-----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, PXHr8BQBh2pfyR6ErSX5kfgSLLejQXMlbckkmMeBr2JoCXa46iXzw9/ijPXbAfZK BRHihX1TVFUYmYW9HYMf7g== 0000891804-02-000484.txt : 20020415 0000891804-02-000484.hdr.sgml : 20020415 ACCESSION NUMBER: 0000891804-02-000484 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20011231 FILED AS OF DATE: 20020301 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LIBERTY STEIN ROE FUNDS MUNICIPAL TRUST CENTRAL INDEX KEY: 0000773757 IRS NUMBER: 363376651 STATE OF INCORPORATION: MA FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-04367 FILM NUMBER: 02563804 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 file001.txt STEIN ROE TAX-EXEMPT BOND FUNDS STEIN ROE MUNICIPAL FUNDS STEIN ROE MUNICIPAL MONEY MARKET FUND STEIN ROE INTERMEDIATE MUNICIPALS FUND STEIN ROE MANAGED MUNICIPALS FUND STEIN ROE HIGH-YIELD MUNICIPALS FUND SEMIANNUAL REPORT o DECEMBER 31, 2001 [LOGO] stein roe MUTUAL FUNDS - -------------------------------------------------------------------------------- Contents - -------------------------------------------------------------------------------- From the President 1 Stein Roe Municipal Money Market Fund Performance Summary 4 Portfolio Manager's Report 5 Stein Roe Intermediate Municipals Fund Performance Summary 8 Portfolio Manager's Report 10 Stein Roe Managed Municipals Fund Performance Summary 14 Portfolio Manager's Report 15 Stein Roe High-Yield Municipals Fund Performance Summary 20 Portfolio Manager's Report 21 Investment Portfolio 25 Financial Statements 62 Notes to Financial Statements 78 Financial Highlights 90 Shareholder Meeting Results 108 For monthly performance updates on all Stein Roe funds, please visit steinroe.com. Must be preceded or accompanied by a prospectus. - -------------------------------------------------------------------------------- From the President 1 - -------------------------------------------------------------------------------- Dear Shareholder: [PHOTO] I want to take this opportunity to let you know that the sale of Liberty Financial's asset management companies--including Stein Roe & Farnham Incorporated, the investment advisor of your funds--was completed effective November 1, 2001. In light of this change and recent turmoil in the markets, I think it is important to assure you that your funds continue to follow the same solid investment principles which attracted you to Stein Roe in the first place. Hopes that we would avoid a severe economic downturn were dashed during the second half of 2001 as economic growth continued to shrink, corporate earnings continued to suffer and unemployment claims increased. In an attempt to limit the depth of this downturn, the Federal Reserve Board (the Fed) lowered interest rates an unprecedented 11 times during 2001, reducing the Fed funds rate from 6.50% to 1.75%. The tragic events of September 11 only served to hasten the economic downturn, prompting a rash of additional layoffs in October and November. As a result of these events, the bond market experienced volatility during 2001, even as equity markets suffered through more severe turbulence. On October 31, the Treasury Department announced its decision to stop selling its 30-year bond, adding more uncertainty to the market. To finish the year, a fourth-quarter surge in the stock market prompted some investors to move money out of bond and money market funds into stock funds. Overall, municipal bond yields fell somewhat during the one-year period. Shorter-term municipal money markets saw yields decline in line with declining Fed funds rates, reaching historic lows at year-end. In response, investors began to seek out higher returns by investing in equities and other market sectors. - -------------------------------------------------------------------------------- 2 - -------------------------------------------------------------------------------- The following report provides you with more detailed information about your fund's performance and your portfolio manager's strategies. For more information, visit us online at steinroe.com. Thank you for choosing the Stein Roe Municipal Funds and for giving us the opportunity to serve your investment needs. Sincerely, /s/ Keith T. Banks Keith T. Banks President Meet the new president Effective November 1, 2001, Mr. Keith Banks has taken on the position of president of Stein Roe. Mr. Banks is currently chief investment officer and chief executive officer of Fleet Asset Management. Prior to joining Fleet, he was managing director and head of US equity for J.P. Morgan Investment Management from 1996 to 2000. He began his investment career in 1981 as an equity analyst for Home Insurance. A chartered financial analyst, Mr. Banks earned his BA from Rutgers University and his MBA from Columbia Business School. Economic and market conditions change frequently. There is no assurance that trends described herein will continue or commence. - -------------------------------------------------------------------------------- 3 - -------------------------------------------------------------------------------- This page intentionally left blank - -------------------------------------------------------------------------------- 4 Performance Summary - -------------------------------------------------------------------------------- Stein Roe Municipal Money Market Fund Average annual total return (%) Period ended December 31, 2001 6-month cumulative 1-year 5-year 10-year - -------------------------------------------------------------------------------- Stein Roe Municipal Money Market Fund 0.88 2.40 2.97 2.77 - -------------------------------------------------------------------------------- Lipper Tax-Exempt Money Market Fund Average 0.80 2.21 2.91 2.78 - -------------------------------------------------------------------------------- Mutual fund performance changes over time. Please visit steinroe.com for daily performance updates. 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. A voluntary expense limitation of 0.70% was in effect for Stein Roe Municipal Money Market 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. Lipper Inc., a widely respected data provider in the industry, calculates an average total return for mutual funds with similar investment objectives as the fund. 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. Source: Lipper Inc. - -------------------------------------------------------------------------------- Portfolio Manager's Report 5 - -------------------------------------------------------------------------------- Fund COMMENTARY FROM VERONICA WALLACE, PORTFOLIO MANAGER OF STEIN ROE Commentary MUNICIPAL MONEY MARKET FUND For the six months ended December 31, 2001, Stein Roe Municipal Money Market Fund returned 0.88% and outperformed its peer group, the Lipper Tax-Exempt Money Market Fund Average, which returned 0.80% during the same period. Federal Reserve rate cuts depressed yields Obviously, changes in interest rates affect the short-term municipal market acutely. This was never more evident than during this period. The Fed lowered rates five times totaling 2% during the six-month period. Until early November, the fund benefited from declining rates as we increased average maturity to 53 days at the end of September, considerably above our peer group's average of 44 days. By extending maturity, we provided some protection against declining yields on new issues. During the summer, we invested in one-year notes such as the City of Philadelphia, Michigan Municipal Bond Authority and Texas Trans (0.8%, 0.8% and 2.5% of net assets, respectively). We also added a couple of odd-lot tax-exempt bonds in Edmond, Oklahoma Public Works sales tax and College Station, Texas school district obligations (0.2% and 0.1% of net assets, respectively) at favorable yields. As the period closed, we began to emphasize six-month issues and shorter, keeping the portfolio as liquid as possible in the event of large redemptions. Approximately 80% of the fund's assets at year-end were Investment objective and strategy: Stein Roe Municipal Money Market Fund seeks maximum current income exempt from federal income tax, consistent with capital preservation and maintenance of liquidity. The fund invests all of its assets in SR&F Municipal Money Market Portfolio as part of a master fund/feeder fund structure. The portfolio invests substantially all of its assets in a diversified portfolio of high quality, tax-exempt money market securities. Fund inception: March 15, 1983 Net assets: $108.8 million - -------------------------------------------------------------------------------- 6 - -------------------------------------------------------------------------------- invested in Variable Demand Notes, which offer daily and weekly liquidity and are always priced at par. High demand and the lower interest rate environment caused daily and weekly demand note yields to drop to slightly more than 1%, while the fund's average maturity leveled off at 40 days by period-end. As sharply as these yields fell in the short-term municipal market, they remained attractive compared to short-term taxable yields, which fell more quickly than tax-exempt yields. Securities type breakdown(1) % ---- Variable Rate Notes 80.7 Tax-Exempt Bonds 6.5 Other Tax-Exempt Bonds 3.5 Put Bonds 4.4 Tax & Revenue Anticipation Notes 3.3 Tax Anticipation Notes 0.8 Commercial Paper 0.8 Interest rates expected to stabilize We expect interest rates to stabilize during the first half of 2002 as the economy shows signs of strength. However, any further rate reductions would cause short-term municipal yields to fall again. We expect the fund's average maturity to drop naturally during this time, while we look at issues that mature in approximately six months, rather than a year. Our immediate concern is the so-called January effect in the municipal money market, a period when coupon payments generally create a tremendous demand for short-term paper. Increased demand and short supply usually translates into lower yields. We expect daily variable rates to drop to 1% or lower during this time and weekly variable rates to approach 1%. Toward the end of the month, we believe yields will rise slightly, then increase again in April as demand for variable rate demand notes decreases. - -------------------------------------------------------------------------------- 7 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Portfolio statistics As of 12/31/01 As of 6/30/01 7-day dollar-weighted average maturity 40 days 47 days 7-day current yield* 1.33% 2.69% - -------------------------------------------------------------------------------- * Net of all fees and expenses and represents an annualization of dividends declared and payable to shareholders for the last seven days of investments. Mutual fund performance changes over time. Please visit steinroe.com for daily performance updates. 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. A portion of the fund's income may be subject to the alternative minimum tax. The fund may at times purchase tax-exempt securities at a discount. Some or all of this discount may be included in the fund's ordinary income, and is taxable when distributed. An investment in the fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund. (1) Security type breakdowns are calculated as a percentage of investments in SR&F Municipal Money Market Portfolio. Maturity breakdowns are calculated as a percentage of investments in SR&F Municipal Money Market Portfolio. Because the portfolio is actively managed, there can be no guarantee the portfolio will continue to maintain these breakdowns in the future. Maturity(1) [The following table was depicted as a pie chart in the printed material.] % of net assets as of 12/31/01 Greater than 20 years 9.0 10-20 years 4.1 5-10 years 50.2 1-5 years 34.4 Less than 1 year 2.3 - -------------------------------------------------------------------------------- 8 Performance Summary - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund Average annual total return (%) Period ended December 31, 2001 6-month cumulative 1-year 5-year 10-year - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund Class S 1.59 4.21 4.97 5.64 - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund Class A with sales charge -3.36 -0.92 3.92 5.11 without sales charge 1.49 4.06 4.94 5.63 - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund Class B with sales charge -3.77 -1.50 4.48 5.57 without sales charge 1.16 3.43 4.81 5.57 - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund Class C with sales charge 0.40 2.88 4.90 5.61 without sales charge 1.38 3.87 4.90 5.61 - -------------------------------------------------------------------------------- Lehman Brothers 10-Year Municipal Bond Index 1.80 4.62 5.94 6.70 - -------------------------------------------------------------------------------- Lipper Intermediate Municipal Debt Fund Average 1.66 4.53 4.83 5.63 - -------------------------------------------------------------------------------- Mutual fund performance changes over time. Please visit steinroe.com for monthly performance updates. 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. A voluntary expense limitation of 0.70% was in effect 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. The Lehman Brothers 10-Year Municipal Bond Index is an unmanaged group of fixed income securities that differs from the composition of the fund; it is not available for direct investment and does not incur fees or expenses. Lipper Inc., a widely respected data provider in the industry, calculates an average total return for mutual funds with similar investment objectives as the fund. 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. Source: Lipper Inc. Class A, B and C share (newer class shares) performance includes returns of the fund's class S shares (the oldest existing fund class) for periods prior to the inception dates of the newer class shares. Class S share returns are not restated to reflect any expense differential, e.g., 12b-1 fees, between class S and the newer class shares. Had the expense differential been reflected, the returns for the period prior to inception of class A, B and C would have been lower. The "with sales charge" returns include the maximum 4.75% charge for class A shares, the appropriate class B contingent deferred sales charge for the holding period after purchase as follows: through first year--5%, second year--4%, third year--3%, fourth year--3%, fifth year--2%, sixth year--1%, thereafter--0%, and the class C contingent deferred sales charge of 1% for the first year only. Performance for different share classes will vary based on differences in sales charges and fees associated with each class. - -------------------------------------------------------------------------------- 9 - -------------------------------------------------------------------------------- INVESTMENT COMPARISON MOUNTAIN CHART Growth of a $10,000 investment, December 31, 1991 to December 31, 2001 Stein Roe Intermediate Municipals Fund, Class S: $17,318 Lehman Brothers 10-Year Municipal Bond Index: $19,121
Intermediate Municipals - S Lehman Muni 10 Yr IX Tr $10,000.00 $10,000.00 01/01/1992 - 03/31/1992 -0.29% $9,971.00 01/01/1992 - 03/31/1992 -0.09% $9,991.00 04/01/1992 - 06/30/1992 3.54% $10,323.97 04/01/1992 - 06/30/1992 3.90% $10,380.65 07/01/1992 - 09/30/1992 2.33% $10,564.52 07/01/1992 - 09/30/1992 2.91% $10,682.73 10/01/1992 - 12/31/1992 1.88% $10,763.13 10/01/1992 - 12/31/1992 1.96% $10,892.11 01/01/1993 - 03/31/1993 3.63% $11,153.84 01/01/1993 - 03/31/1993 3.87% $11,313.63 04/01/1993 - 06/30/1993 2.66% $11,450.53 04/01/1993 - 06/30/1993 3.30% $11,686.98 07/01/1993 - 09/30/1993 3.07% $11,802.06 07/01/1993 - 09/30/1993 3.59% $12,106.54 10/01/1993 - 12/31/1993 1.28% $11,953.13 10/01/1993 - 12/31/1993 1.46% $12,283.30 01/01/1994 - 03/31/1994 -4.24% $11,446.31 01/01/1994 - 03/31/1994 -5.30% $11,632.29 04/01/1994 - 06/30/1994 1.20% $11,583.67 04/01/1994 - 06/30/1994 1.47% $11,803.28 07/01/1994 - 09/30/1994 0.49% $11,640.43 07/01/1994 - 09/30/1994 0.70% $11,885.90 10/01/1994 - 12/31/1994 -0.75% $11,553.13 10/01/1994 - 12/31/1994 -1.58% $11,698.11 01/01/1995 - 03/31/1995 4.73% $12,099.59 01/01/1995 - 03/31/1995 6.92% $12,507.61 04/01/1995 - 06/30/1995 2.06% $12,348.84 04/01/1995 - 06/30/1995 2.65% $12,839.07 07/01/1995 - 09/30/1995 2.77% $12,690.90 07/01/1995 - 09/30/1995 3.50% $13,288.43 10/01/1995 - 12/31/1995 2.81% $13,047.52 10/01/1995 - 12/31/1995 3.14% $13,705.69 01/01/1996 - 03/31/1996 -0.57% $12,973.15 01/01/1996 - 03/31/1996 -0.65% $13,616.60 04/01/1996 - 06/30/1996 0.42% $13,027.63 04/01/1996 - 06/30/1996 0.31% $13,658.81 07/01/1996 - 09/30/1996 1.75% $13,255.62 07/01/1996 - 09/30/1996 2.00% $13,931.99 10/01/1996 - 12/31/1996 2.52% $13,589.66 10/01/1996 - 12/31/1996 2.85% $14,329.05 01/01/1997 - 03/31/1997 -0.14% $13,570.63 01/01/1997 - 03/31/1997 -0.02% $14,326.19 04/01/1997 - 06/30/1997 2.76% $13,945.18 04/01/1997 - 06/30/1997 3.29% $14,797.52 07/01/1997 - 09/30/1997 2.61% $14,309.15 07/01/1997 - 09/30/1997 3.10% $15,256.24 10/01/1997 - 12/31/1997 2.09% $14,608.21 10/01/1997 - 12/31/1997 2.59% $15,651.38 01/01/1998 - 03/31/1998 0.81% $14,726.54 01/01/1998 - 03/31/1998 1.03% $15,812.59 04/01/1998 - 06/30/1998 1.17% $14,898.84 04/01/1998 - 06/30/1998 1.51% $16,051.36 07/01/1998 - 09/30/1998 2.90% $15,330.91 07/01/1998 - 09/30/1998 3.42% $16,600.31 10/01/1998 - 12/31/1998 0.48% $15,404.50 10/01/1998 - 12/31/1998 0.65% $16,708.22 01/01/1999 - 03/31/1999 0.53% $15,486.14 01/01/1999 - 03/31/1999 0.57% $16,803.45 04/01/1999 - 06/30/1999 -1.80% $15,207.39 04/01/1999 - 06/30/1999 -2.29% $16,418.65 07/01/1999 - 09/30/1999 0.23% $15,242.37 07/01/1999 - 09/30/1999 0.64% $16,523.73 10/01/1999 - 12/31/1999 -0.36% $15,187.49 10/01/1999 - 12/31/1999 -0.14% $16,500.60 01/01/2000 - 03/31/2000 1.69% $15,444.16 01/01/2000 - 03/31/2000 2.33% $16,885.06 04/01/2000 - 06/30/2000 1.51% $15,677.37 04/01/2000 - 06/30/2000 1.59% $17,153.54 07/01/2000 - 09/30/2000 2.00% $15,990.92 07/01/2000 - 09/30/2000 2.48% $17,578.94 10/01/2000 - 12/31/2000 3.92% $16,617.76 10/01/2000 - 12/31/2000 3.96% $18,275.07 01/01/2001 - 03/31/2001 2.19% $16,981.69 01/01/2001 - 03/31/2001 2.32% $18,699.05 04/01/2001 - 06/30/2001 0.39% $17,047.92 04/01/2001 - 06/30/2001 0.44% $18,781.33 07/01/2001 - 09/30/2001 2.86% $17,535.49 07/01/2001 - 09/30/2001 2.96% $19,337.25 10/01/2001 - 12/31/2001 -1.24% $17,318.00 10/01/2001 - 12/31/2001 -1.12% $19,121.00
Performance of a $10,000 investment in all share classes 12/31/91 - 12/31/01 without sales with sales charge ($) charge ($) - -------------------------------------------------------------------------------- Class S 17,318 n/a - -------------------------------------------------------------------------------- Class A 17,292 16,468 - -------------------------------------------------------------------------------- Class B 17,187 17,187 - -------------------------------------------------------------------------------- Class C 17,260 17,260 - -------------------------------------------------------------------------------- Mutual fund performance changes over time. Please visit steinroe.com for monthly performance updates. 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 12/31/91, 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 and does not incur fees or expenses. Performance of class A, B and C shares (newer class shares) includes returns for the fund's class S shares (the oldest existing fund class) for periods prior to the inception dates of the newer class shares. - -------------------------------------------------------------------------------- 10 Portfolio Managers' Report - -------------------------------------------------------------------------------- Fund COMMENTARY FROM KIM CAMPBELL, PORTFOLIO MANAGER OF STEIN ROE Commentary INTERMEDIATE MUNICIPALS FUND After a strong showing during the first half of the year, yields in the intermediate sector of the municipal bond market cooled during the six-month period ended December 31, 2001. Stein Roe Intermediate Municipals Fund Class S returned 1.59%, slightly underperforming its benchmark, the Lehman Brothers 10-Year Municipal Bond Index, which returned 1.80% for the same period. The fund's peer group, the Lipper Intermediate Municipal Debt Funds Average, returned 1.66% during the same timeframe. Economic uncertainty dominated the period Consistent with our expectation, the economy continued to show signs of weakness during the second half of 2001 and did not improve by year-end. As a result of this outlook, we positioned the fund with a longer-than-average duration relative to its peers at the beginning of the period. (Duration measures the fund's sensitivity to interest rate changes. The longer the duration, the more sensitive it is to interest rate fluctuation.) The tragic attack of September 11 added further uncertainty to the economy. In October, the Fed announced that it would no longer sell 30-year Treasury bonds. This news pushed bond prices higher, in anticipation of a dwindling supply of long-term Treasury debt. Toward year-end, Treasury and municipal yields began to rise, fueled by a stock market rally and evidence that economic recovery was approaching. The fund's longer duration, which added to performance when interest rates declined, hurt performance when rates moved up. When the period ended, intermediate rates were slightly higher. Investment objective and strategy: Seeks a high level of total return, consisting of current income exempt from federal income tax, consistent with the preservation of capital. Under normal circumstances, the fund invests at least 80% of its net assets (plus any borrowings for investment purposes) in tax-exempt securities. The fund expects to maintain a dollar-weighted average maturity of three to 10 years. Fund inception: October 9, 1985 Net assets: $151.5 million - -------------------------------------------------------------------------------- 11 - -------------------------------------------------------------------------------- Fund was overweighted in zeros and non-callable bonds Given our positive outlook for bonds, we increased our exposure to intermediate maturity zero coupon bonds during the period. (Zero coupon bonds pay interest only at maturity, so they are sold at deep discounts to compensate for the lack of regular interest payments.) We believed this addition would generally benefit the fund's performance as bond prices rallied. Throughout the period the fund also held an overweight position in non-callable bonds, which lock in attractive yields as interest rates decline. A callable bond may be called before its maturity date, as often occurs in an environment of falling interest rates, when issuers can get better rates by refinancing. By contrast, non-callable bonds cannot be called until they reach maturity. In the third quarter, while interest rates were falling, our exposure to zero coupon and non-callable bonds boosted performance. When rates spiked back up in the fourth quarter, these holdings generally detracted from performance. Investment decisions focused on longer intermediate sector One area of concentration during the period was in the 13-16 year maturity range. Specifically, we sought out bonds which offered premium coupon structure and good call protection. We purchased securities fitting this description because of their attractive risk/reward profile, and these purchases generally helped the fund's performance. Top 10 states(1) % ---- New York 12.3 Texas 8.7 Illinois 8.2 Georgia 6.7 Michigan 5.1 Massachusetts 5.0 Arizona 4.5 Ohio 4.3 Indiana 4.3 South Carolina 3.2 High yield bonds recovered, airline issues faltered The high yield market improved during the second half of 2001. We selectively added to our position in high yield issues early in the period, - -------------------------------------------------------------------------------- 12 - -------------------------------------------------------------------------------- which helped performance. However, we continued to maintain a slightly underweighted position in the sector. In the aftermath of September 11, our exposure to debt issued by airlines hurt performance. (Private corporations can issue municipal bonds to finance projects with a public purpose, such as the construction of an airport terminal.) Outlook generally positive We believe that while an economic recovery is coming, it will be slow and gradual. The Fed is clearly nearing the end of their easing bias. Given this scenario, we expect bonds to perform relatively well in the months to come. One could also anticipate that if inflation remains low, as we expect, yields on 10-15 year bonds may decline more (and thus their prices may increase more) than those of shorter-term bonds. We will continue to focus on investment opportunities in the 10-15 year portion of the curve, maintaining an average maturity of approximately 10 years. We believe that maintaining a position in non-callable bonds, or those with good call protection, may also benefit the fund. Portfolio quality(1) % ---- AAA 68.4 AA 12.6 A 6.4 BBB and below 7.6 Non-Rated 3.9 Cash and equivalents 1.1 - -------------------------------------------------------------------------------- Portfolio statistics As of 12/31/01 As of 6/30/01 -------------- ------------- Average duration 6.6 years 6.7 years Average weighted maturity 8.7 years 9.1 years Average weighted coupon 5.80% 5.90% - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 13 - -------------------------------------------------------------------------------- Mutual fund performance changes over time. Please visit steinroe.com for monthly performance updates. 