-----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, CTSJR13ME5KspbboSnO7efnMoBsS2U2U/VQUkfGbI9Ec320i1Fd41BS9PpWyAeBv Vgs4c876F+X6X9Hia8UHlg== 0000891804-01-000570.txt : 20010402 0000891804-01-000570.hdr.sgml : 20010402 ACCESSION NUMBER: 0000891804-01-000570 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20001231 FILED AS OF DATE: 20010330 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LIBERTY STEIN ROE FUNDS MUNICIPAL TRUST CENTRAL INDEX KEY: 0000773757 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 363376651 STATE OF INCORPORATION: MA FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-04367 FILM NUMBER: 1587507 BUSINESS ADDRESS: STREET 1: ONE FINANCIAL CTR CITY: BOSTON STATE: MA ZIP: 02111 BUSINESS PHONE: 8003382550 MAIL ADDRESS: STREET 1: ONE FINANCIAL CTR CITY: BOSTON STATE: MA ZIP: 02111 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 0001.txt STEIN ROE TAX-EXEMPT BOND FUNDS STEIN ROE MUTUAL FUNDS SEMIANNUAL REPORT DECEMBER 31, 2000 PICTURE 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.................................................. 5 Stein Roe Intermediate Municipals Fund.............................................. 8 Stein Roe Managed Municipals Fund.............................. 11 Stein Roe High-Yield Municipals Fund........................... 15 Portfolios of Investments......................................... 18 A complete list of investments with market values Financial Statements.............................................. 44 Statements of assets and liabilities, operations and changes in net assets Notes to Financial Statements..................................... 54 Financial Highlights.............................................. 60 Selected per-share data Must be preceded or accompanied by a prospectus. From the President - -------------------------------------------------------------------------------- To Our Shareholders After an extended period of unbridled economic growth and nearly a year of interest rate increases, the six-month period ended December 31, 2000 provided a markedly different environment in the bond market. In the second half of 2000, economic indicators began to reflect a slowing in the domestic economy. Housing starts were at their lowest levels in two years. Auto manufacturers announced cuts in production. There were also signs of a decline in consumer and capital spending levels for the period. In this environment of slower economic growth, the bond market stabilized. Municipal bonds, for the most part, mirrored Treasury securities and rallied as yields declined. The declining inflation rate and the slowdown in economic growth have already prompted the Federal Reserve to cut interest rates twice, a sign that they are willing to act quickly and forcefully to avoid a recession. We believe further interest rate cuts would serve to bolster the bond market rally. We remain confident that municipal bonds can be a rewarding asset class for tax-sensitive investors. The following report will provide you with more specific information about your Fund's performance and the strategies used during the period. As always, I thank you for choosing the Stein Roe Tax-Exempt Bond Funds and for giving us the opportunity to serve your investment needs. Sincerely, /s/Stephen E. Gibson Stephen E. Gibson President February 12, 2001 Photo of Stephen E. Gibson 1 Fund Performance - -------------------------------------------------------------------------------- Average Annual Total Returns Periods Ended December 31, 2000 6 MONTH (CUMULATIVE ) 1 YEAR 5 YEARS 10 YEARS ----------------------------------------- STEIN ROE MUNICIPAL MONEY MARKET FUND 1.86% 3.63% 3.09% 2.92% U.S. Consumer Price Index (Inflation) 0.99% 3.39% 2.54% 2.66% Lipper Tax-Exempt Money Market Fund Average 1.83% 3.52% 3.05% 2.96% Number of Funds in Peer Group 136 133 115 75 STEIN ROE INTERMEDIATE MUNICIPALS FUND 6.00% 9.42% 4.96% 6.28% Lehman Brothers 10-Year Municipal Bond Index 6.54% 10.76% 5.93% 7.44% Lipper Intermediate Municipal Debt Fund Average 5.46% 8.55% 4.66% 6.16% Number of Funds in Peer Group 125 121 99 24 STEIN ROE MANAGED MUNICIPALS FUND 8.24% 12.48% 5.38% 6.81% Lehman Brothers Municipal Bond Index 6.90% 11.68% 5.84% 7.32% Lipper General Municipal Debt Fund Average 6.59% 10.83% 4.65% 6.67% Number of Funds in Peer Group 279 273 187 85 STEIN ROE HIGH-YIELD MUNICIPALS FUND 4.61% 7.15% 4.79% 6.21% Lehman Brothers Municipal Bond Index 6.90% 11.68% 5.84% 7.32% Lipper High-Yield Municipal Debt Fund Average 1.88% 3.08% 3.78% 6.01% Number of Funds in Peer Group 78 68 39 18 - -------------------------------------------------------------------------------- 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. Performance results reflect any voluntary waivers or reimbursement of Fund expenses by the Advisor or its affiliates. Absent these waivers or reimbursement arrangements performance results would have been lower. 2 Total Return Comparison - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund - -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT December 31, 1990 to December 31, 2000 LEHMAN BROTHERS 10-YEAR INTERMEDIATE MUNICIPAL BOND INDEX MUNICIPALS FUND 12/31/90 10000 10000 12/31/91 11212 11067 12/31/92 12212 11911 12/31/93 13772 13229 12/31/94 13115 12784 12/31/95 15366 14437 12/31/96 16064 15038 12/31/97 17548 16166 12/31/98 18735 17047 12/31/99 18501 16806 12/31/00 20192 18390 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 12/31/90, 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, 1990 to December 31, 2000 LEHMAN BROTHERS MANAGED MUNICIPALS MUNICIPAL BOND INDEX FUND 12/31/90 10000 10000 12/31/91 11214 11188 12/31/92 12203 12115 12/31/93 13701 13478 12/31/94 12993 12754 12/31/95 15261 14875 12/31/96 15938 15436 12/31/97 17402 16873 12/31/98 18530 17801 12/31/99 18148 17189 12/31/00 20268 19332 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 12/31/90, 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. 3 Total Return Comparison Continued - -------------------------------------------------------------------------------- Stein Roe High-Yield Municipals Fund - -------------------------------------------------------------------------------- GROWTH OF A $10,000 INVESTMENT December 31, 1990 to December 31, 2000 LEHMAN BROTHERS MUNICIPAL HIGH-YIELD BOND INDEX MUNICIPALS FUND 12/31/90 10000 10000 12/31/91 11214 10984 12/31/92 12203 12064 12/31/93 13701 12710 12/31/94 12993 14062 12/31/95 15261 13495 12/31/96 15938 15887 12/31/97 17402 16599 12/31/98 18530 18181 12/31/99 18148 19141 12/31/00 20268 18273 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 12/31/90, 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 4 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 income exempt from federal income tax, consistent with capital preservation and maintenance of liquidity by investing principally in a diversified portfolio of short-term municipal securities. FUND INCEPTION: March 15, 1983 NET ASSETS: $116.9 million Q: HOW DID THE FUND PERFORM DURING THE PERIOD? WALLACE: The Fund outperformed its peer group during this first half of fiscal 2001. It generated a total return of 1.86%, slightly ahead of the 1.83% average total return for the Lipper Tax-Exempt Money Market Fund Average. Q: WHAT STRATEGY DO YOU USE TO MANAGE THE PORTFOLIO? WALLACE: A core element of our strategy for the Fund has been the use of variable-rate demand notes. These issues are always priced at par, so they're highly liquid. In addition, their rates are reset either daily or weekly, so they carry relatively little interest rate risk. Between June 1999 and June 2000, when the Federal Reserve repeatedly increased short-term interest rates, we made large-scale investments in demand notes. This allowed us to capture ever-higher current yields for the Fund while limiting the devaluing effects of rising rates. Because of high allocation to demand notes (77.7% of net assets at June 30), the Fund's average maturity at the beginning of the period was a relatively short 28 days. Q: DID YOU ADJUST THIS STRATEGY DURING THE PERIOD? WALLACE: Since June, we have lengthened the average maturity to 48 days, in response to the changing economic environment. Over the course of the six months, the signs of economic deceleration became more numerous and frequent. So we looked for the Federal Reserve to shift its position from raising rates to leaving them alone, or lowering them. This would trigger lower yields and higher prices for money market Photo of: Veronica M. Wallace 5 Questions & Answers Continued - -------------------------------------------------------------------------------- securities, especially longer-maturity issues. Anticipating this change, we traded some of the portfolio's demand notes for notes maturing in six months to one year. For example, we purchased New Jersey City of Bayonne Notes (0.77% of net assets) yielding 4.50%, or 74% of the yield from a comparable Treasury bill. For an investor in the 31% federal tax bracket, that would be the equivalent of earning 6.52% from a taxable investment. We purchased a one-year Texas Tax and Revenue Anticipation Notes (1.54% of net assets). We also added longer-maturity commercial paper to the portfolio. Q: WHAT DO YOU EXPECT NEXT FOR THE SHORT-TERM MUNICIPALS MARKET? WALLACE: Right after the fiscal period ended, the Fed did precisely what investors had anticipated. It trimmed interest rates on January 3 by 0.50%. A second rate cut came on January 31. Considering the continued slide in the economic indicators, we look for the Fed to make additional cuts. Therefore, we expect to maintain our emphasis on demand notes while we continue to look for attractive opportunities to add longer-term issues to the Fund. An investment in the Portfolio is neither insured nor guaranteed by the Federal Deposit Corp. (FDIC) or any government agency. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio. 6 Portfolio Highlights - -------------------------------------------------------------------------------- SR&F Municipal Money Market Portfolio SECURITY TYPE BREAKDOWN PORTFOLIO PORTFOLIO DECEMBER 31, 2000 JUNE 30, 2000 ------------------------------------ Variable-Rate Notes 77.6% 77.7% Other Tax-Exempt Bonds 9.2 6.7 Tax-Exempt Bonds 6.1 8.7 Put Bonds 2.5 3.9 Tax & Revenue Anticipation Notes 2.3 1.6 Commercial Paper 2.3 1.4 ------------------------------------ Total Investments 100.0% 100.0% PORTFOLIO STATISTICS PORTFOLIO PORTFOLIO DECEMBER 31, 2000 JUNE 30, 2000 - -------------------------------------------------------------------------------- 7-Day Dollar-Weighted Average Maturity 48 days 40 days 7-Day Current Yield* 4.07% 3.91% * Net of all fees and expenses and represents an annualization of dividends declared and payable to shareholders for the last seven days of investments. - -------------------------------------------------------------------------------- PIE CHART: MATURITY As of December 31, 2000 As of June 30, 2000 1-29 days 77.3% 1-29 days 79.3% 30-89 days 3.9% 30-89 days 4.2% 90-179 days 7.3% 90-179 days 8.7% 180-299 days 7.5% 180-299 days 1.5% Greater than 299 days 4.0% Greater than 299 days 6.3% 7 Questions & Answers - -------------------------------------------------------------------------------- AN INTERVIEW WITH BILL LORING, PORTFOLIO MANAGER OF STEIN ROE INTERMEDIATE MUNICIPALS FUND FUND DATA INVESTMENT OBJECTIVE: Seeks a high level of total return, consisting of current federal income exempt from federal income tax, consistent with the preservation of capital. FUND INCEPTION: October 9, 1985 NET ASSETS: $135.7 million Photo of: Bill Loring Q: HOW DID THE FUND PERFORM BETWEEN JULY 1, 2000 AND DECEMBER 31, 2000? A: While the short- and long-term sectors of the municipal bond market were generally weak during the period, the intermediate sector enjoyed strong performance. As a result, the Fund returned 6.00% for the six-month period ended December 31, 2000. This return slightly underperformed the Fund's benchmark, the Lehman 10-Year Municipal Bond Average, which returned 6.54% for the same period. Q: HOW DID YOU POSITION THE FUND IN RESPONSE TO THE INFLATIONARY UNCERTAINTIES DURING THE PERIOD? A: We kept duration short early in the year, because it appeared that interest rates would continue to rise as long as economic growth remained unchecked. Duration measures a fund's sensitivity to interest rate changes, so our strategy helped keep the Fund's value relatively stable. During the period, however, the economy began to slow and interest rate increases were put on hold. In response to this development, we began extending the Fund's duration, in order to take advantage of the lower interest rates we anticipated. We also attempted to improve the Fund's performance by increasing our holdings in zero coupon bonds. By definition, zero coupon bonds are debt securities that do not pay interest. Since they are traditionally sold at a deep discount to make up for the lack of interest payments, the value of these bonds increases when interest rates decline. We believe this addition of zero coupon bonds will benefit the Fund's performance in a declining interest rate environment. Q: DID ANY PARTICULAR SECTORS WITHIN THE PORTFOLIO HAVE A SIGNIFICANT IMPACT ON FUND PERFORMANCE? A: The high yield bond market struggled during this period, as the 8 Questions & Answers Continued - -------------------------------------------------------------------------------- market seemed to decide that this was a bad time for taking credit risk. Accordingly, the high yield sector of the Fund's portfolio generally provided disappointing returns. Fortunately, we held an underweighted position in high yield bonds, so the negative impact was limited. Bonds in the longer intermediate range, by contrast, provided a boost to Fund performance. We increased our weighting in the 14-20 year bond sector (without raising the average weighted maturity of the portfolio beyond 10 years), and used this positioning to take advantage of market rallies during the period. This approach provided significant benefits to the Fund's performance. Q: WHAT IS YOUR OUTLOOK FOR THE REMAINDER OF THE FISCAL YEAR? A: We believe the future looks quite positive for the bond market in general, and the intermediate bond market in particular. Across the board, economic indicators suggest that the U.S. economy's rampant growth has slowed to a reasonable pace. The rate of inflation - always of great concern to the Federal Reserve Board - has been declining steadily throughout the year. Key short-term interest rates have been cut once, and the Fed has given indications that they are willing to make further rate cuts in an effort to avoid the possibility of recession. All of this should be good news for investors in the bond market, because bonds generally have performed better in periods of slower economic growth and declining interest rates. There may be favorable trends in the municipal market as well. In recent years, strong economies and high tax revenues have allowed state and local entities to fund new projects with cash rather than debt, causing the supply of municipal bonds to dwindle. However, as the economy starts to slow, the supply of municipal bonds should begin to return to historical levels. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND INVESTMENT RETURNS 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 12/31/00 and are subject to change. The Advisor currently limits expenses to 0.70% of average net assets. Fund return as of 12/31/00 would have been lower without the limit. 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. Tax-exempt investing offers current tax-free income, but also involves certain risks. The value of the Fund will be affected by interest rate changes and the creditworthiness of issues held in the Fund. The municipal bond management team seeks to identify opportunities and react quickly to market changes. 