/23................................... 150 154 WA State Housing Finance Commission, Series 1991-C: (c) 1/1/22....................................................... 995 195 (c) 7/1/22....................................................... 1,090 205 (c) 1/1/23....................................................... 1,100 200 (c) 7/1/23....................................................... 1,100 193 (c) 1/1/24....................................................... 1,100 186 (c) 7/1/24....................................................... 1,100 179 ------- 5,051 SR&F HIGH-YIELD MUNICIPALS PORTFOLIO - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- INDUSTRIAL - 10.4% FOOD PRODUCTS - 3.3% GA Cartersville Development Authority, Anheuser Busch Cos., Inc., Series 1999, 7.375% 5/1/09....................................... $ 3,000 $ 3,381 IN Hammond, American Maize Products Co., Series 1994, 8.000% 12/1/24................................................... 4,000 4,320 MI State Strategic Fund, Michigan Sugar Co., Carrolton Project, Series 1998-C, 6.550% 11/1/25.................................... 1,500 1,350 ------- 9,051 FOREST PRODUCTS - 4.0% GA Rockdale County Development Authority, Solid Waste Disposal, Visy Paper, Inc., Series 1993, 7.500% 1/1/26..................... 1,000 1,030 IN Jasper County, Georgia Pacific Corp., Series 1999, 5.600% 4/1/29. 1,000 844 LA De Soto Parish, International Paper Co., Series-A, 7.700% 11/1/18 2,500 2,710 MS Lowndes County, Weyerhaeuser Corp., Series 1992-A, 6.800% 4/1/22.................................................... 5,995 6,350 ------- 10,934 METALS & MINING - 2.2% IN State Development Finance Authority, Inland Steel, Series A, 5.750% 10/1/11................................................... 5,000 4,312 NV State Department of Business & Industry, Wheeling-Pittsburgh Steel Corp., Series 1999-A, 8.000% 9/1/14........................ 250 238 VA Greensville County Industrial Development Authority, Wheeling Steel, Series 1999-A: 6.375% 4/1/04.................................................. 125 120 7.000% 4/1/14.................................................. 555 508 VA Peninsula Ports Authority, Ziegler Coal Project, Series 1997, 6.900% 5/2/22.................................................... 825 712 ------- 5,890 OIL & GAS - 0.9% TX Texas City Industrial Development Corp., Arco Pipe Line Co. Project, Series 1990, 7.375% 10/1/20...................................... 2,000 2,308 OTHER - 14.6% OTHER - 0.4% NY Westchester Tobacco Asset Securitization Corp., Series 2021, (c) 7/15/29...................................................... 1,250 1,033 REFUNDED/ESCROWED (D) - 14.2% CO Adams County, Series 1991-B: 11.250% 9/1/11.................................................... 325 468 11.250% 9/1/11.................................................... 360 528 11.250% 9/1/11.................................................... 220 329 11.250% 9/1/12.................................................... 1,440 2,183 CO Denver City and County Airport, Series D, 7.750% 11/15/21........ 830 892 CO State Health Facilities Authority, PSL Health Systems, Series 1991-B, 8.500% 2/15/21................................................... 3,250 3,458 FL Leesburg, Leesburg Regional Medical Center, Series 1991-A, 7.375% 7/1/11.................................................... 775 838 IL Chicago, Skyway Toll Bridge, Series 1994, 6.750% 1/1/17.......... 1,500 1,631 SR&F HIGH-YIELD MUNICIPALS PORTFOLIO - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- OTHER - CONT. REFUNDED/ESCROWED (D) - (CONTINUED) IL Health Facility Authority, Edward Hospital Association Project, Series 1992, 7.000% 2/15/22...................................... $ 685 $ 729 IL Health Facility Authority, United Medical Center-Formerly, Series 1991, 8.125% 7/1/06....................................... 2,015 2,161 IN Indianapolis Local Public Improvement Bond Bank, Series 1999-E, 6.700% 1/1/17 (e)................................................ 5,900 6,241 LA State Public Facilities Authority, Womans Hospital Foundation, Series 1992, 7.250% 10/1/22...................................... 2,300 2,481 MI Adams County, Jefferson Davis Memorial Hospital, Series 1991, 7.900% 10/1/08................................................... 750 805 NC Eastern Municipal Power Agency, Series 1991-A, 6.500% 1/1/18..... 3,320 3,589 PA Allentown Area Hospital Authority, Sacred Heart Hospital of Allentown, Series 1991, 7.500% 7/1/06............................ 3,460 3,634 PA Montgomery County Higher Education & Health Authority, Jeanes Hospital, Series 1990, 8.750% 7/1/20...................... 3,200 3,334 SD State Student Loan Assistance Corp., Series 1989-C, 7.450% 8/1/00.................................................... 2,700 2,749 WA Quincy, Series 1990-I, 9.250% 11/1/10............................ 2,255 2,346 ------- 38,396 OTHER REVENUE - 2.0% RECREATION CA Long Beach Aquarium of the Pacific, Series 1995-A, 6.125% 7/1/23.................................................... 5,750 5,368 RESOURCE RECOVERY - 0.1% DISPOSAL IL Development Finance Authority, Waste Management, Inc., Series 1997, 5.050% 1/1/10....................................... 250 209 TAX-BACKED - 10.2% LOCAL APPROPRIATED - 0.9% PA Philadelphia Municipal Authority, Series 1993-D, 6.250% 7/15/13................................................... 2,500 2,509 LOCAL GENERAL OBLIGATIONS - 2.5% NY New York City: Series 1996-B, 7.250% 8/15/07.................................... 1,000 1,119 Series G, 5.750% 2/1/14.......................................... 5,720 5,665 ------- 6,784 SPECIAL NON-PROPERTY TAX - 1.2% MO St. Louis County Industrial Development Authority, Kiel Center Arena, Series 1992, 7.875% 12/1/24........................ 3,000 3,154 SPECIAL PROPERTY TAX - 2.5% CA Orange County Community Facilities District, Ladera Ranch, Series 1999 A, 6.500% 8/15/21.................................... 1,000 962 FL Heritage Palms Community Development District, Series 1999, 6.250% 11/1/04................................................... 1,000 988 FL Heritage Springs Community Development District, Series 1999-B, 6.250% 5/1/05.................................................... 1,250 1,234 SR&F HIGH-YIELD MUNICIPALS PORTFOLIO - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- TAX-BACKED - CONT. SPECIAL PROPERTY TAX - (CONTINUED) FL Indigo Community Development District, Series 1999-B, 6.400% 5/1/06.................................................... $ 1,000 $ 988 FL Northern Palm Beach County Improvement District, Series 1999, 6.000% 8/1/29.................................................... 750 687 FL Orlando, Conroy Road Interchange Project, Series 1998-A: 5.500% 5/1/10.................................................... 200 189 5.800% 5/1/26.................................................... 500 432 FL Stoneybrook Community Development District: Series 1998-A, 6.100% 5/1/19..................................... 