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 12/31/01 and are subject to change. The advisor voluntarily limits expenses to 0.70% of average net assets. Fund return as of 12/31/01 would have been lower without this limit. Income distributions are exempt from federal income taxes but may be subject to 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. Lipper Inc., a widely respected data provider in the industry, calculates an average total return for mutual funds with similar investment objectives as the fund. Tax-exempt investing offers current tax-free income, but also involves certain risks. Investing in high yield bonds involves greater credit risks than investing in higher-quality bonds. 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 attempts to react quickly to market changes. (1) Top states breakdown is calculated as a percentage of net assets. Maturity and quality breakdowns are calculated as a percentage of investments plus short-term obligations. Because the fund is actively managed, there can be no guarantee the fund will continue to maintain these breakdowns in the future. MATURITY (unaudited)(1) % as of 6/30/01 Greater than 20 years 19.5 10-20 years 12.9 5-10 years 33.5 1-5 years 25.0 Less than 1 year 9.1 - -------------------------------------------------------------------------------- 14 Performance Summary - -------------------------------------------------------------------------------- Stein Roe Managed Municipals Fund Average annual total return (%) Period ended December 31, 2001 6-month cumulative 1-year 5-year 10-year - -------------------------------------------------------------------------------- Stein Roe Managed Municipals Fund 2.02 3.80 5.39 6.02 - -------------------------------------------------------------------------------- Lehman Brothers Municipal Bond Index 2.18 5.13 5.98 6.63 - -------------------------------------------------------------------------------- Lipper General Municipal Debt Fund Average 1.47 3.90 4.78 5.85 - -------------------------------------------------------------------------------- Mutual fund performance changes over time. Please visit steinroe.com for monthly performance updates. 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. The Lehman Brothers Municipal Bond Index is an unmanaged group of fixed income securities that differs from the composition of the fund; it is not available for direct investment and does not incur fees or expenses. Lipper Inc., a widely respected data provider in the industry, calculates an average total return for mutual funds with similar investment objectives as the fund. 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. Source: Lipper Inc. INVESTMENT COMPARISON MOUNTAIN CHART Growth of a $10,000 investment, December 31, 1991 to December 31, 2001 Stein Roe Managed Municipals Fund: $17,936 Lehman Brothers Municipal Bond Index: $18,999
Managed Municipals Lehman Muni Bond IX Tr $10,000.00 $10,000.00 01/01/1992 - 03/31/1992 0.06% $10,006.00 01/01/1992 - 03/31/1992 0.30% $10,030.00 04/01/1992 - 06/30/1992 4.16% $10,422.25 04/01/1992 - 06/30/1992 3.79% $10,410.14 07/01/1992 - 09/30/1992 2.15% $10,646.33 07/01/1992 - 09/30/1992 2.66% $10,687.05 10/01/1992 - 12/31/1992 1.71% $10,828.38 10/01/1992 - 12/31/1992 1.82% $10,881.55 01/01/1993 - 03/31/1993 3.85% $11,245.27 01/01/1993 - 03/31/1993 3.71% $11,285.26 04/01/1993 - 06/30/1993 2.68% $11,546.65 04/01/1993 - 06/30/1993 3.27% $11,654.28 07/01/1993 - 09/30/1993 3.19% $11,914.98 07/01/1993 - 09/30/1993 3.38% $12,048.20 10/01/1993 - 12/31/1993 1.11% $12,047.24 10/01/1993 - 12/31/1993 1.40% $12,216.87 01/01/1994 - 03/31/1994 -5.24% $11,415.97 01/01/1994 - 03/31/1994 -5.49% $11,546.17 04/01/1994 - 06/30/1994 0.86% $11,514.14 04/01/1994 - 06/30/1994 1.10% $11,673.18 07/01/1994 - 09/30/1994 0.41% $11,561.35 07/01/1994 - 09/30/1994 0.69% $11,753.72 10/01/1994 - 12/31/1994 -1.40% $11,399.49 10/01/1994 - 12/31/1994 -1.43% $11,585.64 01/01/1995 - 03/31/1995 6.42% $12,131.34 01/01/1995 - 03/31/1995 7.07% $12,404.75 04/01/1995 - 06/30/1995 1.66% $12,332.72 04/01/1995 - 06/30/1995 2.41% $12,703.70 07/01/1995 - 09/30/1995 2.68% $12,663.24 07/01/1995 - 09/30/1995 2.87% $13,068.30 10/01/1995 - 12/31/1995 4.99% $13,295.13 10/01/1995 - 12/31/1995 4.13% $13,608.02 01/01/1996 - 03/31/1996 -2.19% $13,003.97 01/01/1996 - 03/31/1996 -1.20% $13,444.72 04/01/1996 - 06/30/1996 0.79% $13,106.70 04/01/1996 - 06/30/1996 0.76% $13,546.90 07/01/1996 - 09/30/1996 2.38% $13,418.64 07/01/1996 - 09/30/1996 2.29% $13,857.13 10/01/1996 - 12/31/1996 2.81% $13,795.70 10/01/1996 - 12/31/1996 2.55% $14,210.48 01/01/1997 - 03/31/1997 -0.36% $13,746.04 01/01/1997 - 03/31/1997 -0.24% $14,176.38 04/01/1997 - 06/30/1997 3.48% $14,224.40 04/01/1997 - 06/30/1997 3.45% $14,665.46 07/01/1997 - 09/30/1997 3.22% $14,682.43 07/01/1997 - 09/30/1997 3.01% $15,106.89 10/01/1997 - 12/31/1997 2.71% $15,080.32 10/01/1997 - 12/31/1997 2.71% $15,516.29 01/01/1998 - 03/31/1998 0.71% $15,187.39 01/01/1998 - 03/31/1998 1.15% $15,694.73 04/01/1998 - 06/30/1998 1.49% $15,413.68 04/01/1998 - 06/30/1998 1.52% $15,933.29 07/01/1998 - 09/30/1998 3.00% $15,876.09 07/01/1998 - 09/30/1998 3.07% $16,422.44 10/01/1998 - 12/31/1998 0.21% $15,909.43 10/01/1998 - 12/31/1998 0.60% $16,520.97 01/01/1999 - 03/31/1999 0.50% $15,988.98 01/01/1999 - 03/31/1999 0.89% $16,668.01 04/01/1999 - 06/30/1999 -1.98% $15,672.40 04/01/1999 - 06/30/1999 -1.76% $16,374.65 07/01/1999 - 09/30/1999 -0.88% $15,534.48 07/01/1999 - 09/30/1999 -0.40% $16,309.15 10/01/1999 - 12/31/1999 -1.11% $15,362.05 10/01/1999 - 12/31/1999 -0.78% $16,181.94 01/01/2000 - 03/31/2000 2.77% $15,787.58 01/01/2000 - 03/31/2000 2.92% $16,654.46 04/01/2000 - 06/30/2000 1.11% $15,962.82 04/01/2000 - 06/30/2000 1.51% $16,905.94 07/01/2000 - 09/30/2000 2.36% $16,339.54 07/01/2000 - 09/30/2000 2.42% $17,315.06 10/01/2000 - 12/31/2000 5.75% $17,279.06 10/01/2000 - 12/31/2000 4.37% $18,071.73 01/01/2001 - 03/31/2001 1.93% $17,612.55 01/01/2001 - 03/31/2001 2.22% $18,472.92 04/01/2001 - 06/30/2001 -0.19% $17,579.09 04/01/2001 - 06/30/2001 0.65% $18,593.00 07/01/2001 - 09/30/2001 4.03% $18,287.52 07/01/2001 - 09/30/2001 2.81% $19,115.46 10/01/2001 - 12/31/2001 -1.94% $17,936.00 10/01/2001 - 12/31/2001 -0.61% $18,999.00
Mutual fund performance changes over time. Please visit steinroe.com for monthly performance updates. 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 12/31/91, 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. - -------------------------------------------------------------------------------- Portfolio Manager's Report 15 - -------------------------------------------------------------------------------- Fund COMMENTARY FROM KIM CAMPBELL, PORTFOLIO MANAGER OF STEIN ROE MANAGED Commentary MUNICIPALS FUND The Stein Roe Managed Municipals Fund returned 2.02% for the six-month period ended December 31, 2001. This performance slightly lagged the fund's benchmark, the Lehman Brothers Municipal Bond Index, which registered a 2.18% gain for the same period. The fund outperformed its peer group, the Lipper General Municipal Debt Fund Average, which ended the period at 1.47%. Mixed reactions as interest rates dropped As we had expected, the economy continued to show signs of weakness during the period. The Fed sustained its aggressive interest rate cuts in an attempt to offer support to the economy, cutting short-term interest rates to 1.75% during the second half of 2001. These cuts had a markedly different impact on short-term and longer-term municipal debt. Although there was a great deal of fluctuation in yields during this time, the period ended with long-term bonds yielding about the same as they had at the beginning of the period. Yields on short-term bonds declined more dramatically. During the second half of the period, after a substantial bond rally, we shortened the fund's duration, but still maintained a longer-than-average duration relative to the fund's peer group. (Duration measures the fund's sensitivity to interest rate changes. The longer the duration, the more sensitive it is to interest rate fluctuation.) This strategy bolstered performance while rates were falling, but reversed some of that benefit as rates climbed at the end of the period. Investment objective and strategy: 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. The fund invests at least 80% of its net assets (plus any borrowings for investment purposes) in tax-exempt bonds, which primarily are investment grade. Fund inception: February 22, 1977 Net assets: $445.4 million - -------------------------------------------------------------------------------- 16 - -------------------------------------------------------------------------------- Top 10 states(1) % ---- Georgia 14.0 Illinois 11.0 Massachusetts 10.2 Texas 6.7 Pennsylvania 5.8 New York 5.5 California 5.5 Washington 4.7 Indiana 3.5 Florida 3.2 Fund overweighted in non-callable and zero coupon bonds We believed the economy would remain weak and inflation would remain benign through year-end. In response, we increased our exposure to non-callable and zero coupon bonds. During the period, non-callable bonds generally performed well, helping fund performance. Non-callable bonds lock in predetermined rates and cannot be called, or paid, until maturity. Without call protection, bonds may be called well before maturity. This sometimes happens when prevailing interest rates fall. Zero coupon bonds typically perform best when interest rates decline. They pay interest only at maturity, so they are discounted to compensate for their lack of periodic interest payments. Long maturity zero coupon bonds generally lagged for the period, which hurt fund performance. Intermediate holdings increased During the period, we continued our strategy of investing in intermediate (11-16 years) bonds. We sought to increase the fund's holdings in this sector with bonds that offered premium coupon structure and good protection. These bonds were purchased because of their potential to provide good relative value, given their maturity. Portfolio quality(1) % ---- AAA 51.5 AA 19.7 A 14.4 BBB and below 7.4 Non-Rated 5.5 Cash and equivalents 1.5 - -------------------------------------------------------------------------------- 17 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Portfolio statistics As of 12/31/01 As of 6/30/01 -------------- ------------- Average duration 10.2 years 10.7 years Average weighted maturity 15.3 years 16.5 years Average weighted coupon 5.27% 5.38% - -------------------------------------------------------------------------------- Air transportation debt faltered; high yield issues rallied In the wake of September 11, debt issues from airline revenue bonds detracted from the fund's performance. (Private corporations can issue municipal bonds to finance projects with a public purpose, such as the construction of airport terminals.) In the high yield sector, the fund's weighting remained small, but a rebound during the second half of the period helped performance. Positive outlook for short-term fixed income environment Our outlook for bonds remains positive. Although the Fed appears to be nearing the end of its easing bias, we believe that short-term rates will stay low for some time. We anticipate that economic recovery will be gradual, and inflation numbers are expected to remain relatively low. We plan to continue managing duration consistent with our outlook. Typically, we will look to invest in investment grade bonds with longer intermediate maturities (13-20 years), focusing especially on non-callable bonds and those with good call protection. Mutual fund performance changes over time. Please visit steinroe.com for monthly performance updates. 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 12/31/01 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. Lipper Inc., a widely respected data provider in the industry, calculates an average total return for mutual funds with similar investment objectives as the fund. - -------------------------------------------------------------------------------- 18 - -------------------------------------------------------------------------------- Tax-exempt investing offers current tax-free income, but it also involves certain risks. Investing in high yield bonds involves greater credit risks than investing in higher-quality bonds. 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 attempts to react quickly to market changes. (1) Top states breakdown is calculated as a percentage of net assets. Maturity and quality breakdowns are calculated as a percentage of investments plus short-term obligations. Because the fund is actively managed, there can be no guarantee the fund will continue to maintain these breakdowns in the future. Maturity(1) [The following table was depicted as a pie chart in the printed material.] Greater than 25 years 10.8% 20-25 years 14.4 15-20 years 25.2 10-15 years 30.1 5-10 years 17.0 Less than 5 years 1.0 Cash and equivalents 1.5 - -------------------------------------------------------------------------------- 19 - -------------------------------------------------------------------------------- This page intentionally left blank - -------------------------------------------------------------------------------- 20 Performance Summary - -------------------------------------------------------------------------------- Stein Roe High-Yield Municipals Fund Average annual total return (%) Period ended December 31, 2001 6-month cumulative 1-year 5-year 10-year - -------------------------------------------------------------------------------- Stein Roe High-Yield Municipals Fund Class S 2.92 5.05 4.90 5.74 - -------------------------------------------------------------------------------- Lehman Brothers Municipal Bond Index 2.18 5.13 5.98 6.63 - -------------------------------------------------------------------------------- Lipper High-Yield Municipal Debt Fund Average 1.52 4.95 3.77 5.25 - -------------------------------------------------------------------------------- Mutual fund performance changes over time. Please visit steinroe.com for monthly performance updates. 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. The Lehman Brothers Municipal Bond Index is an unmanaged group of fixed income securities that differs from the composition of the fund; it is not available for direct investment and does not incur fees or expenses. Lipper Inc., a widely respected data provider in the industry, calculates an average total return for mutual funds with similar investment objectives as the fund. 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. Source: Lipper Inc. INVESTMENT COMPARISON MOUNTAIN CHART Growth of a $10,000 investment, December 31, 1991 to December 31, 2001 Stein Roe Managed Municipals Fund: $17,477 Lehman Brothers Municipal Bond Index: $18,999
High-Yield Municipals - S Lehman Muni Bond IX Tr $10,000.00 $10,000.00 01/01/1992 - 03/31/1992 0.31% $10,031.00 01/01/1992 - 03/31/1992 0.30% $10,030.00 04/01/1992 - 06/30/1992 3.29% $10,361.02 04/01/1992 - 06/30/1992 3.79% $10,410.14 07/01/1992 - 09/30/1992 -0.33% $10,326.83 07/01/1992 - 09/30/1992 2.66% $10,687.05 10/01/1992 - 12/31/1992 2.01% $10,534.40 10/01/1992 - 12/31/1992 1.82% $10,881.55 01/01/1993 - 03/31/1993 3.55% $10,908.37 01/01/1993 - 03/31/1993 3.71% $11,285.26 04/01/1993 - 06/30/1993 2.46% $11,176.71 04/01/1993 - 06/30/1993 3.27% $11,654.28 07/01/1993 - 09/30/1993 3.08% $11,520.96 07/01/1993 - 09/30/1993 3.38% $12,048.20 10/01/1993 - 12/31/1993 1.17% $11,655.75 10/01/1993 - 12/31/1993 1.40% $12,216.87 01/01/1994 - 03/31/1994 -5.11% $11,060.14 01/01/1994 - 03/31/1994 -5.49% $11,546.17 04/01/1994 - 06/30/1994 2.02% $11,283.56 04/01/1994 - 06/30/1994 1.10% $11,673.18 07/01/1994 - 09/30/1994 0.46% $11,335.46 07/01/1994 - 09/30/1994 0.69% $11,753.72 10/01/1994 - 12/31/1994 -1.31% $11,186.97 10/01/1994 - 12/31/1994 -1.43% $11,585.64 01/01/1995 - 03/31/1995 7.00% $11,970.06 01/01/1995 - 03/31/1995 7.07% $12,404.75 04/01/1995 - 06/30/1995 2.33% $12,248.96 04/01/1995 - 06/30/1995 2.41% $12,703.70 07/01/1995 - 09/30/1995 2.57% $12,563.76 07/01/1995 - 09/30/1995 2.87% $13,068.30 10/01/1995 - 12/31/1995 4.82% $13,169.33 10/01/1995 - 12/31/1995 4.13% $13,608.02 01/01/1996 - 03/31/1996 -1.27% $13,002.08 01/01/1996 - 03/31/1996 -1.20% $13,444.72 04/01/1996 - 06/30/1996 0.69% $13,091.79 04/01/1996 - 06/30/1996 0.76% $13,546.90 07/01/1996 - 09/30/1996 2.12% $13,369.34 07/01/1996 - 09/30/1996 2.29% $13,857.13 10/01/1996 - 12/31/1996 2.92% $13,759.72 10/01/1996 - 12/31/1996 2.55% $14,210.48 01/01/1997 - 03/31/1997 0.16% $13,781.74 01/01/1997 - 03/31/1997 -0.24% $14,176.38 04/01/1997 - 06/30/1997 3.42% $14,253.08 04/01/1997 - 06/30/1997 3.45% $14,665.46 07/01/1997 - 09/30/1997 2.92% $14,669.27 07/01/1997 - 09/30/1997 3.01% $15,106.89 10/01/1997 - 12/31/1997 2.74% $15,071.20 10/01/1997 - 12/31/1997 2.71% $15,516.29 01/01/1998 - 03/31/1998 1.16% $15,246.03 01/01/1998 - 03/31/1998 1.15% $15,694.73 04/01/1998 - 06/30/1998 1.28% $15,441.18 04/01/1998 - 06/30/1998 1.52% $15,933.29 07/01/1998 - 09/30/1998 2.27% $15,791.69 07/01/1998 - 09/30/1998 3.07% $16,422.44 10/01/1998 - 12/31/1998 0.49% $15,869.07 10/01/1998 - 12/31/1998 0.60% $16,520.97 01/01/1999 - 03/31/1999 0.88% $16,008.72 01/01/1999 - 03/31/1999 0.89% $16,668.01 04/01/1999 - 06/30/1999 -0.47% $15,933.48 04/01/1999 - 06/30/1999 -1.76% $16,374.65 07/01/1999 - 09/30/1999 -0.84% $15,799.64 07/01/1999 - 09/30/1999 -0.40% $16,309.15 10/01/1999 - 12/31/1999 -1.71% $15,529.46 10/01/1999 - 12/31/1999 -0.78% $16,181.94 01/01/2000 - 03/31/2000 1.36% $15,740.67 01/01/2000 - 03/31/2000 2.92% $16,654.46 04/01/2000 - 06/30/2000 1.06% $15,907.52 04/01/2000 - 06/30/2000 1.51% $16,905.94 07/01/2000 - 09/30/2000 2.15% $16,249.53 07/01/2000 - 09/30/2000 2.42% $17,315.06 10/01/2000 - 12/31/2000 2.41% $16,641.14 10/01/2000 - 12/31/2000 4.37% $18,071.73 01/01/2001 - 03/31/2001 1.35% $16,865.80 01/01/2001 - 03/31/2001 2.22% $18,472.92 04/01/2001 - 06/30/2001 0.71% $16,985.54 04/01/2001 - 06/30/2001 0.65% $18,593.00 07/01/2001 - 09/30/2001 3.13% $17,517.19 07/01/2001 - 09/30/2001 2.81% $19,115.46 10/01/2001 - 12/31/2001 -0.20% $17,477.00 10/01/2001 - 12/31/2001 -0.61% $18,999.00
Mutual fund performance changes over time. Please visit steinroe.com for monthly performance updates. 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 12/31/91, 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. - -------------------------------------------------------------------------------- Portfolio Manager's Report 21 - -------------------------------------------------------------------------------- Fund COMMENTARY FROM MAUREEN NEWMAN, PORTFOLIO MANAGER OF STEIN ROE Commentary HIGH-YIELD MUNICIPALS FUND For the six-month period ended December 31, 2001, Stein Roe High-Yield Municipals Fund Class S delivered a total return of 2.92%. This return exceeded that of the fund's benchmark, the Lehman Brothers Municipal Bond Index, which returned 2.18% for the same period. The fund's peer group, the Lipper High-Yield Municipal Debt Fund Average, returned 1.52%. Increased economic uncertainty during the period caused high yield municipals to underperform the broader municipal market as a result of their perceived higher level of risk. However, good performance from several bonds helped us overcome some of that. Economic conditions created uncertainty During the six-month period, the events of September 11th dominated the news and economists began to sort through the economic impacts of the attacks. Initial consumer reactions caused a slowing of economic activity, which prompted a rally in the bond market. Then the Treasury Department announced that it was planning to stop issuing 30-year Treasury bonds, which caused a big upward spike in bond prices, which was quickly reversed in November. With various auto incentives and lower interest rates, consumers began to spend more money and various economic indicators began to point to a muted economic recovery, causing bond prices to retreat. Investment objective and strategy: Seeks a high level of total return consisting of current income exempt from ordinary federal income tax and opportunities for capital appreciation. The fund invests all of its assets in SR&F High-Yield Municipals Portfolio as part of a master fund/feeder fund structure. Under normal circumstances, the portfolio invests at least 80% of its net assets (plus any borrowings for investment purposes) in relatively high-yielding securities. Fund Inception: March 5, 1984 Net Assets: $212.7 million - -------------------------------------------------------------------------------- 22 - -------------------------------------------------------------------------------- Top 10 states(1) % ---- Florida 10.3 Pennsylvania 8.8 Texas 7.2 Colorado 7.1 Washington 6.0 Louisiana 4.4 Massachusetts 4.1 Indiana 4.1 North Carolina 4.0 Illinois 3.6 Defensive strategies employed Throughout the period, we believed that economic activity would continue to weaken, keeping inflation under wraps, and that bonds would perform well. This conviction became stronger as the country recognized that it was well into its first true recession in a decade. During the period, we rotated the portfolio away from the more cyclical areas of the bond market, such as paper products and other cyclical sectors. Instead, our strategy focused on more defensive sectors of the market including hospitals, universities and tobacco settlement revenue bonds, which are not as sensitive to economic slowdowns. Inverse floaters improved performance; steel holdings faltered The fund benefited from its investments in inverse floating rate bonds. These securities pay interest that increases when short-term rates fall. The Fed cut interest rates several times during the period, so these inverse floaters provided an excellent source of income. While inverse floaters provide the possibility of higher tax-exempt income, they also add price volatility to the portfolio. One of our holdings of inverse floaters was also refunded and is now backed by Treasury securities, which greatly enhanced the value of the securities and boosted the performance of the fund. Our hospital holdings outperformed the market during the period as the relative value of that sector improved. Portfolio quality(1) % ---- AAA 12.0 AA 10.7 A 15.2 BBB 19.9 BB and below 5.7 Non-Rated 35.5 Cash and equivalents 1.0 - -------------------------------------------------------------------------------- 23 - -------------------------------------------------------------------------------- The fund's performance was hurt by its holding in Inland Steel revenue bonds (0.4% of net assets), as steel companies experienced profit declines, and by its holdings of airline revenue bonds, which were hit hard in the aftermath of the September 11th attacks. (Private corporations can issue municipal bonds to finance projects with a public purpose, such as pollution control or the building of airport gates and terminals.) Looking ahead We believe that while economic recovery is forthcoming, the process will be long and slow with little measurable improvement until late 2002. Consumer spending will likely remain cautious, and manufacturing may improve slightly as companies rebuild inventories that were drawn down. At the same time, we feel consumer confidence has begun to increase and inflation remains in check. Under these conditions, we expect bonds to perform well in the coming months. Unless unusually attractive opportunities crop up in other areas, we will likely continue our defensive strategy of purchasing bonds in the less sensitive non-cyclical areas of the market. We believe the portfolio is well-positioned for an environment of continued low interest rates and a slow economic recovery. - -------------------------------------------------------------------------------- Portfolio statistics As of 12/31/01 As of 6/30/01 -------------- ------------- Average duration 8.0 years 8.4 years Average weighted maturity 18.1 years 18.2 years Average weighted coupon 6.74% 6.68% - -------------------------------------------------------------------------------- Mutual fund performance changes over time. Please visit steinroe.com for monthly performance updates. 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. - -------------------------------------------------------------------------------- 24 - -------------------------------------------------------------------------------- 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 12/31/01 and are subject to change. Income distributions are exempt from federal income taxes, but may be subject to 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. Lipper Inc., a widely respected data provider in the industry, calculates an average total return for mutual funds with similar investment objectives as the fund. Tax-exempt investing offers current tax-free income, but it also involves certain risks. Investing in high yield bonds involves greater credit risks than investing in higher-quality bonds. 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 attempts to react quickly to market changes. (1) Top states breakdown is calculated as a percentage of net assets in the SR&F High-Yield Municipals Portfolio. Maturity and quality breakdowns are calculated as a percentage of investments in the SR&F High-Yield Municipals Portfolio, plus short-term obligations. Because the fund is actively managed, there can be no guarantee the fund will continue to maintain these breakdowns in the future. Maturity(1) [The following table was depicted as a pie chart in the printed material.] Greater than 25 years 25.4% 20-25 years 16.9 15-20 years 22.3 10-15 years 13.5 5-10 years 17.5 Less than 5 years 3.4 Cash and equivalents 1.0 - -------------------------------------------------------------------------------- SR&F Municipal Money Market Portfolio 25 - -------------------------------------------------------------------------------- Investment Portfolio DECEMBER 31, 2001 (UNAUDITED)