9 Fund Highlights - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund TOP FIVE STATES PORTFOLIO PORTFOLIO DECEMBER 31, 2000 JUNE 30, 2000 - -------------------------------------------------------------------------------- New York 12.4% New York 15.9% Illinois 10.1 Illinois 9.9 Texas 7.2 Arizona 6.2 Georgia 5.9 Texas 5.9 Massachusetts 5.3 Georgia 5.7 PORTFOLIO STATISTICS PORTFOLIO PORTFOLIO DECEMBER 31, 2000 JUNE 30, 2000 ------------------------------------ Average Duration 6.5 years 6.2 years Average Weighted Maturity 9.3 years 9.4 years Average Weighted Coupon 6.04% 6.12% - -------------------------------------------------------------------------------- PIE CHART: MATURITY As of December 31, 2000 As of June 30, 2000 0-5 Years 16.9% 0-5 Years 27.2% 5-10 Years 36.3% 5-10 Years 34.6% 10-15 Years 23.8% 10-15 Years 20.6% Greater than 15 Years 23.0% Greater than 15 Years 17.6% - -------------------------------------------------------------------------------- PIE CHART: PORTFOLIO QUALITY As of December 31, 2000 As of June 30, 2000 AAA 62.2% AAA 56.4% AA 16.0% AA 13.9% A 9.4% A 17.9% BBB and Below 7.0% BBB and Below 8.1% Cash equivalents 1.6% Cash equivalents 0.1% Non-rated 3.8% Non-rated 3.6% 10 Questions & Answers - -------------------------------------------------------------------------------- AN INTERVIEW WITH BRIAN HARTFORD AND BILL LORING, PORTFOLIO MANAGERS OF STEIN ROE MANAGED MUNICIPALS FUND Photos of : Brian Hartford and Bill Loring. FUND DATA INVESTMENT OBJECTIVE: Seeks a high level of total return consistent with prudent risk, consisting of current income exempt from federal income tax and opportunities for capital appreciation. FUND INCEPTION: February 23, 1977 NET ASSETS: $471 million Q: HOW DID THE FUND PERFORM DURING THE SIX MONTHS ENDED DECEMBER 31, 2000? A: The Stein Roe Managed Municipals Fund performed well during the six-month period ended December 31, 2000, as the bond markets finally took a favorable turn. The Fund returned 8.24% for the period, which is a significant improvement over the performance in the previous fiscal year. The Fund outperformed its benchmark, the Lehman Brothers Municipal Bond Index, which returned 6.90% for the same period. The Fund also outperformed the Lipper General Municipal Debt Fund peer group average return of 6.59%. This outperformance is mainly the result of our overweighted position in non-callable bonds (which outperformed during the period), and the Fund's longer duration in the second half of the period. Q: HOW HAS THE INVESTMENT ENVIRONMENT CHANGED SINCE THE END OF THE LAST FISCAL YEAR? A: Starting in mid-1999, the Federal Reserve Board repeatedly raised short-term interest rates in an effort to rein in the economy and avoid inflationary pressures. By the third quarter of 2000, it appeared that the Fed's efforts had been successful. Economic growth declined dramatically in the fourth quarter, which helped to ease inflationary concerns but triggered fears about the possibility of recession. In recent weeks, the Fed has cut interest rates twice, and there is evidence to suggest that they are willing to make further rate cuts in order to avoid recession. 11 Questions & Answers Continued - -------------------------------------------------------------------------------- Q: HOW DID YOU POSITION THE FUND FOR THIS ENVIRONMENT? A: We had shortened the Fund's duration going into this fiscal year because it appeared that interest rates would continue to rise as long as economic growth remained unchecked. The shorter a fund's duration, the less its share price will fall when interest rates rise (and vice versa). During the six-month period ended December 31, 2000 the economy began to slow and interest rate increases were put on hold. In response to this development, we extended the Fund's duration in order to better take advantage of the lower interest rates we anticipated. We also increased our holdings in zero coupon bonds in an effort to improve Fund performance. By definition, zero coupon bonds are debt securities that do not pay interest on a current basis, but rather at maturity. They are traditionally sold at a deep discount to make up for the lack of interest payments, so the value of these bonds increases when interest rates decline. We believe this addition of zero coupon bonds will benefit the Fund's performance in a declining interest rate environment. Q: DID ANY PARTICULAR SECTORS WITHIN THE PORTFOLIO HAVE A SIGNIFICANT IMPACT ON FUND PERFORMANCE? A: The high yield bond market struggled during this period, as the market seemed to decide that this was a bad time for taking credit risk. As a result, the high yield sector of the Fund's portfolio generally provided disappointing returns. Fortunately, we held an underweighted position in high yield bonds, so the poor performance in this sector had only a limited effect on overall Fund performance. We still believe that attractive investment opportunities are available in the high yield sector, and we will attempt to selectively add these securities to the portfolio in the months to come. Q: WHAT IS YOUR OUTLOOK FOR THE REMAINDER OF THE FISCAL YEAR? A: We believe the future looks quite positive for the bond market. Across the board, economic indicators suggest that the U.S. economy's rampant growth has slowed to a reasonable pace. Key short-term interest rates have been cut twice, and evidence indicates that the Fed is willing to act swiftly and decisively with further rate cuts in order to 12 Questions & Answers Continued - -------------------------------------------------------------------------------- avoid the possibility of recession. All of this should be good news for investors in the bond market, because bonds generally have performed better in periods of slower economic growth and declining interest rates. There may be favorable trends in the municipal market as well. In recent years, strong economies and high tax revenues have allowed state and local entities to fund new projects with cash rather than debt, causing the supply of municipal bonds to dwindle. However, as the economy starts to slow, the supply of municipal bonds should begin to return to historical levels. 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 12/31/00 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. Tax-exempt investing offers current tax-free income, but also involves certain risks. The value of the Fund will be affected by interest rate changes and the creditworthiness of issues held in the Fund. The municipal bond management team seeks to identify opportunities and react quickly to market changes. Source of Lipper data: Lipper Inc. 13 Fund Highlights Stein Roe Managed Municipals Fund TOP FIVE STATES PORTFOLIO PORTFOLIO DECEMBER 31, 2000 JUNE 30, 2000 - -------------------------------------------------------------------------------- Georgia 13.5% Georgia 12.5% Illinois 10.1 Illinois 9.7 Massachusetts 9.3 Massachusetts 9.4 New York 6.2 New York 6.6 California 6.1 California 5.9 PORTFOLIO STATISTICS PORTFOLIO PORTFOLIO DECEMBER 31, 2000 JUNE 30, 2000 ------------------------------------ Average Duration 10.2 years 9.4 years Average Weighted Maturity 16.1 years 16.1 years Average Weighted Coupon 5.53% 5.77% - -------------------------------------------------------------------------------- PIE CHART: MATURITY As of December 31, 2000 As of June 30, 2000 Less than 5 Years 5.9% Less than 5 Years 7.4% 5-10 Years 14.0% 5-10 Years 12.8% 10-15 Years 27.1% 10-15 Years 27.8% 15-20 Years 22.0% 15-20 Years 21.1% 20-25 Years 17.2% 20-25 Years 18.5% Greater than 25 Years 13.8% Greater than 25 Years 12.4% - -------------------------------------------------------------------------------- PIE CHART: PORTFOLIO QUALITY As of December 31, 2000 As of June 30, 2000 AAA 49.0% AAA 42.9% AA 23.0% AA 22.0% A 13.8% A 20.2% BBB and Below 7.4% BBB and Below 9.8% Cash equivalents 2.1% Cash equivalents 0.5% Non-rated 4.7% Non-rated 4.6% 14 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 total return consisting of current income exempt from ordinary federal income tax and opportunities for capital appreciation. FUND INCEPTION: March 5, 1984 NET ASSETS: $241.9 million Photo of: Maureen Newman Q: HOW DID THE FUND PERFORM DURING THE SIX MONTHS ENDED DECEMBER 31, 2000? A: For the six months ended December 31, 2000, Stein Roe High-Yield Municipals Fund performed well, delivering a total return of 4.61%. This return was substantially higher than the Lipper High-Yield Municipal Debt Fund peer group average return of 1.88%. The Lehman Brothers Municipal Bond Index, a broad gauge of the municipal bond market's performance, returned 6.90% for the same period. During the period, credit spreads (which measure the difference in yield between higher and lower quality bonds) widened, resulting in the outperformance of higher quality bonds. Since the Lehman Brothers Municipal Bond Index consists primarily of securities rated in the four highest rating categories, the Index tends to outperform during periods of widening credit spreads. High yield funds tend to provide lower returns during these periods, as they contain non-investment grade and non-rated bonds. Q: WHAT FACTORS BENEFITED THE FUND'S PERFORMANCE DURING THIS FISCAL PERIOD? A: The municipal bond market performed well during the period, with yields falling and prices rising. The Fund was well positioned to benefit from this upturn in the market. Also, as credit quality concerns began to surface late in the period, the Fund outperformed because of our recent diversification out of cyclical bonds and into more defensive sectors. Q: PLEASE DISCUSS THE STRATEGIES YOU EMPLOYED DURING THE PERIOD. A: While the Fund seeks a high level of income, it is also managed for total return. This means that while seeking a reasonably high current yield, we also attempt to 15 Questions & Answers Continued - -------------------------------------------------------------------------------- preserve the principal value of your investment. To pursue this objective, we invested a portion of the Fund's assets in small, non-rated municipal issues. Because these securities involve greater risks than investment grade issues, we diversified the Fund's holdings by industry sector and geographic location, and conducted extensive credit research to avoid weaker bonds. We also added some inverse floaters, bonds which have a longer duration and therefore benefit from rising bond prices. Q: HOW DID YOU POSITION THE FUND IN RESPONSE TO ECONOMIC UNCERTAINTIES? A: During the period, as economic evidence increasingly pointed toward a slowdown, we reduced our hedge against higher interest rates and focused on broadening the Fund's diversification, primarily through investments in multi-family housing and selected transportation bonds. For instance, we invested in a Las Vegas monorail project (NV State Department of Business & Industry, 0.40% of net assets) designed to facilitate movement among the city's casinos. We also purchased a bond backed by revenues from a toll road connecting Denver's fast-growing southern suburbs to its airport. The bond (E-470 Public Highway Authority, 0.93% of net assets) is well structured and was offered at an attractive price. Q: WHAT IS YOUR OUTLOOK FOR THE REMAINDER OF THE FISCAL PERIOD? A: At this juncture, our outlook is more positive than it has been for some time. The economy is slowing, but probably not so rapidly as to turn the decade-long expansion into a recession. A slower, non-inflationary rate of growth should please bond investors, so we look for positive price movement in the general bond market. However, we believe that a less robust economy may lead to weakness in certain cyclical industries, so we have been actively moving away from industrial development bonds in sectors such as airlines and plan to continue focusing on less economically sensitive areas like multi-family housing. 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 12/31/00 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 maybe 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 investments. Source of Lipper data: Lipper, Inc. 16 Portfolio Highlights - -------------------------------------------------------------------------------- SR&F High-Yield Municipals Portfolio TOP FIVE STATES PORTFOLIO PORTFOLIO DECEMBER 31, 2000 JUNE 30, 2000 - -------------------------------------------------------------------------------- Florida 9.0% Pennsylvania 10.5% Pennsylvania 8.8 Florida 9.3 Indiana 7.3 Indiana 9.1 Colorado 6.6 Colorado 6.2 Texas 6.1 Texas 5.4 PORTFOLIO STATISTICS PORTFOLIO PORTFOLIO DECEMBER 31, 2000 JUNE 30, 2000 ------------------------------------ Average Duration 7.3 years 7.4 years Average Weighted Maturity 17.5 years 16.9 years Average Weighted Coupon 6.57% 6.65% - -------------------------------------------------------------------------------- PIE CHART: MATURITY As of December 31, 2000 As of June 30, 2000 Less than 5 Years 9.4% Less than 5 Years 13.9% 5-10 Years 13.3% 5-10 Years 10.3% 10-15 Years 12.1% 10-15 Years 12.8% 15-20 Years 23.8% 15-20 Years 21.4% 20-25 Years 20.7% 20-25 Years 20.6% Greater than 25 Years 20.7% Greater than 25 Years 21.0% - -------------------------------------------------------------------------------- PIE CHART: PORTFOLIO QUALITY As of December 31, 2000 As of June 30, 2000 AAA 16.1% AAA 16.3% AA 10.6% AA 8.8% A 14.0% A 16.1% Cash equivalents 0.7% Cash equivalents 1.6% BBB 18.6% BBB 22.1% BB 8.1% BB 8.7% Non-rated 31.9% Non-rated 26.4% 17 SR&F Municipal Money Market Portfolio - -------------------------------------------------------------------------------- December 31, 2000 (All amounts in thousands) (Unaudited) MUNICIPAL SECURITIES 99.1% Par Value - -------------------------------------------------------------------------------- ARIZONA - 1.4% Phoenix Industrial Development Authority, Spring Air Matress Co., Series 1999, 5.25% 01/03/01 (a)................................ $ 1,870 $ 1,870 ------- CALIFORNIA - 0.8% State Higher Education Loan Authority, Series 1994 A, VRDB 4.70% 07/01/05 (a)............ 1,000 1,000 ------- COLORADO - 4.1% Colorado Springs, Catalano Family L.L.P., Series 1998, 5.20% 01/04/01 (a) (b)............... 1,085 1,085 Jefferson County, Rocky Mountain Butterfly Project, Series 1998, VRDB 2.95% 06/01/10 (b).............. 315 315 Lowry Economic Redevelopment Authority, Series 1998 B, VRDB 4.80% 01/03/01................ 900 900 SBC Metropolitan District, Series 1998, 4.45% 12/01/01 2,000 2,000 State, Series 2000, 5.00% 06/27/01.................. 1,000 1,003 ------- 5,303 DISTRICT OF COLUMBIA - 0.8% District of Columbia Housing Finance Agency, Series 2000 E, 4.60% 07/23/01 (a)................. 1,000 1,000 ------- GEORGIA - 1.7% Gwinnett County Development Authority, Price Co., Inc., Series 1995, VRDB 3.20% 06/01/10 (a).............. 2,200 2,200 ------- ILLINOIS - 25.0% ABN AMRO Munitops CTF, Series 1998-14, VRDB 4.97% 01/03/01 (b)................................ 1,000 1,000 Chicago, Series A, VRDB 4.25% 01/03/02............... 1,000 1,000 Chicago, Series 1997, VRDB 4.38% 01/01/06............ 900 900 Chicago, Archer Court Apartments, Series 1999 B, 4.98% 01/04/01 (a)................................ 1,010 1,010 Chicago, De LaSalle Institute Project, Series 1997, VRDB 4.00% 04/01/27.................................... 900 900 Chicago, Midway Airport, Series 1999, VRDB 3.30% 01/01/29 (a)................................ 1,960 1,960 Chicago, PS Greetings, Inc., Series 1999, VRDB 5.15% 01/04/01 (a)................................ 1,420 1,420 Chicago, Stockyards Redevelopment Project, Series 1997 A, VRDB 2.95% 12/01/11................ 1,400 1,400 Galesburg, Knox College, Series 1999, 5.00% 01/04/01. 600 600 Glendale Heights, Judy L.L.C./York Corrugated, Series 1998, VRDB 3.30% 08/01/28 (a).............. 1,480 1,480 Melrose Park, Ninos Enterprises, Inc., Series 1999, 5.15% 01/03/01 (a)................... 3,400 3,400 Morton, Morton Welding Co., Inc., Series 1996 A, 5.30% 01/04/01 (b)................................ 870 870 Palatine, Little City Community Development Project Series 1998, VRDB 3.10% 12/01/28.......... 1,000 1,000 Quad Cities Regional Economic Development Authority, Steel Warehouse Quad Cities, Series 1998, 5.20% 01/04/01 (a) (b)............................ 2,200 2,200 Sauget, Monsanto Co., Series 1996, 4.95% 01/03/01 ... 2,200 2,200 Springfield, Oak Terrace Joint Venture L.P., Series 1999, VRDB 3.10% 12/01/25.................. 1,000 1,000 Springfield, Phillips Brothers, Inc., Series 1998, 5.20% 01/04/01 (a) (b)............................ 1,350 1,350 18 SR&F Municipal Money Market Portfolio - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- ILLINOIS - CONT. State Development Finance Authority, American Osteopathic Assoc., Series 1993, VRDB 5.05% 01/04/01............................... $ 1,655 $ 1,655 State Development Finance Authority, Ivex Corp Project, VRDB 3.40% 04/01/08...................... 1,500 1,500 State Development Finance Authority, Rest Haven Illiana Christian Convalescent Home, Series 1997, VRDB 3.10% 01/01/27............................... 1,000 1,000 State Development Finance Authority, Wheaton Academy, Series 1998, VRDB 3.10% 10/01/28............... 1,000 1,000 State Educational Facilities Authority, Aurora University, Series 1989, VRDB 3.20% 01/01/09............... 1,400 1,400 State Health Facilities Authority, University of Chicago, Series 1985 A, VRDB 4.15% 08/01/15............. 1,000 1,000 Will County, LPX, Inc., Series 1987, 4.50% 10/01/07.. 1,350 1,350 ------- 32,595 INDIANA - 8.0% Elkhart, Adorn, Inc., Series 1995, 5.40% 01/04/01 (a) 1,000 1,000 Health Facility Financing Authority, Series 2000-B 5.00% 01/03/01.................................... 1,400 1,400 Kokomo, Village Community Partners IV L.P., Series 1995, 5.00% 01/04/01 (a)................... 2,640 2,640 Plymouth, Hillcrest Apartments, Series 1998 A, 3.20% 04/01/28 (a)................................ 1,000 1,000 St.Joseph County, Pine Oaks Apartments, Series 1997 A, VRDB 3.20% 06/01/27 (a)............ 2,365 2,365 State Development Finance Authority, Carr Metal Products, Inc., Series 1999, 5.40% 01/03/01 (a)... 1,160 1,160 State Transportation Finance Authority, Series 1992 A, 6.10% 12/01/01..................... 850 863 ------- 10,428 IOWA - 17.1% Cedar Rapids, Series 2000, 5.00% 06/01/01............ 