330 309 Series 1998-B, 5.700% 5/1/08..................................... 975 936 ------- 6,725 STATE APPROPRIATED - 0.8% NY Triborough Bridge & Tunnel Authority, Javits Convention Center Project, Series-E, 7.250% 1/1/10................................. 2,000 2,220 STATE GENERAL OBLIGATIONS - 2.3% MA Massachusetts Bay Transportation Authority, Series 1992-B, 6.200% 3/1/16.................................................... 5,825 6,098 TRANSPORTATION - 7.0% AIR TRANSPORTATION - 5.4% IN Indianapolis Airport Authority, Federal Express Corp., Series 1994, 7.100% 1/15/17................................................... 4,000 4,131 NY New York City Industrial Development Agency, Terminal One Group Association Project, 6.000% 1/1/15......................... 3,465 3,452 PA Philadelphia Authority for Industrial Development, Aero Philadelphia, Series 1999, 5.500% 1/1/24......................... 1,000 836 TX Alliance Airport Authority, AMR Corp., Series 1991, 7.000% 12/1/11................................................... 4,070 4,283 TX Houston Airport System, Continental Airline Terminal, Series B, 6.125% 7/15/17................................................... 2,000 1,838 ------- 14,540 AIRPORTS - 1.6% CO Denver City and County Airport, Series D, 7.750% 11/15/21........ 3,170 3,358 IN State Transportation Finance Authority, Airport Facilities Lease, Series 1992-A, 6.250% 11/1/16.................................... 950 951 ------- 4,309 UTILITY - 21.0% INDEPENDENT POWER PRODUCER - 5.5% OH State Water Development Authority, Bay Shore Power Project, Series 1998-A, 5.875% 9/1/20..................................... 3,500 2,971 PA State Economic Development Financing Authority, Northampton Generating: Series A, 6.500% 1/1/13........................................ 2,000 1,984 Series 1994-B, 6.750% 1/1/07................................... 3,000 3,061 VA Pittsylvania County Industrial Development Authority, Multitrade of Pittsylvania, Series 1994-A: 7.450% 1/1/09.................................................. 3,500 3,622 7.550% 1/1/19.................................................. 3,100 3,208 ------- 14,846 SR&F HIGH-YIELD MUNICIPALS PORTFOLIO - ---------------------------------------------------------------------------------------------------------- Continued Par Value - ---------------------------------------------------------------------------------------------------------- UTILITY - CONT. INVESTOR OWNED - 6.9% CT State Development Authority, Connecticut Light & Power Co., Series 1993-A, 5.850% 9/1/28..................................... $ 2,900 $ 2,570 LA Calcasieu Parish Industrial Development Board, Entergy Gulf States, Inc., Series 1999, 5.450% 7/1/10......................... 500 467 LA West Feliciana Parish, Entergy Gulf States, Inc., Series 1999-B, 6.600% 9/1/28.................................................... 250 238 MS State Business Finance Corp., Systems Energy Resources, Inc., Series 1999, 5.900% 5/1/22....................................... 1,250 1,081 NM Farmington: Public Service Co. of New Mexico, Series 1996-A, 6.300% 12/1/16................................................. 5,000 4,830 Tucson Electric Power Co., Series 1997-A, 6.950% 10/1/20......... 2,000 1,945 NV Humboldt County Pollution Control Revenue, Idaho Power Co. Project, 8.300% 12/1/14.......................................... 2,000 2,239 PA Beaver County Industrial Development Authority, Toledo Edison Co., Series 1995, 7.625% 5/1/20....................................... 4,900 5,249 ------- 18,619 JOINT POWER AUTHORITY - 5.7% GA Municipal Electric Authority, Series 1991-V, 6.600% 1/1/18....... 6,065 6,439 NC Eastern Municipal Power Agency, Series 1991-A, 6.500% 1/1/18..... 1,680 1,642 WA State Public Power Supply System, Nuclear Project No. 2: Series 1991-A, (c) 7/1/07........................................ 6,945 4,630 Series 1992-A, 6.300% 7/1/12..................................... 2,500 2,653 ------- 15,364 WATER & SEWER - 2.9% PA Dauphin County Industrial Development Authority, Dauphin Water Supply Co., Series 1992-A, 6.900% 6/1/24................... 3,200 3,484 PA Philadelphia, Series 1992-10, 7.350% 9/1/04 (e).................. 4,060 4,357 ------- 7,841 ------- TOTAL MUNICIPAL BONDS (cost of $262,963) (f).............................................. 259,656 ------- - ---------------------------------------------------------------------------------------------------------- SR&F HIGH-YIELD MUNICIPALS PORTFOLIO - ---------------------------------------------------------------------------------------------------------- Continued SHORT-TERM OBLIGATIONS - 1.8% Par Value - ---------------------------------------------------------------------------------------------------------- VARIABLE RATE DEMAND NOTES (g) MI Flint Hospital Building Authority, Hurley Medical Center, Series 1995 B, 5.500% 7/1/15..................................... $ 600 $ 600 MN Minneapolis, Series B, 5.500% 12/1/07............................ 3,180 3,180 MO State Environmental Improvement & Energy Resource Authority, Monsanto Co., Series 1993, 5.500% 6/1/23......................... 200 200 TX Gulf Coast Waste Disposal Authority, Monsanto Co., Series 1996, 4.750% 7/1/01.................................................... 800 800 ------- TOTAL SHORT-TERM OBLIGATIONS........................................... 4,780 - ---------------------------------------------------------------------------------------------------------- OTHER ASSETS & LIABILITIES, NET - 2.1%................................. 5,732 -------- NET ASSETS - 100.0%.................................................... $270,168 ======== - ----------------------------------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS - -------------------------------------------------------------------------------- (a) This security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 1999, the value of this security amounted to $1,945 or 0.1% of net assets. (b) This issuer is in default of certain debt covenants. Income is not being accrued. (c) Zero coupon bond. (d) The Fund has been informed that each issuer has placed direct obligations of the U.S. Government in an irrevocable trust solely for the payment of principal and interest. (e) These securities, or a portion thereof, with a total market value of $10,598, are being used to collateralize open futures contracts. (f) Cost for financial statement and federal income tax purposes is the same. (g) Variable rate demand notes are considered short-term obligations. Interest rates change periodically on specified dates. These securities are payable on demand and are secured by either letters of credit or other credit support agreements from banks. The rates listed are as of December 31, 1999. Short futures contracts open at December 31, 1999: Unrealized Par value Expiration appreciation Type covered by contracts month at 12/31/99 ---- ---------------- --------- ---------- Municipal Bond 4,900 March $14 See notes to financial statements.