Municipal Securities - 100.3% PAR VALUE Alabama - 0.8% Attalla Waterworks Board, Series 2001, 2.800%, 09/01/02 .................................. $ 165,000 $ 165,809 Limestone County, Series A, 2.000%, 11/01/02 ........ 230,000 230,000 Opelika Water Works Board, Series 2001, 4.000%, 06/01/02 .................................. 570,000 572,535 ------------- 968,344 ------------- Arizona - 1.5% Phoenix Industrial Development Authority, Spring Air Mattress Co., Series 1999, VRDB, (LOC: BancOne AZ) 2.000%, 04/01/19 (a) ........... 1,775,000 1,775,000 ------------- California - 0.8% State Higher Education Loan Authority, Series 1994 A, Put Bond, 06/03/02, 2.870%, 07/01/05 (a) .............................. 1,000,000 1,000,000 ------------- Colorado - 7.8% Boulder County, Boulder Medical Center Project, Series 1998, VRDB, (LOC: Wells Fargo) 1.900%, 01/01/17 (a) .............................. 3,190,000 3,190,000 Colorado Springs, Catalano Family L.L.P., Series 1998, VRDB, (LOC: BancOne CO) 1.950%, 07/01/18 (a) .............................. 1,025,000 1,025,000 Denver City & County, Worldport Project, Series 2000 A, VRDB, (LOC: Morgan Guaranty) 2.000%, 12/01/29 .................................. 1,200,000 1,200,000 Denver Health & Hospital Authority, VRDB, (LOC: BancOne CO) 2.000%, 12/01/31 ................ 1,800,000 1,800,000 Jefferson County, Rocky Mountain Butterfly, Series 1998, VRDB, (LOC: Wells Fargo) 1.750%, 06/01/10 .................................. 1,290,000 1,290,000 SBC Metropolitan District, Series 1998, Put Bond, (LOC: US Bank) 12/01/02, 2.000%, 12/01/17 ......... 1,000,000 1,000,000 ------------- 9,505,000 ------------- Florida - 0.2% Palm Beach County School District, 5.700%, 08/01/02 .................................. 250,000 255,532 ------------- Georgia - 0.8% Conyers, Series 1993, 4.375%, 07/01/02 .............. 150,000 150,852 Morgan County Development Authority, Ivex Corp., Series 1998, VRDB, (LOC: Societe Generale) 2.000%, 06/01/08 .................................. 800,000 800,000 ------------- 950,852 ------------- Idaho - 0.8% Idaho TAN, 3.750%, 06/28/02 ......................... 1,000,000 1,005,463 -------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 26 - --------------------------------------------------------------------------------
PAR VALUE Illinois - 23.2% ABN AMRO Munitops Certificates, Series 1998-14, VRDB, (LOC: ABN AMRO) 1.700%, 10/04/06 (b) ........ $1,000,000 $ 1,000,000 Chicago, Put Bond Series 2001, 1.900%, 10/31/02 ..... 1,000,000 1,000,000 Chicago, Archer Court Apartments, Series 1999 B, VRDB, (LOC: LaSalle Bank) 1.700%, 06/01/19 (a) .... 1,010,000 1,010,000 Chicago, De LaSalle Institute Project, Series 1997, VRDB, (LOC: Northern Trust) 1.700%, 04/01/27 .................................. 900,000 900,000 Chicago, PS Greetings, Inc., Series 1999, VRDB, (LOC: LaSalle Bank) 1.850%, 05/01/24 (a) .......... 1,420,000 1,420,000 Chicago, Stockyards Redevelopment Project, Series 1999 A, VRDB, (LOC: Northern Trust) 1.750%, 12/01/11 .................................. 1,320,000 1,320,000 East Dundee, Otto Engineering, VRDB, (LOC: LaSalle Bank) 1.700%, 03/01/26 (a) .......... 850,000 850,000 Glendale Heights, Judy L.L.C./York Corrugated, C160, Series 1998, VRDB, (LOC: Harris Bank) 1.900%, 08/01/28 (a) .............................. 1,420,000 1,420,000 Melrose Park, Ninos Enterprises, Inc., Series 1999, VRDB, (LOC: American National Bank) 1.900%, 12/01/24 .................................. 3,000,000 3,000,000 Morton, Morton Welding Co., Inc., Series 1996 A, VRDB, (LOC: BancOne IL) 2.050%, 04/01/16 (a)(b) ......... 835,000 835,000 Orlando Hills, 88th Avenue Project, VRDB, (LOC: LaSalle Bank) Series 1985 A, 1.750%, 12/01/04 ..... 1,000,000 1,000,000 Palatine, Little City Community Development Project, Series 1998, VRDB, (LOC: FHLB) 1.750%, 12/01/28 .................................. 1,000,000 1,000,000 Sauget, Monsanto Co.: Series 1993, VRDB, 1.700%, 05/01/28 ............... 800,000 800,000 Series 1996, VRDB, 1.700%, 09/01/14 ............... 800,000 800,000 Springfield, Oak Terrace Joint Venture L.P., Series 1999, VRDB, (LOC: Credit Suisse) 1.750%, 12/01/25 ....... 1,000,000 1,000,000 Springfield, Phillips Brothers, Inc., Series 1998, VRDB, 1.950%, (LOC: BancOne IL) 06/01/18 (a)(b) ......... 1,350,000 1,350,000 State Development Finance Authority, Ivex Corp. ..... Project, VRDB, (LOC: Societe Generale) 2.000%, 04/01/08 (a) .............................. 1,500,000 1,500,000 McCormick Theological Seminary, Series 1999 A, VRDB, (LOC: Northern Trust) 1.750%, 06/01/19 .................................. 1,000,000 1,000,000 Ulich Children's Home Project, VRDB, (LOC: American National Bank) 1.650%, 04/01/07 .......... 1,250,000 1,250,000 Wheaton Academy, Series 1998, VRDB, (LOC: Northern Trust) 1.750%, 10/01/28 ........... 1,000,000 1,000,000 State Educational Facilities Authority, Aurora University, Series 1989, VRDB, (LOC: Harris Bank) 1.750%, 01/01/09 .................................. 1,400,000 1,400,000 State Housing Development Authority, Sterling Towers Project, Series 2001, VRDB, (LOC: LaSalle Bank) 1.950%, 10/01/35 (a) .............................. 1,000,000 1,000,000 Will County, Amoco Corp., Series 1998, VRDB, 2.000%, 03/01/28 (a) .............................. 2,300,000 2,300,000 ------------- 28,155,000 -------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 27 - --------------------------------------------------------------------------------
PAR VALUE Indiana - 8.9% Elkhart County, Adorn, Inc., Series 1995, VRDB, (LOC: Harris Bank) 2.000%, 08/01/05 (a) ........... $ 800,000 $ 800,000 Crossroads Apartments Project, Series 1998 A, VRDB, (LOC: FHLB) 1.950%, 04/01/28 (a) ........... 925,000 925,000 Plymouth, Hillcrest Apartments, Series 1998 A, VRDB, (LOC: FHLB) 1.950%, 04/01/28 (a) ........... 925,000 925,000 Portage Economic Development Revision, Pedcor Investments, Series A, VRDB, (LOC: FHLB) 1.800%, 08/01/30 (a) .............................. 3,305,000 3,305,000 St. Joseph County, Pine Oaks Apartments, Series 1997 A, VRDB, (LOC: FHLB) 1.850%, 06/01/27 (a) ........... 2,365,000 2,365,000 State Development Finance Authority, Carr Metal Products, Inc., Series 1999, VRDB, (LOC: BancOne IN) 2.150%, 01/01/09 (a) ........... 1,020,000 1,020,000 State Health Facilities Financing Authority, Series 1998, VRDB, (LOC: Comercia) 4.150%, 04/01/13 ........... 1,500,000 1,500,000 ------------- 10,840,000 ------------- Iowa - 10.7% Clinton, Sethness Products Co., Series 1996, VRDB, (LOC: Northern Trust) 1.850%, 09/01/11(a)(b) ...... 3,700,000 3,700,000 Muscatine County, Monsanto Co., Series 1992, VRDB, 1.700%, 10/01/07 ............................ 2,600,000 2,600,000 State School Cash Antic, Series 2001, 3.875%, 01/30/02 ..................... 1,000,000 1,000,652 Series 2001 A, 3.750%, 06/21/02 ................... 1,000,000 1,005,018 State Finance Authority: Diocese of Sioux City, Series 1999, VRDB, (LOC: Wells Fargo) 1.750%, 03/01/19 .................................. 210,000 210,000 Morningside College, Series 2001, VRDB, (LOC: Firstar Bank) 2.050%, 07/01/26 .............. 200,000 200,000 Village Court Associates Project: Series 1985 A, VRDB, 1.750%, 11/01/15 ............. 1,300,000 1,300,000 Series 1985 B, VRDB, 1.750%, 11/01/15 ............ 200,000 200,000 State Higher Education Loan Authority, American Institute of Business, Series 1998, VRDB, (LOC: Wells Fargo) 1.850%, 11/01/13 ............... 2,000,000 2,000,000 St. Ambrose University Project, Series 1995, VRDB, (LOC: Wells Fargo) 1.850%, 02/01/05 ............... 800,000 800,000 ------------- 13,015,670 ------------- Kansas - 0.7% Kansas City Industrial Development Authority, Lanter Co., Series 1987 A, VRDB, (LOC: Harris Bank) 1.850%, 02/01/03 .................................. 350,000 350,000 State Development Finance Authority, Series 2000, VRDB, (LOC: Firstar Bank) 2.000%, 05/15/26 ........ 500,000 500,000 ------------- 850,000 ------------- Kentucky - 1.1% Shelby County, Roll Forming Corp., Series 1996, VRDB, (LOC: BancOne KY) 1.950%, 04/01/16 (a)(b) ......... 1,325,000 1,325,000 -------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 28 - --------------------------------------------------------------------------------
PAR VALUE Louisiana - 0.8% State Public Facilities Authority, Series 2001 A, 3.250%, 08/29/02 ................... $1,000,000 $ 1,002,872 ------------- Michigan - 3.1% Berrien County Education Material, VRDB, (LOC: American National Bank) 1.900%, 10/01/04 (a) ...... 1,140,000 1,140,000 Eastchina School District, 3.000%, 05/01/02 ......... 600,000 602,118 Lawton Community Schools, 3.000%, 05/01/02 .......... 525,000 526,716 Rochester County School District, 3.000%, 05/01/02 .................................. 500,000 501,765 State Municipal Bond Authority, Series 2001 C-2, 3.500%, 08/22/02 ................. 1,000,000 1,005,723 ------------- 3,776,322 ------------- Minnesota - 4.6% Bloomington IDR, VRDB, (LOC: US Bank) 2.000%, 07/01/21 (a) .............................. 1,900,000 1,900,000 Brooklyn Center, Brookdale Corp III Project, VRDB, (LOC: Firstar Bank) 2.050%, 12/01/07 .............. 600,000 600,000 Eden Prairie Industrial Development Revenue, VRDB, (LOC: US Bank) 2.000%, 11/01/20 (a) ............... 2,035,000 2,035,000 Minneapolis, VRDB, (Liq: Bayerische Landesbank) Series 2000, 1.600%, 12/01/18 ..................... 1,000,000 1,000,000 ------------- 5,535,000 ------------- Missouri - 0.2% Springfield Public Utilities Board, Series 2001, 3.750%, 01/01/02 .................................. 250,000 250,000 ------------- Mississippi - 0.3% Mississippi Home Corp., Farm Revenue, 2.350%, 12/01/02 (a) .............................. 335,000 335,000 ------------- Nebraska - 2.5% State Educational Finance Authority, Creighton University, VRDB, (LOC: Allied Irish Bank) Series 2001, 1.950%, 08/01/31 ..................... 3,000,000 3,000,000 ------------- New Mexico - 2.5% Albuquerque, Menaul School, VRDB, (LOC: Wells Fargo) Series 1998, 1.850%, 06/01/18 .............. 1,600,000 1,600,000 Canby IDR Keystone, VRDB, (LOC: US Bank) 2.150%, 12/01/20 (a) .............................. 1,455,000 1,455,000 ------------- 3,055,000 ------------- Nevada - 1.6% Washoe County, Sierra Nevada College Project, Series 2000, VRDB, (LOC: Wells Fargo) 1.850%, 07/01/25 ......... 1,906,750 1,906,750 ------------- Ohio - 0.6% Hancock County, Crystal Glen Apartments Project, Series 1998 B, VRDB, (LOC: FHLB) 1.800%, 01/01/31 (a) .... 750,000 750,000 -------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 29 - --------------------------------------------------------------------------------
PAR VALUE Oklahoma - 0.2% Edmond Public Works Authority Sales Tax and Utilities Systems Revenue, 5.000%, 07/01/02 ....... $ 250,000 $ 253,142 ------------- Pennsylvania - 2.8% Chester County Health & Education, Put Bond, 08/01/02, (LOC: First Union) 4.600%, 08/01/25 ..... 2,350,000 2,392,125 Philadelphia, Series 2001, 4.000%, 06/28/02 ......... 1,000,000 1,006,415 ------------- 3,398,540 ------------- South Carolina - 1.8% Jobs Economic Development Authority, Persona, Inc., Project, Series 1998, VRDB, (LOC: LaSalle Bank) 1.700%, 04/01/18 (a) .............................. 2,150,000 2,150,000 ------------- Tennessee - 2.4% Maryville, Series 2001, 4.250%, 04/01/02 ........... 880,000 881,903 Memphis Commercial Paper, 1.500%, 01/09/02 .......... 1,000,000 1,000,000 Oak Ridge, Series 2001, 4.250%, 04/01/02 ............ 1,000,000 1,002,161 ------------- 2,884,064 ------------- Texas - 9.2% Brazos Harbor Industrial Development Corp., Monsanto Co., VRDB, Series 1991, 1.700%, 03/01/21 .................................. 1,100,000 1,100,000 Brownsville Industrial Development Corp., Tella Tool & Manufacturing Co., Series 2000, VRDB, (LOC: American National Bank) 1.900%, 06/01/20 .......... 1,200,000 1,200,000 College Station Independent School District, 6.125%, 08/15/02 .................................. 160,000 163,473 Fort Bend County Industrial Development Corp., W.W. Grainger, Inc., Series 1989, VRDB, (LOC: Northern Trust) 1.850%, 12/01/02 ........... 1,110,000 1,110,000 Frenship Independent School District, 3.000%, 02/15/02 .................................. 920,000 921,249 Grand Prairie Industrial Development Authority, W.W. Grainger, Inc., Series 1986, VRDB, 2.200%, 12/01/11 .................................. 900,000 900,000 Harris County Industrial Development Authority, Precision General, Inc., Series 1991, VRDB, (LOC: Morgan Guaranty) 1.800%, 10/01/16 (a)(b) .......... 2,060,000 2,060,000 Robertson County Industrial Development Corp., Sanderson Farms, Inc., Series 1995, VRDB, (LOC: Harris Bank) 1.800%, 11/01/05 (a) ........... 300,000 300,000 Texas TRAN, 3.750%, 08/29/02 ........................ 3,000,000 3,024,896 Trinity River Authority, Community Waste Disposal Project, Series 2001, VRDB, (LOC: Wells Fargo) 1.900%, 05/01/21 (a) ........... 400,000 400,000 ------------- 11,179,618 ------------- Utah - 1.0% Eagle Mountain, Series 2001, VRDB, (LOC: BNP PariBas) 1.550%, 12/15/25 ............... 900,000 900,000 Murray City, Series 2001, 4.000%, 06/01/02 (a) ...... 370,000 371,192 ------------- 1,271,192 -------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 30 - --------------------------------------------------------------------------------
PAR VALUE Washington - 1.8% HFC Evergreen Ridge, VRDB, (LOC: US Bank) 1.900%, 12/01/24 (a) .............................. $1,115,000 $ 1,115,000 State Housing Finance Commission, Hamilton Place Senior Living, Series 1996 A, VRDB, (LOC: US Bank) 1.750%, 07/01/28 (a) ......... 1,090,000 1,090,000 ------------- 2,205,000 ------------- Wisconsin - 7.6% Carlton, Wisconsin Power & Light Co., Series 1988, VRDB, 1.850%, 08/01/15 (a) ........... 800,000 800,000 Cedarburg School District, Series 2001 B, 5.750%, 03/01/02 ................... 260,000 260,879 Chase, Belgiosio Cheese, Inc., Series 1998, VRDB, (LOC: BancOne WI) 1.950%, 04/01/11(a)(b) .......... 900,000 900,000 Fond du Lac, Brenner Tank, Inc., Series 1994, VRDB, (LOC: BancOne WI) 1.950%, 11/01/04 (a) ........... 1,690,000 1,690,000 Holland, White Clover Dairy, Inc., Series 1994, VRDB, (LOC: BancOne WI) 1.950%, 05/01/05 (a)(b) ......... 2,015,000 2,015,000 Kenosha, Monarch Plastics, Inc., Series 1994, VRDB, (LOC: BancOne WI) 1.950%, 12/01/09 (a)(b) ......... 1,400,000 1,400,000 Monroe, Wisconsin Cheese Group, Series 2001, VRDB, (LOC: LaSalle Bank) 1.900%, 08/01/21 ........ 1,900,000 1,900,000 Whitnall School District, Series 2001, 3.550%, 04/01/02 .................................. 250,000 249,870 ------------- 9,215,749 ------------- TOTAL MUNICIPAL SECURITIES - 100.3% (cost of $121,814,110) (c) .......................... 121,814,110 ------------- Other Assets & Liabilities, Net - (0.3)% ............... (343,518) ------------- Net Assets - 100.0% .................................... $ 121,470,592 =============
Notes to Investment Portfolio: - -------------------------------------------------------------------------------- (a) Security is subject to federal alternative minimum tax. At December 31, 2001, the aggregated amortized cost of these securities represented 45.2% of total net assets. (b) These securities are exempt from registration under Rule 144A of the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2001, the value of these securities amounted to $14,585,000, which represents 12.0% of net assets. (c) Cost for federal income tax purposes is the same. Variable rate demand bonds (VRDB) are securities whose yields are periodically reset at levels that are generally comparable to tax-exempt commercial paper. These securities are payable on demand within seven calendar days and normally incorporate an irrevocable letter of credit or line of credit (LOC) with a major bank. The rates listed are as of December 31, 2001. Acronym Name ------- ---------------------------------- FHLB Federal Home Loan Bank IDR Industrial Development Revenue LOC Letter of Credit TAN Tax Anticipation Notes TRAN Tax and Revenue Anticipation Notes VRDB Variable Rate Demand Bonds See notes to financial statements. - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund 31 - -------------------------------------------------------------------------------- Investment Portfolio DECEMBER 31, 2001 (UNAUDITED)
Municipal Bonds - 97.8% PAR VALUE EDUCATION - 1.5% Education - 1.0% AR State Development Finance Authority, Biosciences Institute College, Series 2001, 5.125%, 12/01/28 ................................. $ 150,000 $ 141,118 IL State Development Finance Authority: Bradley University, Series 1999, 5.375%, 08/01/19 ................................. 225,000 227,533 IL Latin School of Chicago, Series 1998, 5.200%, 08/01/11 ................................. 250,000 246,652 VT State Educational & Health Buildings Finance Agency, Norwich University, Series 1998, 5.750%, 07/01/13 ................................. 100,000 101,004 WV State University, Series 2000 A, (a) 04/01/15 ..................................... 1,500,000 749,070 ------------ 1,465,377 ------------ Student Loan - 0.5% ME State Educational Loan Authority, Series 1992 A-2, 6.650%, 12/01/02 ............................ 470,000 483,954 TX State Higher Education Coordinating Board, Texas College, Series 1991, 7.450%, 10/01/06 ..... 325,000 327,113 ------------ 811,067 ------------ HEALTHCARE - 3.0% Hospital - 2.4% AL East Health Care Authority Health Care Facilities, TANs, Series 1993, 5.625%, 09/01/04 ................................. 50,000 51,773 LA State Public Facilities Authority, Touro Infirmary, Series 1999, 5.200%, 08/15/10 ... 705,000 702,053 OH Green Springs, St. Francis Health Care Center, Series 1994 A, 7.000%, 05/15/04 .................. 80,000 79,800 SC Sumter County, Tuomey Regional Medical Center, Series 1991, 6.625%, 11/15/04 .................... 1,040,000 1,135,763 TX Health Facilities Development Corporation Hospital, All Saints Episcopal Hospitals, Series 1993-A, 5.800%, 08/15/04 .................. 80,000 84,603 TX Tarrant County Health Facilities Development Corporation Hospital, Fort Worth Osteopathic Hospital, Series 1993, 5.800%, 05/15/04 .......... 50,000 52,813 WV State Hospital Finance Authority, Series 2000 A, 6.750%, 09/01/22 ................................. 1,375,000 1,471,525 ------------ 3,578,330 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 32 - --------------------------------------------------------------------------------
PAR VALUE Nursing Home - 0.6% IA State Finance Authority, Care Initiatives, Series 1998 B, 5.500%, 07/01/08 .................. $ 450,000 $ 433,125 MN New Hope, North Ridge Care Center, Inc., Series 1999, 5.400%, 03/01/08 .................... 500,000 483,750 ------------ 916,875 ------------ HOUSING - 1.2% Multi-Family - 0.2% MA State Housing Finance Agency, Series 1992 C, 6.350%, 05/15/03 ................................. 200,000 206,490 NJ State Housing and Mortgage Finance Agency, 6.500%, 05/01/03 ................................. 85,000 86,562 ------------ 293,052 ------------ Single Family - 1.0% CA State Housing Finance Agency, Series B-1, 5.900%, 02/01/04 ................................. 485,000 508,750 MD Montgomery County Housing Commission, Series A, 5.750%, 07/01/13 ....................... 205,000 215,041 NE State Investment Authority, Series C, 5.650%, 09/01/07 ................................. 495,000 522,096 RI Housing and Mortgage Finance Corporation, Homeownership Opportunity, Series 6-B: 6.500%, 04/01/03 ................................ 100,000 101,489 6.500%, 10/01/03 ................................ 200,000 204,090 ------------ 1,551,466 ------------ INDUSTRIAL - 0.1% Manufacturing - 0.1% SC State Economic Development Authority, Caterpillar, Inc., Series 1998, 5.050%, 06/01/08 ................................. 100,000 102,750 ------------ OTHER - 12.1% Pool/Bond Bank - 4.4% IN Indianapolis Local Public Improvement Bond Bank, Series 1992 D, 6.500%, 02/01/06 .................. 2,100,000 2,308,005 KS State Development Finance Authority, 5.500%, 05/01/14 ................................. 1,000,000 1,065,190 NY State Environmental Facilities Corp., Series 1994 D, 6.300%, 05/15/05 .................. 3,000,000 3,291,480 ------------ 6,664,675 ------------ Refunded/Escrowed (b) - 7.7% AZ Maricopa County, Samaritan Health Services, Series 1978, 7.625%, 01/01/08 .................... 1,710,000 1,904,495 HI Honolulu City & County, Series 1995, 6.000%, 11/01/10 ................................. 135,000 151,342 IL Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project, Series 1992 A: 7.250%, 06/15/05 ................................ 385,000 433,468 7.250%, 06/15/05 ................................ 1,145,000 1,291,537