1,355 1,358 Clinton, Sethness Products Co., Series 1996, VRDB 3.25% 09/01/11 (b)........................... 3,700 3,700 Dallas Center Grimes Community School District, Series 2000, 5.00% 05/01/01....................... 260 261 Muscatine County, Monsanto Co., Series 1992, 4.95% 01/03/01.................................... 2,100 2,100 Scott County, Nichols Aluminum Project, Series 1999, VRDB 3.15% 06/01/14 (a) (b)....................... 2,800 2,800 State Finance Authority, Diocese of Sioux City, Series 1999, VRDB 2.95% 03/01/19.................. 100 100 State Finance Authority, Village Court Assoc. Project, Series 1985 A, VRDB 2.95% 11/01/15................ 2,300 2,300 State Higher Education Loan Authority, St.Ambrose University Project, Series 1995, VRDB 3.05% 02/01/05.................................... 900 900 State Higher Education Loan Authority, American Institute of Business Series 1998, VRDB 3.05% 11/01/13.................................... 1,460 1,460 State School Corps. CTFS, Iowa School Cash Anticipation Program Series 2000-A, 5.50% 06/22/01.................................... 1,000 1,006 Webster County, St. Edmond Project, Series 2000, VRDB 2.95% 07/01/20............................... 3,400 3,400 Woodbury County, Siouxland Medical Educational Foundation, Series 1996, VRDB 3.00% 11/01/16...... 2,850 2,850 ------- 22,235 KANSAS - 0.6% Olathe, Garmin International, Inc., Series 1995, VRDB 3.45% 01/01/25 (a) (b)............................ 800 800 ------- 19 SR&F Municipal Money Market Portfolio - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- KENTUCKY - 1.9% Clark County, East Kentucky Power Cooperative, Inc., Series 1984 J-2, VRDB 4.30% 10/15/14.............. $ 1,000 $ 1,000 Shelby County, Roll Forming Corp., Series 1996, 5.20% 01/04/01 (a) (b)............................ 1,460 1,460 ------- 2,460 LOUISIANA - 1.0% State Housing Finance Agency, Series 2000 C, VRDB 5.25% 06/01/32 (a)................................ 290 290 State Public Facilities Authority, Series 2000 F, 5.00% 10/17/01.................................... 1,000 1,003 ------- 1,293 MARYLAND - 1.0% Anne Arundel County, Baltimore Gas & Electric Co., Series 1988, VRDB 4.20% 12/01/18 (a).............. 1,000 1,000 Baltimore, Wastewater Project, Series 2000 A, 4.75% 07/01/01.................................... 365 365 ------- 1,365 MICHIGAN - 3.1% ABN AMRO Munitops CTF, Series 1998-13, VRDB 4.91% 01/03/01 (b)................................ 2,000 2,000 Kentwood Public Schools, Series 2000, 4.35% 05/01/01. 495 496 State Municipal Bond Authority, Series 2000 B-1, 5.00% 07/02/01.................................... 1,500 1,507 ------- 4,003 MINNESOTA - 0.8% State Housing Finance Authority, Single Family Mortgage Series 2000, 4.35% 05/01/01 (a)......... 1,000 1,000 ------- MISSOURI - 0.4% Kansas City Industrial Development Authority, Lanter Co., Series 1987 A, VRDB 3.30% 02/01/03 (b)............ 515 515 ------- NEVADA - 2.8% Washoe County, Sierra Nevada Collge Project, Series 2000, VRDB 3.05% 07/01/25.................. 3,630 3,630 ------- NEW JERSEY - 1.2% Bayonne, Series 2000, 5.00% 07/12/01................ 1,000 1,003 State Economic Development Authority, New Jersey Transit Corp., Series 1999 B, 5.00% 05/01/01...... 500 501 ------- 1,504 NORTH CAROLINA - 0.6% New Hanover County Certificates of Participation, Series 2000 4.50% 12/01/01........................ 775 777 ------- OHIO - 0.9% Environment Improvement Authority, U.S. Steel Corp. Project, 4.60% 01/02/01........................... 400 400 Hancock County, Crystal Glen Apartments Project, Series 1998 B, 5.13% 01/04/01 (a)................. 750 750 ------- 1,150 PENNSYLVANIA - 1.8% Bucks County Industrial Development Authority, USX Corp., Series 1995, VRDB 4.25% 11/01/17....... 1,000 1,000 Quakertown General Authority, Pooled Financing Program, Series 1996 A, 4.75% 01/03/01............ 1,368 1,368 ------- 2,368 20 SR&F Municipal Money Market Portfolio - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- SOUTH CAROLINA - 1.1% Jobs Economic Development Authority, Persona, Inc. Project, Series 1998, 4.98% 01/04/01 (a).......... $ 1,400 $ 1,400 ------- TENNESSEE - 4.9% Rutherford County Industrial Development Board, Farmers CoOp Project, Series 1999-B, VRDB 3.20% 11/01/14 (a)................................ 1,000 1,000 Wilson County Industrial Development Board, Briskin Manufacturing Co., Series 1999, 5.15% 01/03/01 (a)................................ 5,455 5,455 ------- 6,455 TEXAS - 8.7% Brazos River Authority, Pharmacia Corp., Series 1994, 4.95% 01/03/01....................... 200 200 Brownsville Industrial Development Corp., Tella Tool & Manufacturing Co., Series 2000, 5.20% 01/04/01 (a)................................ 1,300 1,300 Fort Bend County Industrial Development Corp., W.W.Grainger, Inc., Series 1989, VRDB 3.25% 12/01/02 (b)................................ 1,110 1,110 Grand Prarie Industrial Development Authority, W. W. Grainger Inc. Series 1986, VRDB 3.25% 12/01/11 (a) (b)............................ 900 900 Harris County, General Obligation Corporate Notes 4.20% 02/15/01.................................... 2,000 2,000 Harris County Industrial Development Corp., Precision General, Inc., Series 1991, 5.20% 01/04/01 (a) (b)............................ 2,060 2,060 Robertson County Industrial Develpment Corp., Sanderson Farms, Inc., Series 1995, 5.05% 01/03/01 (a)................................ 300 300 San Felipe Del Rio Independent School District, Series 2000, 6.00% 08/15/01....................... 580 586 San Juan Independent School District, Series 2000, 4.70% 02/01/01.................................... 675 675 Public Financing Authority, Series 1993 A, 5.00% 10/01/01.................................... 250 251 Tax and Revenue Anticipation Notes, Series 2000, 5.25% 08/31/01.................................... 2,000 2,013 ------- 11,395 WASHINGTON - 0.8% State Housing Finance Commission, Hamilton Place Senior Living, Series 1996 A, 5.05% 01/04/01 (a).. 1,110 1,110 ------- WEST VIRGINIA - 0.6% West Virginia State College, Series 1992, 5.50% 04/01/01.................................... 800 802 ------- WISCONSIN - 8.0% Cedarburg School District, Series 2000, 4.50% 12/01/01.................................... 500 500 Chase, Belgiosio Cheese, Inc., Series 1998, VRDB 3.30% 04/01/11 (a) (b)....................... 1,000 1,000 Chippewa Falls Area Unified School District, Series 2000, 5.85% 04/01/01....................... 215 216 Fond du Lac, Brenner Tank, Inc., Series 1994, 5.20% 01/04/01 (a)................................ 1,690 1,690 Holland, White Clover Dairy, Inc., Series 1994, 5.20% 01/04/01 (a) (b)............................ 2,190 2,190 Kenosha, Monarch Plastics, Inc., Series 1994, 5.20% 01/04/01 (a) (b)............................ 1,575 1,575 State Health & Educational Facilities Authority, Grace Lutheran Foundation, Series 1999, VRDB 3.10% 07/01/14 (b) ............................... 2,555 2,555 State Health & Educational Facilities Authority, Monroe Joint Venture, Inc., Series 2000, 5.05% 01/03/01 ................................... 200 200 Walworth County, Series 2000, 5.25% 04/01/01......... 566 567 ------- 10,493 ------- - -------------------------------------------------------------------------------- 21 SR&F Municipal Money Market Portfolio - -------------------------------------------------------------------------------- Continued Value - -------------------------------------------------------------------------------- TOTAL MUNICIPAL SECURITIES (cost of $129,146) (c)............................ $129,151 - -------------------------------------------------------------------------------- OTHER ASSETS, LESS LIABILITIES - 0.9%................ 1,196 -------- NET ASSETS - 100.0%.................................. $130,347 ======== - -------------------------------------------------------------------------------- NOTES TO INVESTMENT PORTFOLIO: - -------------------------------------------------------------------------------- (a) Security is subject to federal alternative minimum tax. At December 31, 2000, the aggregated amortized cost of these securities represented 40.6% of total 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, 2000, the aggregate value of the Portfolio's private placement securities was $29,485, which represented 22.6% of net assets. (c) Cost for federal tax and book purposes is $129,146. 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 of credit or line of credit with a major bank. See accompanying Notes to Financial Statements. 22 Stein Roe Intermediate Municipals Fund December 31, 2000 (All amounts in thousands) (Unaudited) MUNICIPAL BONDS - 97.4% Par Value - -------------------------------------------------------------------------------- EDUCATION - 1.6% EDUCATION - 0.5% WV State University, Series 2000 A, (a) 4/1/15.... $ 1,250 $ 605 ------- STUDENT LOAN - 1.1% ME State Educational Loan Authority, Series 1992 A-2, 6.650% 12/1/02........................... 515 529 TX State Higher Education Coordinating Board, Texas College, Series 1991, 7.450% 10/1/06..... 970 993 ------- 1,522 HEALTHCARE - 7.0% HOSPITAL - 6.3% CA State Health Facilities Financing Authority, Cedears-Sinai Medical Center, Series 1999 A, 6.125% 12/1/19................................. 1,250 1,327 LA State Public Facilities Authority, Touro Infirmary, Series 1999, 5.200% 8/15/10......... 755 723 NJ State Health Care Facilities Financing Authority, Christ Hospital, Series 1994, 7.000% 7/1/03.................................. 1,730 1,842 NY State Dormitory Authority, Mount Sinai Health Obligation Group, Series 2000, 6.500% 7/1/25... 400 423 PA Dauphin County General Authority, Hapsco Group, Inc., Series 1992 B, 5.800% 7/1/02...... 800 819 SC Sumter County, Tuomey Regional Medical Center, Series 1991, 6.625% 11/15/04................... 1,040 1,125 TN Knox City Health, Educational & Housing Facilities Board, Baptist Health Systems of East Tennessee, 5.500% 4/15/11................. 1,000 1,051 WV State Hospital Finance Authority, Series 2000 A, 6.750% 9/1/22................... 1,250 1,300 ------- 8,610 NURSING HOME - 0.7% IA State Finance Authority, Care Initiatives, Series 1998 B, 5.500% 7/1/08................... 500 466 MN New Hope, North Ridge Care Center, Inc., Series 1999, 5.400% 3/1/08..................... 500 464 ------- 930 HOUSING - 0.5% SINGLE FAMILY - 0.5% CA State Housing Finance Agency, Series B-1, 5.900% 2/1/04.................................. 645 674 ------- OTHER - 10.4% POOL/BOND BANK - 1.7% IN Indianapolis Local Public Improvement Bond Bank, Series 1992 D, 6.500% 2/1/06............. 2,100 2,297 ------- REFUNDED/ESCROWED (B) - 8.7% AZ Maricopa County, Samaritan Health Services, Series 1978, 7.625% 1/1/08..................... 1,830 2,033 IL Chicago, Skyway Toll Bridge, Series 1994, 6.750% 1/1/17.................................. 1,500 1,636 IL Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project, Series 1992 A, 7.250% 6/15/05.................. 1,530 1,717 IN State Toll Road Commission, Series 1980, 9.000% 1/1/15.................................. 2,240 3,117 23 Stein Roe Intermediate Municipals Fund - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- OTHER - CONT. MA State Health & Educational Facilities Authority, Carney Hospital, Series 1994 D, 6.000% 7/1/09.. $ 1,000 $ 1,076 MI State Hospital Finance Authority, Daughters of Charity and Providence, Series 1991, 6.500% 11/1/01................................. 315 321 PA Westmoreland County Municipal Authority, Municipal Services, Series 1993 C, (a) 8/15/17. 1,250 532 SC Piedmont Municipal Power Agency, Series 1991 A, 6.125% 1/1/07.................................. 335 368 SC Sumter County, Tuomey Regional Medical Center, Series 1991, 6.625% 11/15/04................... 960 1,044 ------- 11,844 OTHER REVENUE - 0.8% RECREATION - 0.8% OR State Department of Administrative Services, Series 1999 B, 5.250% 4/1/15................... 1,000 1,029 ------- RESOURCE RECOVERY - 3.4% DISPOSAL - 1.8% IL Development Finance Authority, Waste Management, Inc., Series 1997, 5.050% 1/1/10... 615 559 MI State Strategic Fund, United Waste Systems, Inc., Series 1995, 5.200% 4/1/10............... 1,000 908 PA Westmoreland County Industrial Development Authority, Mid-America Waste Systems, Inc., Series 1993, 5.100% 5/1/18..................... 1,000 918 ------- 2,385 RESOURCE RECOVERY - 1.6% NJ Bergen County Utilities Authority, Series 1992 A, 6.250% 6/15/06.................. 2,000 2,194 ------- TAX-BACKED - 37.2% LOCAL GENERAL OBLIGATIONS - 13.5% AZ Cochise County Unified School District No. 68, Sierra V Projects, Series 1990 B, 9.000% 7/1/01.................................. 500 512 AZ Maricopa County Unified School District No. 97, Series 1996 A, 6.250% 7/1/06................... 1,750 1,920 AZ Tempe Unified School District No. 213, Series 1994, 7.000% 7/1/08..................... 500 585 CA Union Elementary School District, Series 1999 A, (a) 9/1/20...................... 1,000 357 CA Yuba City Unified School District, Series 2000, (a) 9/1/16........................ 1,700 774 CO Adams County, School District No. 12, Series 1995 A, (a) 12/15/12.................... 1,300 718 HI Honolulu City & County, Series 1990 A, 7.350% 7/1/06.................................. 1,000 1,146 IL Chicago Board of Education, Series 1996, 6.250% 12/1/12................................. 2,100 2,422 KS Wyandotte County Unified School District No. 204, Series 2000 A, 6.375% 9/1/11.......... 500 580 LA Orleans Levee District, Series 1995 A, 5.950% 11/1/07................................. 2,200 2,407 NY New York City: Series 1996 C, 5.700% 2/1/06................... 1,000 1,064 Series 1997 H, 6.000% 8/1/17................... 1,000 1,067 Series 1997 J, 6.125% 8/1/11................... 2,000 2,186 OH Marion City School District, Series 2000, 6.500% 12/1/14................................. 500 593 OH Olmsted Falls School District, Series 1999, 5.500% 12/1/04................................. 420 429 WA Snohomish County School District No. 002, Series 1993, 7.000% 12/1/02.................... 1,500 1,578 ------- 18,338 SPECIAL NON-PROPERTY TAX - 7.8% FL Tampa, Utilities Tax Forward, Series 2000, 6.000% 10/1/08................................. 1,000 1,094 24 Stein Roe Intermediate Municipals Fund - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- TAX-BACKED - CONT. IL Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project, Series 1992 A, 7.250% 6/15/05.................. $ 1,220 $ 1,358 MI State, Underground Storage Tank Financial Assistance, Series 1996 I, 6.000% 5/1/05....... 4,000 4,279 NM Santa Fe, Series 1996 A, 6.500% 6/1/06......... 1,555 1,720 NV State Highway Improvement, 5.000% 12/1/06...... 1,000 1,038 NY State Local Government Assistance Corp., Series 1993 E, 5.250% 4/1/16................... 1,000 1,050 ------- 10,539 SPECIAL PROPERTY TAX - 3.1% FL Stoneybrook Community Development District, Series 1998 B, 5.700% 5/1/08................... 2,620 2,577 MO State Development Finance Board, Midtown Redevelopment Project, Series 2000 A, 6.000% 4/1/14.................................. 1,500 1,648 ------- 4,225 STATE APPROPRIATED - 8.2% KY State Turnpike Authority, Series 1992, 5.800% 1/1/04.................................. 2,500 2,608 MO State, Regional Convention & Sports Facility Project, Series 1991 A, 6.600% 8/15/03......... 830 878 NY Metropolitan Transportation Authority, Series 1993 O, 5.500% 7/1/17................... 1,000 1,058 NY State Dormitory Authority, Series 1995 A, 6.500% 5/15/05................................. 1,000 1,090 NY State Dormitory Authority, City University of New York, Series 1995, 5.625% 7/1/16........ 5,000 5,482 ------- 11,116 STATE GENERAL OBLIGATIONS - 4.6% MA Massachusetts Bay Transportation Authority, Series 1994 A, 7.000% 3/1/07................... 2,250 2,576 MA State College Building Authority, Series 1994 A, 7.500% 5/1/14................... 500 628 TX Goose Creek Independent School District, Series 2000, 5.250% 8/15/18.................... 3,000 3,035 ------- 6,239 TRANSPORTATION - 9.7% AIR TRANSPORTATION - 2.1% IL Chicago O'Hare International Airport, United Airlines, Inc., Series 2000 A, 6.750% 11/1/11................................. 1,200 1,228 OH Cleveland, Series 1999, 5.700% 12/1/19......... 2,000 1,693 ------- 2,921 AIRPORT- 4.9% GA Atlanta, Airport Facilities, Series 1996, 6.500% 1/1/07 (c).............................. 4,000 4,464 IL Chicago, Midway Airport, Series 1994 A, 5.700% 1/1/04.................................. 1,000 1,035 IN State Transportation Finance Authority, Airport Facilities Lease, Series 1992 A, 6.500% 11/1/07................................. 1,040 1,094 ------- 6,593 PORTS - 0.8% WA Port of Seattle, Series 2000 B, 6.000% 2/1/13.. 1,000 1,100 ------- TOLL FACILITIES - 1.1% CO E-470 Public Highway Authority, Series 2000 B, 9/1/18.......................... 1,000 398 OH State Turnpike Commission, Series 1998 A, 5.500% 2/15/24................................. 1,000 1,067 ------- 1,465 TRANSPORTATION - 0.8% CO State Department of Transportation, Series 2000, 6.000% 6/15/12.................... 