STATEMENTS OF ASSETS AND LIABILITIES - -------------------------------------------------------------------------------- December 31, 1999 (Unaudited) (All amounts in thousands, except per-share data) STEIN ROE MUNICIPAL STEIN ROE STEIN ROE STEIN ROE MONEY INTERMEDIATE MANAGED HIGH-YIELD MARKET MUNICIPALS MUNICIPALS MUNICIPALS FUND FUND FUND FUND --------- --------- --------- --------- ASSETS Investment in Portfolio, at value .............................................. $ 119,310 $ -- $ -- $ 270,000 Investments, at market value (cost $136,061 and $454,018, respectively) ........ -- 139,750 467,237 -- Short-term obligations ......................................................... -- 2,000 4,800 Interest receivable ............................................................ -- 2,599 9,133 -- Receivable for investments sold ................................................ -- 160 215 -- Receivable for fund shares sold ................................................ 982 76 2,232 -- Cash ........................................................................... 31 73 51 25 Other assets ................................................................... 19 35 81 42 --------- --------- --------- --------- Total assets ................................................................ 120,342 144,693 483,749 270,067 --------- --------- --------- --------- LIABILITIES Payable for investments purchased .............................................. 469 -- -- -- Dividends payable .............................................................. 291 388 4,437 688 Payable for fund shares repurchased ............................................ -- 686 95 184 Payable to investment Advisor and transfer agent ............................... -- 40 -- 59 Other liabilities .............................................................. -- -- 9 220 --------- --------- --------- --------- Total liabilities ........................................................... 760 1,114 4,541 1,151 --------- --------- --------- --------- Net Assets .................................................................. $ 119,582 $ 143,579 $ 479,208 $ 268,916 ========= ========= ========= ========= ANALYSIS OF NET ASSETS Paid-in capital ................................................................ $ 119,541 $ 140,170 $ 467,656 $ 278,214 Undistributed (overdistributed) net investment income .......................... 49 55 (267) (295) Accumulated net realized loss on investments and futures transactions .......... (8) (335) (1,400) (5,725) Net unrealized appreciation (depreciation) on investments and futures transactions..................................................... -- 3,689 13,219 (3,278) --------- --------- --------- --------- Net Assets .................................................................. $ 119,582 $ 143,579 $ 479,208 $ 268,916 ========= ========= ========= ========= Shares outstanding (unlimited number authorized) ............................... 119,483 13,180 56,064 24,241 ========= ========= ========= ========= Net asset value per share ...................................................... $ 1.00 $ 10.89 $ 8.55 $ 11.09 ========= ========= ========= ========= See accompanying Notes to Financial Statements.
STATEMENTS OF OPERATIONS - -------------------------------------------------------------------------------- For the Six Months Ended December 31, 1999 (Unaudited) (All amounts in thousands) STEIN ROE MUNICIPAL STEIN ROE STEIN ROE STEIN ROE MONEY INTERMEDIATE MANAGED HIGH-YIELD MARKET MUNICIPALS MUNICIPALS MUNICIPALS FUND FUND FUND FUND -------- -------- -------- -------- INVESTMENT INCOME Interest allocated from Portfolio ............................... $ 2,079 $ -- $ -- $ 9,147 Interest ........................................................ -- 4,309 15,531 -- -------- -------- -------- -------- Total investment income ...................................... 2,079 4,309 15,531 9,147 -------- -------- -------- -------- EXPENSES Management fees ................................................. -- 346 1,070 -- Expenses allocated from Portfolio ............................... 172 -- -- 726 Transfer agent fees ............................................. 86 113 364 202 Administrative fees ............................................. 144 110 300 191 Accounting fees ................................................. 14 14 18 16 Trustees fees ................................................... 5 6 20 3 Custodian fees .................................................. 1 1 1 -- Audit fees ...................................................... 3 9 10 4 Legal fees ...................................................... 1 2 3 -- Registration fees ............................................... 18 6 16 4 Reports to shareholders ......................................... 3 2 1 4 Other, net ...................................................... 2 -- (133) (72) -------- -------- -------- -------- Total expenses ............................................... 449 609 1,670 1,078 Reimbursement of expenses by investment Advisor ................. (48) (64) -- -- -------- -------- -------- -------- Net expenses ................................................. 401 545 1,670 1,078 -------- -------- -------- -------- NET INVESTMENT INCOME ........................................ 1,678 3,764 13,861 8,069 -------- -------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES TRANSACTIONS Net realized gain (loss) on investments and futures transactions allocated from Portfolio ..................................... -- -- -- 3,760 Net realized gain (loss) on investments ......................... -- (273) 541 -- Net change in unrealized appreciation/depreciation on investments and futures transactions ..................................... -- (3,587) (24,508) (18,980) -------- -------- -------- -------- Net loss on investments and futures transactions ............. -- (3,860) (23,967) (15,220) -------- -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS . $ 1,678 $ (96) $(10,106) $ (7,151) ======== ======== ======== ======== See accompanying Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS - -------------------------------------------------------------------------------- (All amounts in thousands)