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 33 - --------------------------------------------------------------------------------
PAR VALUE Refunded/Escrowed (b) (cont) IN State Toll Road Commission, Series 1980, 9.000%, 01/01/15 ................................. $2,240,000 $ 3,036,522 MA State Health & Educational Facilities Authority, Carney Hospital, Series 1994 D, 6.000%, 07/01/09 ................................. 1,000,000 1,075,680 MI Dickinson County, Memorial Hospital System, 7.625%, 11/01/05 ................................. 145,000 156,963 OH Cuyahoga County, Meridia Health System, 6.300%, 08/15/06 ................................. 890,000 995,830 OH Olmstead Falls Local School District, 6.850%, 12/15/11 ................................. 550,000 620,967 PA Westmoreland County Municipal Authority, Municipal Services, Series 1993-C, (a) 08/15/17 .. 1,250,000 546,238 SC Piedmont Municipal Power Agency, Series 1991 A, 6.125%, 01/01/07 ................................. 335,000 369,204 SC Sumter County, Tuomey Regional Medical Center, Series 1991, 6.625%, 11/15/04 .................... 960,000 1,057,910 ------------ 11,640,156 ------------ OTHER REVENUE - 0.7% Recreation - 0.7% OR State Department of Administrative Services, Series 1999 B, 5.250%, 04/01/15 .................. 1,000,000 1,021,400 ------------ Retail - 0.0% IA State Finance Authority, Mason City Shopping Center, 8.500%, 12/01/04 ................ 50,000 50,538 ------------ RESOURCE RECOVERY - 2.8% Disposal - 1.2% IL Development Finance Authority, Waste Management, Inc., Series 1997, 5.050%, 01/01/10 ................................. 865,000 845,546 MA State Industrial Finance Agency, Peabody Monofill Associates, Inc., Series 1995, 9.000%, 09/01/05 ................................. 55,000 57,956 MI State Strategic Fund, United Waste Systems, Inc., Series 1995, 5.200%, 04/01/10 .................... 1,000,000 979,580 ------------ 1,883,082 ------------ Resource Recovery - 1.6% MA State Industrial Finance Agency, Ogden Hill Project, Series 1998 A, 5.450%, 12/01/12 ......... 250,000 242,628 NJ Bergen County Utilities Authority, Series 1992 A, 6.250%, 06/15/06 ................................. 2,000,000 2,207,260 ------------ 2,449,888 ------------ TAX-BACKED - 42.2% Local Appropriated - 0.0% AZ Phoenix Civic Improvement Corporation, Waste Water Lease, Series 1993, 5.750%, 07/01/04 ................................. 50,000 52,982 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 34 - --------------------------------------------------------------------------------
PAR VALUE Local General Obligations - 17.2% AZ Maricopa County Unified School District No. 69, Paradise Valley, Series 1995, 6.350%, 07/01/10 ... $ 500,000 $ 569,665 AZ Maricopa County Unified School District No. 97, Series 1996 A, 6.250%, 07/01/06 .................. 1,750,000 1,934,957 AZ Phoenix General Obligation, 6.125%, 07/01/03 ................................. 250,000 259,592 AZ Tempe Unified School District No. 213, Series 1994, 7.000%, 07/01/08 .................... 500,000 581,385 CA Corona Norco School District, (a) 09/01/16 ..................................... 1,000,000 461,660 CA Carlsbad Unified School District, Series 1997, (a) 11/1/2014 (c ) ............................... 300,000 156,999 CA Natomas Unified School District, Series 1999, 5.850%, 03/01/15 ................................. 250,000 280,010 CA Union Elementary School District, Series 1999 A, (a) 09/01/20 ...................... 1,000,000 356,660 CA Yuba City Unified School District, Series 2000, (a) 09/01/16 ..................................... 1,960,000 904,854 CO Adams County, School District Number 12, Series 1995 A, (a) 12/15/12 ...................... 1,300,000 748,735 HI Honolulu City & County: Series 1990 A, 7.350%, 07/01/06 .................. 1,000,000 1,141,580 Series 1995, 6.000%, 11/01/10 .................... 365,000 405,026 IL Chicago Board of Education, Series 1996, 6.250%, 12/01/12 ................................. 2,100,000 2,379,615 KS Shannee County School District #437, 5.500%, 09/01/13 ................................. 1,555,000 1,651,892 KS Wyandotte County Unified School District No. 204, Series 2000 A, 6.375%, 09/01/11 ......... 500,000 571,825 LA Orleans Levee District, Series 1995 A, 5.950%, 11/01/07 ................................. 2,200,000 2,413,400 MI Anchor Bay School District, Series 2001, 5.250%, 05/01/13 ................................. 1,000,000 1,048,100 MI Berkley, City School District, 7.000%, 01/01/09 ................................. 500,000 579,225 MN West St. Paul, Independent School District No. 197, (a) 02/01/04 ............................ 500,000 467,645 NY New York City: 5.250%, 11/01/12 ................................. 1,000,000 1,018,130 Series 1996 C, 5.700%, 02/01/06 .................. 1,000,000 1,069,490 Series 1997 A, 7.000%, 08/01/06 .................. 850,000 953,895 Series 1997 H, 6.000%, 08/01/17 .................. 1,000,000 1,046,290 OH London School District, 5.500%, 12/01/15 ........ 375,000 393,390 OH Marion City School District, Series 2000, 6.500%, 12/01/14 ................................. 500,000 583,255 OH Olmsted Falls School District, Series 1999, 5.500%, 12/01/04 ................................. 420,000 442,050 OH Strongsville, 6.000%, 12/01/06 .................. 500,000 544,750 OR Lebanon County School District #9, 5.250%, 06/15/17 ................................. 1,120,000 1,134,123
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 35 - --------------------------------------------------------------------------------
PAR VALUE Local General Obligations (cont) PA Westmoreland County, Series 1997, (a) 12/01/18 ........................................ $1,000,000 $ 395,970 TX Comal Independent School District, 5.500%, 02/01/14 .................................... 1,000,000 1,046,500 WA Vancouver School District No. 37, (a) 12/01/16 ........................................ 1,000,000 447,100 ------------ 25,987,768 ------------ Special Non-Property Tax - 9.2% CT Special Tax Obligation Infrastructure, Series B 5.375%, 10/01/12 .................................... 1,000,000 1,067,560 FL Tampa, Series 2000, 6.000%, 10/01/08 ............... 1,000,000 1,108,920 GA Metropolitan Atlanta Rapid Transit Authority, Series 1998 A, 6.250%, 07/01/10 ..................... 1,000,000 1,130,770 IL Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project, Series 1992 A, 7.250%, 06/15/05 ..................... 1,220,000 1,359,885 LA Sulphur Public Import Sales and Use Tax, Series 1993-ST, 5.650%, 04/01/04 .................... 50,000 52,961 MI State, Underground Storage Tank Financial Assistance, Series 1996 I, 6.000%, 05/01/05 ......... 4,000,000 4,331,480 NM Santa Fe, Series 1996 A, 6.500%, 06/01/06 .................................... 1,555,000 1,730,855 NV State, Series 2000 A, 5.000%, 12/01/06 ............. 1,000,000 1,060,690 NY State Local Government Assistance Corp.: Series C, 6.000%, 04/01/12 .......................... 150,000 167,909 Series 1993 E, 5.250%, 04/01/16 ..................... 1,000,000 1,037,600 TX Houston, Series 2001 B, (a) 09/01/17 ............... 2,000,000 849,600 ------------ 13,898,230 ------------ Special Property Tax - 2.7% FL Stoneybrook Community Development District, Series 1998 B, 5.700%, 05/01/08 ..................... 1,965,000 1,965,000 MO State Development Finance Board, Midtown Redevelopment Project, Series 2000 A, 6.000%, 04/01/14 .................................... 2,000,000 2,171,680 ------------ 4,136,680 ------------ State Appropriated - 7.9% KS State Development Authority Lease Juvenile Detention Facility Project, Series 1992-H, 5.750%, 06/01/02 .................................... 60,000 61,045 KY State Turnpike Authority, Series 1992, 5.800%, 01/01/04 .................................... 1,000,000 1,059,160 MO State, Regional Convention & Sports Facility Project, Series 1991 A, 6.600%, 08/15/03 ............ 830,000 881,145 NY Metropolitan Transportation Authority, Series 1993 O, 5.500%, 07/01/17 ..................... 1,000,000 1,054,600 NY State Dormitory Authority: City University of New York, Series 1995, 5.625%, 07/01/16 ................................... 5,000,000 5,405,600 City University, Series A, 5.625%, 07/01/16 ......... 500,000 540,560 Series 1995 A, 05/15/05 ............................ 1,000,000 1,098,270 Series 2000, 5.000%, 05/15/05 ...................... 685,000 722,744
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 36 - --------------------------------------------------------------------------------
PAR VALUE State Appropriated (cont) NY State Urban Development Corp., 5.750%, 04/01/11 ................................. $ 500,000 $ 542,020 OH State Higher Education Commission, Series II-B, 5.750%, 11/01/04 .................... 500,000 537,765 ------------ 11,902,909 ------------ State General Obligations - 5.2% KY State Turnpike Authority, Series 2001 A, 5.500%, 07/01/13 ................................. 1,000,000 1,071,370 MA Massachusetts Bay Transportation Authority, Series 1994 A, 7.000%, 03/01/07 .................. 2,250,000 2,567,047 MA State College Building Authority, Series 1994 A, 7.500%, 05/01/14 .................. 500,000 620,970 NJ State, General Obligation, Series D, (a) 02/15/04 ..................................... 90,000 84,490 TX Goose Creek Independent School District, Series 2000, 5.250%, 08/15/18 .................... 3,000,000 3,007,290 TX State, Series A, 5.800%, 10/01/04 ............... 500,000 537,075 ------------ 7,888,242 ------------ TRANSPORTATION - 11.3% Air Transportation - 1.7% IL Chicago O'Hare International Airport, United Airlines, Inc., Series 2000 A, 6.750%, 11/01/11 ................................. 1,400,000 917,294 MN Minneapolis & St.Paul Metropolitan Airports Commission, Northwest Airlines, Inc., Series 2001 B, 6.500%, 04/01/25 .................. 500,000 478,125 OH Cleveland, Series 1999, 5.700%, 12/01/19 ........ 1,000,000 708,750 WA Port Seattle, Northwest Airlines, Inc., Series 2000, 7.125%, 04/01/20 ........................... 500,000 405,000 ------------ 2,509,169 ------------ Airport - 5.6% FL Greater Orlando Aviation Authority, Series 1999 A, 5.250%, 10/01/09 .................. 320,000 330,499 GA Atlanta, Airport Facilities, Series 1996, 6.500%, 01/01/07 ................................. 4,000,000 4,451,040 IL Chicago, Midway Airport, Series 1994 A, 5.700%, 01/01/04 ................................. 1,000,000 1,042,530 IN State Transportation Finance Authority, Airport Facilities Lease, Series 1992 A, 6.500%, 11/01/07 ................................. 1,040,000 1,090,731 KY Louisville & Jefferson County Regional Airport Authority, Series 2001 A, 5.750%, 07/01/15 ................................. 1,000,000 1,035,880 NY Monroe County Airport Authority, Greater Rochester International Airport, Series 1999, 5.750%, 01/01/12 .................... 500,000 535,735 ------------ 8,486,415 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 37 - --------------------------------------------------------------------------------
PAR VALUE Ports - 0.9% WA Port of Seattle: Series A, 6.000%, 10/01/08 ....................... $ 250,000 $ 274,148 Series 2000 B, 6.000%, 02/01/13 .................. 1,000,000 1,092,090 ------------ 1,366,238 ------------ Toll Facilities - 1.8% CO E-470 Public Highway Authority, Series 2000 B, (a) 09/01/18 ..................................... 1,500,000 604,290 OH State Turnpike Commission: Series 1996 A, 6.000%, 02/15/06 .................. 500,000 545,970 Series 1998 A, 5.500%, 02/15/24 .................. 1,000,000 1,049,900 PA State Turnpike Commission, Series 1998 A, 5.250%, 12/01/14 ................................. 500,000 515,050 ------------ 2,715,210 ------------ Transportation - 1.3% CO State Department of Transportation, Series 2000, 6.000%, 06/15/12 ................................. 1,500,000 1,659,675 DC Metropolitan Area Transit Authority, 6.000%, 07/01/07 ................................. 250,000 276,415 ------------ 1,936,090 ------------ UTILITY - 22.9% Independent Power Producer - 0.3% MI Midland County Economic Development Corp., Series 2000, 6.875%, 07/23/09 .................... 500,000 518,125 ------------ Investor Owned - 2.9% AR Pope County Energy Project, 5.050%, 09/01/28 ................................. 750,000 751,688 NH State Business Finance Authority, United Illuminating Co., Series 1999, 5.400%, 12/01/29 ................................. 1,000,000 1,024,080 NV Washoe County, Sierra Pacific Power Co., Series 2001, 5.750%, 03/01/36 ................................. 1,000,000 1,020,090 TX Brazos River Authority, Texas Utilities Electric Co.: Series 1995 B, 5.050%, 06/01/30 ................. 600,000 608,844 Series C, 5.750%, 05/01/36 ...................... 1,000,000 984,160 ------------ 4,388,862 ------------ Joint Power Authority - 5.5% GA State Municipal Electric Authority, Series 1997 Y, 6.400%, 01/01/13 ................................. 3,000,000 3,438,333 NC Eastern Municipal Power Agency, Power System: Series 1993-B, 6.125%, 01/01/09 .................. 2,000,000 2,120,000 Series 1993 C, 5.500%, 01/01/07 .................. 415,000 428,707 SC Piedmont Municipal Power Agency, Series 1991 A, 6.125%, 01/01/07 ................................. 2,015,000 2,203,503 TX State Municipal Power Agency, (a) 09/01/15 ...... 250,000 121,498 ------------ 8,312,041 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 38 - --------------------------------------------------------------------------------
PAR VALUE Municipal Electric - 1.0% TX Lower Colorado River Authority, Series 1999 A, 5.500%, 05/15/21 ................................. $1,500,000 $ 1,524,630 WA Grant County Public Utilities District Number 002, Electric System Series 1993 E, 5.300%, 01/01/03 ................................. 50,000 51,712 ------------ 1,576,342 ------------ Water & Sewer - 13.2% AR Beaver Water District, Benton & Washington Counties, Series 1994, 6.000%, 11/15/04 .......... 2,580,000 2,795,069 AZ Phoenix Civic Improvement Corp., Series 2001, 5.250%, 07/01/08 ................................. 1,130,000 1,202,829 AZ State Central Water Conservation District, Central Arizona Project, Series A, 5.500%, 11/01/08 ................................. 250,000 269,762 DE State Economic Development Authority, Wilmington Suburban Water Corp., Series 1992 B, 6.450%, 12/01/07 .................. 1,165,000 1,295,468 GA Columbus Water & Sewer, 5.000%, 05/01/10 ........ 1,000,000 1,055,220 IL Chicago, Series 1993, 6.500%, 11/01/09 .......... 2,155,000 2,445,860 IL Du Page County Special Service Area No. 11, Series 1995, 6.750%, 01/01/14 .................... 990,000 1,100,137 MA State Water Pollution Abatement Trust, Series 1999 A, 6.000%, 08/01/19 .................. 2,500,000 2,793,175 TN Metropolitan Government of Nashville & Davisdon Counties, Series 1993, 6.500%, 01/01/10 ................................. 2,750,000 3,137,915 TX Houston Water & Sewer System, Series C, 5.900%, 12/01/05 ................................. 800,000 872,616 TX Houston Water Conveyance System, Series J, 6.125%, 12/15/06 ................................. 1,000,000 1,099,830 TX Houston, Series 2000 B, 5.250%, 12/01/23 ........ 2,000,000 1,971,980 ------------ 20,039,861 ------------ TOTAL MUNICIPAL BONDS (cost of $140,413,532) ............................. 148,143,820 ------------ Short-Term Obligations - 1.1% AZ Glendale Industrial Development Authority, Friendship Retirement Project, Series 1999, VRDN, 2.400%, 12/01/14 .......................... 300,000 300,000 ID State Health Facilities Authority, St. Lukes Regional Medical Facility, Series 1995, VRDN, 1.950%, 05/01/22 .......................... 400,000 400,000 NE State Educational Finance Authority, Creighton University, Series 2001, VRDN, 1.950%, 08/01/31 ................................. 900,000 900,000 NY Long Island Power Authority, Series 2001 2B, VRDN, 1.800%, 05/01/33 .......................... 100,000 100,000 ------------ TOTAL SHORT-TERM OBLIGATIONS (cost of $1,700,000) ............................... 1,700,000 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 39 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS - 98.9% (cost of $142,113,532) ............................. $149,843,820 ------------ Other Assets & Liabilities, Net - 1.1% ................ 1,666,845 ------------ Net Assets - 100.0% ................................... $151,510,665 ============
Notes to Investment Portfolio: - -------------------------------------------------------------------------------- (a) Zero coupon bond (b) The fund has been informed that each issuer has placed direct obligations of the U.S. Government in an irrevocable trust, solely for the payment of the principle and interest. (c) These securities, or a portion thereof, with a total market value of $156,999, are being used to collateralize open futures contracts. Variable rate demand notes (VRDN) are considered short-term obligations. Interest rates change periodically on specified dates. These securities are payable on demand and are secured either by letters of credits or other credit support agreements from banks. The rates listed are as of December 31, 2001. Acronym Name ------- ---------------------- TAN Tax Anticipation Notes Long futures contracts open at December 31, 2001: Par Value Unrealized Covered by Expiration Depreciation Type Contracts Month at 12/31/01 ------------- ------------ -------------- ------------ Treasury Bond $6,400,000 March 2002 $(107,624) See notes to financial statements. - -------------------------------------------------------------------------------- 40 Stein Roe Managed Municipals Fund - -------------------------------------------------------------------------------- Investment Portfolio DECEMBER 31, 2001 (UNAUDITED)
Municipal Bonds - 97.4% PAR VALUE EDUCATION - 3.5% Education - 1.9% AR State Development Finance Authority, Biosciences Institute College, Series 2001, 5.125%, 12/01/28 ....................... $ 750,000 $ 705,592 CA State Educational Facilities Authority, Loyola Marymount University, Series 2001, (a) 10/01/20 ........................... 1,000,000 354,380 MA State Development Finance Agency, Boston University, Series 1999, 5.450%, 05/15/59 ....................... 1,000,000 943,110 MA State Industrial Finance Agency, Tufts University, Series 1998 H, 4.750%, 02/15/28 ..................... 2,000,000 1,812,240 MN Victoria, Holy Family Catholic High School, Series 1999 A, 5.850%, 09/01/24 ..................... 1,000,000 985,000 VA College Building Washington Lee University, 5.375%, 01/01/21 .................................... 2,000,000 2,076,320 WV State University, Series 2000 A, (a) 04/01/18 ...... 3,800,000 1,561,116 ------------ 8,437,758 ------------ Student Loan - 1.6% AK State Student Loan Corp., Series 1994 A, 6.200%, 7/1/2009 (b) ................. 3,870,000 4,059,514 ME State Educational Loan Marketing Corp., Series 1994 B-1, 6.500%, 11/01/09 ................... 3,000,000 3,242,040 ------------ 7,301,554 ------------ HEALTHCARE - 8.3% Congregate Care Retirement - 1.0% OR Clackamas County Hospital Facilities Authority, Willamette View, Series 1999 A, 7.500%, 11/01/29 ..................... 1,000,000 1,060,000 PA Montgomery County Industrial Development Authority, Adult Communities Total Services, Series 1996 B, 5.750%, 11/15/17 ..................... 3,500,000 3,462,060 ------------ 4,522,060 ------------ Health Services - 0.4% MA State Development Finance Agency, Boston Biomedical Research Institute, Series 1999, 5.650%, 02/01/19 ....................... 310,000 289,850 WI State Health & Educational Facilities Authority, Marshfield Clinic, Series 1999, 6.250%, 02/15/29 .................................... 1,600,000 1,662,944 ------------ 1,952,794 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 41 - --------------------------------------------------------------------------------
PAR VALUE Hospital - 6.1% FL West Orange Healthcare, 5.650%, 02/01/22 ........... $ 1,050,000 $ 1,033,841 IL State Development Finance Authority, Adventist Health System, Series 1999, 5.500%, 11/15/20 ....................... 3,000,000 2,847,900 IL State Health Facilities Authority, Swedish American Hospital, Series 2000, 6.875%, 11/15/30 ....................... 1,000,000 1,061,940 LA State Public Facilities Authority, Touro Infirmary, Series 1999, 5.625%, 08/15/29 ....................... 1,740,000 1,687,713 MA State Health & Educational Facilities Authority: Dana Farber Cancer Institute, Series 1995 G-1, 6.250%, 12/01/22 ................................... 3,265,000 3,370,459 Massachusetts General Hospital, Series 1992 F, 6.250%, 07/01/12 ................................... 5,750,000 6,465,070 South Shore Hospital, Series 1999 F: 5.625%, 07/01/19 ................................... 1,000,000 980,380 5.750%, 07/01/29 ................................... 2,500,000 2,436,025 MD State Health & Educational Facilities Authority, University of Maryland Medical System, 6.750%, 07/01/30 .................................... 500,000 538,785 MI Dickinson County, Series 1999, 5.800%, 11/01/24 ....................... 1,000,000 912,780 MS Medical Center Building Corp., University of Mississippi Medical Center, Series 1998, 5.500%, 12/01/23 ....................... 1,000,000 1,038,920 NC State Medical Care Commission, Gaston Health Care, Series 1998, 5.000%, 02/15/29 ....................... 1,000,000 919,360 NV Henderson, Catholic Healthcare West, Series 1999 A, 6.750%, 07/01/20 ..................... 1,000,000 1,043,420 TX Richardson Hospital Authority, Baylor Richardson Medical Center, Series 1998, 5.625%, 12/01/28 ....................... 500,000 478,295 WV State Hospital Finance Authority, Series 2000 A, 6.750%, 09/01/30 ..................... 2,000,000 2,125,180 ------------ 26,940,068 ------------ Intermediate Care Facilities - 0.5% IN State Health Facilities Financing Authority, Hoosier Care, Inc., Series 1999 A, 7.125%, 06/01/34 ..................... 2,455,000 2,138,919 ------------ Nursing Home - 0.3% IN State Health Facilities Financing Authority, Metro Health Indiana, Inc., Series 1998, 6.400%, 12/1/2033 (c) .................. 1,400,000 910,000 MN Minneapolis, Walker Methodist Senior Services Group, Series 1998 A, 5.875%, 11/15/18 ..................... 450,000 401,625 ------------ 1,311,625 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 42 - --------------------------------------------------------------------------------
PAR VALUE HOUSING - 3.4% Multi-Family - 2.2% Charter Municipal Mortgage Acceptance Co., 6.625%, 6/30/2049 (d) ............................... $ 2,000,000 $ 2,040,000 FL Broward County Housing Finance Authority, Chaves Lake Apartment Project, Series 2000, 7.500%, 07/01/40 ....................... 1,500,000 1,516,875 FL Clay County Housing Finance Authority, Madison Commons Apartments, Series 2000 A, 7.450%, 07/01/40 ..................... 750,000 758,437 FL Orange County Housing Finance Authority, Palms at Brentwood Apartments, Series 1998 K, 6.500%, 12/01/34 ..................... 1,985,000 1,781,537 IL State Development Finance Authority, Catholic Charities Housing Development Corp., Series 1993 C, 5.950%, 01/01/09 ..................... 1,450,000 1,475,375 Municipal Mortgage & Equity LLC, 7.750%, 11/1/2010 (d) ............................... 2,000,000 2,115,000 ------------ 9,687,224 ------------ Single Family - 1.2% ID State Housing Agency, Series 1990 E, 7.875%, 07/01/24 ..................... 575,000 581,526 IL Chicago, Series 2000 A, 7.150%, 09/01/31 ........... 835,000 944,452 NM State Mortgage Finance Authority, Series 2000 A-2, 7.100%, 09/01/30 ................... 1,480,000 1,665,414 NV State Housing Division, Series 1991 A-2, 7.750%, 04/01/22 ................... 1,410,000 1,434,675 RI State Housing & Mortgage Finance Corp., Series 1-E, 7.550%, 10/01/22 ........................ 515,000 525,949 ------------ 5,152,016 ------------ INDUSTRIAL - 8.1% Food Products - 3.6% GA Cartersville Development Authority, Anheuser Busch Cos., Inc., Series 1999, 7.375%, 05/01/09 ....................... 9,000,000 10,410,390 IN Hammond, American Maize Products Co., Series 1994, 8.000%, 12/01/24 ....................... 4,560,000 4,693,243 MI State Strategic Fund, Michigan Sugar Co., Carolton Project, Series 1998 B, 6.450%, 11/1/2025 (c) ............... 700,000 427,000 Series 1998 C, 6.550%, 11/1/2025 (c) ............... 800,000 488,000 ------------ 16,018,633 ------------ Forest Products - 4.1% LA De Soto Parish, International Paper Company, Series A, 7.700%, 11/01/18 .......................... 3,250,000 3,537,137 SC Richland County, Union Camp Corp., Series 1991 B, 7.125%, 09/01/21 ..................... 5,000,000 5,106,750 WA Port Longview Industrial Development Corp., Weyerhaeuser Corp., Series 1992, 6.875%, 10/01/08 ....................... 8,750,000 9,476,163 ------------ 18,120,050 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 43 - --------------------------------------------------------------------------------