1,000 1,115 ------- 25 Stein Roe Intermediate Municipals Fund - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- UTILITY - 26.8% INDEPENDENT POWER PRODUCER - 0.4% MI Midland County Economic Development Corp., Series 2000, 6.875% 7/23/09.................... $ 500 $ 511 ------- INVESTOR OWNED - 0.7% NH State Business Finance Authority, United Illuminating Co., Series 1999, 5.400% 12/1/29.. 1,000 1,008 ------- JOINT POWER AUTHORITY - 7.7% GA Municipal Electric Authority Power, Series 1997 Y, 6.400% 1/1/13................... 3,000 3,480 NC Eastern Municipal Power Agency, Power System, Series 1993-B, 6.125% 1/1/09................... 2,000 2,108 NC Eastern Municipal Power Agency, Series 1993 C, 5.500% 1/1/07.................................. 1,100 1,130 NC State Municipal Power Agency, Catawba No. 1, Series 1992, 5.900% 1/1/03 .................... 1,500 1,550 SC Piedmont Municipal Power Agency, Series 1991 A, 6.125% 1/1/07................... 2,015 2,197 ------- 10,465 MUNICIPAL ELECTRIC - 1.1% TX Lower Colorado River Authority, Series 1999 A, 5.500% 5/15/21................................. 1,500 1,542 ------- WATER & SEWER - 16.9% AR Beaver Water District, Benton & Washington Counties, Series 1994, 6.000% 11/15/04......... 2,580 2,747 CA Metropolitan Water District, Series 1998 A, 4.750% 7/1/22.................................. 2,000 1,912 DE State Economic Development Authority, Wilmington Suburban Water Corp., Series 1992 B, 6.450% 12/1/07................................. 1,165 1,291 IL Chicago, Series 1993, 6.500% 11/01/09.......... 2,155 2,470 IL Du Page County Special Service Area No. 11, Series 1995, 6.750% 1/1/14..................... 1,090 1,187 MA State Water Pollution Abatement Trust, Series 1999 A, 6.000% 8/1/19................... 2,500 2,833 NY State Environmental Facilities Corp., Series 1994 D, 6.300% 5/15/05.................. 3,000 3,263 TN Metropolitan Government of Nashville & Davisdon Countries, Series 1993, 6.500% 1/1/10.......... 2,750 3,160 TX Houston Water Conveyance System, Series J, 6.125% 12/15/06................................ 1,000 1,089 TX Houston Water & Sewer, Series 2000 B, 5.250% 12/1/23................................. 2,000 2,006 TX Water Development Board, Series 1996 B, 5.125% 7/15/18................................. 1,000 1,001 ------- 22,959 ------- TOTAL MUNICIPAL BONDS (cost of $123,497).......... 132,226 26 Stein Roe Intermediate Municipals Fund - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- SHORT-TERM OBLIGATIONS - 1.6% - -------------------------------------------------------------------------------- VARIABLE RATE DEMAND NOTES (D) IA State Finance Authority, Village Cour Association Projects, Series 1985 A, 4.850% 11/1/15................................. $ 100 $ 100 ID State Health Facilities Authority, St. Lukes Regional Medical Facility, Series 1995, 5.000% 5/1/22.................................. 800 800 IL Southwestern Illinois Development Authority, Shell Oil Co., Wood River Project, Series 1991, 5.100% 8/1/21.................................. 900 900 TX Gulf Coast Waste Disposal Authority, Monsanto Co., Series 1996, 4.950% 7/1/01................ 300 300 ------- TOTAL SHORT-TERM OBLIGATIONS (cost of $2,100).................................. 2,100 ------- - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (COST OF $125,597) (E)............. 134,326 - -------------------------------------------------------------------------------- OTHER ASSETS, LESS LIABILITIES - 1.0%................ 1,421 -------- NET ASSETS - 100.0%.................................. $135,747 ======== - -------------------------------------------------------------------------------- NOTES TO INVESTMENT PORTFOLIO: - -------------------------------------------------------------------------------- (a) Zero coupon bond. (b) The Fund has been informed that each issuer has placed direct obligation of the U.S. Government an irrevocable trust, solely for the payment of interest and principal. (c) This security, or a portion thereof, with a total market value of $224, is being used to collateralize open futures contracts. (d) Variable rate demand notes are considered short-term obligations. Interest rates change perodically 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, 2000. (e) Cost for federal tax and book purposes is $125,597. Long futures contracts open at December 31, 2000: Par Value Unrealized covered by Expiration appreciation Type contracts Month at 12/31/2000 ---- ---------------- --------- ------------- Treasury Bond 6,400 March $234 Short futures contracts open at December 31, 2000: Par Value Unrealized covered by Expiration depreciation Type contracts Month at 12/31/2000 ---- ---------------- --------- ------------- Treasury Note 5,300 March ($178) See accompanying Notes to Financial Statements. 27 Stein Roe Managed Municipals Fund - -------------------------------------------------------------------------------- December 31, 2000 (All amounts in thousands) (Unaudited) MUNICIPAL BONDS 97.2% Par Value - -------------------------------------------------------------------------------- EDUCATION - 2.4% EDUCATION - 0.8% MA State Development Finance Agency, Boston University, Series 1999 P, 5.450% 5/15/19...... $ 1,000 $ 969 MN Victoria, Holy Family Catholic High School, Series 1999 A, 5.850% 9/1/24................... 1,000 925 PR Commonwealth of Puerto Rico, Ana G. Mendez University System, Series 1999, 5.375% 2/1/29.. 600 548 WV State University, Series 2000 A, (a) 4/1/18.... 3,800 1,541 ------- 3,983 STUDENT LOANS - 1.6% AK State Student Loan Corp., Series 1994 A, 6.200% 7/1/09 (b).............................. 3,870 4,137 ME State Educational Loan Marketing Corp., Series 1994 B-1, 6.500% 11/1/09................ 3,000 3,218 ------- 7,355 HEALTHCARE - 7.9% CONGREGATE CARE RETIREMENT - 0.9% OR Clackamas County Hospital Facilities Authority, Willamette View, Series 1999 A, 7.500% 11/1/29. 1,000 1,028 PA Montgomery County Industrial Development Authority, Adult Communities Total Services, Series 1996 B, 5.750% 11/15/17................. 3,500 3,291 ------- 4,319 HEALTH SERVICES - 0.4% MA State Development Finance Agency, Boston Biomedical Research Institute, Series 1999, 5.650% 2/1/19.................................. 310 281 WI State Health & Educational Facilities Authority, Marshfield Clinic, Series 1999, 6.250% 2/15/29................................. 1,600 1,700 ------- 1,981 HOSPITALS - 5.8% IL State Development Finance Authority, Adventist Health System, Series 1999, 5.500% 11/15/20.... 3,000 2,552 IL State Health Facilities Authority, Swedish American Hospital, Series 2000, 6.875% 11/15/30................................ 1,000 1,029 LA State Public Facilities Authority, Touro Infirmary, Series 1999, 5.625% 8/15/29......... 2,900 2,659 MA State Health & Educational Facilities Authority: Dana Farber Cancer Institute, Series 1995 G-1, 6.250% 12/1/22................................. 3,365 3,469 Massachusetts General Hospital, Series 1992 F, 6.250% 7/1/12.................................. 5,750 6,613 South Shore Hospital, Series 1999 F, 5.750% 7/1/29.................................. 2,500 2,344 MD State Health & Educational Facilities Authority, University of Maryland Medical System, 6.750% 7/1/30.................................. 500 520 MI Dickinson County, Series 1999, 5.800% 11/1/24.. 1,000 809 NC State Medical Care Commission, Gaston Health Care, Series 1998, 5.000% 2/15/29.............. 1,000 897 NV Henderson, Catholic Healthcare West, Series 1999 A, 6.750% 7/1/20................... 1,000 963 NY State Dormitory Authority, Mount Sinai Health Obligation Group, Series 2000, 6.500% 7/1/25... 1,000 1,057 28 Stein Roe Managed Municipals Fund - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- HEALTHCARE - CONT. HOSPITALS - (CONTINUED) OH Franklin County, Doctors OhioHealth Corp., Series 1998 A, 5.600% 12/1/28.................. $ 3,000 $ 1,936 TX Richardson Hospital Authority, Baylor Richardson Medical Center, Series 1998, 5.625% 12/1/28................................. 500 409 WV State Hospital Finance Authority, Series 2000 A, 6.750% 9/1/30................... 2,000 2,071 ------- 27,328 INTERMEDIATE CARE FACILITIES - 0.5% IN State Health Facilities Financing Authority, Hoosier Care, Inc., Series 1999 A, 7.125% 6/1/34.................................. 2,475 2,218 ------- NURSING HOME - 0.3% IN State Health Facilities Financing Authority, Metro Health Indiana, Inc., Series 1998, 6.400% 12/1/33................................. 1,400 1,034 MN Minneapolis, Walker Methodist Senior Services Group, Series 1998 A, 5.875% 11/15/18.......... 450 390 ------- 1,424 HOUSING - 7.6% MULTI-FAMILY - 2.0% Charter Mac Equity Issue Trust, 6.625% 6/30/49.... 2,000 1,985 FL Broward County Housing Finance Authority, Chaves Lake Apartment Project, Series 2000, 7.500% 7/1/40.................................. 1,500 1,528 FL Clay County Housing Finance Authority, Madison Commons Apartments, Series 2000 A, 7.450% 7/1/40.................................. 750 764 FL Orange County Housing Finance Authority, Palms at Brentwood Apartments, Series 1998 K, 6.500% 12/1/34................................. 2,000 1,812 IL State Development Finance Authority, Catholic Charities Housing Development Corp., Series 1993 C, 5.950% 1/1/09................... 1,450 1,396 Munimae Equity Issue Trust, 7.750% 11/1/10........ 2,000 2,063 ------- 9,548 SINGLE FAMILY - 5.6% IA State Housing Finance Authority, Series 1991 B, 7.450% 7/1/23.................................. 530 547 ID State Housing Agency, Series 1990 E, 7.875% 7/1/24.................................. 745 761 IL Chicago, Series 2000 A, 7.150% 9/1/31.......... 1,000 1,166 MN Minneapolis-St. Paul Housing Finance Board, Series 1991: 7.250% 8/1/21.................................. 1,465 1,502 7.300% 8/1/31.................................. 2,180 2,235 MN State Housing Finance Authority, Series 1991 A, 7.450% 7/1/22.................................. 445 454 NM State Mortgage Finance Authority, Series 2000 A-2, 7.100% 9/1/30............................. 1,500 1,683 NV State Housing Division, Series 1991 A-2, 7.750% 4/1/22.................................. 1,910 1,954 RI State Housing & Mortgage Finance Corp., Series 1-E, 7.550% 10/1/22..................... 5,650 5,802 TN State Housing Development Agency, Series 1990 T, 7.300% 7/1/11.................................. 10,000 10,197 ------- 26,301 INDUSTRIAL - 7.9% FOOD PRODUCTS - 3.7% GA Cartersville Development Authority, Anheuser Busch Cos., Inc., Series 1999, 7.375% 5/1/09... 9,000 10,556 IN Hammond, American Maize Products Co., Series 1994, 8.000% 12/1/24.................... 5,000 5,365 MI State Strategic Fund, Michigan Sugar Co., Carolton Project: Series 1998 B, 6.450% 11/1/25.................. 700 420 Series 1998 C, 6.550% 11/1/25.................. 800 480 29 Stein Roe Managed Municipals Fund - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- INDUSTRIAL - CONT. FOOD PRODUCTS - (CONTINUED) PA State Economic Development Financing Authority, USG Corp., Series 1999, 6.000% 6/1/31.......... $ 500 $ 326 ------- 17,147 FOREST PRODUCTS - 3.8% LA De Soto Parish, International Paper Company, Series A, 7.700% 11/1/18....................... 3,250 3,508 SC Richland County, Union Camp Corp., Series 1991 B, 7.125% 9/1/21................... 5,000 5,123 WA Port Longview Industrial Development Corp., Weyerhaeuser Corp., Series 1992, 6.875% 10/1/08................................. 8,750 9,375 ------- 18,006 MANUFACTURING - 0.4% MO State Development Finance Board, Proctor & Gamble Co., Series 1999, 5.200% 3/15/29................................. 1,000 994 NM Albuquerque Industrial Development Authority, Motorola, Inc., Series 1983 A, 10.000% 6/1/13.. 1,000 1,021 ------- 2,015 METALS & MINING - 0.0% VA Peninsula Ports Authority, Ziegler Coal Project, Series 1997, 6.900% 5/2/22............ 1,500 225 ------- OTHER - 8.5% REFUNDED/ESCROWED (C) - 8.5% CA Foothill/Eastern Transportation Corridor Agency, Series 1995 A, (a) 1/1/18.............. 10,000 4,191 CA Southern California Public Power Authority, Southern Transmission Project, Series 1988 A, (a) 7/1/14..................................... 8,155 4,383 FL State, Jacksonville Transportation Authority, Series 1985, 9.200% 1/1/15..................... 2,000 2,804 GA Fulton County, Series 1992, 6.375% 1/1/14...... 13,270 15,421 MD Washington Suburban Sanitary District, Series 1994, 6.625% 6/1/17..................... 1,660 1,793 NC Eastern Municipal Power Agency, Series 1991 A, 6.500% 1/1/18.................................. 4,315 5,094 NY New York City, Series 1995 D, 6.000% 2/15/25... 2,000 2,157 SC Calhoun County, Solid Waste Disposal Facilities, Eastman Kodak Co., Series 1992, 6.750% 5/1/17.................................. 3,000 3,570 WY Lincoln County, Exxon Corp., Series 1987 C, 5.050% 7/1/17.................................. 400 400 ------- 39,813 OTHER REVENUE - 2.4% RECREATION - 2.2% CA Long Beach Aquarium of the Pacific, Series 1995 A: 6.125% 7/1/15.................................. 4,000 4,282 6.125% 7/1/23.................................. 6,000 6,383 ------- 10,665 RETAIL - 0.2% NJ State Economic Development Authority, Glimcher Properties L.P. Project, 6.000% 11/1/28........ 850 777 ------- RESOURCE RECOVERY - 0.2% DISPOSAL - 0.2% IL Development Finance Authority, Waste Management, Inc., Series 1997, 5.050% 1/1/10..................... 500 455 MI State Strategic Fund, United Waste Systems, Inc., Series 1995, 5.200% 4/1/10..................... 500 454 ------- 909 30 Stein Roe Managed Municipals Fund - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- TAX-BACKED - 30.5% LOCAL APPROPRIATED - 3.1% CA San Diego Convention Center Expansion Financing Authority, Series 1998 A, 4.750% 4/1/28........ $ 5,000 $ 4,739 IL Chicago Board of Education: Series 1992A, 6.000% 1/1/16.................... 5,000 5,637 Series 1998 B-1, (a) 12/1/22................... 3,000 913 IN Crown Point School Building Corp., Series 2000: (a) 1/15/18.................................... 1,550 634 (a) 1/15/19.................................... 1,665 641 TX Houston, Series 2000, 6.400% 6/1/27............ 2,000 2,149 ------- 14,713 LOCAL GENERAL OBLIGATIONS - 8.9% AK North Slope Borough: Series 1999 B, (a) 6/30/10..................... 2,515 1,611 Series 2000 B, (a) 6/30/10..................... 2,000 1,281 CA Golden West School Financing Authority, Series 1999 A, (a) 8/1/15...................... 2,500 1,222 CA Union Elementary School District, Series 1999 A, (a) 9/1/17...................... 2,300 984 CA Yuba City Unified School District, Series 2000, (a) 9/1/18........................ 1,160 466 FL Broward County, Series 1986: 12.500% 1/1/03................................. 1,000 1,159 12.500% 1/1/04................................. 1,195 1,472 12.500% 1/1/05................................. 2,000 2,602 HI Honolulu, Series 1998, 4.500% 7/1/28........... 2,000 1,768 IL Champaign County, Series 1999, 8.250% 1/1/20... 1,015 1,391 IL Chicago Board of Education: Series 1996, 6.250% 12/1/12.................... 2,500 2,883 Series 1998 B-1, (a) 12/1/21................... 1,500 484 Series 1998 B-1, (a) 12/1/23................... 5,000 1,438 IL Chicago Public Building Commission, Series 1999 B, 5.250% 12/1/18.................. 2,000 2,066 IL Chicago, Series 1999, 5.500% 1/1/23............ 2,250 2,380 IL Coles & Cumberland Countys Unified School District, Series 2000, (a) 12/1/13............. 3,120 1,640 IL Will County Forest Preservation District, Series 1999, (a) 12/1/16....................... 1,000 440 IL Will County Unitied School District No. 365-UVY, Series 1999 B, (a) 11/1/18............ 1,900 745 LA New Orleans, Series 1991, (a) 9/1/12........... 6,250 3,552 MO Springfield School District No.R-12, Series 1991 B, 9.500% 3/1/07................... 600 765 NY New York City, Series 1998 H, 5.125% 8/1/25.... 2,190 2,143 NY Yonkers, Series 1999 A, 4.500% 12/1/17......... 1,000 940 TX Houston Independent School District, Series 1999 A, 4.750% 2/15/26.................. 2,000 1,859 TX Hurst Euless Bedford Independent School District, Series 1998, 4.500% 8/15/25.......... 5,000 4,459 VA Virginia Beach, Series 1986, 12.750% 7/15/01... 2,000 2,092 ------- 41,842 SPECIAL NON-PROPERTY TAX - 5.3% IL Metropolitan Pier & Exposition Authority, Series 1996 A: (a) 6/15/12.................................... 5,000 2,848 (a) 12/15/12................................... 8,850 4,919 IL State, Series 1992 Q, 6.000% 6/15/12........... 10,000 11,177 NY New York City Transitional Finance Authority, Series 1998 C, 4.750% 5/1/23................... 2,500 2,362 NY State Local Government Assistance Corp., Series 1993 E, 5.000% 4/1/21................... 1,000 1,000 31 Stein Roe Managed Municipals Fund - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- TAX-BACKED - CONT. SPECIAL NON-PROPERTY TAX - (CONTINUED) OH Hamilton County, Series 2000 B, (a) 12/1/22.... $ 3,000 $ 931 WA Central Puget Sound Regional Transportation Authority, Series 1998, 5.250% 2/1/21.......... 