STEIN ROE STEIN ROE MUNICIPAL MONEY INTERMEDIATE MARKET FUND MUNICIPALS FUND ------------------------ ------------------------ (UNAUDITED) (UNAUDITED) SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 1999 1999 1999 1999 ------------------------ ------------------------ OPERATIONS Net investment income ...................................................... $ 1,678 $ 3,249 $ 3,764 $ 8,888 Net realized gain (loss) on investments .................................... -- -- (273) 1,053 Net realized gain on investments and futures transactions allocated from Portfolio ................................................ -- -- -- -- Net change in unrealized appreciation/depreciation on investments and futures transactions ................................................ -- -- (3,587) (5,460) --------- --------- --------- --------- Net increase (decrease) in net assets resulting from operations ......... 1,678 3,249 (96) 4,481 --------- --------- --------- --------- DISTRIBUTIONS TO SHAREHOLDERS Distributions from net investment income ................................... (1,641) (3,252) (3,760) (8,885) Distributions from net capital gains ....................................... -- -- (737) (926) --------- --------- --------- --------- Total distributions to shareholders ..................................... (1,641) (3,252) (4,497) (9,811) --------- --------- --------- --------- SHARE TRANSACTIONS Subscriptions to fund shares ............................................... 69,586 197,191 11,883 31,678 Value of distributions reinvested .......................................... 1,533 2,897 3,272 6,806 Redemptions of fund shares ................................................. (70,606) (196,332) (35,879) (59,909) --------- --------- --------- --------- Net increase (decrease) from share transactions ......................... 513 3,756 (20,724) (21,425) --------- --------- --------- --------- Net increase (decrease) in net assets ................................... 550 3,753 (25,317) (26,755) NET ASSETS Beginning of period ........................................................ 119,032 115,279 168,896 195,651 --------- --------- --------- --------- End of period .............................................................. $ 119,582 $ 119,032 $ 143,579 $ 168,896 ========= ========= ========= ========= Undistributed (overdistributed) net investment income ...................... $ 49 $ 12 $ 55 $ 51 ========= ========= ========= ========= ANALYSIS OF CHANGES IN SHARES OF BENEFICIAL INTEREST Subscriptions to fund shares ............................................... 69,586 197,191 1,078 2,720 Issued in reinvestment of distributions .................................... 1,533 2,897 296 586 Redemptions of fund shares ................................................. (70,606) (196,332) (3,236) (5,169) --------- --------- --------- --------- Net increase (decrease) in fund shares .................................. 513 3,756 (1,862) (1,863) Shares outstanding at beginning of period .................................. 118,970 115,214 15,042 16,905 --------- --------- --------- --------- Shares outstanding at end of period ........................................ 119,483 118,970 13,180 15,042 ========= ========= ========= ========= See accompanying Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS - -------------------------------------------------------------------------------- (All amounts in thousands) STEIN ROE STEIN ROE MANAGED HIGH-YIELD MUNICIPALS FUND MUNICIPALS FUND ------------------------ ------------------------ (UNAUDITED) (UNAUDITED) SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 1999 1999 1999 1999 ------------------------ ------------------------ OPERATIONS Net investment income ...................................................... $ 13,861 $ 28,799 $ 8,069 $ 17,255 Net realized gain on investments ........................................... 541 5,166 -- -- Net realized gain on investments and futures transactions allocated from Portfolio ................................................ -- -- 3,760 3,655 Net change in unrealized appreciation/depreciation on investments and futures transactions ................................................ (24,508) (23,858) (18,980) (10,380) --------- --------- --------- --------- Net increase (decrease) in net assets resulting from operations ......... (10,106) 10,107 (7,151) 10,530 --------- --------- --------- --------- DISTRIBUTIONS TO SHAREHOLDERS Distributions from net investment income ................................... (13,912) (28,945) (8,122) (17,606) Distributions from net capital gains ....................................... (5,798) -- -- -- --------- --------- --------- --------- Total distributions to shareholders ..................................... (19,710) (28,945) (8,122) (17,606) --------- --------- --------- --------- SHARE TRANSACTIONS Subscriptions to fund shares ............................................... 14,209 43,856 31,755 57,493 Value of distributions reinvested .......................................... 10,959 16,296 5,452 11,152 Redemptions of fund shares ................................................. (54,466) (86,130) (50,892) (105,475) --------- --------- --------- --------- Net decrease from share transactions .................................... (29,298) (25,978) (13,685) (36,830) --------- --------- --------- --------- Net decrease in net assets .............................................. (59,114) (44,816) (28,958) (43,906) NET ASSETS Beginning of period ........................................................ 538,322 583,138 297,874 341,780 --------- --------- --------- --------- End of period .............................................................. $ 479,208 $ 538,322 $ 268,916 $ 297,874 ========= ========= ========= ========= Undistributed (overdistributed) net investment income ...................... $ (267) $ (216) $ (295) $ (242) ========= ========= ========= ========= ANALYSIS OF CHANGES IN SHARES OF BENEFICIAL INTEREST Subscriptions to fund shares ............................................... 1,426 4,661 2,799 4,792 Issued in reinvestment of distributions .................................... 1,438 1,735 479 932 Redemptions of fund shares ................................................. (6,178) (9,176) (4,480) (8,823) --------- --------- --------- --------- Net increase (decrease) in fund shares .................................. (3,314) (2,780) (1,202) (3,099) Shares outstanding at beginning of period .................................. 59,378 62,158 25,443 28,542 --------- --------- --------- --------- Shares outstanding at end of period ........................................ 56,064 59,378 24,241 25,443 ========= ========= ========= ========= See accompanying Notes to Financial Statements.