PAR VALUE Manufacturing - 0.4% MO State Development Finance Board, Proctor & Gamble Co., Series 1999, 5.200%, 03/15/29 ....................... $ 1,000,000 $ 964,120 NM Albuquerque Industrial Development Authority, Motorola, Inc., Series 1983 A, 10.000%, 06/01/13 ................................... 1,000,000 1,017,100 ------------ 1,981,220 ------------ OTHER - 8.2% Other - 0.3% SC Tobacco Settlement Revenue Management Authority, Series 2001 B, 6.375%, 05/15/28 .......... 1,100,000 1,139,149 ------------ Refunded/Escrowed (e) - 7.9% CA Foothill/Eastern Transportation Corridor Agency, Series 1995 A, (a) 01/01/18 ......................... 10,000,000 4,296,600 CA Southern California Public Power Authority, Southern Transmission project, Series 1988 A, (a) 07/01/14 ......................... 8,155,000 4,488,186 FL State, Jacksonville Transportation Authority, Series 1985, 9.200%, 01/01/15 ....................... 2,000,000 2,742,640 GA Fulton County, Series 1992, 6.375%, 01/01/14 ....................... 13,270,000 15,181,411 NC Eastern Municipal Power Agency, Series 1991 A, 6.500%, 01/01/18 ..................... 4,315,000 5,048,248 SC Calhoun County, Solid Waste Disposal Facilities, Eastman Kodak Co., Series 1992, 6.750%, 05/01/17 .................................... 3,000,000 3,496,320 ------------ 35,253,405 ------------ OTHER REVENUE - 2.7% Recreation - 2.5% CA Long Beach Aquarium of the Pacific, Series 1995 A: 6.125%, 07/01/15 .................................... 4,000,000 4,444,800 6.125%, 07/01/23 .................................... 6,000,000 6,667,200 ------------ 11,112,000 ------------ Retail - 0.2% NJ State Economic Development Authority, Glimcher Properties L.P. Project, 6.000%, 11/01/28 .................................... 850,000 820,250 ------------ RESOURCE RECOVERY - 0.2% Disposal - 0.2% IL Development Finance Authority, Waste Management, Inc., Series 1997, 5.050%, 01/01/10 ....................... 500,000 488,755 MI State Strategic Fund, United Waste Systems, Inc., Series 1995, 5.200%, 04/01/10 ....................... 500,000 489,790 ------------ 978,545 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 44 - --------------------------------------------------------------------------------
PAR VALUE TAX-BACKED - 30.3% Local Appropriated - 2.3% IL Chicago Board of Education, Series 1992 A, 6.000%, 01/01/16 ..................... $ 5,000,000 $ 5,531,050 IN Crown Point School Building Corp., Series 2000: (a) 01/15/18 ........................................ 1,550,000 639,174 (a) 01/15/19 ........................................ 1,665,000 644,338 KY Lexington Fayette County, County Detention Center, Series 1999, 4.750%, 05/01/24 ............... 1,420,000 1,312,591 TX Houston, Series 2000, 6.400%, 06/01/27 ............. 2,000,000 2,171,160 ------------ 10,298,313 ------------ Local General Obligations - 8.8% AK North Slope Borough: (a) 06/30/12 ....................................... 5,000,000 2,932,150 Series 1999 B, (a) 06/30/10 ........................ 2,515,000 1,676,323 Series 2000 B, (a) 06/30/10 ........................ 2,000,000 1,333,060 CA Golden West School Financing Authority, Series 1999 A, (a) 08/01/15 ......................... 1,500,000 744,510 CA Union Elementary School District, Series 1999 A, (a) 09/01/17 ......................... 2,300,000 993,577 CA West Contra Costa Unified School District, 6.000%, 08/01/24 .................................... 465,000 528,170 CA Yuba City Unified School District, Series 2000, (a) 09/01/18 ........................... 1,160,000 467,480 FL Broward County, Series 1986, 12.500%, 01/01/04 ...................... 1,195,000 1,415,848 HI Honolulu, Series 1998, 4.500%, 07/01/28 ............ 1,500,000 1,286,445 IL Champaign County, Series 1999, 8.250%, 01/01/20 ....................... 1,015,000 1,363,206 IL Chicago Board of Education, Series 1996, 6.250%, 12/01/12 ....................... 2,500,000 2,832,875 Series 1998 B-1: (a) 12/01/21 ....................................... 1,500,000 485,385 (a) 12/01/22 ....................................... 3,000,000 911,730 (a) 12/01/23 ....................................... 5,000,000 1,426,300 IL Chicago Public Building Commission, Series 1999 B, 5.250%, 12/01/18 ..................... 2,000,000 2,035,920 IL Chicago, Series 1999, 5.500%, 01/01/23 ............. 2,250,000 2,341,507 IL Coles & Cumberland Countys Unified School District, Series 2000, (a) 12/01/13 .......... 3,120,000 1,704,144 IL Cook County School District No. 102, Series 2001, (a) 12/01/20 ........................... 3,065,000 1,062,819 IL Will County Forest Preservation District, Series 1999, (a) 12/01/16 ........................... 1,000,000 448,400 IL Will County Unified School District No. 365-UVY, Series 1999 B, (a) 11/01/18 ......................... 1,900,000 749,873 LA New Orleans, Series 1991, (a) 09/01/12 ............. 6,250,000 3,675,313 MO Springfield School District No.R-12, Series 1991 B, 9.500%, 03/01/07 ..................... 600,000 752,892 NY New York City, 5.250%, 11/01/12 .................... 1,500,000 1,527,195
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 45 - --------------------------------------------------------------------------------
PAR VALUE Local General Obligations (cont) TX Galveston County, Series 2001: (a) 02/01/20 ........................................ $ 1,500,000 $ 543,840 (a) 02/01/22 ........................................ 3,070,000 985,224 TX Hurst Euless Bedford Independent School District, Series 1998, 4.500%, 08/15/25 ............. 5,000,000 4,327,500 TX Katy Independent School District, Series 2001, 4.750%, 02/15/22 ....................... 300,000 275,163 WA Vancouver School District No. 37, (a) 12/01/20 ........................................ 1,150,000 397,532 ------------ 39,224,381 ------------ Special Non-Property Tax - 5.7% IL Metropolitan Pier & Exposition Authority, Series 1996 A: (a) 06/15/12 ....................................... 5,000,000 2,971,350 (a) 12/15/12 ....................................... 8,850,000 5,129,991 IL State, Series 1992 Q, 6.000%, 06/15/12 ............. 10,000,000 11,119,900 NY New York City Transitional Finance Authority, Series 1998 C, 4.750%, 05/01/23 ..................... 2,500,000 2,283,625 NY State Local Government Assistance Corp., Series 1993 E, 5.000%, 04/01/21 ..................... 1,000,000 981,740 TX Houston, Series 2001 B, (a) 09/01/19 ............... 3,460,000 1,290,753 WA Central Puget Sound Regional Transportation Authority, Series 1998, 5.250%, 02/01/21 ....................... 1,500,000 1,510,755 ------------ 25,288,114 ------------ Special Property Tax - 0.6% CA Huntington Beach Grand Coast, 6.450%, 09/01/31 .................................... 500,000 499,375 CA Santa Margarita Water District, Series 1999, 6.250%, 09/01/29 ....................... 750,000 747,188 FL Indigo Community Development District, Series 1999 B, 6.400%, 05/01/06 ..................... 985,000 998,544 IL Illinois Sports Facility, (a) 06/15/18 ............. 1,000,000 402,730 ------------ 2,647,837 ------------ State Appropriated - 2.1% KY State Turnpike Authority, Series 1992, (a) 01/01/10 ........................... 7,500,000 5,139,750 MI State, 525 Redevco, Inc., Series 2000, (a) 06/01/21 ........................... 1,000,000 337,310 UT State Building Ownership Authority, Series 1998 C, 5.500%, 05/15/19 ..................... 3,450,000 3,615,704 ------------ 9,092,764 ------------ State General Obligations - 10.8% FL State Board of Education, Series 1998 A, 4.750%, 06/01/28 ..................... 1,000,000 908,520 FL State, Broward County Expressway, Series 1984, 9.875%, 07/01/09 ....................... 1,100,000 1,425,006
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 46 - --------------------------------------------------------------------------------
PAR VALUE State General Obligations (cont) MA Massachusetts Bay Transportation Authority: Series 1992 B, 6.200%, 03/01/16 ..................... $ 9,825,000 $ 11,150,294 Series 1994 A: 7.000%, 03/01/14 ................................... 3,150,000 3,774,267 7.000%, 03/01/19 ................................... 2,500,000 3,005,450 Series 1998, 4.500%, 03/01/26 ....................... 3,805,000 3,321,423 MA State College Building Authority Project, Series A, 7.500%, 05/01/11 .......................... 1,500,000 1,840,650 Series 1994 A, 7.500%, 05/01/14 ..................... 3,500,000 4,346,790 NJ State General Obligation, Series D, 6.000%, 02/15/11 .................................... 5,150,000 5,728,551 PA State, Series 1992-2, 6.250%, 07/01/12 ............. 11,200,000 12,745,376 ------------ 48,246,327 ------------ TRANSPORTATION - 10.6% Air Transportation - 1.7% IL Chicago O'Hare International Airport, United Airlines, Inc., Series 2000 A, 6.750%, 11/01/11 ..................... 1,600,000 1,048,336 IN Indianapolis Airport Authority, United Airlines Project, Series A, 6.500%, 11/15/31 ................. 3,000,000 1,856,250 KY Kenton County Airport Board, Delta Airlines, Inc., Series 1992 A, 7.500%, 02/01/20 ..................... 1,000,000 963,600 MN Minneapolis & St. Paul Metropolitan Airports Commission, Northwest Airlines: Series 2001 A, 7.000%, 04/01/25 .................... 1,250,000 976,562 Series 2001 B, 6.500%, 04/01/25 .................... 500,000 478,125 NC Charlotte/Douglas Intl. Airport, US Airways, Inc.: Series 1998, 5.600%, 07/01/27 ....................... 1,000,000 407,500 Series 2000, 7.750%, 02/01/28 ....................... 1,000,000 427,500 NJ State Economic Development Authority, Continental Airlines, Inc., Series 1999, 6.400%, 09/15/23 ....................... 2,000,000 1,597,500 ------------ 7,755,373 ------------ Airport - 1.8% HI State, Airport System Revenue, Series 1991, 6.900%, 07/01/12 ....................... 6,000,000 6,940,380 MA State Port Authority, Series 1999, 10.740%, 07/01/29 ...................... 1,000,000 1,084,660 ------------ 8,025,040 ------------ Toll Facilities - 5.6% CO E-470 Public Highway Authority, Series 2000 B: (a) 09/01/18 ........................................ 4,600,000 1,853,156 (a) 09/01/19 ........................................ 3,500,000 1,323,735 NY Triborough Bridge & Tunnel Authority, Series 1991 X, 6.625%, 01/01/12 ..................... 9,915,000 11,492,675 Series 1992 Y, 6.125%, 01/01/21 ..................... 5,500,000 6,166,435
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 47 - --------------------------------------------------------------------------------
PAR VALUE Toll Facilities (cont) PA State Turnpike Commission, Series 1998 A, 4.750%, 12/01/27 ..................... $ 3,415,000 $ 3,096,073 VA Richmond Metropolitan Authority, Series 1998, 5.250%, 07/15/22 ....................... 1,100,000 1,120,823 ------------ 25,052,897 ------------ Transportation - 1.5% GA Metropolitan Atlanta Rapid Transit Authority, Series 1992 P, 6.250%, 07/01/20 ..................... 4,000,000 4,583,160 NV State Department of Business & Industry, Las Vegas Monorail Project, Series 2000: 7.375%, 01/01/30 ................................... 650,000 644,312 7.375%, 01/01/40 ................................... 500,000 491,875 OH Toledo-Lucas County Port Authority, CSX Transportation, Inc., Series 1992, 6.450%, 12/15/21 ....................... 1,000,000 1,055,510 ------------ 6,774,857 ------------ UTILITY - 22.1% Independent Power Producer - 0.7% NY Suffolk County Industrial Development Agency, Nissequogue Cogen Partners, Series 1998, 5.500%, 01/01/23 ....................... 1,000,000 921,250 PR Commonwealth of Puerto Rico Industrial, Educational, Medical & Environmental Cogeneration Facilities, AES Project, Series 2000 6.625%, 06/01/26 ........................ 650,000 699,179 VA Pittsylvania County Industrial Development Authority, Multitrade of Pittsyvania, Series 1994 A, 7.550%, 01/01/19 .................................... 1,500,000 1,500,000 ------------ 3,120,429 ------------ Investor Owned - 1.5% IN Michigan City, Northern Indiana Public Service Co., Series 1973 A, 5.700%, 10/01/03 ..................... 1,920,000 1,933,690 IN Petersburg, Series 1995 C, 5.950%, 12/01/29 ........ 1,500,000 1,504,065 IN State Development Finance Authority, Series 1999, 5.950%, 08/01/30 ....................... 1,000,000 1,002,430 MS State Business Finance Corp., Systems Energy Resources, Inc., Series 1999, 5.900%, 05/01/22 ....................... 1,600,000 1,550,000 TX Brazos River Authority, Texas Utilities Electric Co., 5.750%, 05/01/36 ...... 500,000 492,080 ------------ 6,482,265 ------------ Joint Power Authority - 8.9% GA Municipal Electric Authority Power, Series V, 6.600%, 01/01/18 .......................... 21,300,000 24,831,540 NC Eastern Municipal Power Agency, Series 1991 A, 6.500%, 01/01/18 ..................... 2,185,000 2,328,926 NC State Municipal Power Agency, Catawba No. 1, Series 1992, (a) 01/01/09 ........................... 2,360,000 1,704,840
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 48 - --------------------------------------------------------------------------------
PAR VALUE Joint Power Authority (cont) OH State Municipal Electricity Generation Agency, Series 2001, (a) 02/15/29 ........................... $ 3,000,000 $ 648,150 TX State Municipal Power Agency, (a) 09/01/08 ......... 1,475,000 1,091,353 WA State Public Power Supply System: Nuclear Project No. 2, Series 1992 A, 6.300%, 07/01/12 .................... 3,500,000 3,922,905 Nuclear Project No. 3, Series 1989 B, (a) 07/01/08 ........................ 7,000,000 5,221,790 ------------ 39,749,504 ------------ Municipal Electric - 3.5% MN Northern Municipal Power Agency, Series 1998 B, 4.750%, 01/01/20 ..................... 1,000,000 944,460 NC University of North Carolina at Chapel Hill, Series 1997, (a) 08/01/20 ........................... 1,750,000 627,043 NY Long Island Power Authority, Series 2000 A, (a) 06/01/20 ......................... 1,000,000 372,810 PA Westmoreland County Municipal Authority, Series 2000 A, (a) 08/15/23 ......................... 1,400,000 410,606 PR Electric Power Authority, 5.375%, 07/01/17 ......... 500,000 525,580 SD Heartland Consumers Power District, Series 1992, 6.000%, 01/01/17 ....................... 8,000,000 8,855,120 TX Austin, Series 1998, 5.250%, 05/15/25 ............. 3,710,000 3,739,717 ------------ 15,475,336 ------------ Water & Sewer - 7.5% DE State Economic Development Authority, Wilmington Suburban Water Corp., Series 1992 A, 6.800%, 12/01/23 .................... 3,500,000 3,556,560 Series 1992 B, 6.450%, 12/01/07 .................... 1,160,000 1,289,908 FL Jacksonville, General Waterworks Corp., Series 1992, 6.750%, 06/01/22 ....................... 1,500,000 1,537,725 GA Atlanta, Series 1993, 5.500%, 11/01/22 ............. 1,225,000 1,290,574 GA Atlanta Water & Sewer, 5.500%, 11/01/27 ............ 1,500,000 1,581,495 GA Fulton County: Series 1992, 6.375%, 01/01/14 ....................... 430,000 488,351 Series 1998, 4.750%, 01/01/28 ....................... 3,750,000 3,426,188 NY New York City Municipal Water Finance Authority, Series 1998 D, 4.750%, 06/15/25 .......... 600,000 548,460 PA Allegheny County Sanitation Authority, Series 1991 A, (a) 06/01/07 ......................... 2,370,000 1,881,211 PA Dauphin County Industrial Development Authority, Dauphin Water Supply Co., Series 1992 A, 6.900%, 06/01/24 ..................... 3,400,000 3,965,998 TX Houston: Series 1998, (a) 12/01/23 ........................... 3,500,000 999,670 Series 1991 C: (a) 12/01/08 ....................................... 4,000,000 2,920,440 (a) 12/01/09 ....................................... 4,000,000 2,760,520 (a) 12/01/10 ....................................... 3,750,000 2,446,013
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 49 - --------------------------------------------------------------------------------
PAR VALUE Water & Sewer (cont) TX Irving Water & Sewer, 5.375%, 08/15/15 ............. $ 1,840,000 $ 1,879,983 TX Wichita Falls Water & Sewer, 5.375%, 08/01/15 .................................... 2,895,000 2,974,526 ------------ 33,547,622 ------------ TOTAL MUNICIPAL BONDS (cost of $406,007,442) ................................ 433,648,329 ------------ Short-Term Obligations - 1.5% AZ Glendale Industrial Development Authority, Friendship Retirement Project, Series 1999, VRDN, 2.400%, 12/01/14 ................. 100,000 100,000 CO Denver Health & Hospital Authority, VRDN, 2.000%, 12/01/31 .................................... 300,000 300,000 ID State Health Facilities Authority, St. Lukes Regional Medical Facility, Series 1995, VRDN, 1.950%, 05/01/22 ................. 1,000,000 1,000,000 IN Allen County, Golden Years Homestead, Inc., Series 1996, VRDN, 1.750%, 08/01/21 ................. 300,000 300,000 KS State Development Finance Authority, Series 2000, VRDN, 2.000%, 05/15/26 ................. 200,000 200,000 MN Minneapolis, Series 2000, VRDN, 1.600%, 12/01/18 .................................... 200,000 200,000 NM Albuquerque, Menaul School, Series 1998, VRDN, 1.850%, 06/01/18 ................. 355,000 355,000 NM Farmington, Arizona Public Service Co., Four Corners Project, Series 1994 B, VRDN, 1.85%, 09/01/24 ..................................... 300,000 300,000 NY Long Island Power Authority, Series 2001 2B, VRDN, 1.800%, 05/01/33 ............. 600,000 600,000 NY New York City Municipal Water Finance Authority Series 1994 G, VRDN, 1.800%, 06/15/24 .................................... 2,200,000 2,200,000 SC Berkeley County PCR Amoco, VRDN, 1.900%, 07/01/12 .................................... 200,000 200,000 TX Splendora Higher Education, Fort Bend, VRDN, 1.600%, 12/01/26 .................................... 1,000,000 1,000,000 ------------ TOTAL SHORT-TERM OBLIGATIONS (cost of $6,755,000) .................................. 6,755,000 ------------ TOTAL INVESTMENTS - 98.9% (cost of $412,762,442) ................................ 440,403,329 ------------ Other Assets & Liabilities, Net - 1.1% ................... 4,991,268 ------------ Net Assets - 100.0% ...................................... $445,394,597 ============
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 50 - -------------------------------------------------------------------------------- Notes to Investment Portfolio: - -------------------------------------------------------------------------------- (a) Zero coupon bond. (b) These securities, or a portion thereof, with a total market value of $1,573,455 are being used to collateralize open futures contracts. (c) This security is in default of certain debt covenants. Income is not being accrued. (d) These securities are exempt from registration under Rule 144A of the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2001, the value of these securities amounted to $4,155,000, which represents 0.9% of net assets. (e) The Fund has been informed that each issuer has placed direct obligations of the U.S. Government in an irrevocable trust solely for the purpose of the payment of principal and income. Variable rate demand notes (VRDN) are considered short-term obligations. Interest rates change periodically on specified dates. These securities are payable on demand and are secured either by letters of credits or other credit support agreements from banks. The rates listed are as of December 31, 2001. Short futures contracts open at December 31, 2001: Par Value Unrealized Covered by Expiration Appreciation Type Contracts Month at 12/31/01 ------------- ------------ -------------- ------------ Treasury Note $22,900,000 March 2002 $ 369,133 Long futures contracts open at December 31, 2001: Par Value Unrealized Covered by Expiration Depreciation Type Contracts Month at 12/31/01 ------------- ------------ -------------- ------------ Treasury Bond $73,000,000 March 2002 $(1,218,596) See notes to financial statements. - -------------------------------------------------------------------------------- SR&F High Yield Municipals Portfolio 51 - -------------------------------------------------------------------------------- Investment Portfolio DECEMBER 31, 2001 (UNAUDITED)
Municipal Bonds - 96.1% PAR VALUE EDUCATION - 5.1% Education - 1.9% IL State Development Finance Authority, Latin School of Chicago, Series 1998, 5.650%, 08/01/28 ...................................... $ 1,725,000 $ 1,633,799 IL University of Illinois, Certificate of Participation, Utilities Infrastructure Projects, Series A, 5.500%, 08/15/16 ...................................... 725,000 750,694 MN Victoria, Holy Family Catholic High School, Series 1999 A, 5.875%, 09/01/29 .......... 1,200,000 1,177,500 WV State University, Series 2000 A, (a) 04/01/19 ........ 1,250,000 482,113 ------------ 4,044,106 ------------ Student Loan - 3.2% NE Nebhelp, Inc., Series 1993 A-6, 6.450%, 06/01/18 ..................... 4,000,000 4,378,880 NM State Educational Assistance Foundation, Series 1996 A-2, 6.650%, 11/01/25 ..................... 1,955,000 2,019,867 TX Brazos Higher Educational Facilities Authority, Series 1993 C-2, 5.875%, 06/01/04 .......... 390,000 390,004 ------------ 6,788,751 ------------ HEALTHCARE - 22.5% Congregate Care Retirement - 8.1% CA Statewide Community Development Authority, Eskaton Village - Grass Valley, Series 2000, 8.250%, 11/15/31 ......................... 1,000,000 1,056,250 FL Orange County Health Facilities Authority, Orlando Lutheran Towers, Inc., Series 1996, 8.625%, 07/01/20 ......................... 3,000,000 3,172,500 IL State Health Facilities Authority, Lutheran Senior Ministries, Series 2001, 7.375%, 08/15/31 ......................... 300,000 298,500 MA State Development Finance Agency, Loomis Community, Series 1999 A: 5.625%, 07/01/15 ..................................... 500,000 457,715 5.750%, 07/01/23 ..................................... 250,000 219,797 MO State Health & Educational Facilities Authority, Lutheran Senior Services, Series 1997, 5.750%, 02/01/17 ...................................... 2,000,000 1,969,600 NH State Higher Educational & Health Facilities Authority, Rivermead at Peterborough, Series 1998, 5.750%, 07/01/28 ......................... 1,000,000 847,500 NJ State Economic Development Authority, Seabrook Village, Inc., Series 2000 A, 8.250%, 11/15/30 ........ 625,000 664,844 Winchester Gardens, Series 1996 A, 8.625%, 11/01/25 ..................................... 2,000,000 2,070,000
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 52 - --------------------------------------------------------------------------------