1,500 1,532 ------- 24,769 SPECIAL PROPERTY TAX - 0.6% CA Capistrano Unified School District, Ladera Community Facilities District No.98-2, Series 1999, 5.750% 9/1/29..................... 1,000 954 CA Santa Margarita Water District, Series 1999, 6.250% 9/1/29.................................. 750 756 FL Indigo Community Development District, Series 1999 B, 6.400% 5/1/06................... 1,000 1,004 ------- 2,714 STATE APPROPRIATED - 1.1% KY State Turnpike Authority, Series 1992, (a) 1/1/10......................................... 7,500 4,940 MI State, 525 Redevco, Inc., Series 2000, (a) 6/1/21......................................... 1,000 335 ------- 5,275 STATE GENERAL OBLIGATIONS - 11.5% FL State Board of Education, Series 1998 A, 4.750% 6/1/28.................................. 3,000 2,806 FL State, Broward County Expressway, Series 1984, 9.875% 7/1/09.................................. 1,100 1,462 MA Massachusetts Bay Transportation Authority: Series 1992 B, 6.200% 3/1/16................... 9,825 11,318 Series 1994 A: 7.000% 3/1/14................................ 3,150 3,812 7.000% 3/1/19................................ 2,500 3,053 Series 1998: 4.750% 3/1/21................................ 1,000 946 4.500% 3/1/26................................ 3,805 3,377 MA State College Building Authority Project: Series A, 7.500% 5/1/11........................ 1,500 1,874 Series 1994 A, 7.500% 5/1/14................... 3,500 4,398 NJ State General Obligation, Series D, 6.000% 2/15/11................................. 5,150 5,813 NV Clark County, Series 1998 B, 4.500% 12/1/17.... 2,675 2,488 PA State, Series 1992 2, 6.250% 7/1/12............ 11,200 12,891 ------- 54,238 TRANSPORTATION - 10.4% AIR TRANSPORTATION - 1.5% IL Chicago O'Hare International Airport, United Airlines Inc., Series 2000 A, 6.750% 11/1/11... 1,600 1,637 IN Indianapolis Airport Authority, United Airlines Project, Series A, 6.500% 11/15/31............. 3,000 2,812 NC Charlotte, US Airways, Inc., Series 2000, 7.750% 2/1/28.................................. 1,000 965 NJ State Economic Development Authority, Continental Airlines, Inc., Series 1999, 6.400% 9/15/23................................. 2,000 1,823 ------- 7,237 AIRPORTS - 2.2% HI State, Airport System Revenue, Series 1991, 6.900% 7/1/12.................................. 6,000 7,007 MA State Port Authority, Series 1999, 8.834% 7/1/29.................................. 1,000 1,122 TX Houston, Series 1998 C, 5.000% 7/1/28.......... 2,500 2,408 ------- 10,537 TOLL FACILITIES - 5.2% CO E-470 Public Highway Authority, Series 2000 B: (a) 9/1/18..................................... 4,600 1,831 (a) 9/1/19..................................... 3,500 1,311 32 Stein Roe Managed Municipals Fund - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- TRANSPORTATION - CONT. TOLL FACILITIES - (CONTINUED) NY Triborough Bridge & Tunnel Authority, Series 1991 X, 6.625% 1/1/12................... $ 9,915 $ 11,728 Series 1992 Y, 6.125% 1/1/21................... 5,500 6,307 PA State Turnpike Commission, Series 1998 A, 4.750% 12/1/27................................. 2,415 2,249 VA Richmond Metropolitan Authority, Series 1998, 5.250% 7/15/22................................. 1,100 1,135 ------- 24,561 TRANSPORTATION - 1.5% GA Metropolitan Atlanta Rapid Transit Authority, Series 1992 P, 6.250% 7/1/20................... 4,000 4,651 NV State Department of Business & Industry, Las Vegas Monorail Project, Series 2000: 7.375% 1/20/30............................... 650 639 7.375% 1/1/40................................ 500 487 OH Toledo-Lucas County Port Authority, CSX Transportation, Inc., Series 1992, 6.450% 12/15/21................................ 1,000 1,012 ------- 6,789 UTILITY - 19.4% INDEPENDENT POWER PRODUCER - 0.3% NY Suffolk County Industrial Development Agency, Nissequogue Cogen Partners, Series 1998, 5.500% 1/1/23.................................. 1,000 879 PR Commonwealth of Puerto Rico Industrial, Educational, Medical & Environmental Cogeneration Facilities, AES Project, Series 2000, 6.625% 6/1/26..................... 650 687 ------- 1,566 INVESTOR OWNED - 0.8% IN Michigan City, Northern Indiana Public Service Co., Series 1973 A, 5.700% 10/1/03............. 2,545 2,552 MS State Business Finance Corp., Systems Energy Resources, Inc., Series 1999, 5.900% 5/1/22.... 1,600 1,444 ------- 3,996 JOINT POWER AUTHORITY - 9.3% GA Municipal Electric Authority Power, Series V, 6.600% 1/1/18.................................. 21,300 25,528 NC Eastern Municipal Power Agency, Series 1991 A, 6.500% 1/1/18.................................. 2,185 2,366 NC State Municipal Power Agency, Catawba No. 1, Series 1992, (a) 1/1/09........................ 2,360 1,628 TX State Municipal Power Agency, (a) 9/1/08....... 1,475 1,039 WA State Public Power Supply System, Nuclear Project No. 2: Series 1992 A, 6.300% 7/1/12................... 3,500 3,983 Nuclear Project No. 3, Series 1989 B: (a) 7/1/08..................................... 7,000 4,900 (a) 7/1/05..................................... 5,000 4,088 ------- 43,532 MUNICIPAL ELECTRIC - 3.1% MN Northern Municipal Power Agency, Series 1998 B, 4.750% 1/1/20.................................. 1,000 953 NC University of North Carolina at Chapel Hill, Series 1997, (a) 8/1/20........................ 1,750 626 NY Long Island Power Authority, Series 2000 A, (a) 6/1/20..................................... 1,000 359 PA Westmoreland County Municipal Service Revenue, (a) 8/15/23........................... 1,400 409 SD Heartland Consumers Power District, Series 1992, 6.000% 1/1/17..................... 8,000 9,006 TX Austin, Series 1998, 5.250% 5/15/25............ 3,000 3,079 ------- 14,432 33 Stein Roe Managed Municipals Fund - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- UTILITY - CONT. WATER & SEWER - 5.9% DE State Economic Development Authority, Wilmington Suburban Water Corp.: Series 1992 B, 6.450% 12/1/07................ $ 1,160 $ 1,286 Series 1992 A, 6.800% 12/1/23................ 3,500 3,583 FL Jacksonville, General Waterworks Corp., Series 1992, 6.750% 6/1/22..................... 1,500 1,555 GA Fulton County, Series 1992, 6.375% 1/1/14...... 430 492 GA Fulton County Water & Sewer Revenue, 4.750% 1/1/28.................................. 6,750 6,298 PA Allegheny County Sanitation Authority, Series 1991 A, (a) 6/1/07...................... 2,370 1,775 PA Dauphin County Industrial Development Authority Dauphin Water Supply Co., Series 1992 A, 6.900% 6/1/24.................................. 3,400 4,018 TX Houston, Series 1991 C: (a) 12/1/08.................................... 4,000 2,786 (a) 12/1/09.................................... 4,000 2,650 (a) 12/1/10.................................... 3,750 2,363 TX Houston,Series 1998 A, (a) 12/1/23............. 3,500 1,020 ------- 27,826 ------- TOTAL MUNICIPAL BONDS (cost of $422,333)................................ $458,041 - -------------------------------------------------------------------------------- Short-Term Obligations - 1.4% - -------------------------------------------------------------------------------- VARIABLE RATE DEMAND NOTES (D) - 1.4% CO Jefferson County, Rocky Mountain Butterfly, Series 1998, 4.850% 6/1/10..................... 700 700 IA State Higher Education Loan Authority, St. Ambrose University, Series 1995, 4.950% 2/1/05.................................. 300 300 IA Webster County, St. Edmond Project, 4.850% 7/1/20.................................. 100 100 IL Galesburg, Knox College, Series 1999, 5.000% 7/1/24.................................. 200 200 IL State Development Finance Authority, Ulich Children's Home Project, 5.000% 4/1/07......... 200 200 IN Allen County, Golden Years Homestead, Inc., Series 1996, 5.100% 8/1/21..................... 600 600 IN Portage Economic Development Revision, Pedcor Investments, Series A, 5.100% 8/1/30........... 600 600 IN Portage, Pedcor Investments, Series B, 5.100% 8/1/30.................................. 105 105 IN State Health Facilities Financing Authority, Series 1998, 5.000% 4/1/13..................... 100 100 IN State Health Facilities Financing Authority, Series 2000, 5.000% 1/12/20.................... 300 300 IN State Hospital Equipment Finance Authority, Series A, 5.000% 12/1/15....................... 400 400 KS State Development Finance Authority, Series 2000, 5.050% 5/15/26.................... 200 200 LA State Public Facility Authority, Kenner Hotel L.P., Series 1985, 4.950% 12/1/15.............. 500 500 MN Mankato, Bethany Lutheran College, Series 2000 B, 5.050% 11/1/15.................. 400 400 MN Minneapolis, Series 1999, 4.700% 12/1/04....... 100 100 NV Clark County, Las Vegas Project, Series 1999, 4.850% 8/1/19.................................. 300 300 SD Lower Brule Sioux Tribe, Series 1999, 4.850% 12/1/11................................. 300 300 TX Brazos River Authority, Phamacia Corp., Series 1994, 4.950% 2/1/04..................... 400 400 34 Stein Roe Managed Municipals Fund - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- VARIABLE RATE DEMAND NOTES - CONT. (D) TX Gulf Coast Waste Disposal Authority, Monsanto Co., Series 1994, 4.950% 4/1/13....... $ 300 $ 300 WY Unita County, Chevron USA, Inc. Project, 4.900% 8/15/20................................. 300 300 ------- TOTAL SHORT-TERM OBLIGATIONS (cost of $6,405)..... 6,405 - -------------------------------------------------------------------------------- TOTAL INVESTMENT (cost of $428,738) (e)............................ 464,446 - -------------------------------------------------------------------------------- OTHER ASSETS, LESS LIABILITIES - 1.4%................ 6,552 -------- NET ASSETS - 100.0%.................................. $470,998 ======== - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- NOTES TO INVESTMENT PORTFOLIO: - -------------------------------------------------------------------------------- (a) Zero coupon bond. (b) This security, or a portion thereof, with a total market value of $1,604, is being used to collateralize open futures contracts. (c) 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. (d) Variable rate demand notes are considered short-term obligations. Interest rates change perodically 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, 2000. (e) Cost for federal tax and book purposes is $428,738. Long futures contracts open at December 31, 2000: Par Value Unrealized covered by Expiration appreciation Type contracts Month at 12/31/2000 ---- ---------------- --------- ------------- Treasury Bond 73,000 March 2,809 See accompanying Notes to Financial Statements. 35 SR&F High-Yield Municipals Portfolio - -------------------------------------------------------------------------------- December 31, 2000 (All amounts in thousands) (Unaudited) MUNICIPAL BONDS - 96.2% Par Value - -------------------------------------------------------------------------------- EDUCATION - 4.2% EDUCATION - 1.3% IL State Development Finance Authority, Latin School of Chicago, Series 1998, 5.650% 8/1/28.. $ 1,725 $ 1,628 MN Victoria, Holy Family Catholic High School, Series 1999 A, 5.875% 9/1/29................... 1,200 1,102 WV State University, Series 2000 A, (a) 4/1/19.... 1,250 477 ------- 3,207 STUDENT LOAN - 2.9% NE Nebhelp, Inc., Series 1993 A-6, 6.450% 6/1/18 (b).............................. 4,000 4,593 NM State Educational Assistance Foundation, Series 1996 A-2, 6.650% 11/1/25................ 1,955 2,019 TX Brazos Higher Educational Facilities Authority, Series 1993 C-2, 5.875% 6/1/04................. 390 390 ------- 7,002 HEALTHCARE - 19.0% CONGREGATE CARE RETIREMENT - 6.0% CA Statewide Community Development Authority, Eskaton Village - Grass Valley, Series 2000, 8.250% 11/15/31................................ 1,000 1,001 FL Orange County Health Facilities Authority, Orlando Lutheran Towers, Inc., Series 1996, 8.625% 7/1/20.................................. 3,000 3,142 MA State Development Finance Agency, Series 1999 A: 5.625% 7/1/15.................................. 500 427 5.750% 7/1/23.................................. 250 205 NJ State Economic Development Authority, Seabrook Village, Inc., Series 2000 A, 8.250% 11/15/30.. 625 618 NJ State Economic Development Authority, Winchester Gardens, Series 1996 A, 8.625% 11/1/25................................. 2,000 2,118 PA Lancaster Industrial Development Authority, Garden Spot Village, Series 2000 A, 7.625% 5/1/31.................................. 500 505 TN Metropolitan Government, Nashville and Davidson County, Blakeford at Green Hills, Series 1998, 5.650% 7/1/24.................................. 1,500 1,155 TX Abilene Health Facilities Development Corp., Sears Methodist Retirement Obligation Group: Series 1998 A, 5.900% 11/15/25................. 2,100 1,672 Series 1999, 6.000% 11/15/29................... 500 399 WI State Health & Educational Facilities Authority: Attic Angel Obligated Group, 5.750% 11/15/27... 1,250 948 Clement Manor, Series 1998, 5.750% 8/15/24..... 3,000 2,374 ------- 14,564 HEALTH SERVICES - 0.1% MA State Development Finance Agency, Boston Biomedical Research Institute, Series 1999, 5.650% 2/1/19.................................. 250 227 ------- HOSPITAL - 8.7% AZ Health Facilities Authority, Phoenix Memorial Hospital, Series 1991, 8.125% 6/1/12........... 2,500 2,525 CO La Junta, Arkansas Valley Regional Medical Center, Series 1999, 6.100% 4/1/24............. 500 442 CO State Health Care Facilities Authority, National Jewish Medical & Research Center, Series 1998, 5.375% 1/1/23..................... 250 204 36 SR&F High-Yield Municipals Portfolio - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- HEALTHCARE - CONT. HOSPITALS - (CONTINUED) FL Orange County Health Facilities Authority, Orlando Regional Healthcare System, Series 1999, 6.000% 10/1/26.................... $ 875 $ 901 IL Southwestern Illinois Development Authority, Anderson Hospital, Series 1999: 5.500% 8/15/20............................... 500 413 5.625% 8/15/29............................... 250 202 KS Wichita, CSJ Health System of Wichita, Inc., Series 1991 X, 7.000% 11/15/18................. 2,000 2,089 LA State Public Facilities Authority, Touro Infirmary, Series 1999, 5.625% 8/15/29......... 500 459 MI Dickinson County, Dickinson County Healthcare, Series 1999, 5.800% 11/1/24.................... 1,300 1,051 MI Flint Hospital Building Authority, Hurley Medical Center, Series 1998 B, 5.375% 7/1/28... 1,250 914 MI State Hospital Finance Authority, Detroit Medical Center, Series 1998 A, 5.250% 8/15/28.. 1,000 660 MN Maplewood, Healtheast, Inc., Series 1996, 5.700% 11/15/02................................ 500 490 NC State Medical Care Commission, Stanly Memorial Hospital, Series 1999, 6.375% 10/1/29.......... 1,000 1,034 NH State Higher Educational & Health Facilities Authority, Littleton Hospital Assoc., Inc., Series 1998 A, 6.000% 5/1/28................... 1,000 806 OH Franklin County, Doctors Ohio Health Corp., Series 1998 A, 5.600% 12/1/28.................. 2,650 1,710 OH Highland County Joint Township Hospital District, Series 1999, 6.750% 12/1/29.......... 1,250 1,081 OH Miami County, Upper Valley Medical Center, Inc., Series 1996-A, 6.375% 5/15/26............ 1,015 922 TX Richardson Hospital Authority, Baylor Richardson Medical Center, Series 1998, 5.625% 12/1/28................................. 1,200 982 TX Tyler Health Facilities Development Corp., Mother Frances Hospital, Series 1997 A, 5.625% 7/1/13.................................. 1,785 1,579 WA State Health Care Facilities Authority, Sacred Heart Medical Center, Series 1992, 6.875% 2/15/12................................. 1,500 1,572 WV State Hospital Finance Authority, Charleston Area Medical Center, Series 2000 A, 6.750% 9/1/30.................................. 1,000 1,035 ------- 21,071 INTERMEDIATE CARE FACILITIES - 0.6% IL State Development Finance Authority, Hoosier Care, Inc., Series 1999-A, 7.125% 6/1/34....... 1,500 1,344 IN Health Facilities Financing Authority Revenue, Hoosier Care Project, Series A, 7.125% 6/1/34.. 150 134 ------- 1,478 NURSING HOME - 3.6% AK Juneau, St. Ann's Care Center, Series 1999, 6.875% 12/1/25................................. 700 656 CO State Health Facilities Authority, Volunteers of America Care Facilities, Inc., Series 1999 A, 5.750% 7/1/10................... 1,095 992 IA State Finance Authority, Care Initiatives, Series 1998 B, 5.500% 7/1/08................... 720 671 IN State Health Facilities Financing Authority, Metro Health Indiana, Inc., Series 1998, 6.400% 12/1/33................................. 1,500 1,108 MA State Development Finance Agency, Alliance Health Care Facilities, Series 1999, 7.100% 7/1/32.................................. 1,245 1,133 MN Carlton Inter-Faith Social Services, Inc., Series 2000, 7.750% 4/1/29..................... 750 757 37 SR&F High-Yield Municipals Portfolio - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- HEALTHCARE - CONT. NURSING HOME - (CONTINUED) MN Minneapolis, Walker Methodist Senior Services Group, Series 1998-C, 6.000% 11/15/28.......... $ 1,300 $ 1,105 MN New Hope, North Ridge Care Center, Inc., Series 1999, 5.875% 3/1/29..................... 900 731 MN Sartell, Foundation for Healthcare, Series 1999-A, 6.625% 9/1/29................... 