STATEMENTS OF ASSETS AND LIABILITIES - -------------------------------------------------------------------------------- December 31, 1999 (Unaudited) (All amounts in thousands) SR&F SR&F MUNICIPAL HIGH-YIELD MONEY MARKET MUNICIPALS PORTFOLIO PORTFOLIO -------- -------- ASSETS Investments, at market value (cost $136,182 and $262,963, respectively) ..... $136,182 $259,656 Short-term obligations ...................................................... -- 4,780 Interest receivable ......................................................... 840 5,350 Receivable for investments sold ............................................. 788 427 Cash ........................................................................ -- 35 Variation margin receivable on futures ...................................... -- 1 Other assets ................................................................ 10 -- -------- -------- Total assets ............................................................. 137,820 270,249 -------- -------- LIABILITIES Payable for investments purchased ........................................... 2,143 -- Payable to investment Advisor ............................................... 1 10 Other liabilities ........................................................... 62 71 -------- -------- Total liabilities ........................................................ 2,206 81 -------- -------- Net assets applicable to investors' beneficial interest .................. $135,614 $270,168 ======== ========
STATEMENTS OF OPERATIONS - -------------------------------------------------------------------------------- For the Six Months Ended December 31, 1999 (Unaudited) (All amounts in thousands) SR&F SR&F MUNICIPAL HIGH-YIELD MONEY MARKET MUNICIPALS PORTFOLIO PORTFOLIO -------- -------- INVESTMENT INCOME Interest .................................................................... $ 2,348 $ 9,164 -------- -------- EXPENSES Management fees ............................................................. 162 622 Accounting fees ............................................................. 14 16 Transfer agent fees ......................................................... 3 3 Trustees fees ............................................................... 7 10 Custodian fees .............................................................. 3 1 Audit fees .................................................................. 5 8 Other ....................................................................... -- 68 -------- -------- Total expenses ........................................................... 194 728 -------- -------- NET INVESTMENT INCOME .................................................... 2,154 8,436 -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES TRANSACTIONS Net realized gain on investments and futures transactions ................... -- 3,731 Net change in unrealized appreciation/depreciation on investments and futures transactions ................................................. -- (18,977) -------- -------- Net loss on investments and futures transactions ......................... -- (15,246) -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ............. $ 2,154 $ (6,810) ======== ======== See accompanying Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS (All amounts in thousands)
SR&F SR&F MUNICIPAL HIGH-YIELD MUNICIPALS MONEY MARKET PORTFOLIO PORTFOLIO -------------------------- -------------------------- (UNAUDITED) (UNAUDITED) SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 1999 1999 1999 1999 --------- --------- --------- --------- OPERATIONS Net investment income .......................................... $ 2,154 $ 4,189 $ 8,436 $ 18,389 Net realized gain on investments and futures transactions .................................... -- -- 3,731 3,631 Net change in unrealized appreciation/ depreciation on investments and futures transactions .................................... -- -- (18,977) (10,388) --------- --------- --------- --------- Net increase (decrease) in net assets resulting from operations ................................. 2,154 4,189 (6,810) 11,632 --------- --------- --------- --------- TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST CONTRIBUTIONS .................................................. 42,355 101,419 14,929 27,867 WITHDRAWALS .................................................... (42,944) (103,577) (37,614) (83,002) --------- --------- --------- --------- Net decrease from transactions in investors' beneficial interest ............................ (589) (2,158) (22,685) (55,135) --------- --------- --------- --------- Net increase (decrease) in net assets ....................... 1,565 2,031 (29,495) (43,503) NET ASSETS BEGINNING OF PERIOD ............................................ 134,049 132,018 299,663 343,166 --------- --------- --------- --------- End of period .................................................. $ 135,614 $ 134,049 $ 270,168 $ 299,663 ========= ========= ========= ========= See accompanying Notes to Financial Statements.
NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- (All amounts in thousands) (Unaudited) NOTE 1. ORGANIZATION Stein Roe Municipal Money Market Fund, Stein Roe Intermediate Municipals Fund, Stein Roe Managed Municipals Fund and Stein Roe High-Yield Municipals Fund (the "Funds") are series of Liberty-Stein Roe Municipal Trust (the "Trust"), formerly Stein Roe Municipal Trust, an open-end management investment company organized as a Massachusetts business trust. Stein Roe Municipal Money Market Fund and Stein Roe High-Yield Municipals Fund invest substantially all of their assets in SR&F Municipal Money Market Portfolio and SR&F High-Yield Municipals Portfolio (the "Portfolios"), respectively. The Portfolios are series of SR&F Base Trust, a Massachusetts common law trust organized under an Agreement and Declaration of Trust dated August 23, 1993. SR&F High-Yield Municipals Portfolio commenced operations on February 2, 1998. At commencement, Stein Roe High-Yield Municipals Fund contributed $335,711 in securities and other assets to SR&F High-Yield Municipals Portfolio in exchange for beneficial ownership of the Portfolio. On February 4, 1998, Stein Roe Advisor High-Yield Municipals Fund contributed cash of $100 to the Portfolio. The Portfolios allocate income, expenses, realized and unrealized gains and losses to each investor on a daily basis, based on methods approved by the Internal Revenue Service. At December 31, 1999, Stein Roe Municipal Money Market Fund owned 88.0% of SR&F Municipal Money Market Portfolio; and Stein Roe High-Yield Municipals Fund owned 99.9% of SR&F High-Yield Municipals Portfolio. - -------------------------------------------------------------------------------- NOTE 2. SIGNIFICANT ACCOUNTING POLICIES The following summarizes the significant accounting policies of the Funds and the Portfolios. These policies are in conformity with generally accepted accounting principles, which require management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME Investment transactions are accounted for on trade date. Interest income, including discount accretion and premium amortization, is recorded daily on the accrual basis. Realized gains or losses from NOTES TO FINANCIAL STATEMENTS continued investment transactions are reported on an identified cost basis. Securities purchased on a when-issued or delayed delivery basis may be settled a month or more after the transaction date. The values of such securities are subject to market fluctuations during this period. None of the Funds or the Portfolios had when-issued or delayed delivery the portfolios purchase commitments as of December 31, 1999. SECURITY VALUATIONS Municipal securities are valued at a fair value using a procedure determined in good faith by the Board of Trustees, which has authorized the use of bid valuations provided by a pricing service, except for SR&F Municipal Money Market Portfolio. This Portfolio utilizes the amortized cost method to value its investments. This technique approximates market value and involves valuing a security initially at cost and, thereafter, assuming a constant amortization to maturity of any discount or premium. In the event that a deviation of 0.50% or more exists between Stein Roe Municipal Money Market Fund's $1.00 per share net asset value, calculated at amortized cost, and the net asset value calculated by reference to market quotations, its Board of Trustees would consider what action, if any, should be taken. Other securities and assets are valued at fair value as determined in good faith by or under the direction of the Board of Trustees. Stein Roe Municipal Money Market Fund attempts to maintain a per-share net asset value of $1.00, which management believes will be possible under most conditions. FUTURES CONTRACTS Stein Roe Intermediate Municipals Fund, Stein Roe Managed Municipals Fund and SR&F High-Yield Municipals Portfolio may enter into futures contracts to either hedge against expected declines of their portfolio securities or as a temporary substitute for the purchase of individual bonds. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time a fund seeks to close out a contract, and changes in the value of the futures contract may not correlate with changes in the value of the portfolio securities being hedged. Upon entering into a futures contract, the Fund/Portfolio deposits with its custodian cash or securities in an amount sufficient to meet the initial margin requirements. Subsequent payments are made or received by the Fund/Portfolio equal to the daily change in the contract value and NOTES TO FINANCIAL STATEMENTS continued are recorded as unrealized gains or losses. The Fund/Portfolio recognizes a realized gain or loss when the contract is closed or expires. FEDERAL INCOME TAXES No provision is made for federal income taxes since (a) the Funds elect to be taxed as "regulated investment companies" and make distributions to their shareholders to be relieved of all federal income taxes under provisions of current federal tax law; and (b) the Portfolios are treated as partnerships for federal income tax purposes and all of their income is allocated to their owners based on methods approved by the Internal Revenue Service. All dividends paid from net investment income by the Funds constitute tax-exempt interest that is not taxable for federal income tax purposes; however, a portion of the dividends paid may be inclusive in the alternative minimum tax calculation. The Funds intend to utilize provisions of the federal income tax laws, which allow them to carry a realized capital loss forward up to eight years following the year of the loss, and offset such losses against any future realized gains. At June 30, 1999, the Funds had capital loss carryforwards as follows: Year of Fund Amount Expiration - ---- ------ ---------- Stein Roe High-Yield Municipals Fund $8,575 2005-2006 Stein Roe Municipal Money Market Fund 8 2002-2005 DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income are declared daily and paid monthly. Capital gains distributions, if any, are distributed annually. Dividends are determined in accordance with income tax principles, which may treat certain transactions differently than generally accepted accounting principles. Distributions in excess of tax basis earnings are reported in the financial statements as a return of capital. Permanent differences in the recognition or classification of income between the financial statements and tax earnings are reclassified to paid-in capital. - -------------------------------------------------------------------------------- NOTE 3. PORTFOLIO COMPOSITION The Funds and the Portfolios invest in municipal securities including, but not limited to, general obligation bonds, revenue bonds and escrowed bonds (i.e., bonds that have been refinanced, the proceeds of which have been invested in U.S. or state and local government obligations that are set aside to pay off the original issue at the first call date or maturity). See Fund Highlights for a breakdown of securities held by type at December 31, 1999. The Funds and the Portfolios hold investments that are insured by private insurers who guarantee the payment of NOTES TO FINANCIAL STATEMENTS continued principal and interest in the event of default. At December 31, 1999, investments in these securities for Stein Roe Intermediate Municipals Fund, Stein Roe Managed Municipals Fund and SR&F High-Yield Municipals Portfolio represented 49.7%, 28.0% and 2.3% of holdings, respectively. SR&F Municipal Money Market Portfolio invests in certain short-term securities that are backed by bank letters of credit used to provide liquidity to the issuer and/or additional security in the event of default. At December 31, 1999, 78.5% of the Portfolio was backed by bank letters of credit. See the Portfolio of Investments for each Fund or Portfolio for additional information regarding portfolio composition. - -------------------------------------------------------------------------------- NOTE 4. TRUSTEES' FEES AND TRANSACTIONS WITH AFFILIATES The Funds and the Portfolios pay monthly management and administrative fees, computed and accrued daily, to Stein Roe & Farnham Incorporated (the "Advisor"), an indirect, majority-owned subsidiary of Liberty Mutual Insurance Company, for its services as investment advisor and manager. The management fee for SR&F Municipal Money Market Portfolio is computed at an annual rate of 0.25% of average daily net assets. The management fee for Stein Roe Intermediate Municipals Fund and SR&F High-Yield Municipals Portfolio is 0.45% of the first $100 million of average daily net assets, 0.425% of the next $100 million and 0.40% thereafter. The management fee for Stein Roe Managed Municipals Fund is 0.45% of the first $100 million of average daily net assets, 0.425% of the next $100 million, 0.40% of the next $800 million and 0.375% thereafter. The administrative fee for the Stein Roe Municipal Money Market Fund is computed at an annual rate of 0.25% of average daily net assets up to $500 million, 0.20% of average daily net assets for the next $500 million and 0.15% thereafter. The administrative fee for Stein Roe Intermediate Municipals Fund and High-Yield Municipals Fund is computed at an annual rate of 0.15% of the first $100 million of average daily net assets, 0.125% of the next $100 million and 0.10% thereafter. The administrative fee for Managed Municipals Fund is 0.15% of the first $100 million of average daily net assets, 0.125% of the next $100 million, 0.10% of the next $800 million and 0.075% thereafter. The Advisor also provides accounting services to the Funds and the Portfolios. The Advisor has agreed to reimburse Stein Roe Municipal NOTES TO FINANCIAL STATEMENTS continued Money Market Fund and Stein Roe Intermediate Municipals Fund for expenses in excess of 0.70% of average annual net assets. This commitment expires on October 31, 2000, subject to earlier termination by the Advisor on 30 days' notice. Transfer agent fees are paid to SteinRoe Services, Inc. (SSI) (the Transfer Agent), an indirect, majority-owned subsidiary of Liberty Mutual Insurance Company. SSI has entered into an agreement with Liberty Funds Services, Inc., also an indirect, majority-owned subsidiary of Liberty Mutual Insurance Company, to act as subtransfer agent for the Funds. The Transfer Agent provides shareholder services for a monthly fee equal to 0.14% annually of each Fund's average net assets except Stein Roe Municipal Money Market which is equal to 0.15% annually and receives reimbursement for certain out-of-pocket expenses. Certain officers and trustees of the Trust are also officers of the Advisor. No remuneration was paid to any other trustee or officer of the Trust who is affiliated with the Advisor. - -------------------------------------------------------------------------------- NOTE 5. SHORT-TERM DEBT To facilitate portfolio liquidity, the Funds and the Portfolios maintain borrowing arrangements under which they can borrow against portfolio securities. There were no borrowings by any of the Funds or the Portfolios during the six months ended December 31, 1999. - -------------------------------------------------------------------------------- NOTE 6. PORTFOLIO INFORMATION The aggregate cost of purchases and proceeds from sales or maturities of securities, excluding short-term obligations, for the six months ended December 31, 1999, were as follows: Purchases Sales --------- --------- Stein Roe Intermediate Municipals Fund................. $19,494 $41,795 Stein Roe Managed Municipals Fund...................... 27,487 68,106 SR&F High-Yield Municipals Portfolio................... 16,624 34,670 Unrealized appreciation (depreciation) at December 31, 1999 for both financial statement and federal income tax purposes was:
Stein Roe Stein Roe SR&F Intermediate Municipals Managed High-Yield Fund Municipals Fund Municipal Portfolio -------------- --------------- ------------------- Gross unrealized appreciation ...................... $ 4,595 $ 22,960 $ 7,726 Gross unrealized depreciation ...................... (906) (9,741) (11,033) -------- -------- -------- Net unrealized appreciation (depreciation) ......... $ 3,689 $ 13,219 $ (3,307) ======== ======== ========
FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- STEIN ROE MUNICIPAL MONEY MARKET FUND Selected per-share data (for a share outstanding throughout each period), ratios and supplemental data.