PAR VALUE Congregate Care Retirement (cont) PA Chartiers Valley Industrial & Commercial Development Authority, Asbury Health Center, Series 1999, 6.375%, 12/01/24 ......................... $ 750,000 $ 677,812 PA Lancaster Industrial Development Authority, Garden Spot Village, Series 2000 A, 7.625%, 05/01/31 ....................... 500,000 513,125 TN Metropolitan Government, Nashville and Davidson County, Blakeford at Green Hills, Series 1998, 5.650%, 07/01/24 ................................ 1,250,000 1,062,500 TX Abilene Health Facilities Development Corp., Sears Methodist Retirement Obligation Group: Series 1998 A, 5.900%, 11/15/25 ...................... 2,100,000 1,729,875 Series 1999, 6.000%, 11/15/29 ........................ 500,000 420,000 WI State Health & Educational Facilities Authority: Attic Angel Obligated Group, 5.750%, 11/15/27 ..................................... 1,250,000 998,438 Clement Manor, Series 1998, 5.750%, 08/15/24 ..................................... 1,350,000 1,130,625 ------------ 17,289,081 ------------ Health Services - 0.1% MA State Development Finance Agency, Boston Biomedical Research Institute, Series 1999, 5.650%, 02/01/19 ......................... 250,000 233,750 ------------ Hospital - 9.0% AZ Health Facilities Authority, Phoenix Memorial Hospital, Series 1991, 8.125%, 06/01/12 (c) ..................... 2,325,144 767,298 CO La Junta, Arkansas Valley Regional Medical Center, Series 1999, 6.100%, 04/01/24 ................. 500,000 469,275 CO State Health Care Facilities Authority: National Jewish Medical & Research Center, Series 1998, 5.375%, 01/01/23 ........................ 250,000 223,005 Parkview Medical Center, Inc., Series 2001, 6.600%, 09/01/25 ........................ 300,000 317,250 FL Orange County Health Facilities Authority, Orlando Regional Healthcare System, Series 1999, 6.000%, 10/01/26 ......................... 875,000 888,449 FL West Orange Healthcare District, Series 2001 A, 5.650%, 02/01/22 ....................... 1,050,000 1,033,841 IL Southwestern Illinois Development Authority, Anderson Hospital, Series 1999: 5.500%, 08/15/20 ..................................... 500,000 461,100 5.625%, 08/15/29 ..................................... 250,000 226,213 MI Dickinson County, Series 1999, 5.800%, 11/01/24 ......................... 1,300,000 1,186,614 MI Flint Hospital Building Authority, Hurley Medical Center, Series 1998 B, 5.375%, 07/01/28 ....................... 1,250,000 1,079,000 MI State Hospital Finance Authority, Detroit Medical Center, Series 1998 A, 5.250%, 08/15/28 ....................... 1,000,000 781,000
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 53 - --------------------------------------------------------------------------------
PAR VALUE Hospital (cont) MN Maplewood, Healtheast, Inc., Series 1996, 5.700%, 11/15/02 ......................... $ 500,000 $ 493,000 NC State Medical Care Commission, Stanly Memorial Hospital, Series 1999, 6.375%, 10/01/29 ......................... 1,000,000 1,041,700 NH State Higher Educational & Health Facilities Authority, Littleton Hospital Assoc., Inc., Series 1998 A, 6.000%, 05/01/28 ....................... 1,000,000 770,000 NY NY City Industrial Development Agency Staten Island University Hospital, Series B, 6.375%, 07/01/31 ...................................... 1,250,000 1,233,963 OH Highland County Joint Township Hospital District, Series 1999, 6.750%, 12/01/29 ............... 1,220,000 1,110,200 OH Miami County, Upper Valley Medical Center, Inc., Series 1996 A, 6.375%, 05/15/26 ....................... 1,015,000 1,015,690 TX Richardson Hospital Authority, Baylor Richardson Medical Center, Series 1998, 5.625%, 12/01/28 ......................... 1,200,000 1,147,908 TX Tyler Health Facilities Development Corp., Mother Frances Hospital, Series 1997 A, 5.625%, 07/01/13 ....................... 1,785,000 1,749,960 WA State Health Care Facilities Authority: Sacred Heart Medical Center, Series 1992, 6.875%, 02/15/12 ..................................... 1,500,000 1,539,390 Kadlec Medical Center, Series 2001, 5.875%, 12/01/21 ..................................... 600,000 611,004 WV State Hospital Finance Authority, Cam Care Charleston, Series 2000 A, 6.750%, 09/01/30 ...................................... 1,000,000 1,062,590 ------------ 19,208,450 ------------ Intermediate Care Facilities - 1.4% IL State Development Finance Authority, Hoosier Care, Inc., Series 1999 A, 7.125%, 06/01/34 ...................................... 1,495,000 1,302,519 IN State Health Facilities Financing Authority, Hoosier Care, Inc., Series 1994 A, 7.125%, 06/01/34 ...................................... 150,000 130,687 LA State Public Facilities Authority, Progressive Healthcare Providers, Inc., Series 1998, 6.375%, 10/01/28 ......................... 2,000,000 1,537,500 ------------ 2,970,706 ------------ Nursing Home - 3.9% AK Juneau, St. Ann's Care Center, Series 1999, 6.875%, 12/01/25 ......................... 700,000 681,625 CO State Health Facilities Authority, Volunteers of America Care Facilities, Inc., Series 1999 A, 5.750%, 07/01/10 ....................... 1,085,000 1,017,187 IA State Finance Authority, Care Initiatives, Series 1998 B, 5.500%, 07/01/08 ....................... 645,000 620,813 IN State Health Facilities Financing Authority, Metro Health Indiana, Inc., Series 1998, 6.400%, 12/01/33 (c) ..................... 1,500,000 975,000
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 54 - --------------------------------------------------------------------------------
PAR VALUE Nursing Home (cont) MA State Development Finance Agency, Alliance Health Care Facilities, Series 1999, 7.100%, 07/01/32 ......................... $ 1,250,000 $ 1,220,312 MN Carlton Inter-Faith Social Services, Inc., Series 2000, 7.750%, 04/01/29 ......................... 750,000 768,750 MN Minneapolis, Walker Methodist Senior Services Group, Series 1998 C, 6.000%, 11/15/28 ....................... 500,000 438,750 MN New Hope, North Ridge Care Center, Inc., Series 1999, 5.875%, 03/01/29 ......................... 900,000 770,625 MN Sartell, Foundation for Healthcare, Series 1999 A, 6.625%, 09/01/29 ....................... 2,000,000 1,825,000 ------------ 8,318,062 ------------ HOUSING - 6.7% Assisted Living/Senior - 2.2% DE Kent County, Heritage at Dover, Series 1999, 7.625%, 01/01/30 ......................... 1,485,000 1,319,794 GA Columbus Housing Authority, The Gardens at Calvary, Series 1999, 7.000%, 11/15/29 ......................... 1,000,000 857,500 NC State Medical Care Commission, DePaul Community Facilities Project, Series 1999, 7.625%, 11/01/29 ......................... 1,250,000 1,248,438 NY Huntington Housing Authority, Gurwin Jewish Senior Center, Series 1999: 5.875%, 05/01/19 ..................................... 1,100,000 977,625 6.000%, 05/01/29 ..................................... 375,000 327,656 ------------ 4,731,013 ------------ Multi-Family - 3.2% CO State Health Facilities Authority, Birchwood Manor Series 1991 A, 7.250%, 04/01/11 ................. 535,000 537,424 FL Broward County Housing Finance Authority, Chaves Lake Apartment Project, Series 2000, 7.500%, 07/01/40 ......................... 750,000 758,437 FL Clay County Housing Finance Authority, Madison Commons Apartments, Series 2000 A, 7.450%, 07/01/40 ....................... 750,000 758,437 GA Clayton County Housing Authority, Magnolia Park Apartments, Series 1999 A, 6.250%, 06/01/30 ....................... 1,000,000 913,090 IL State Development Finance Authority, Catholic Charities Housing Development Corp., Series 1993 C, 5.950%, 01/01/09 ....................... 1,400,000 1,424,500 IN New Castle, Raintree Apartments, Series 1988 B, (a) 03/01/18 (c) ....................... 30,625,000 76,563 OH Greater Allen County Housing Development Authority, Steiner-McBride Apartments, 10.250%, 09/01/03 ..................................... 695,000 696,237
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 55 - --------------------------------------------------------------------------------
PAR VALUE Multi-Family (cont) TX El Paso County Housing Finance Corp., American Village Communities: Series 2000 C, 8.000%, 12/01/32 ...................... $ 345,000 $ 342,412 Series 2000 D, 10.000%, 12/01/32 ..................... 400,000 398,000 TX State Affordable Housing Corp., NHT/GTEX Project, Series C, 10.000%, 10/01/31 ..................................... 885,000 871,521 ------------ 6,776,621 ------------ Single Family - 1.3% IA State Housing Finance Authority, Series 1984 A, (a) 09/01/16 ........................... 4,520,000 885,016 ID State Housing Agency, Series 1991 B, 7.500%, 07/01/24 ....................... 1,070,000 1,092,331 UT State Housing Finance Agency: Series 1991 B-2, 7.750%, 01/01/23 ..................... 10,000 10,107 Series 1991 C-3, 7.550%, 07/01/23 ..................... 65,000 66,090 WA State Housing Finance Commission, Series 1991 C: (a) 01/01/22 ......................................... 465,000 112,344 (a) 07/01/22 ......................................... 520,000 121,248 (a) 01/01/23 ......................................... 520,000 117,016 (a) 07/01/23 ......................................... 535,000 116,191 (a) 01/01/24 ......................................... 530,000 111,093 (a) 07/01/24 ......................................... 565,000 114,294 ------------ 2,745,730 ------------ INDUSTRIAL - 7.2% Food Products - 2.0% IN Hammond, American Maize Products Co., Series 1994, 8.000%, 12/01/24 ......................... 3,250,000 3,344,965 MI State Strategic Fund, Michigan Sugar Co., Carollton Project, Series 1998 C, 6.550%, 11/01/25 ...................................... 1,500,000 915,000 ------------ 4,259,965 ------------ Forest Products - 3.3% GA Rockdale County Development Authority, Solid Waste Disposal, Visy Paper, Inc., Series 1993, 7.500%, 01/01/26 ......................... 1,000,000 1,012,500 LA De Soto Parish, International Paper Company, Series A, 7.700%, 11/01/18 ............................ 2,500,000 2,720,875 MS Lowndes County, Weyerhaeuser Corp., Series 1992 A, 6.800%, 04/01/22 ....................... 2,995,000 3,341,132 ------------ 7,074,507 ------------ Metals & Mining - 0.7% IN State Development Finance Authority, Inland Steel, Series A, 5.750%, 10/01/11 .............. 2,500,000 900,000 NV State Department of Business & Industry, Wheeling-Pittsburgh Steel Corp., Series 1999 A, 8.000%, 09/01/14 ....................... 250,000 200,000
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 56 - --------------------------------------------------------------------------------
PAR VALUE Metals & Mining (cont) VA Greensville County Industrial Development Authority, Wheeling Steel, Series 1999 A: 6.375%, 04/01/04 ..................................... $ 90,000 $ 72,000 7.000%, 04/01/14 ..................................... 555,000 432,206 ------------ 1,604,206 ------------ Oil And Gas - 1.2% TX Texas City Industrial Development Corp., Arco Pipe Line Co. Project, Series 1990, 7.375%, 10/01/20 ......................... 2,000,000 2,463,240 ------------ OTHER - 11.4% Tobacco Settlement - 1.4% CA Tobacco Securitization Authority, Southern California Tobacco Settlement, Series B, 6.000%, 06/01/43 ............................ 1,100,000 1,093,268 LA Tobacco Settlement Financing Corp., Series 2001 B, 5.875%, 05/15/39 ....................... 2,000,000 1,942,740 ------------ 3,036,008 ------------ Refunded/Escrowed - 10.0% (d) CO Adams County, Series 1991 B: 11.250%, 09/01/11 (b) ................................. 325,000 467,161 11.250%, 09/01/11 ..................................... 360,000 531,083 11.250%, 09/01/11 ..................................... 220,000 332,860 11.250%, 09/01/12 ..................................... 1,440,000 2,223,317 FL Leesburg, Leesburg Regional Medical Center, Series 1991 A, 7.375%, 07/01/11 ....................... 775,000 811,735 FL Tampa Bay, 10.120%, 10/01/29 ......................... 7,500,000 9,050,250 GA State Municipal Electric Authority, Series V, 6.600%, 01/01/18 ............................ 690,000 814,814 IL Health Facility Authority, Edward Hospital Association Project, Series 1992, 7.000%, 02/15/22 ......................... 685,000 703,118 LA State Public Facilities Authority, Woman's Hospital Foundation, Series 1992, 7.250%, 10/01/22 ......................... 2,300,000 2,435,010 NC Eastern Municipal Power Agency, Series 1991 A, 6.500%, 01/01/18 ....................... 3,320,000 3,884,168 ------------ 21,253,516 ------------ OTHER REVENUE - 0.1% Recreation - 0.1% CT Mohegan Tribe Indians, Gaming Authority, Series 2001, 6.250%, 01/01/31 .............. 275,000 268,213 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 57 - --------------------------------------------------------------------------------
PAR VALUE RESOURCE RECOVERY - 0.4% Disposal - 0.4% IL Development Finance Authority, Waste Management, Inc., Series 1997, 5.050%, 01/01/10 ......................... $ 250,000 $ 244,377 UT Carbon County, Laidlaw Environmental, Series A, 7.450%, 07/01/17 ............................ 500,000 515,625 ------------ 760,002 ------------ TAX-BACKED - 13.8% Local Appropriated - 1.2% PA Philadelphia Municipal Authority, Series 1993 D, 6.250%, 07/15/13 ....................... 2,500,000 2,545,825 ------------ Local General Obligations - 0.8% MI Garden City School District, Series 2001, 5.500%, 05/01/16 ......................... 500,000 518,805 NY New York City, Series 1996 B, 7.250%, 08/15/07 ....................... 1,000,000 1,143,730 ------------ 1,662,535 ------------ Special Non-Property Tax - 4.1% CO State Department of Transportation: Series 832R-A, 12.400%, 06/15/14 ...................... 3,000,000 3,401,580 Series 832R-B, 12.400%, 06/15/15 ...................... 2,000,000 2,230,000 MO St. Louis County Industrial Development Authority, Kiel Center Arena, Series 1992, 7.875%, 12/01/24 ...................................... 3,000,000 3,107,520 ------------ 8,739,100 ------------ Special Property Tax - 3.3% CA Huntington Beach Community Facilities District, Grand Coast Resort, Series 2000-1, 6.450%, 09/01/31 ...................................... 750,000 749,062 CA Orange County Community Facilities District, Ladera Ranch, Series 1999 A, 6.500%, 08/15/21 ....................... 1,000,000 1,035,000 FL Heritage Palms Community Development District, Series 1999, 6.250%, 11/01/04 ......................... 950,000 960,687 FL Heritage Springs Community Development District, Series 1999 B, 6.250%, 05/01/05 ............. 455,000 460,687 FL Indigo Community Development District, Series 1999 B, 6.400%, 05/01/06 ....................... 985,000 998,544 FL Lexington Oaks Community Development District: Series 2000 A, 7.200%, 05/01/30 ...................... 600,000 624,000 Series 2000 D, 6.700%, 05/01/07 ...................... 635,000 653,256 FL Northern Palm Beach County Improvement District, Series 1999, 6.000%, 08/01/29 ............... 750,000 750,938
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 58 - --------------------------------------------------------------------------------
PAR VALUE Special Property Tax (cont) FL Orlando, Conroy Road Interchange Project, Series 1998 A: 5.500%, 05/01/10 ..................................... $ 200,000 $ 198,250 5.800%, 05/01/26 ..................................... 300,000 285,750 FL Stoneybrook Community Development District, Series 1998 A, 6.100%, 05/01/19 ....................... 330,000 329,588 ------------ 7,045,762 ------------ State Appropriated - 1.0% NY Triborough Bridge & Tunnel Authority, Javits Convention Center Project, Series E, 7.250%, 01/01/10 ............................ 2,000,000 2,278,080 ------------ State General Obligations - 3.4% MA Massachusetts Bay Transportation Authority, Series 1992 B, 6.200%, 03/01/16 ....................... 5,825,000 6,610,734 TX University of Texas, Series B, 5.375%, 08/15/18 ............................ 650,000 659,958 ------------ 7,270,692 ------------ TRANSPORTATION - 7.9% Air Transportation - 4.5% IL Chicago O'Hare International Airport, United Airlines, Inc., Series 2000 A, 6.750%, 11/01/11 ...................................... 800,000 524,168 IN Indianapolis Airport Authority, Federal Express Corp., Series 1994, 7.100%, 01/15/17 ...................................... 3,000,000 3,169,620 MN Minneapolis & St. Paul Metropolitan Airports Commission, Northwest Airlines: Series 2001 A, 7.000%, 04/01/25 ...................... 500,000 390,625 Series 2001 B, 6.500%, 04/01/25 ...................... 250,000 239,062 NC Charlotte, US Airway, Inc.: Series 1998, 5.600%, 07/01/27 ......................... 250,000 101,875 Series 2000, 7.750%, 02/01/28 ......................... 750,000 320,625 PA Philadelphia Authority for Industrial Development, Aero Philadelphia, Series 1999, 5.500%, 01/01/24 ...................................... 1,000,000 762,500 TX Alliance Airport Authority, AMR Corp., Series 1991, 7.000%, 12/01/11 ......................... 4,070,000 3,784,082 WA Port Seattle, Northwest Airlines, Inc., Series 2000, 7.250%, 04/01/30 ......................... 500,000 397,500 ------------ 9,690,057 ------------ Ports - 1.4% WA Port of Seattle, Series 2000: 10.560%, 02/01/10 ..................................... 625,000 731,963 10.560%, 02/01/11 ..................................... 1,875,000 2,227,838 ------------ 2,959,801 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 59 - --------------------------------------------------------------------------------
PAR VALUE Toll Facilities - 1.6% CO E-470 Public Highway Authority, Series 2000 B: (a) 09/01/18 .......................................... $ 4,000,000 $ 1,611,440 (a) 09/01/35 .......................................... 8,750,000 726,600 CO Northwest Parkway Public Highway Authority, Series 2001 D, 7.125%, 06/15/41 ....................... 1,000,000 1,008,750 ------------ 3,346,790 ------------ Transportation - 0.4% NV State Department of Business & Industry, Las Vegas Monorail Project, Series 2000, 7.375%, 01/01/40 ......................... 1,000,000 983,750 ------------ UTILITY - 21.0% Independent Power Producer - 6.0% MI Midland County Economic Development Corp., Series 2000, 6.875%, 07/23/09 ......................... 1,000,000 1,036,250 PA State Economic Development Financing Authority, Northampton Generating: Series A, 6.500%, 01/01/13 ........................... 2,000,000 2,016,060 Series 1994 B, 6.750%, 01/01/07 ...................... 3,000,000 3,084,630 VA Pittsylvania County Industrial Development Authority, Multitrade of Pittsyvania, Series 1994 A: 7.450%, 01/01/09 ..................................... 3,500,000 3,517,500 7.550%, 01/01/19 ..................................... 3,100,000 3,100,000 ------------ 12,754,440 ------------ Investor Owned - 7.3% CT State Development Authority, Connecticut Light & Power Co., Series 1993 A, 5.850%, 09/01/28 ...................................... 2,900,000 2,922,707 LA Calcasieu Parish Industrial Development Board, Entergy Gulf States, Inc., Series 1999, 5.450%, 07/01/10 ......................... 500,000 490,000 LA West Feliciana Parish, Entergy Gulf States, Inc., Series 1999 B, 6.600%, 09/01/28 ....................... 250,000 251,250 MS State Business Finance Corp., Systems Energy Resources, Inc. Series 1999, 5.900%, 05/01/22 ...................................... 1,250,000 1,210,938 NM Farmington, Tucson Electric Power Co., Series 1997 A, 6.950%, 10/01/20 ....................... 2,000,000 2,060,000 NV Humboldt County Pollution Control Revenue, Idaho Power Co. Project, 8.300%, 12/01/14 ...................................... 2,000,000 2,242,520 PA Beaver County Industrial Development Authority, Toledo Edison Co., Series 1995, 7.625%, 05/01/20 ...................................... 4,900,000 5,236,875 TX Brazos River Authority, Pollution Control Revenue, TXU Electric Co. Project, Series C, 5.750%, 05/01/36 ............................ 1,300,000 1,279,408 ------------ 15,693,698 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 60 - --------------------------------------------------------------------------------
PAR VALUE Joint Power Authority - 5.2% GA State Municipal Electric Authority, Series V, 6.600%, 01/01/18 ............................ $ 3,375,000 $ 3,896,809 NC Eastern Municipal Power Agency, Series 1991 A, 6.500%, 01/01/18 ....................... 1,680,000 1,790,662 WA State, Public Power Supply System, Series 1991 A: (a) 07/01/07 .......................................... 3,395,000 2,691,047 (a) 07/01/07 .......................................... 3,550,000 2,803,293 ------------ 11,181,811 ------------ Municipal Electric - 0.5% WA Seattle, Series 2001, 5.500%, 03/01/17 ............... 1,000,000 1,025,240 ------------ Water & Sewer - 2.0% NH State Industrial Development Authority, Pennichuck Water Works, Inc., Series 1988, 7.500%, 07/01/18 ......................... 535,000 579,138 PA Dauphin County Industrial Development Authority Dauphin Water Supply Co., Series 1992 A, 6.900%, 06/01/24 ....................... 3,200,000 3,732,704 ------------ 4,311,842 ------------ TOTAL MUNICIPAL BONDS (cost of $206,371,470) ................................. 205,315,350 ------------ Municipal Preferred Stocks - 1.4% .......................... SHARES HOUSING - 1.4% Multi-Family - 1.4% Charter Municipal Mortgage Acceptance Co.: 6.625%, 06/30/49 (e) .................................. 2,000,000 2,040,000 7.600%, 11/30/50 (e) .................................. 1,000,000 1,055,000 ------------ TOTAL MUNICIPAL PREFERRED STOCKS (cost of $3,000,000) .................................... 3,095,000 ------------ Short-Term Obligations - 1.0% .............................. PAR MI Farmington Hills Hospital Finance Authority, Botsford General Hospital, Series 1991 B, VRDN, 2.000%, 02/15/16 ...................................... $ 700,000 700,000 MN Brooklyn Center, Brookdale Corp III Project, VRDN, 2.050%, 12/01/07 ................................ 500,000 500,000 NY Long Island Power Authority, Series 2001 2B, VRDN, 1.800%, 05/01/33 ................ 500,000 500,000 TX Gulf Coast Waste Disposal Authority, Amoco Corp., Series 1996, VRDN, 2.000%, 05/01/24 ............ 400,000 400,000 ------------
See notes to Investment Portfolio. - -------------------------------------------------------------------------------- 61 - --------------------------------------------------------------------------------
VALUE TOTAL SHORT-TERM OBLIGATIONS (cost of $2,100,000) .................................... $ 2,100,000 ------------ Total Investments - 98.5% (cost of $211,471,470) .................................. 210,510,350 ------------ Other Assets & Liabilities, Net - 1.5% ..................... 3,169,448 ------------ Net Assets - 100.0% ........................................ $213,679,798 ============