2,000 1,770 ------- 8,923 HOUSING - 7.9% ASSISTED LIVING/SENIOR - 2.6% DE Kent County, Heritage at Dover, Series 1999, 7.625% 1/1/30.................................. 1,500 1,448 GA Columbus Housing Authority, The Gardens at Calvary, Series 1999, 7.000% 11/15/29.......... 1,000 879 LA State Public Facilities Authority, Progressive Healthcare Providers, Inc., Series 1998, 6.375% 10/1/28................................. 2,000 1,635 NC State Medical Care Commission, DePaul Community Facilities Project, Series 1999, 7.625% 11/1/29................................. 1,250 1,214 NY Huntington Housing Authority, Gurwin Jewish Senior Center, Series 1999, 5.875% 5/1/19...... 1,100 967 NY Huntington Housing Authority, Gurwin Jewish Senior Center, Series 1999, 6.000% 5/1/29...... 375 323 ------- 6,466 MULTI-FAMILY - 3.4% CO State Health Facilities Authority, Birchwood Manor, Series 1991-A, 7.250% 4/1/11............ 575 582 FL Broward County Housing Finance Authority, Chaves Lake Apartment Project, Series 2000, 7.500% 7/1/40.................................. 750 764 FL Clay County Housing Finance Authority, Madison Commons Apartments, Series 2000-A, 7.450% 7/1/40.................................. 750 764 GA Clayton County Housing Authority, Magnolia Park Apartments, Series 1999-A, 6.250% 6/1/30....... 1,000 902 IL State Development Finance Authority, Catholic Charities Housing Development Corp., Series 1993-C, 5.950% 1/1/09................... 1,400 1,347 IL State Housing Development Authority, Series 1991-C, 7.400% 7/1/23................... 140 144 IN New Castle, Raintree Apartments, Series 1988-B, (a) 3/1/18 (c).................. 30,655 77 MO State Health & Educational Facilities Authority, Lutheran Senior Services, Series 1997, 5.750% 2/1/17..................... 2,000 1,834 OH Greater Allen County Housing Development Authority, Steiner-McBride Apartments, 10.250% 9/1/03................................. 995 996 TX, El Paso, American Village: 8.000% 12/1/32................................. 350 350 10.000% 12/1/32................................ 400 400 ------- 8,160 SINGLE FAMILY - 1.9% IA State Housing Finance Authority, Series 1984-A, (a) 9/1/16...................... 7,000 1,235 ID State Housing Agency, Series 1991-B, 7.500% 7/1/24.................................. 1,405 1,450 MT State Housing Board: Series 1991 B-2, 7.500% 4/1/23................. 310 317 Series 1991 B-1, 7.300% 10/1/17................ 280 286 UT State Housing Finance Agency: Series 1991 B-2, 7.750% 1/1/23................. 45 46 Series 1991 C-3, 7.550% 7/1/23................. 105 108 38 SR&F High-Yield Municipals Portfolio - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- HOUSING - CONT. SINGLE FAMILY - (CONTINUED) WA State Housing Finance Commission: Series 1991 C, (a) 1/1/22..................................... $ 925 $ 208 (a) 7/1/22..................................... 1,040 226 (a) 1/1/23..................................... 1,040 218 (a) 7/1/23..................................... 1,045 212 (a) 1/1/24..................................... 1,045 204 (a) 7/1/24..................................... 1,050 198 ------- 4,708 INDUSTRIAL - 8.8% FOOD PRODUCTS - 2.1% IN Hammond, American Maize Products Co., Series 1994, 8.000% 12/1/24.................... 4,000 4,292 MI State Strategic Fund, Michigan Sugar Co., Carollton Project, Series 1998-C, Series 1998-C, 6.550% 11/1/25.................. 1,500 900 ------- 5,192 FOREST PRODUCTS - 4.6% 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..................... 1,000 824 LA De Soto Parish, International Paper Co., Series-A, 7.700% 11/1/18....................... 2,500 2,698 MS Lowndes County, Weyerhaeuser Corp., Series 1992-A, 6.800% 4/1/22.................................. 5,995 6,513 ------- 11,065 METALS & MINING - 1.1% IN State Development Finance Authority, Inland Steel, Series A, 5.750% 10/1/11......... 2,500 1,709 NV State Department of Business & Industry, Wheeling-Pittsburgh Steel Corp., Series 1999 A, 8.000% 9/1/14.................................. 250 226 VA Greensville County Industrial Development Authority, Wheeling Steel, Series 1999 A: 6.375% 4/1/04.................................. 115 107 7.000% 4/1/14.................................. 555 460 VA Peninsula Ports Authority, Ziegler Coal Project, Series 1997, 6.900% 5/2/22............ 825 124 ------- 2,626 OIL AND GAS - 1.0% TX Texas City Industrial Development Corp., Arco Pipe Line Co. Project, Series 1990, 7.375% 10/1/20................................. 2,000 2,522 ------- OTHER - 12.7% REFUNDED/ESCROWED (d) CO Adams County, Series 1991 B: 11.250% 9/1/11(b).............................. 325 478 11.250% 9/1/11................................. 360 544 11.250% 9/1/11................................. 220 341 11.250% 9/1/12................................. 1,440 2,276 CO Denver City and County Airport, Series D, 7.750% 11/15/21................................ 830 872 CO State Health Facilities Authority, Healthtone, Series 1991B, 8.500% 2/15/21................... 3,250 3,333 FL Leesburg, Leesburg Regional Medical Center, Series 1991A, 7.375% 7/1/11.................... 775 827 IL Chicago, Skyway Toll Bridge, Series 1994, 6.750% 1/1/17.................................. 1,500 1,636 IL Health Facility Authority, Edward Hospital Association Project, Series 1992, 7.000% 2/15/22................................. 685 719 39 SR&F High-Yield Municipals Portfolio - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- OTHER - CONT. REFUNDED/ESCROWED (D) - (CONTINUED) IL Health Facility Authority, United Medical Center, Series 1991, 8.125% 7/1/06............. $ 1,790 $ 1,884 IN Indianapolis Local Public Improvement Bond Bank, Series 1999E, 6.700% 1/1/17 (b).......... 4,900 5,123 LA State Public Facilities Authority, Womans Hospital Foundation, Series 1992, 7.250% 10/1/22................................. 2,300 2,458 MS Adams County, Jefferson Davis Memorial Hospital, Series 1991, 7.900% 10/1/08.......... 750 786 NC Eastern Municipal Power Agency, Series 1991A, 6.500% 1/1/18 (b).............................. 3,320 3,920 PA Allentown Area Hospital Authority, Sacred Heart Hospital of Allentown, Series 1991, 7.500% 7/1/06.................................. 3,065 3,162 WA State, Series 1991 A, (a) 7/1/07............... 3,395 2,527 ------- 30,886 OTHER REVENUE - 2.1% RECREATION - 2.1% CA Long Beach Aquarium of the Pacific, Series 1995-A, 6.125% 7/1/23................... 4,750 5,053 ------- RESOURCE RECOVERY - 0.1% DISPOSAL - 0.1% IL Development Finance Authority, Waste Management, Inc., Series 1997, 5.050% 1/1/10... 250 227 ------- TAX-BACKED - 11.1% LOCAL APPROPIATED - 1.1% PA Philadelphia Municipal Authority, Series 1993-D, 6.250% 7/15/13................................. 2,500 2,566 ------- LOCAL GENERAL OBLIGATIONS - 1.8% MI Southgate Community School District, Series 1999, 5.000% 5/1/25.................................. 3,500 3,390 NY New York City, Series 1996-B, 7.250% 8/15/07... 1,000 1,162 ------- 4,552 SPECIAL NON-PROPERTY TAX- 1.3% MO St. Louis County Industrial Development Authority, Kiel Center Arena, Series 1992, 7.875% 12/1/24................................. 3,000 3,139 ------- SPECIAL PROPERTY TAX- 3.2% CA Orange County Community Facilities District, Ladera Ranch, Series 1999-A, 6.500% 8/15/21.... 1,000 1,035 FL Heritage Palms Community Development District, Series 1999, 6.250% 11/1/04.................... 1,000 1,004 FL Heritage Springs Community Development District, Series 1999-B, 6.250% 5/1/05......... 845 847 FL Indigo Community Development District, Series 1999-B, 6.400% 5/1/06................... 1,000 1,004 FL Lexington Oaks Community Development District, Series 2000, 7.200% 5/1/30..................... 600 613 Series 2000-D, 6.700% 5/1/07................... 750 760 FL Northern Palm Beach County Improvement District, Series 1999, 6.000% 8/1/29........... 750 694 40 SR&F High-Yield Municipals Portfolio - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- TAX-BACKED - CONT. SPECIAL PROPERTY TAX - (CONTINUED) FL Orlando, Conroy Road Interchange Project: Series 1998-A, 5.500% 5/1/10................... $ 200 $ 195 5.800% 5/1/26.................................. 500 458 FL Stoneybrook Community Development District: Series 1998-A, 6.100% 5/1/19................... 330 317 Series 1998-B, 5.700% 5/1/08................... 800 787 ------- 7,714 STATE APPROPRIATED - 0.9% NY Triborough Bridge & Tunnel Authority, Javits Convention Center Project, Series E, 7.250% 1/1/10.................................. 2,000 2,284 ------- STATE GENERAL OBLIGATIONS - 2.8% MA Massachusetts Bay Transportation Authority, Series 1992-B, 6.200% 3/1/16................... 5,825 6,710 ------- TRANSPORTATION - 9.2% AIR TRANSPORTATION - 5.3% IL Chicago O'Hare International Airport, United Airlines, Inc., Series 2000-A, 6.750% 11/1/11.. 800 818 IN Indianapolis Airport Authority, Federal Express Corp., Series 1994, 7.100% 1/15/17............. 4,000 4,187 NC Charlotte, US Airways, Inc., Series 2000, 7.750% 2/1/28.................................. 750 724 PA Philadelphia Authority for Industrial Development, Aero Philadelphia, Series 1999, 5.500% 1/1/24.................................. 1,000 800 TX Alliance Airport Authority, AMR Corp., Series 1991, 7.000% 12/1/11.................... 4,070 4,454 TX Houston Airport System, Continental Airline Terminal, Series B, 6.125% 7/15/17............. 2,000 1,803 ------- 12,786 AIRPORT - 1.4% CO Denver City and County Airport, Series D, 7.750% 11/15/21................................ 3,170 3,304 ------- PORTS - 1.2% WA Port of Seattle, Series 2000: 8.656% 2/1/10.................................. 625 736 8.656% 2/1/11.................................. 1,875 2,247 ------- 2,983 TOLL FACILITIES - 0.9% CO State Public Highway Authority, Araphoe County, E470 Series 2000 B: (a) 9/1/18................................... 4,000 1,593 (a) 9/1/35................................... 8,750 679 ------- 2,272 TRANSPORTATION - 0.4% NV State Department of Business & Industry, Las Vegas Monorail Project, Series 2000, 7.375% 1/1/40.................................. 1,000 974 ------- UTILITY - 21.1% INDEPENDENT POWER PRODUCER - 5.1% MI Midland County Economic Development Corp., Series 2000, 6.875% 7/23/09.................... 500 510 PA State Economic Development Financing Authority, Northampton Generating: Series A, 6.500% 1/1/13...................... 2,000 1,954 Series 1994 B, 6.750% 1/1/07................. 3,000 3,035 41 SR&F High-Yield Municipals Portfolio - -------------------------------------------------------------------------------- Continued Par Value - -------------------------------------------------------------------------------- UTILITY - CONT. INDEPENDENT POWER PRODUCER - (CONTINUED) VA Pittsylvania County Industrial Development Authority, Multitrade of Pittsylvania, Series 1994 A: 7.450% 1/1/09................................ $ 3,500 $ 3,623 7.550% 1/1/19................................ 3,100 3,201 ------- 12,323 INVESTOR OWNED - 5.8% CT State Development Authority, Connecticut Light & Power Co., Series 1993-A, 5.850% 9/1/28...... 2,900 2,657 LA Calcasieu Parish Industrial Development Board, Entergy Gulf States, Inc., Series 1999, 5.450% 7/1/10.................................. 500 477 LA West Feliciana Parish, Entergy Gulf States, Inc., Series 1999-B, 6.600% 9/1/28............. 250 249 MS State Business Finance Corp., Systems Energy Resources, Inc. Series 1999, 5.900% 5/1/22..... 1,250 1,128 NM Farmington, Tucson Electric Power Co., Series 1997-A, 6.950% 10/1/20.................. 2,000 2,020 NV Humboldt County Pollution Control Revenue, Idaho Power Co. Project, 8.300% 12/1/14........ 2,000 2,238 PA Beaver County Industrial Development Authority, Toledo Edison Co., Series 1995, 7.625% 5/1/20.. 4,900 5,231 ------- 14,000 JOINT POWER AUTHORITY - 4.9% GA Municipal Electric Authority, Series 1991-V, 6.600% 1/1/18.................................. 4,065 4,768 NC Eastern Municipal Power Agency, Series 1991 A, 6.500% 1/1/18.................................. 1,680 1,819 WA State Public Power Supply System, Nuclear Project No. 2, Series 1992-A, 6.300% 7/1/12.... 2,500 2,845 WA State, Public Power Supply System, Series 1991-A, (a) 7/1/07............................. 3,550 2,612 ------- 12,044 WATER & SEWER - 5.3% FL Tampa Bay Water Utility Systems Revenue, 8.216% 10/1/29................................. 7,500 8,426 NH State Industrial Development Authority, Pennichuck Water Works, Inc., Series 1988, 7.500% 7/1/18.................................. 565 571 PA Dauphin County Industrial Development Authority Dauphin Water Supply Co., Series 1992 A, 6.900% 6/1/24.................................. 3,200 3,782 ------- 12,779 TOTAL MUNICIPAL BONDS (Cost of $232,408)................................ 233,807 ------- - -------------------------------------------------------------------------------- MUNICIPAL PREFERRED STOCKS - 1.2% - -------------------------------------------------------------------------------- MULTI-FAMILY - 1.2% Charter Mac SR AMT 6.625% 6/30/49................. 2,000 1,985 Charter Mac Sub AMT 7.600% 11/30/50............... 1,000 1,021 ------- TOTAL MUNICIPAL PREFERRED STOCKS (Cost of $3,006).... 3,006 - -------------------------------------------------------------------------------- SHORT-TERM OBLIGATIONS - 0.1% - -------------------------------------------------------------------------------- IA Ottumwa, Ottumwa Regional Health Center, Inc., Series 1998, 2.950% 10/1/06................................. 350 150 IA State Higher Education Loan Authority, Series 1998, 3.050% 11/1/13................................. 220 220 ------- TOTAL SHORT-TERM OBLIGATIONS (Cost of $370).......... 370 - -------------------------------------------------------------------------------- 42 SR&F High-Yield Municipals Portfolio - -------------------------------------------------------------------------------- Continued Value - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost of $235,784) (e)............................ $237,183 - -------------------------------------------------------------------------------- OTHER ASSETS, LESS LIABILITIES- 2.5%................. 5,986 -------- NET ASSETS- 100%..................................... $243,169 ======== - -------------------------------------------------------------------------------- NOTES TO INVESTMENT PORTFOLIO: - -------------------------------------------------------------------------------- (a) Zero coupon bond. (b) This security, or a portion thereof, with a total market value of $478, is being used to collateralize open future contracts. (c) This issuer is in default of certain debt covenants. Income is not being accrued. (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) Cost for federal tax and book purposes is $235,784. Short futures contracts open at December 31, 2000: Unrealized Par value Expiration depreciation Type covered by contracts month at 12/31/00 ---- -------------------- ---------- ------------ Municipal Bond 2,400 March ($96) Treasury Note 21,300 March (468) ---------- ($564) ---------- Long futures contracts open at December 31, 2000: Unrealized Par value Expiration appreciation Type covered by contracts month at 12/31/00 ---- -------------------- ---------- ------------ Treasury Bond 6,100 March $252 See accompanying Notes to Financial Statements. 43 Statements of Assets and Liabilities - -------------------------------------------------------------------------------- December 31, 2000 (Unaudited) (All amounts in thousands, except per-share data)