(UNAUDITED) SIX MONTHS ENDED DECEMBER 31, YEARS ENDED JUNE 30, 1999 1999 1998 1997 1996 1995 -------- -------- -------- -------- -------- ------- NET ASSET VALUE, BEGINNING OF PERIOD... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 -------- -------- -------- -------- -------- ------- Net investment income........... 0.015 0.027 0.031 0.030 0.031 0.030 Distributions from net investment income (0.015) (0.027) (0.031) (0.030) (0.031) (0.030) -------- -------- -------- -------- -------- ------- NET ASSET VALUE, END OF PERIOD........... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ======== ======== ======== ======== ======== ======= Ratio of net expenses to average net assets (a) 0.70%(b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income to average net assets (c)...... 2.94%(b) 2.69% 3.06% 2.98% 3.09% 2.96% Total return (c)....... 1.47%(d) 2.73% 3.10% 3.04% 3.13% 3.02% Net assets, end of period (000's)... $119,582 $119,032 $115,279 $118,424 $120,432 $146,704 (a) If the Fund had paid all of its expenses and there had been no reimbursement by the Advisor, this ratio would have been 0.78%, 0.79%, 0.86%, 0.86%, 0.84% and 0.78% for the period ended December 31, 1999 and the years ended June 30, 1999 through June 30, 1995, respectively. (b) Annualized. (c) Computed giving effect to Advisor's expense limitation undertaking. (d) Not annualized.
SR&F MUNICIPAL MONEY MARKET PORTFOLIO
(UNAUDITED) SIX MONTHS PERIOD ENDED ENDED DECEMBER 31, YEARS ENDED JUNE 30, JUNE 30, 1999 1999 1998 1997 1996(a) ------- ------- -------- -------- ----------- SELECTED RATIOS Ratio of net expenses to average net assets............ 0.30%(b) 0.30% 0.34% 0.32% 0.30%(b) Ratio of net investment income to average net assets.......................................... 3.34%(b) 3.07% 3.41% 3.36% 3.50%(b) (a) From commencement of operations on September 28, 1995. (b) Annualized.
FINANCIAL HIGHLIGHTS Continued - -------------------------------------------------------------------------------- STEIN ROE INTERMEDIATE MUNICIPALS FUND Selected per-share data (for a share outstanding throughout each period), ratios and supplemental data.
(UNAUDITED) SIX MONTHS ENDED DECEMBER 31, YEARS ENDED JUNE 30, 1999 1999 1998 1997 1996 1995 ----------- ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, BEGINNING OF PERIOD .......... $ 11.23 $ 11.57 $ 11.38 $ 11.22 $ 11.16 $ 11.00 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income ..................... 0.27 0.54 0.54 0.55 0.55 0.53 Net realized and unrealized gain (loss) on investments ............... (0.28) (0.30) 0.22 0.22 0.06 0.16 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations .............. (0.01) 0.24 0.76 0.77 0.61 0.69 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS Net investment income ........ (0.27) (0.54) (0.54) (0.55) (0.55) (0.53) Net realized gains ........... (0.06) (0.04) (0.03) (0.06) -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total distributions ........... (0.33) (0.58) (0.57) (0.61) (0.55) (0.53) ----------- ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, End of Period ................ $ 10.89 $ 11.23 $ 11.57 $ 11.38 $ 11.22 $ 11.16 =========== =========== =========== =========== =========== =========== Ratio of net expenses to average net assets (a) ....... 0.70%(c) 0.70% 0.70% 0.70% 0.70% 0.74% Ratio of net investment income to average net assets (b) ............... 4.87%(c) 4.58% 4.70% 4.84% 4.82% 4.94% Portfolio turnover rate ......... 13%(d) 48% 29% 44% 66% 67% TOTAL RETURN (B) ................ (0.13%)(d) 2.08% 6.84% 7.07% 5.47% 6.59% Net assets, end of period (000's) ........... $ 143,579 $ 168,896 $ 195,651 $ 196,006 $ 204,726 $ 212,489 (a) If the Fund had paid all of its expenses and there had been no reimbursement by the Advisor, this ratio would have been 0.76%, 0.79%, 0.81%, 0.82%, 0.81% and 0.76% for the period ended December 31, 1999 and the years ended June 30, 1999 through June 30, 1995, respectively. (b) Computed giving effect to Advisor's expense limitation undertaking. (c) Annualized. (d) Not annualized.
FINANCIAL HIGHLIGHTS Continued STEIN ROE MANAGED MUNICIPALS FUND Selected per-share data (for a share outstanding throughout each period), ratios and supplemental data.
(UNAUDITED) SIX MONTHS ENDED DECEMBER 31, YEARS ENDED JUNE 30, 1999 1999 1998 1997 1996 1995 ----------- ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, BEGINNING OF PERIOD ....... $ 9.07 $ 9.38 $ 9.11 $ 8.85 $ 8.79 $ 8.70 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income ..... 0.24 0.47 0.48 0.48 0.48 0.51 Net realized and unrealized gain (loss) on investments ............. (0.42) (0.31) 0.27 0.26 0.06 0.09 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations ........... (0.18) 0.16 0.75 0.74 0.54 0.60 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS Net investment income ..... (0.24) (0.47) (0.48) (0.48) (0.48) (0.51) Net realized gains ........ (0.10) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total distributions ........ (0.34) (0.47) (0.48) (0.48) (0.48) (0.51) ----------- ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, END OF PERIOD ............. $ 8.55 $ 9.07 $ 9.38 $ 9.11 $ 8.85 $ 8.79 =========== =========== =========== =========== =========== Ratio of net expenses to average net assets ..... 0.71%(a)(b) 0.72% 0.72% 0.73% 0.72% 0.65% Ratio of net investment income to average net assets ..... 5.34%(a)(b) 5.02% 5.14% 5.31% 5.41% 5.85% Portfolio turnover rate ...... 5%(c) 17% 12% 16% 40% 33% Total return ................. (1.97%)(c) 1.67% 8.37% 8.56% 6.24% 7.12% Net assets, end of period (000's) ........ $ 479,208 $ 538,322 $ 583,138 $ 582,366 $ 606,359 $ 629,730 (a) Annualized. (b) During the six months ended December 31, 1999, the Fund experienced a one-time reduction in its expenses of six basis points as a result of expenses accrued in a prior period. The Fund's ratios disclosed above reflect the actual rate at which expenses were incurred for the six months ended December 31, 1999 without the reduction. (c) Not annualized.