MUNICIPAL MONEY INTERMEDIATE MANAGED HIGH-YIELD MARKET MUNICIPALS MUNICIPALS MUNICIPALS FUND FUND FUND FUND --------- ------------ ---------- ---------- ASSETS Investment in Portfolio, at value.......................................... $117,670 $ -- $ -- $243,169 Investments, at market value (cost $125,597 and $428,738, respectively).... -- 134,326 464,446 -- Interest receivable........................................................ -- 2,403 8,145 -- Receivable for investments sold............................................ -- 261 3,766 13,177 Receivable for fund shares sold............................................ 20 44 35 -- Expense reimbursement due from advisor..................................... -- 11 1 -- Other...................................................................... 6 7 28 27 -------- -------- -------- -------- Total assets............................................................ 117,696 137,052 476,421 256,373 -------- -------- -------- -------- LIABILITIES Payable for investments purchased.......................................... -- 1,069 1,867 12,938 Dividends payable.......................................................... 718 11 69 40 Payable for fund shares repurchased........................................ -- 1 -- -- Payable due to bank........................................................ -- 52 3,034 1,324 Variation margin on futures................................................ -- 10 137 -- Accrued: Management fee.......................................................... -- 49 160 -- Administration fee...................................................... -- 17 43 56 Transfer agent fee...................................................... 23 11 32 -- Bookkeeping fee......................................................... 12 2 3 2 Other...................................................................... 35 83 78 91 -------- -------- -------- -------- Total liabilities....................................................... 788 1,305 5,423 14,451 -------- -------- -------- -------- Net assets.............................................................. $116,908 $135,747 $470,998 $241,922 ======== ======== ======== ======== ANALYSIS OF NET ASSETS Paid-in capital............................................................ $116,935 $126,878 $432,158 $244,507 Undistributed net investment income........................................ 93 158 565 919 Accumulated net realized losses on investments and futures contracts....... (130) (74) (242) (4,573) Net unrealized appreciation on investments and futures contracts........... 10 8,785 38,517 1,069 -------- -------- -------- -------- Net assets.............................................................. $116,908 $135,747 $470,998 $241,922 ======== ======== ======== ======== Net assets-- Class A....................................................... -- -- -- 1 ======== ======== ======== ======== Shares outstanding (unlimited number authorized)-- Class A................. -- -- -- -- (a) ======== ======== ======== ======== Net asset value per share-- Class A........................................ -- -- -- $11.24 ======== ======== ======== ======== Maximum offering price per share........................................... -- -- -- $11.93(b) ======== ======== ======== ======== Redemption price per share................................................. -- -- -- $11.24 ======== ======== ======== ======== Net assets-- Class S....................................................... $116,908 $135,747 $470,998 $241,921 ======== ======== ======== ======== Shares outstanding (unlimited number authorized)-- Class S................. 116,876 11,963 51,913 21,523 ======== ======== ======== ======== Net asset value, redemption price and offering price per share-- Class S... $ 1.00 $ 11.35 $ 9.07 $ 11.24 ======== ======== ======== ======== (a) Amount is less than 1,000. (b) Computation of offering price 100/94.25 of net asset value. See accompanying Notes to Financial Statements. 44-45
Statements of Operations - -------------------------------------------------------------------------------- For the Six Months Ended December 31, 2000 (Unaudited) (All amounts in thousands)
MUNICIPAL MONEY INTERMEDIATE MANAGED HIGH-YIELD MARKET MUNICIPALS MUNICIPALS MUNICIPALS FUND FUND FUND FUND --------- ------------ ---------- ---------- INVESTMENT INCOME Interest allocated from Portfolio........................................ $ 2,417 $ -- $ -- $ -- Interest................................................................. -- 3,838 13,749 8,567 ------- ------- ------- -------- Total investment income............................................... 2,417 3,838 13,749 8,567 ------- ------- ------- -------- EXPENSES Management fees.......................................................... -- 305 967 -- Expenses allocated from Portfolio........................................ 180 -- -- 586 Transfer agent fees...................................................... 90 100 263 187 Administrative fees...................................................... 140 99 270 163 Bookkeeping fees......................................................... 13 14 18 15 Trustees' fees........................................................... 5 6 9 4 Custodian fees........................................................... 1 1 3 1 Audit fees............................................................... 5 5 10 5 Legal fees............................................................... 1 1 3 1 Registration fees........................................................ 7 49 13 19 Reports to shareholders.................................................. 5 10 16 11 Other.................................................................... 13 50 -- 23 ------- ------- ------- -------- Total expenses........................................................ 460 640 1,572 1,015 Reimbursement of expenses by investment Advisor.......................... (65) (177) -- -- ------- ------- ------- -------- Net expenses.......................................................... 395 463 1,572 1,015 ------- ------- ------- -------- Net investment income................................................. 2,022 3,375 12,177 7,552 ------- ------- ------- -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES TRANSACTIONS Net realized gain (loss) on investments and futures transactions allocated from Portfolio................................. (114) -- -- 1,817 Net realized gain (loss) on investments and futures transactions......... -- (78) 2,844 -- Net change in unrealized appreciation/depreciation on investments and futures transactions.................................. 13 4,568 21,986 5,413 ------- ------- ------- -------- Net gain (loss)....................................................... (101) 4,490 24,830 7,230 ------- ------- ------- -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $ 1,921 $ 7,865 $37,007 $ 14,782 ======= ======= ======= ======== See accompanying Notes to Financial Statements. 46-47
Statements of Changes in Net Assets - -------------------------------------------------------------------------------- (All amounts in thousands)
MUNICIPAL MONEY INTERMEDIATE MARKET FUND MUNICIPALS FUND ------------------------------ ------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR (UNAUDITED) ENDED (UNAUDITED) ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 2000 2000 2000 2000 ------------------------------ ------------------------------- OPERATIONS Net investment income............................................ $ 2,022 $ 3,676 $ 3,375 $ 7,204 Net realized gain (loss) on investments and futures transactions...................................... (114) (8) (78) 64 Net change in unrealized appreciation/depreciation on investments and futures transactions.......................... 13 (3) 4,568 (3,059) --------- --------- --------- --------- Net increase in net assets resulting from operations.......... 1,921 3,665 7,865 4,209 --------- --------- --------- --------- DISTRIBUTIONS TO SHAREHOLDERS Distributions from net investment income......................... (2,022) (3,595) (3,197) (7,275) Distributions from net capital gains............................. -- -- -- (735) --------- --------- --------- --------- Total distributions to shareholders........................... (2,022) (3,595) (3,197) (8,010) --------- --------- --------- --------- SHARE TRANSACTIONS Subscriptions to fund shares..................................... 72,316 136,193 8,769 18,308 Value of distributions reinvested................................ 1,522 3,197 2,465 5,595 Redemptions of fund shares....................................... (70,644) (144,677) (15,965) (53,188) --------- ---------- ---------- --------- Net increase (decrease) from share transactions............... 3,194 (5,287) (4,731) (29,285) --------- ---------- ---------- --------- Net increase (decrease) in net assets......................... 3,093 (5,217) (63) (33,086) TOTAL NET ASSETS Beginning of period.............................................. 113,815 119,032 135,810 168,896 --------- --------- --------- --------- End of period.................................................... $ 116,908 $ 113,815 $ 135,747 $ 135,810 ========= ========= ========= ========= Undistributed (overdistributed) net investment income............ $ 93 $ 93 $ 158 $ (20) --------- --------- --------- --------- ANALYSIS OF CHANGES IN SHARES OF BENEFICIAL INTEREST Subscriptions to fund shares..................................... 72,316 136,193 791 1,669 Issued in reinvestment of distributions.......................... 1,522 3,197 222 510 Redemptions of fund shares....................................... (70,644) (144,677) (1,441) (4,830) --------- --------- --------- --------- Net increase (decrease) in fund shares........................ 3,194 (5,287) (428) (2,651) Shares outstanding at beginning of period........................ 113,682 118,970 12,391 15,042 --------- --------- --------- --------- Shares outstanding at end of period.............................. 116,876 113,683 11,963 12,391 ========= ========= ========= ========= See accompanying Notes to Financial Statements. 48-49
Statements of Changes in Net Assets - -------------------------------------------------------------------------------- (All amounts in thousands)
MANAGED HIGH-YIELD MUNICIPALS FUND MUNICIPALS FUND ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR (UNAUDITED) ENDED (UNAUDITED) ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, 2000 2000 2000(A) 2000 ------------------------------- ------------------------------- OPERATIONS Net investment income............................................ $ 12,177 $ 26,313 $ 7,552 $ 15,771 Net realized gain on investments and futures transactions........ 2,844 2,359 1,817 3,179 Net change in unrealized appreciation/depreciation on investments and futures transactions.......................... 21,986 (21,196) 5,413 (20,047) --------- --------- --------- --------- Net increase (decrease) in net assets resulting from operations............................................ 37,007 7,476 14,782 (1,097) --------- --------- --------- --------- DISTRIBUTIONS TO SHAREHOLDERS Distributions from net investment income - Class A............... -- -- --(b) -- Distributions from net investment income - Class S............... (11,410) (26,352) (6,749) (15,496) Distributions from net capital gains - Class A................... -- -- -- -- Distributions from net capital gains - Class S................... (3,451) (5,798) -- -- --------- --------- --------- --------- Total distributions to shareholders........................... (14,861) (32,150) (6,749) (15,496) SHARE TRANSACTIONS Subscription to fund shares - Class A............................ -- -- 1 -- Redemption of fund shares - Class A.............................. -- -- -- -- --------- --------- --------- --------- Net increase from Class A share transactions.................. -- -- 1 -- --------- --------- --------- --------- Subscription to fund shares - Class S............................ 30,668 29,618 7,782 53,142 Value of distributions reinvested - Class S...................... 9,415 17,510 4,709 9,880 Redemption of fund shares - Class S.............................. (49,436) (102,571) (32,390) (90,516) --------- --------- --------- --------- Net decrease from Class S share transactions.................. (9,353) (55,443) (19,899) (27,494) --------- --------- --------- --------- Net decrease from share transactions.......................... (9,353) (55,443) (19,898) (27,494) --------- --------- --------- --------- Net increase (decrease) in net assets......................... 12,793 (80,117) (11,865) (44,087) TOTAL NET ASSETS Beginning of period.............................................. 458,205 538,322 253,787 297,874 --------- --------- --------- --------- End of period.................................................... $ 470,998 $ 458,205 $ 241,922 $ 253,787 ========= ========= ========= ========= Undistributed (overdistributed) net investment income............ $ 565 $ (202) $ 919 $ 116 --------- --------- --------- --------- ANALYSIS OF CHANGES IN SHARES OF BENEFICIAL INTEREST Subscriptions to fund shares - Class A .......................... -- -- --(c) -- Issued in reinvestment of distributions - Class A................ -- -- -- -- Redemption of fund shares - Class A.............................. -- -- -- -- --------- --------- --------- --------- Net increase in Class A Shares................................ -- -- --(c) -- Shares outstanding at beginning of period........................ -- -- -- -- --------- --------- --------- --------- Shares outstanding at end of period.............................. -- -- --(c) -- ========= ========= ========= ========= Subscriptions to fund shares - Class S.......................... 3,457 3,224 5,443 4,745 Issued in reinvestment of distributions - Class S................ 1,061 2,205 1,305 882 Redemption of fund shares - Class S.............................. (5,593) (11,819) (8,212) (8,083) --------- --------- --------- --------- Net decrease in Class S Shares................................ (1,075) (6,390) (1,464) (2,456) Shares outstanding at beginning of period........................ 52,988 59,378 22,987 25,443 --------- --------- --------- --------- Shares outstanding at end of period.............................. 51,913 52,988 21,523 22,987 ========= ========= ========= ========= (a) Class A shares were initially offered on July 31, 2000. (b) Amount is less than $1,000. (c) Amount is less than 1,000. See accompanying Notes to Financial Statements. 50-51
Statements of Assets and Liabilities - -------------------------------------------------------------------------------- December 31, 2000 (Unaudited) (All amounts in thousands)
SR&F SR&F MUNICIPAL HIGH-YIELD MONEY MARKET MUNICIPALS PORTFOLIO PORTFOLIO ------------ ---------- ASSETS Investments, at market value (cost $129,146, and $235,784, respectively)............................. $129,151 $237,183 Interest receivable........................................ 858 4,709 Receivable for investments sold............................ 473 1,377 Cash....................................................... 83 20 Other...................................................... 80 65 --------- --------- Total assets............................................ 130,645 243,354 --------- --------- LIABILITIES Payable for fund shares repurchased........................ 193 -- Payable for variation margin on futures.................... -- 6 Accrued: Management fees......................................... 86 12 Bookkeeping fees........................................ 3 1 Other...................................................... 16 166 --------- --------- Total liabilities....................................... 298 185 --------- --------- Net assets applicable to investors' beneficial interest. $130,347 $243,169 ========= =========
Statements of Operations - -------------------------------------------------------------------------------- For The Six Months Ended December 31, 2000 (Unaudited) (All amounts in thousands)
SR&F SR&F MUNICIPAL HIGH-YIELD MONEY MARKET MUNICIPALS PORTFOLIO PORTFOLIO ------------ ---------- INVESTMENT INCOME Interest................................................... $2,697 $ 8,582 ------- -------- EXPENSES Management fees............................................ 156 539 Bookkeeping fees........................................... 14 15 Audit fees................................................. 8 8 Trustees' fees............................................. 7 9 Custodian fees............................................. 2 1 Legal fees................................................. 2 2 Transfer agent fees........................................ 3 3 Other...................................................... 9 10 ------- -------- Total expenses.......................................... 201 587 ------- -------- Net investment income................................... 2,496 7,995 ------- -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES TRANSACTIONS Net realized gain (loss) on investments and futures transactions.................................... (30) 1,817 Net change in unrealized appreciation/depreciation on investments and futures transactions................. 5 21,127 ------- -------- Net (gain) loss......................................... (25) 22,944 ------- -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....... $2,471 $30,939 ======== ========= See accompanying Notes to Financial Statements. 52
Statements of Changes in Net Assets - -------------------------------------------------------------------------------- (All amounts in thousands)
SR&F SR&F MUNICIPAL HIGH-YIELD MUNICIPALS MONEY MARKET PORTFOLIO PORTFOLIO ----------------------------- ----------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR DECEMBER 31, ENDED DECEMBER 31, ENDED 2000 JUNE 30, 2000 JUNE 30, (UNAUDITED) 2000 (UNAUDITED) 2000 ---------- --------- ---------- --------- OPERATIONS Net investment income .......................................... $ 2,496 $ 4,672 $ 7,995 $ 16,628 Net realized gain (loss) on investments and futures transactions .................................... (30) (9) 1,817 3,144 Net change in unrealized appreciation/depreciation on investments and futures transactions ................................................ 5 (3) 21,127 (20,040) --------- --------- --------- --------- Net increase (decrease) in net assets resulting from operations ................................. 2,471 4,660 30,939 (268) --------- --------- --------- --------- TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST Contributions .................................................. 40,501 104,696 2,105 26,251 Withdrawals .................................................... (37,704) (118,326) (43,522) (71,999) --------- --------- --------- --------- Net increase (decrease) from transactions in investors' beneficial interest ......................... 2,797 (13,630) (41,417) (45,748) --------- --------- --------- --------- Net increase (decrease) in net assets ....................... 5,268 (8,970) (10,478) (46,016) TOTAL NET ASSETS Beginning of period ............................................ 125,079 134,049 253,647 299,663 --------- --------- --------- --------- End of period .................................................. $ 130,347 $ 125,079 $ 243,169 $ 253,647 ========= ========= ========= ========= See accompanying Notes to Financial Statements. 53
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"), 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, 2000, Stein Roe Municipal Money Market Fund owned 90.3% of SR&F Municipal Money Market Portfolio; and Stein Roe High-Yield Municipals Fund owned 100.0% 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 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 54 Notes to Financial Statements Continued - -------------------------------------------------------------------------------- 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 purchase commitments as of December 31, 2000. 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 are recorded as variation margin payable or receivable and offset in 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 55 Notes to Financial Statements Continued - -------------------------------------------------------------------------------- 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, 2000, the Funds had capital loss carryforwards as follows: Year of Fund Amount Expiration - ---- ------ ---------- Stein Roe High-Yield Municipals Fund $5,934 2006 Stein Roe Municipal Money Market Fund 8 2002-2008 Stein Roe Intermediate Municipal Fund 252 2008 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 unaudited information regarding breakdown of securities held by type at December 31, 2000. 56 Notes to Financial Statements Continued - -------------------------------------------------------------------------------- NOTE 4. TRUSTEES' FEES AND TRANSACTIONS WITH AFFILIATES MANAGEMENT & ADMINISTRATIVE FEES 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 Stein Roe 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 Stein Roe 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. BOOKKEEPING FEES The Advisor provides bookkeeping and pricing services to each Fund and Portfolio for a monthly fee equal to $25 annually plus 0.0025% annually of each Fund's and Portfolio's average daily net assets over $50 million. EXPENSE LIMITS The Advisor has agreed to reimburse Stein Roe Municipal 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, 2001, subject to earlier termination by the Advisor on 30 days' notice. TRANSFER AGENT FEES 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 57 Notes to Financial Statements Continued - -------------------------------------------------------------------------------- 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. OTHER 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. LINE OF CREDIT The Trust (excluding the Stein-Roe High Yield Municipals Fund and Stein-Roe Municipal Money Market Fund), the Liberty Stein-Roe Investment Trust and the SR&F Base Trust (collectively, the "Trusts") participate in unsecured line of credit agreements provided by the custodian bank consisting of two components. The committed line of credit entitles the Trusts to borrow from the custodian at any time upon notice from the Trusts. The uncommitted line of credit permits the Trusts to borrow from the custodian at the custodian's sole discretion. The aggregate borrowings available to the Trusts for the committed and uncommitted lines of credit are $200 million and $100 million, respectively. Borrowings may be made to temporarily finance the repurchase of Fund shares. Interest is charged to each Trust and, ultimately, each Fund based on its borrowings at a rate equal to the Federal Funds Rate plus 5% per year. In addition, a commitment fee of 0.10% per annum on each Fund's borrowings shall be paid quarterly by each Fund based on the relative asset size of each Fund. For the period ended December 31, 2000, the Trusts had no borrowings under the agreement. 58 Notes to Financial Statements Continued - -------------------------------------------------------------------------------- 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, 2000, were as follows: Purchases Sales ------------- ------------- Stein Roe Intermediate Municipals Fund........... $11,501 $17,135 Stein Roe Managed Municipals Fund................ 44,411 52,306 SR&F High-Yield Municipals Portfolio............. 22,316 35,183 Unrealized appreciation (depreciation) at December 31, 2000 for both financial statement and federal income tax purposes was: Stein Roe Stein Roe SR&F Intermediate Managed High-Yield Municipals Municipals Municipals Fund Fund Portfolio ----------------------------------------- Gross unrealized appreciation $9,036 $41,830 $ 13,342 Gross unrealized depreciation (307) (6,122) (11,943) ------ ------- -------- Net unrealized appreciation $8,729 $35,708 $ 1,399 ====== ======= ======== 59 Financial Highlights - -------------------------------------------------------------------------------- Municipal Money Market Fund Selected per-share data (for a share outstanding throughout each period), ratios and supplemental data.
SIX MONTHS ENDED (UNAUDITED) DECEMBER 31, YEARS ENDED JUNE 30, 2000 2000 1999 1998 1997 1996 ------------ -------- -------- -------- -------- -------- NET ASSET VALUE, BEGINNING OF PERIOD................ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 -------- -------- -------- -------- -------- -------- Net investment income.............. 0.018 0.031 0.027 0.031 0.030 0.031 Distributions from net investment income................ (0.018) (0.031) (0.027) (0.031) (0.030) (0.031) -------- -------- -------- -------- -------- -------- 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%(c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income to average net assets (b) 3.58%(c) 3.19% 2.69% 3.06% 2.98% 3.09% Total return (b)...................... 1.86% 3.20% 2.73% 3.10% 3.04% 3.13% Net assets, end of period (000's) $116,908 $113,815 $119,032 $115,279 $118,424 $120,432 (a) If the Fund had paid all of its expenses and there had been no reimbursement by the Adviser, this ratio would have been 0.81 for the six months ended December 31, 2000 and 0.80, 0.79, 0.86, 0.86 and 0.84 percent for the years ended June 30, 2000, 1999, 1998, 1997 and 1996 respectively. (b) Computed giving effect to Adviser's expense limitation undertaking. (c) Annualized.
SR&F Municipal Money Market Portfolio
SIX MONTHS ENDED PERIOD (UNAUDITED) ENDED DECEMBER 31, YEARS ENDED JUNE 30, JUNE 30, 2000 2000 1999 1998 1997 1996(a) ------------ -------- -------- -------- -------- -------- SELECTED RATIOS Ratio of net expenses to average net assets......................... 0.32%(b) 0.30% 0.30% 0.34% 0.32% 0.30%(b) Ratio of net investment income to average net assets.............. 3.95%(b) 3.57% 3.07% 3.41% 3.36% 3.50%(b) (a) From commencement of operations on September 28, 1995. (b) Annualized 60
Financial Highlights Continued - -------------------------------------------------------------------------------- Intermediate Municipals Fund Selected per-share data (for a share outstanding throughout each period), ratios and supplemental data.
SIX MONTHS ENDED (UNAUDITED) DECEMBER 31, YEARS ENDED JUNE 30, 2000 2000 1999 1998 1997 1996 ------------ -------- -------- -------- -------- -------- NET ASSET VALUE, BEGINNING OF PERIOD................ $ 10.96 $ 11.23 $ 11.57 $ 11.38 $ 11.22 $ 11.16 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income.............. 0.27 0.28 0.54 0.54 0.55 0.55 Net realized and unrealized gains (losses) on investments...................... 0.38 (0.27) (0.30) 0.22 0.22 0.06 -------- -------- -------- -------- -------- -------- Total from investment operations..................... 0.65 0.01 0.24 0.76 0.77 0.61 -------- -------- -------- -------- -------- -------- DISTRIBUTIONS Net investment income.............. (0.26) (0.26) (0.54) (0.54) (0.55) (0.55) Net realized gains................. -- (0.02) (0.04) (0.03) (0.06) -- -------- -------- -------- -------- -------- -------- Total distributions.............. (0.26) (0.28) (0.58) (0.57) (0.61) (0.55) -------- -------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD...................... $ 11.35 $ 10.96 $ 11.23 $ 11.57 $ 11.38 $ 11.22 ======== ======== ======== ======== ======== ======== Ratio of net expenses to average net assets (a)..................... 0.67%(c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income to average net assets (b) 4.91%(c) 4.93% 4.58% 4.70% 4.84% 4.82% Portfolio turnover rate............... 9% 26% 48% 29% 44% 66% Total return (b)...................... 6.00% 3.10% 2.08% 6.84% 7.07% 5.47% Net assets, end of period (000's)..... $135,747 $135,810 $168,896 $195,651 $196,006 $204,726 (a) If the Fund had paid all of its expenses and there had been no reimbursement by the Advisor, this ratio would have been 0.93 percent for the six months ended December 31, 2000, and 0.81, 0.79, 0.81, 0.82 and 0.81 percent for the years ended June 30, 2000, 1999, 1998, 1997 and 1996, respectively. (b) Computed giving effect to Advisor's expense limitation undertaking (c) Annualized. 61
Financial Highlights Continued - -------------------------------------------------------------------------------- Managed Municipals Fund Selected per-share data (for a share outstanding throughout each period), ratios and supplemental data. SIX MONTHS ENDED (UNAUDITED) DECEMBER 31, YEARS ENDED JUNE 30, 2000 2000 1999 1998 1997 1996 ------------ -------- -------- -------- -------- -------- NET ASSET VALUE, BEGINNING OF PERIOD................ $ 8.65 $ 9.07 $ 9.38 $ 9.11 $ 8.85 $ 8.79 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income.............. 0.23 0.47 0.47 0.48 0.48 0.48 Net realized and unrealized gains (losses) on investments...................... 0.47 (0.32) (0.31) 0.27 0.26 0.06 -------- -------- -------- -------- -------- -------- Total from investment operations..................... 0.70 0.15 0.16 0.75 0.74 0.54 -------- -------- -------- -------- -------- -------- DISTRIBUTIONS Net investment income.............. (0.22) (0.47) (0.47) (0.48) (0.48) (0.48) Net realized gains................. (0.06) (0.10) -- -- -- -- -------- -------- -------- -------- -------- -------- Total distributions.............. (0.28) (0.57) (0.47) (0.48) (0.48) (0.48) -------- -------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD...................... $ 9.07 $ 8.65 $ 9.07 $ 9.38 $ 9.11 $ 8.85 ======== ======== ======== ======== ======== ======== Ratio of net expenses to average net assets......................... 0.68%(a) 0.69% 0.72% 0.72% 0.73% 0.72% Ratio of net investment income to average net assets.............. 5.24%(a) 5.39% 5.02% 5.14% 5.31% 5.41% Portfolio turnover rate............... 10% 19% 17% 12% 16% 40% Total return.......................... 8.24% 1.86% 1.67% 8.37% 8.56% 6.24% Net assets, end of period (000's)..... $470,998 $458,205 $538,322 $583,138 $582,366 $606,359 (a) Annualized. 62
Financial Highlights Continued - -------------------------------------------------------------------------------- High-Yield Municipals Fund - Class A Selected per-share data (for a share outstanding throughout each period), ratios and supplemental data. PERIOD ENDED (UNAUDITED) DECEMBER 31, 2000(a) ----------- NET ASSET VALUE, BEGINNING OF PERIOD.............................. $ 11.11 ------- INCOME FROM INVESTMENT OPERATIONS Net investment income.......................................... 0.24 Net realized and unrealized gains on investments............... 0.13 ------- Total from investment operations............................. 0.37 ------- DISTRIBUTIONS Net investment income.......................................... (0.24) -------- NET ASSET VALUE, END OF PERIOD.................................... $ 11.24 ======== Ratio of net expenses to average net assets ...................... 1.06%(b) Ratio of net investment income to average net assets.............. 5.80%(b) Portfolio turnover rate........................................... N/A Total return...................................................... 3.32% Net assets, end of period (000's)................................. $ 1 (a) From commencement of operations on July 31, 2000. (b) Annualized. 63 Financial Highlights Continued - -------------------------------------------------------------------------------- High-Yield Municipals Fund - Class S Selected per-share data (for a share outstanding throughout each period), ratios and supplemental data.
SIX MONTHS ENDED (UNAUDITED) DECEMBER 31, YEARS ENDED JUNE 30, 2000 2000 1999 1998 1997 1996 ------------ -------- -------- -------- -------- -------- NET ASSET VALUE, BEGINNING OF PERIOD................ $ 11.04 $ 11.71 $ 11.97 $ 11.67 $ 11.40 $ 11.31 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income.............. 0.34 0.65 0.63 0.65 0.72 0.67 Net realized and unrealized gains (losses) on investments.......... 0.16 (0.68) (0.25) 0.30 0.27 0.09 -------- -------- -------- -------- -------- -------- Total from investment operations..................... 0.50 (0.03) 0.38 0.95 0.99 0.76 -------- -------- -------- -------- -------- -------- DISTRIBUTIONS Net investment income.............. (0.30) (0.64) (0.64) (0.65) (0.72) (0.67) -------- -------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD...................... $ 11.24 $ 11.04 $ 11.71 $ 11.97 $ 11.67 $ 11.40 ======== ======== ======== ======== ======== ======== Ratio of net expenses to average net assets......................... 0.81%(a) 0.78% 0.77% 0.75% 0.77% 0.85% Ratio of net investment income to average net assets.............. 6.05%(a) 5.82% 5.26% 5.48% 6.20% 5.86% Portfolio turnover rate............... N/A N/A N/A 8%(b) 11% 34% Total return.......................... 4.61% (0.16%) 3.18%(c) 8.32% 8.91% 6.83% Net assets, end of period (000's)..... $241,922 $253,787 $297,874 $341,780 $306,070 $282,956 (a) Annualized. (b) Prior to commencement of operations of the Portfolio. (c) 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
SIX MONTHS ENDED PERIOD (UNAUDITED) ENDED DECEMBER 31, YEARS ENDED JUNE 30, JUNE 30, 2000 2000 1999 1998(a) ---------------- -------- -------- -------- SELECTED RATIOS Ratio of net expenses to average net assets.... 0.47%(b) 0.47% 0.45% 0.47%(b) Ratio of net investment income to average net assets.................................. 6.42%(b) 6.11% 5.55% 5.72%(b) Portfolio turnover rate........................ 9% 14% 19% 3% (a) From commencement of operations on February 2, 1998. (b) Annualized 64
Liberty-Stein Roe Funds Municipal Trust - -------------------------------------------------------------------------------- TRUSTEES Douglas A. Hacker Executive Vice President and Chief Financial Officer of UAL, Inc. Janet Langford Kelly Executive Vice President - Corporate Development, General Counsel, and Secretary, Kellogg Company Richard W. Lowry Private Investor Salvatore Macera Private Investor William E. Mayer Partner, Park Avenue Equity Partners Charles R. Nelson Van Voorhis Professor, Department of Economics, University of Washington; consultant on economic and statistical matters John J. Neuhauser Academic Vice President and Dean of Faculties, Boston College Joseph R. Palombo Chief Operations Officer, Mutual Funds, Liberty Financial Companies, Inc.; Executive Vice President and Director of Colonial Management Associates, Inc. and Stein Roe & Farnham Incorporated; Executive Vice President and Chief Administrative Officer of Liberty Funds Group LLC Thomas E. Stitzel Business Consultant and Chartered Financial Analyst Thomas C. Theobald Managing Director, William Blair Capital Partners Anne-Lee Verville Consultant OFFICERS Stephen E. Gibson, President William D. Andrews, Executive Vice President Kevin M. Carome, Executive Vice President Loren A. Hansen, Executive Vice President Joseph Palombo, Executive Vice President J. Kevin Connaughton, Controller AGENTS AND ADVISORS Stein Roe & Farnham Incorporated Investment Adviser State Street Bank and Trust Company Custodian Liberty Funds 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 Stock Fund Growth Investor Fund Young Investor Fund Focus Fund Midcap Growth Fund* Capital Opportunities Fund International Fund Small Company Growth Fund Asia Pacific Fund Global Thematic Equity Fund European Thematic Equity Fund * Formerly Growth Opportunities Fund Stein Roe Mutual Funds P.O. Box 8900 Boston, MA 02205-8900 800-338-2550 www.steinroe.com Liberty Funds Distributor, Inc. DIR-03/421E-0101 (2/01) 01/120 -----END PRIVACY-ENHANCED MESSAGE-----