FINANCIAL HIGHLIGHTS Continued - -------------------------------------------------------------------------------- STEIN ROE HIGH-YIELD MUNICIPALS FUND Selected per-share data (for a share outstanding throughout each period), ratios and supplemental data.
(UNAUDITED) SIX MONTHS ENDED DECEMBER 31, YEARS ENDED JUNE 30, 1999 1999 1998 1997 1996 1995 ----------- ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, BEGINNING OF PERIOD ....... $ 11.71 $ 11.97 $ 11.67 $ 11.40 $ 11.31 $ 11.06 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income .................. 0.33 0.63 0.65 0.72 0.67 0.66 Net realized and unrealized gain (loss) on investments and future transactions ..... (0.62) (0.25) 0.30 0.27 0.09 0.25 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations ........... (0.29) 0.38 0.95 0.99 0.76 0.91 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS Net investment income .................. (0.33) (0.64) (0.65) (0.72) (0.67) (0.66) ----------- ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, END OF PERIOD ............. $ 11.09 $ 11.71 $ 11.97 $ 11.67 $ 11.40 $ 11.31 =========== =========== =========== =========== =========== =========== RATIO OF NET EXPENSES TO AVERAGE NET ASSETS ..... 0.81%(a)(b) 0.77% 0.75% 0.77% 0.85% 0.86% Ratio of net investment income to average net assets ..... 5.64%(a)(b) 5.26% 5.48% 6.20% 5.86% 5.98% Portfolio turnover rate ...... N/A N/A 8%(c) 11%(c) 34%(c) 23%(c) Total return ................. (2.53%)(d) 3.18%(e) 8.32% 8.91% 6.83% 8.54% Net assets, end of period (000's) ............ $ 268,916 $ 297,874 $ 341,780 $ 306,070 $ 282,956 $ 281,155 (a) Annualized. (b) During the six months ended December 31, 1999, the Fund experienced a one-time reduction in its expenses of five basis points as a result of expenses accrued in a prior period. The Fund's ratios disclosed above reflect the actual rate at which expenses were incurred for the six months ended December 31, 1999 without the reduction. (c) Prior to commencement of operations of the Portfolio. (d) Not annualized. (e) 0.50% of the return is attributable to a one-time revaluation of a portfolio security reflecting the restructuring of this security. Absent this revaluation the total return would have been 2.68%.
SR&F HIGH-YIELD MUNICIPALS PORTFOLIO
(UNAUDITED) SIX MONTHS YEAR PERIOD ENDED ENDED ENDED DECEMBER 31, JUNE 30, JUNE 30, 1999 1999 1998(a) ------------- -------- -------- SELECTED RATIOS Ratio of net expenses to average net assets............. 0.51%(b) 0.45% 0.47%(b) Ratio of net investment income to average net assets.... 5.91%(b) 5.55% 5.72%(b) Portfolio turnover rate................................. 6%(c) 19% 3%(c) (a) From commencement of operations on February 2, 1998. (b) Annualized. (c) Not annualized.
LIBERTY-STEIN ROE FUNDS MUNICIPAL TRUST - -------------------------------------------------------------------------------- TRUSTEES John A. Bacon Jr. Private Investor William W. Boyd Chairman and Director, Sterling Plumbing Group Inc. Lindsay Cook Executive Vice President, Liberty Financial Companies, Inc. Douglas A. Hacker Executive Vice President and Chief Financial Officer, UAL, Inc. Janet Langford Kelly Executive Vice President, Secretary and General -Corporate Development, Kellogg Company Charles R. Nelson Van Voorhis Professor of Political Economy, University of Washington Thomas C. Theobald Managing Director, William Blair Capital Partners OFFICERS Stephen E. Gibson, President William D. Andrews, Executive Vice President Kevin M. Carome, Executive Vice President, Secretary Loren A. Hansen, Executive Vice President Christine Balzano, Vice President Denise E. Chasmer, Vice President J. Kevin Connaughton, Vice President, Treasurer Joanne T. Costopoulos, Vice President Brian M. Hartford, Vice President Timothy J. Jacoby, Senior Vice President Gail D. Knudsen, Vice President, Controller William C. Loring, Vice President Mary Dillon McKenzie, Vice President Nicholas S. Norton, Vice President Maureen G. Newman, Vice President Nicolette D. Parrish, Vice President, Assistant Secretary Veronica M. Wallace, Vice President Michael G. Fisher, Assistant Treasurer AGENTS AND ADVISORS Stein Roe & Farnham Incorporated Investment Adviser State Street Bank and Trust Company Custodian Stein Roe Services Inc. Transfer Agent Bell, Boyd & Lloyd LLC Legal Counsel to the Trust Ernst & Young LLP Independent Auditors The Stein Roe Mutual Funds FIXED INCOME FUNDS Cash Reserves Fund Municipal Money Market Fund Intermediate Municipals Fund Managed Municipals Fund High-Yield Municipals Fund Intermediate Bond Fund Income Fund High Yield Fund EQUITY FUNDS Balanced Fund Growth & Income Fund Disciplined Stock Fund* Growth Stock Fund Growth Investor Fund Young Investor Fund Large Company Focus Fund Midcap Growth Fund** Capital Opportunities Fund International Fund Small Company Growth Fund * Formerly Special Fund ** Formerly Growth Opportunities Fund Stein Roe Mutual Funds P.O. Box 8900 Boston, MA 02205-8900 Financial Advisors call: 800-322-0593 Shareholders call: 800-338-2550 www.steinroe.com In Chicago, visit our Fund Center at One South Wacker Drive Liberty Funds Distributor, Inc. DIR-03/111A-0100 (2/00) 00/120 -----END PRIVACY-ENHANCED MESSAGE-----