Notes to Investment Portfolio: - -------------------------------------------------------------------------------- (a) Zero coupon bond. (b) This security or a portion thereof, with a total market value of $467,161 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 purpose of the payment of principle and income. (e) These securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2001, the value of these securities amounted to $3,095,000 or 1.4% of net assets. Variable rate demand notes (VRDN) are considered short-term obligations. Interest rates change periodically on specified dates. These securities are payable on demand and are secured either by letters of credits or other credit support agreements from banks. The rates listed are as of December 31, 2001. Short futures contracts open at December 31, 2001: Par Value Unrealized Covered by Appreciation Type Contracts Expiration at 12/31/01 ------------- ------------ -------------- ------------ Treasury Note $14,200,000 March 2002 $228,895 Long futures contracts open at December 31, 2001: Par Value Unrealized Covered by Depreciation Type Contracts Expiration at 12/31/01 ------------- ------------ -------------- ------------ Treasury Bond $7,800,000 March 2002 $(130,803) See notes to financial statements. - -------------------------------------------------------------------------------- 62 Financial Statements - -------------------------------------------------------------------------------- Statements of Assets and Liabilities DECEMBER 31, 2001 (UNAUDITED) SR&F SR&F MUNICIPAL HIGH-YIELD MONEY MARKET MUNICIPALS PORTFOLIO PORTFOLIO ------------ ------------ Assets: Investments, at cost ......................... $121,814,110 $211,471,470 ------------ ------------ Investments, at value ........................ $121,814,110 $210,510,350 Cash ......................................... -- 57,466 Receivable for: Investments sold .......................... 742,875 561,772 Interest .................................. 486,101 3,710,249 Deferred Trustees' compensation plan ......... 324 324 Other assets ................................. 15,719 22,988 ------------ ------------ Total Assets .............................. 123,059,129 214,863,149 ------------ ------------ Liabilities: Payable due to custodian ..................... 1,295 -- Payable for: Investments purchased ..................... 1,505,020 1,083,390 Futures variation margin .................. -- 8,531 Distributions ............................. 38,484 5,391 Management fee ............................ 26,104 75,197 Transfer agent fee ........................ 560 576 Bookkeeping fee ........................... 2,304 2,178 Trustees' fee ............................. 472 2,962 Deferred Trustees' fee ....................... 324 324 Other liabilities ............................ 13,974 4,802 ------------ ------------ Total Liabilities .................... 1,588,537 1,183,351 ------------ ------------ Net Assets Applicable to Investors' Beneficial Interest ..................................... $121,470,592 $213,679,798 ============ ============ See notes to financial statements. - -------------------------------------------------------------------------------- 63 - -------------------------------------------------------------------------------- Statements of Operations FOR THE SIX MONTHS ENDED DECEMBER 31, 2001 (UNAUDITED) SR&F SR&F MUNICIPAL HIGH-YIELD MONEY MARKET MUNICIPALS PORTFOLIO PORTFOLIO ----------- ----------- Investment Income: Interest ....................................... $ 1,495,970 $ 7,418,538 ----------- ----------- Expenses: Management fee ................................. 150,827 493,466 Bookkeeping fee ................................ 5,000 5,080 Transfer agent fee ............................. 3,025 3,025 Trustees' fee .................................. 2,830 2,700 Custody fee .................................... 3,227 3,316 Other expenses ................................. 22,772 31,706 ----------- ----------- Total Expenses .............................. 187,681 539,293 Custodian earnings credit ...................... (1,314) (1,616) ----------- ----------- Net Expenses ................................ 186,367 537,677 ----------- ----------- Net Investment Income ....................... 1,309,603 6,880,861 ----------- ----------- Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: Net realized gain (loss) on: Investments ................................. (10,787) 403,055 Futures contracts ........................... -- 456,416 ----------- ----------- Net realized gain (loss) .................. (10,787) 859,471 ----------- ----------- Net change in unrealized appreciation/ depreciation on: Investments ................................. -- (815,307) Futures contracts ........................... -- 230,668 ----------- ----------- Net change in unrealized appreciation/depreciation .............. -- (584,639) ----------- ----------- Net Gain (Loss) ............................. (10,787) 274,832 ----------- ----------- Net Increase in Net Assets from Operations ..... $ 1,298,816 $ 7,155,693 =========== =========== See notes to financial statements. - -------------------------------------------------------------------------------- 64 & 65 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets
SR&F MUNICIPAL SR&F HIGH-YIELD MONEY MARKET PORTFOLIO MUNICIPALS PORTFOLIO ------------------------------ ------------------------------ (UNAUDITED) (UNAUDITED) SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, Increase (Decrease) in Net Assets: 2001 2001 2001 2001 ------------- ------------- ------------- ------------- Operations: Net investment income ............................. $ 1,309,603 $ 4,704,024 $ 6,880,861 $ 14,893,101 Net realized gain (loss) on investments and futures contracts ...................................... (10,787) (30,258) 859,471 (2,167,283) Net change in unrealized appreciation/depreciation on investments and futures contracts ........... -- 2,978 (584,639) 4,173,176 ------------- ------------- ------------- ------------- Net Increase from Operations ................... 1,298,816 4,676,744 7,155,693 16,898,994 ------------- ------------- ------------- ------------- Transactions in Investors' Beneficial Interest: Contributions ..................................... 31,284,408 88,227,756 7,923,781 6,138,469 Withdrawals ....................................... (32,311,325) (96,785,086) (26,774,641) (51,309,604) ------------- ------------- ------------- ------------- Net Decrease from Transactions in Investors' Beneficial Interest ......................... (1,026,917) (8,557,330) (18,850,860) (45,171,135) ------------- ------------- ------------- ------------- Total Increase (Decrease) in Net Assets ........ 271,899 (3,880,586) (11,695,167) (28,272,141) Net Assets: Beginning of period ............................... 121,198,693 125,079,279 225,374,965 253,647,106 ------------- ------------- ------------- ------------- End of period ..................................... $ 121,470,592 $ 121,198,693 $ 213,679,798 $ 225,374,965 ============= ============= ============= =============
See notes to financial statements. - -------------------------------------------------------------------------------- 66 & 67 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities DECEMBER 31, 2001 (UNAUDITED)
STEIN ROE STEIN ROE STEIN ROE STEIN ROE MUNICIPAL INTERMEDIATE MANAGED HIGH-YIELD MONEY MARKET MUNICIPALS MUNICIPALS MUNICIPALS FUND FUND FUND FUND ------------- ------------- ------------- ------------- Assets: Investments in Portfolio, at value ............ $ 108,694,670 $ -- $ -- $ 213,679,798 Investments, at market value (cost $142,113,532 and $412,762,442, respectively) ............ -- 149,843,820 440,403,329 -- Cash .......................................... -- 56,364 20,558 -- Receivable for: Investments sold ........................... -- 275,000 80,018 -- Fund shares sold ........................... 1,134,197 290,304 1,801,597 -- Interest ................................... -- 2,395,547 7,267,490 -- Expense reimbursement due from Advisor ..... 9,522 28,998 -- 2,895 Futures variation margin ................... -- 64,000 590,453 -- Deferred Trustees' compensation plan .......... 625 1,554 1,551 945 Other assets .................................. -- 7,128 -- 164,816 ------------- ------------- ------------- ------------- Total Assets .......................... 109,839,014 152,962,715 450,164,996 213,848,454 ------------- ------------- ------------- ------------- Liabilities: Payable for: Investments purchased ...................... -- 1,047,610 2,086,478 -- Fund shares repurchased .................... 936,319 143,492 1,748,421 681,725 Distributions .............................. 34,661 144,970 640,156 350,171 Management fee ............................. -- 57,242 151,068 -- Administration fee ......................... 23,406 18,177 40,458 26,269 Transfer agent fee ......................... 8,515 19,721 81,571 65,370 Bookkeeping fee ............................ 3,439 5,332 13,669 6,998 Trustees' fee .............................. 457 703 1,158 800 Deferred Trustees' fee ........................ 625 1,554 1,551 945 Other liabilities ............................. 9,633 13,249 5,869 -- ------------- ------------- ------------- ------------- Total Liabilities ..................... 1,017,055 1,452,050 4,770,399 1,132,278 ------------- ------------- ------------- ------------- Net Assets .................................... $ 108,821,959 $ 151,510,665 $ 445,394,597 $ 212,716,176 ============= ============= ============= ============= Composition of Net Assets: Paid-in capital ............................... $ 108,828,648 $ 144,018,137 $ 423,306,046 $ 221,255,001 Undistributed net investment income (overdistributed net investment income or accumulated net investment loss) ........... 44,862 61,494 (71,406) 34,083 Accumulated net realized loss on investments and futures contracts ...................... (51,551) (191,630) (4,631,467) (7,709,880) Net unrealized appreciation/depreciation on: Investments ................................ -- 7,730,288 27,640,887 (961,120) Futures contracts .......................... -- (107,624) (849,463) 98,092 ------------- ------------- ------------- ------------- Net Assets .................................... $ 108,821,959 $ 151,510,665 $ 445,394,597 $ 212,716,176 ============= ============= ============= =============
See notes to financial statements. - -------------------------------------------------------------------------------- 68 & 69 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities (cont) DECEMBER 31, 2001 (UNAUDITED)
STEIN ROE STEIN ROE STEIN ROE STEIN ROE MUNICIPAL INTERMEDIATE MANAGED HIGH-YIELD MONEY MARKET MUNICIPALS MUNICIPALS MUNICIPALS FUND FUND FUND FUND ------------- ------------- ------------- ------------ Class A: Net assets .......................................... $ -- $ 13,711,085 $ -- $ 1,081 Shares outstanding .................................. -- 1,226,371 -- 97 ============= ============= ============= ============ Net asset value and redemption price per share ......... $ -- $ 11.18 $ -- $ 11.14 ============= ============= ============= ============ Maximum offering price per share ....................... $ -- $ 11.74(a) $ -- $ 11.70(a) ============= ============= ============= ============ Class B: Net assets .......................................... $ -- $ 5,456,843 $ -- $ -- Shares outstanding .................................. -- 488,082 -- -- ============= ============= ============= ============ Net asset value, offering and redemption price per share $ -- $ 11.18 $ -- $ -- ============= ============= ============= ============ Class C: Net assets .......................................... $ -- $ 683,389 $ -- $ -- Shares outstanding .................................. -- 61,125 -- -- ============= ============= ============= ============ Net asset value, offering and redemption price per share $ -- $ 11.18 $ -- $ -- ============= ============= ============= ============ Class S: Net assets .......................................... $ 108,821,959 $ 131,659,348 $ 445,394,597 $212,715,095 Shares outstanding .................................. 108,778,948 11,776,143 51,045,598 19,144,314 ============= ============= ============= ============ Net asset value, offering and redemption price per share $ 1.00 $ 11.18 $ 8.73 $ 11.11 ============= ============= ============= ============
(a) Computation of offering price: 100/95.25 of net asset value. See notes to financial statements. - -------------------------------------------------------------------------------- 70 & 71 - -------------------------------------------------------------------------------- Statements of Operations FOR THE SIX MONTHS ENDED DECEMBER 31, 2001 (UNAUDITED)
STEIN ROE STEIN ROE STEIN ROE STEIN ROE MUNICIPAL INTERMEDIATE MANAGED HIGH-YIELD MONEY MARKET MUNICIPALS MUNICIPALS MUNICIPALS FUND FUND FUND FUND ------------ ------------ ------------ ----------- Investment Income: Interest allocated from Portfolio ........................... $ 1,340,597 $ -- $ -- $ 7,418,538 Interest income ............................................. -- 4,160,927 13,055,710 -- ------------ ------------ ------------ ----------- Total investment income .................................. 1,340,597 4,160,927 13,055,710 7,418,538 ------------ ------------ ------------ ----------- Expenses: Expenses allocated from Portfolio ........................... 167,157 346,778 970,013 537,677 Administration fee .......................................... 135,751 110,890 270,859 151,260 Distribution fee: Class B .................................................. -- 20,543 -- -- Class C .................................................. -- 2,775 -- -- Service fee: Class A .................................................. -- 13,642 -- 1 Class B .................................................. -- 6,321 -- -- Class C .................................................. -- 857 -- -- Bookkeeping fee ............................................. 21,335 32,260 86,063 41,804 Transfer agent fee .......................................... 91,289 105,724 343,765 178,006 Trustees' fee ............................................... 4,100 5,703 6,946 4,800 Custody fee ................................................. 3,911 5,835 -- Other expenses .............................................. 37,498 77,161 70,174 50,889 ------------ ------------ ------------ ----------- Total Expenses ........................................... 457,130 726,565 1,753,655 964,437 Fees and expenses waived or reimbursed by Advisor: Total Fund ............................................... (77,702) (130,228) -- -- Fees waived by Distributor: Class C .................................................. -- (1,918) -- -- Custodian earnings credit ................................... -- (1,818) (5,067) -- ------------ ------------ ------------ ----------- Net Expenses ............................................. 379,428 592,601 1,748,588 964,437 ------------ ------------ ------------ ----------- Net Investment Income .................................... 961,169 3,568,326 11,307,122 6,454,101 ------------ ------------ ------------ ----------- Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: Net realized gain (loss) on: Investments and futures contracts allocated from Portfolio (9,156) -- -- 859,471 Investments .............................................. -- 1,073,963 1,952,182 -- Futures contracts ........................................ -- 253,597 4,760,816 -- ------------ ------------ ------------ ----------- Net realized gain (loss) ............................. (9,156) 1,327,560 6,712,998 859,471 ------------ ------------ ------------ ----------- Net change in unrealized appreciation/depreciation on: Investments allocated from Portfolio ..................... (411) -- -- (584,639) Investments .............................................. -- (2,473,602) (6,479,570) -- Futures contracts ........................................ -- (62,603) (1,963,443) -- ------------ ------------ ------------ ----------- Net change in unrealized appreciation/depreciation ... (411) (2,536,205) (8,443,013) (584,639) ------------ ------------ ------------ ----------- Net Gain (Loss) .......................................... (9,567) (1,208,645) (1,730,015) 274,832 ------------ ------------ ------------ ----------- Increase in Net Assets from Operations ...................... $ 951,602 $ 2,359,681 $ 9,577,107 $ 6,728,933 ============ ============ ============ ===========
See notes to financial statements. - -------------------------------------------------------------------------------- 72 & 73 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets
STEIN ROE STEIN ROE MUNICIPAL MONEY INTERMEDIATE MARKET FUND MUNICIPALS FUND --------------------------- ---------------------------- (UNAUDITED) (UNAUDITED) SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, Increase (Decrease) in Net Assets: 2001 2001 2001 2001 (a) ------------ ----------- ------------ ------------ Operations: Net investment income ............................................ $ 961,169 $ 3,794,983 $ 3,568,326 $ 6,921,330 Net realized gain (loss) on investments and futures contracts .... -- -- 1,327,560 209,438 Net realized loss on investments allocated from Portfolio ........ (9,156) (26,245) -- -- Net change in unrealized appreciation/depreciation on investments, futures contracts and investments allocated from Portfolio .... (411) 2,624 (2,536,205) 4,602,773 ------------ ----------- ------------ ------------ Net Increase from Operations ..................................... 951,602 3,771,362 2,359,681 11,733,541 ------------ ----------- ------------ ------------ Distributions Declared to Shareholders: From net investment income: Class A ....................................................... -- -- (302,696) (244,149) Class B ....................................................... -- -- (118,845) (125,866) Class C ....................................................... -- -- (18,125) (20,059) Class S ....................................................... (937,936) (3,866,466) (3,154,091) (6,557,559) From net realized capital gains: Class A ....................................................... -- -- (111,980) -- Class B ....................................................... -- -- (45,736) -- Class C ....................................................... -- -- (5,642) -- Class S ....................................................... -- -- (1,075,613) -- ------------ ----------- ------------ ------------ Total Distributions Declared to Shareholders ..................... (937,936) (3,866,466) (4,832,728) (6,947,633) ------------ ----------- ------------ ------------ Share Transactions: Class A: Subscriptions ................................................. -- -- 1,300,244 1,108,278 Proceeds received in connection with merger ................... -- -- -- 12,945,029 Distributions reinvested ...................................... -- -- 279,958 150,003 Redemptions ................................................... -- -- (624,647) (1,196,465) ------------ ----------- ------------ ------------ Net Increase ............................................... -- -- 955,555 13,006,845 ------------ ----------- ------------ ------------ Class B: Subscriptions ................................................. -- -- 66,070 83,707 Proceeds received in connection with merger ................... -- -- -- 8,267,463 Distributions reinvested ...................................... -- -- 97,212 70,869 Redemptions ................................................... -- -- (1,623,031) (1,417,028) ------------ ----------- ------------ ------------ Net Increase (Decrease) .................................... -- -- (1,459,749) 7,005,011 ------------ ----------- ------------ ------------ Class C: Subscriptions ................................................. -- -- 2,000 2,114 Proceeds received in connection with merger ................... -- -- -- 1,361,552 Distributions reinvested ...................................... -- -- 11,997 10,813 Redemptions ................................................... -- -- (286,907) (410,246) ------------ ----------- ------------ ------------ Net Increase (Decrease) .................................... -- -- (272,910) 964,233 ------------ ----------- ------------ ------------
(a) Class A, B and C shares were initially offered on January 26, 2001. See notes to financial statements. - -------------------------------------------------------------------------------- 74 & 75 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets (cont)
STEIN ROE STEIN ROE MUNICIPAL MONEY INTERMEDIATE MARKET FUND MUNICIPALS FUND ------------------------------ ------------------------------ (UNAUDITED) (UNAUDITED) SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, Increase (Decrease) in Net Assets: 2001 2001 2001 2001 (a) ------------- ------------- ------------- ------------- Share Transactions (cont) Class S: Subscriptions .................................... $ 61,119,375 $ 164,319,147 $ 30,561,469 $ 23,609,167 Distributions reinvested ......................... 871,106 3,539,356 3,275,973 4,902,426 Redemptions ...................................... (61,259,047) (173,501,211) (32,209,024) (36,951,191) ------------- ------------- ------------- ------------- Net Increase (Decrease) ....................... 731,434 (5,642,708) 1,628,418 (8,439,598) ------------- ------------- ------------- ------------- Net Increase (Decrease) from Share Transactions ..... 731,434 (5,642,708) 851,314 12,536,491 ------------- ------------- ------------- ------------- Total Increase (Decrease) in Net Assets ............. 745,100 (5,737,812) (1,621,733) 17,322,399 Net Assets: Beginning of period ................................. 108,076,859 113,814,671 153,132,398 135,809,999 ------------- ------------- ------------- ------------- End of period ....................................... $ 108,821,959 $ 108,076,859 $ 151,510,665 $ 153,132,398 ============= ============= ============= ============= Undistributed (overdistributed) net investment income $ 44,862 $ 21,629 $ 61,494 $ (6,222) ------------- ------------- ------------- ------------- Changes in Shares: Class A: Subscriptions .................................... -- -- 112,837 97,018 Issued in connection with merger ................. -- -- -- 1,136,725 Issued for distributions reinvested .............. -- -- 24,611 13,207 Redemptions ...................................... -- -- (54,374) (103,653) ------------- ------------- ------------- ------------- Net Increase .................................. -- -- 83,074 1,143,297 ------------- ------------- ------------- ------------- Class B: Subscriptions .................................... -- -- 5,818 7,027 Issued in connection with merger ................. -- -- -- 725,980 Issued for distributions reinvested .............. -- -- 8,540 6,237 Redemptions ...................................... -- -- (140,959) (124,561) ------------- ------------- ------------- ------------- Net Increase (Decrease) ....................... -- -- (126,601) 614,683 ------------- ------------- ------------- ------------- Class C: Subscriptions .................................... -- -- 172 128 Issued in connection with merger ................. -- -- -- 119,560 Issued for distributions reinvested .............. -- -- 1,052 952 Redemptions ...................................... -- -- (24,773) (35,966) ------------- ------------- ------------- ------------- Net Increase (Decrease) ....................... -- -- (23,549) 84,674 ------------- ------------- ------------- ------------- Class S: Subscriptions .................................... 61,115,182 164,331,679 2,655,265 2,093,635 Issued for distributions reinvested .............. 871,107 3,539,356 287,549 436,242 Redemptions ...................................... (61,259,047) (173,501,211) (2,799,884) (3,287,944) ------------- ------------- ------------- ------------- Net Increase (Decrease) ....................... 727,242 (5,630,176) 142,930 (758,067) ------------- ------------- ------------- -------------
(a) Class A, B and C shares were originally offered on January 26, 2001. See notes to financial statements. - -------------------------------------------------------------------------------- 76 & 77 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets
STEIN ROE STEIN ROE MANAGED HIGH-YIELD MUNICIPALS FUND MUNICIPALS FUND ------------------------------ ------------------------------ (UNAUDITED) (UNAUDITED) SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, Increase (Decrease) in Net Assets: 2001 2001 2001 2001 (a) ------------- ------------- ------------- ------------- Operations: Net investment income ................................ $ 11,307,122 $ 23,529,354 $ 6,454,101 $ 14,079,156 Net realized gain on investments and futures contracts 6,712,998 2,610,060 -- -- Net realized gain (loss) on investments and futures contracts allocated from Portfolio ................ -- -- 859,471 (2,167,497) Net change in unrealized appreciation/depreciation on investments and futures contracts .............. (8,443,013) 18,804,629 (584,639) 4,172,995 ------------- ------------- ------------- ------------- Net Increase from Operations ......................... 9,577,107 44,944,043 6,728,933 16,084,654 ------------- ------------- ------------- ------------- Distributions Declared to Shareholders: From net investment income: Class A ........................................... -- -- (31) (53) Class S ........................................... (11,267,405) (23,563,083) (6,688,608) (14,034,351) From net realized capital gains: Class S ........................................... (10,898,730) (3,397,797) -- -- ------------- ------------- ------------- ------------- Total Distributions Declared to Shareholders ......... (22,166,135) (26,960,880) (6,688,639) (14,034,404) ------------- ------------- ------------- ------------- Share Transactions: Class A: Subscriptions ..................................... -- -- -- 1,000 Distributions reinvested .......................... -- -- 31 53 ------------- ------------- ------------- ------------- Net Increase ................................... -- -- 31 1,053 ------------- ------------- ------------- ------------- Class S: Subscriptions ..................................... 67,175,435 117,914,498 13,343,471 16,198,748 Distributions reinvested .......................... 15,416,756 16,506,899 4,459,457 9,458,044 Redemptions ....................................... (78,974,666) (156,243,597) (30,076,689) (56,545,431) ------------- ------------- ------------- ------------- Net Increase (Decrease) ........................ 3,617,525 (21,822,200) (12,273,761) (30,888,639) ------------- ------------- ------------- ------------- Net Increase (Decrease) from Share Transactions ...... 3,617,525 (21,822,200) (12,273,730) (30,887,586) ------------- ------------- ------------- ------------- Total Decrease in Net Assets ......................... (8,971,503) (3,839,037) (12,233,436) (28,837,336) Net Assets: Beginning of period .................................. 454,366,100 458,205,137 224,949,612 253,786,948 ------------- ------------- ------------- ------------- End of period ........................................ $ 445,394,597 $ 454,366,100 $ 212,716,176 $ 224,949,612 ============= ============= ============= ============= Undistributed (overdistributed) net investment income $ (71,406) $ (212,743) $ 34,083 $ 173,063 ------------- ------------- ------------- ------------- Changes in Shares: Class A: Subscriptions ..................................... -- -- -- 90 Issued for distributions reinvested ............... -- -- 2 5 ------------- ------------- ------------- ------------- Net Increase .................................. -- -- 2 95 ------------- ------------- ------------- ------------- Class S: Subscriptions ..................................... 7,347,391 13,117,052 1,179,198 1,450,026 Issued for distributions reinvested ............... 1,729,131 1,847,836 394,920 848,660 Redemptions ....................................... (8,588,821) (17,394,723) (2,664,450) (5,051,528) ------------- ------------- ------------- ------------- Net Increase (Decrease) ...................... 487,701 (2,429,835) (1,090,332) (2,752,842) ------------- ------------- ------------- -------------
(a) Class A shares were initially offered on July 31, 2000. See notes to financial statements. - -------------------------------------------------------------------------------- 78 Notes to Financial Statements - -------------------------------------------------------------------------------- Notes to Financial Statements DECEMBER 31, 2001 (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 Funds 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 $335,711,000 in securities and other net assets to SR&F High-Yield Municipals Portfolio in exchange for beneficial ownership of 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, 2001, Stein Roe Municipal Money Market Fund owned 89.5% of SR&F Municipal Money Market Portfolio; and Stein Roe High-Yield Municipals Fund owned 100.0% of SR&F High-Yield Municipals Portfolio. Stein Roe High-Yield Municipals Fund offers two classes of shares: Class A and Class S shares. Class A shares are sold with a front-end sales charge. A 1.00% contingent deferred sales charge is assessed on redemptions made within eighteen months on an original purchase of $1 million to $25 million. Class S shares are offered continuously at net asset value. There are certain restrictions on the purchase of Class S shares, as described in the prospectus. - -------------------------------------------------------------------------------- 79 - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund offers four classes of shares: Class A, Class B, Class C, and Class S. Class A shares are sold with a front-end sales charge. A 1.00% contingent deferred sales charge is assessed to Class A shares purchased without an initial sales charge on redemptions made within eighteen months an original purchase of $1 million to $25 million. Class B shares are subject to an annual distribution fee and a contingent deferred sales charge. Class B shares will convert to Class A shares in three, four, or eight years after purchase, depending on the program under which shares were purchased. Class C shares are subject to a contingent deferred sales charge on redemptions made within one year after purchase and an annual distribution fee. Class S shares are offered continuously at net asset value. There are certain restrictions on the purchase of Class S shares, as described in the Fund's prospectus. On January 26, 2001, Liberty Intermediate Tax-Exempt Fund merged into Stein Roe Intermediate Municipals Fund as follows: Mutual Fund Unrealized Shares Issued Net Assets Received Appreciation(1) 1,982,265 $22,574,044 $1,432,367 Net Assets of Net Assets of Net Assets of (other Mutual Fund) the Fund the Fund prior immediately prior immediately after to combination to combination combination $136,775,894 $22,574,044 $159,349,938 (1) Unrealized appreciation is included in the Mutual Fund Net Assets Received amount shown above. 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. - -------------------------------------------------------------------------------- 80 - -------------------------------------------------------------------------------- Determination of class net asset values and financial highlights: All income, expenses (other than Class A, Class B and Class C service fees and the Class B and Class C distribution fees), and realized and unrealized gains (losses) are allocated to each class proportionately on a daily basis for purposes of determining the net asset value of each class. Per share data was calculated using the average shares outstanding during the period. In addition, Class A, Class B and Class C net investment income per share data reflects the service fee per share applicable to Class A, Class B and Class C shares and the distribution fee per share applicable to Class B and Class C shares only. Class A, Class B and Class C ratios are calculated by adjusting the expense and net investment income ratios for the Fund for the entire period by the service fee applicable to Class A, Class B and Class C shares and the distribution fees applicable to Class B and Class C shares only. 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. Effective July 1, 2001, the Portfolios and Funds adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing discount and premium on all debt securities. The cumulative effect of this accounting change did not impact total net assets of the Funds, but resulted in reclassifications as follows: Decrease In Net Unrealized Increase Appreciation/ in cost Depreciation Stein Roe Intermediate Municipals Fund $ 93,147 $ (93,147) Stein Roe Managed Municipals Fund 101,620 (101,620) SR&F High Yield Municipal Portfolio 95,558 (95,558) Stein Roe High-Yield Municipals Fund 95,558 (95,558) - -------------------------------------------------------------------------------- 81 - -------------------------------------------------------------------------------- The effect of this change for the six months ended December 31, 2001 is as follows: Decrease Increase Net Unrealized Decrease in Net Investment Appreciation/ Net Realized Income Depreciation Gains/Losses Stein Roe Intermediate Municipals Fund $17,227 $ (652) $(16,575) Stein Roe Managed Municipals Fund 44,407 (14,741) (29,666) SR&F High Yield Municipal Portfolio 26,843 (25,121) (1,722) Stein Roe High Yield Municipals Fund 26,843 (25,121) (1,722) The Statement of Changes in Net Assets and Financial Highlights for prior periods have not been restated to reflect this change. Securities purchased on a when-issued or delayed delivery basis may be settled a month or more after the transaction date. The values of such securities are subject to market fluctuations during this period. None of the Funds or the Portfolios had when-issued or delayed delivery purchase commitments as of December 31, 2001. Security Valuations Municipal securities are valued at a fair value using a procedure determined in good faith by the Board of Trustees (the "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 Trustees would consider what action, if any, should be taken. Futures contracts are valued based on the difference between the last sale price and the opening price of the - -------------------------------------------------------------------------------- 82 - -------------------------------------------------------------------------------- contract. Other securities and assets are valued at fair value as determined in good faith by or under the direction of the 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 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. - -------------------------------------------------------------------------------- 83 - -------------------------------------------------------------------------------- At June 30, 2001, capital loss carryforwards available (to the extent provided in regulations) to offset future realized gains were approximately as follows: Year of Expiration Amount Stein Roe Municipal Money Market Fund 2002-2009 $ 32,125 Stein Roe Intermediate Municipals Fund 2008 27,641 Stein Roe High-Yield Municipals Fund 2006-2009 6,781,125 Expired capital loss carryforwards, if any, are recorded as a reduction of paid-in capital. The capital loss carryforward for Stein Roe Intermediate Municipals Fund was inherited from its merger with Liberty Intermediate Tax-Exempt Fund. Additionally, the following net capital losses attributable to security transactions incurred after October 31, 2000, are treated as arising on July 1, 2001, the first day of the Fund's next taxable year: Capital Loss Stein Roe Municipal Money Market Fund $10,270 Stein Roe High-Yield Municipals Fund 90,612 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 - -------------------------------------------------------------------------------- 84 - -------------------------------------------------------------------------------- obligations that are set aside to pay off the original issue at the first call date or maturity). See Investment Portfolios for information regarding breakdown of securities held by type at December 31, 2001. The Funds and the Portfolios hold investments that are insured by private insurers who guarantee payment of principal and interest in the event of default. At December 31, 2001, investments in these securities for Stein Roe Intermediate Municipals Fund, Stein Roe Managed Municipals Fund and SR&F High-Yield Municipals Portfolio represented 56.0%, 44.2% and 13.3% of holdings, respectively. SR&F Municipal Money Market Portfolio invests in certain short-term securities that are backed by bank letters of credit used to provide liquidity to the issuer and/or additional security in the event of default. At December 31, 2001, 74.0% of the Portfolio was backed by letters of credit. See the Portfolio of Investments for each Fund or Portfolio for additional information regarding portfolio composition. Note 4. Trustees' Fees and Transactions with Affiliates 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 affiliate of Fleet National Bank ("Fleet"), an indirect, majority-owned subsidiary of FleetBoston Financial Corporation ("FleetBoston"), 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 each of 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. On November 1, 2001, Liberty Financial Companies, Inc., a - -------------------------------------------------------------------------------- 85 - -------------------------------------------------------------------------------- former affiliate of the Advisor, completed the sale of its asset management business, including the Advisor, to Fleet. This transaction resulted in a change of control of the Advisor and, therefore, an assignment of the Advisor's investment advisory contracts with the Funds and the Portfolios to Fleet. The Funds and the Portfolios have obtained approval of new investment advisory contracts by the Funds' Board of Trustees and Fund shareholders, which became effective upon completion of the sale. The new contracts are identical to the prior contracts in all material respects except for their effective and termination dates. 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 each of 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 is responsible for providing pricing and bookkeeping services to the Portfolios and the Funds under Pricing and Bookkeeping Agreements. Under a separate agreement (the "Outsourcing Agreement"), the Advisor has delegated those functions to State Street Bank and Trust Company ("State Street"). The Advisor pays fees to State Street under the Outsourcing Agreement. Under its pricing and bookkeeping agreements with the SR&F Base Trust, on behalf of the Portfolios and Funds, the Advisor receives from each Portfolio and each of Stein Roe Intermediate Municipals Fund and Stein Roe Managed Municipals Fund, an annual flat fee of $10,000 paid monthly; from each of Stein Roe - -------------------------------------------------------------------------------- 86 - -------------------------------------------------------------------------------- Municipal Money Market Fund and Stein Roe High Yield Municipals Fund an annual flat fee of $5,000; and in any month that a Fund's average daily net assets are more than $50 million, a monthly fee equal to the average daily net assets of the Fund for that month multiplied by a fee rate that is calculated by taking into account the fees payable to State Street under the Outsourcing Agreement. Underwriting discounts, service and distribution fees Liberty Funds Distributor, Inc. (the "Distributor"), an affiliate of the Advisor, is Stein Roe Intermediate Municipals Fund's principal underwriter. For the six months ended December 31, 2001, the Stein Roe Intermediate Municipals Fund has been advised that the Distributor did not receive any contingent deferred sales charges ("CDSC") of Class B or Class C Share redemptions. The Stein Roe Intermediate Municipals Fund has adopted a 12b-1 plan (the "Plan"), which requires it to pay the Distributor a monthly service fee equal to 0.20% annually on Class A, Class B and Class C net assets as of the 20th of each month. The Plan also requires the payment of a monthly distribution fee to the Distributor equal to 0.65% annually of the average daily net assets attributable to Class B shares and Class C shares, only. The Distributor has voluntarily agreed to waive a portion of the Class C share distribution fee so that it does not exceed 0.20% annually. The CDSC and the fees received from the Plan are used principally as repayment to the Distributor for amounts paid by the Distributor to dealers who sold such shares. 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 daily net assets. - -------------------------------------------------------------------------------- 87 - -------------------------------------------------------------------------------- Transfer Agent Fees Liberty Funds Services, Inc. (the "Transfer Agent"), an affiliate of the Advisor, provides shareholder services for a monthly fee comprised of 0.06% annually of each Fund's average daily net assets plus charges based on the number of shareholder accounts and transactions and receives reimbursement for certain out-of-pocket expenses. The transfer Agent also receives a fixed fee of $6,000 annually from each of the Portfolios. Other Certain officers and trustees of the Trust are also officers of the Advisor. No remuneration was paid by the Trust 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 Municipal Money Market Fund, Liberty High Income Municipals Fund-Class A, Stein Roe High-Yield Municipals Fund) and the SR&F Base Trust (excluding the SR&F Cash Reserve Portfolio and SR&F Municipal Money Market Portfolio) (collectively, the "Trusts") participate in an unsecured line of credit agreement provided by the custodian bank. The line of credit entitles the Trusts to borrow from the custodian at any time upon notice from the Trusts. The borrowings available to the Trusts for the line of credit is $200 million. 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 0.5% 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. Because several investment companies participate, there is no assurance that an individual Fund will have access to the entire letter of credit at any particular time. For the six months ended December 31, 2001, the Trusts had no borrowings under the agreement. - -------------------------------------------------------------------------------- 88 - -------------------------------------------------------------------------------- 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, 2001, were as follows: Purchases Sales Stein Roe Intermediate Municipals Fund $37,452,858 $40,966,831 Stein Roe Managed Municipals Fund 37,926,509 45,546,232 SR&F High Yield Municipals Portfolio 12,625,792 19,265,450 Unrealized appreciation (depreciation) at December 31, 2001 for generally accepted accounting principles was: Stein Roe Stein Roe SR&F Intermediate Managed High-Yield Municipals Municipals Municipals Fund Fund Portfolio Gross unrealized appreciation $ 8,904,191 $ 33,927,572 $ 10,939,854 Gross unrealized depreciation (1,173,903) (6,286,685) (11,900,974) ----------- ------------ ------------ Net unrealized appreciation/ depreciation $ 7,730,288 $ 27,640,887 $ (961,120) =========== ============ ============ - -------------------------------------------------------------------------------- 89 - -------------------------------------------------------------------------------- This page intentionally left blank - -------------------------------------------------------------------------------- 90 & 91 Financial Highlights - -------------------------------------------------------------------------------- SR&F Municipal Money Market Portfolio Selected data for a share outstanding throughout each period is as follows:
(UNAUDITED) SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, --------------------------------------------------- 2001 2001 2000 1999 1998 1997 ------- ------- ------- ------- ------- ------- Ratios to Average Net Assets: Expenses (a) ................ 0.31%(b) 0.32% 0.30% 0.30% 0.34% 0.32% Net investment income (a) ... 2.17%(b) 3.66% 3.57% 3.07% 3.41% 3.36%
(a) The benefits derived from custody credits and directed brokerage arrangements, if applicable, had no impact. (b) Annualized. SR&F High-Yield Municipals Portfolio Selected data for a share outstanding throughout each period is as follows:
(UNAUDITED) SIX MONTHS PERIOD ENDED YEAR ENDED JUNE 30, ENDED DECEMBER 31, -------------------- JUNE 30, 2001 2001 2000 1999 1998(a) ------------ ---- ---- ---- -------- Ratios to Average Net Assets: Expenses (d) ................ 0.47%(b) 0.47% 0.47% 0.45% 0.47%(b) Net investment income (d) ... 6.04%(b)(e) 6.18% 6.11% 5.55% 5.72%(b) Portfolio turnover rate ..... 6%(c) 16% 14% 19% 3%(c)
(a) From commencement of operations on February 2, 1998. (b) Annualized. (c) Not annualized. (d) The benefits derived from custody credits and directed brokerage arrangements, if applicable, had no impact. (e) As required, effective July 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium on debt securities. The effect of this change for the six months ended December 31, 2001, was to increase the ratio of net investment income to average net assets from 6.02% to 6.04%. Per share, ratios and supplemental data for periods prior to December 31, 2001 have not been restated to reflect this change in presentation. - -------------------------------------------------------------------------------- 92 & 93 - -------------------------------------------------------------------------------- Stein Roe Municipal Money Market Fund Selected data for a share outstanding throughout each period is as follows:
(UNAUDITED) SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, --------------------------------------------------- 2001 2001 2000 1999 1998 1997 ------------ ------- ------- ------- ------- ------- Net Asset Value, Beginning of Period ....... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ------------ ------- ------- ------- ------- ------- Income from Investment Operations: Net investment income (a) .................. 0.009 0.033 0.031 0.027 0.031 0.030 Less Distributions Declared to Shareholders: From net investment income ................. (0.009) (0.033) (0.031) (0.027) (0.031) (0.030) ------------ ------- ------- ------- ------- ------- Net Asset Value, End of Period ............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ============ ======= ======= ======= ======= ======= Total return (b) ........................... 0.88%(c) 3.39% 3.20% 2.73% 3.10% 3.04% ============ ======= ======= ======= ======= ======= Ratios to Average Net Assets: Expenses ................................... 0.70%(d) 0.70% 0.70% 0.70% 0.70% 0.70% Net investment income ...................... 1.78%(d) 3.31% 3.19% 2.69% 3.06% 2.98% Waiver/reimbursement ....................... 0.14%(d) 0.11% 0.10% 0.09% 0.16% 0.16% Net assets, end of period (000's) .......... $ 108,822 $108,077 $113,815 $119,032 $115,279 $118,424
(a) Per share data was calculated using average shares outstanding during the period. (b) Computed giving effect to Advisor's expense limitation undertaking. (c) Not Annualized. (d) Annualized. - -------------------------------------------------------------------------------- 94 & 95 - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund Selected data for a share outstanding throughout each period is as follows:
(UNAUDITED) SIX MONTHS PERIOD ENDED ENDED DECEMBER 31, JUNE 30, Class A Shares 2001 2001 (a) ------------ ---------- Net Asset Value, Beginning of Period ................................ $ 11.36 $ 11.41 ------------ ---------- Income from Investment Operations: Net investment income (b) ........................................... 0.25 (c) 0.22 Net realized and unrealized loss on investments and futures contracts (0.08)(c) (0.05) ------------ ---------- Total from Investment Operations ................................. 0.17 0.17 ------------ ---------- Less Distributions Declared to Shareholders: From net investment income .......................................... (0.26) (0.22) From net realized capital gains ..................................... (0.09) -- ------------ ---------- Total Distributions Declared to Shareholders ..................... (0.35) (0.22) ------------ ---------- Net Asset Value, End of Period ...................................... $ 11.18 $ 11.36 ============ ========== Total return (d)(e) ................................................. 1.49% 1.55% ============ ========== Ratios to Average Net Assets: Expenses (f)(g) ..................................................... 0.90% 0.90% Net investment income (f)(g) ........................................ 4.39%(c) 4.49% Waiver/reimbursement (g) ............................................ 0.17% 0.11% Portfolio turnover rate (e) ......................................... 24% 17% Net assets, end of period (000's) ................................... $ 13,711 $ 12,988
(a) Class A shares were initially offered on January 26, 2001. (b) Per share data was calculated using average shares outstanding during the period. (c) As required, effective July 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium on debt securities. For the six months ended December 31, 2001, this change had no effect on the net investment income per share or net realized loss per share, but increased the ratio of net investment income to average net assets from 4.37% to 4.39%. Per share, ratios and supplemental data for the periods prior to December 31, 2001, have not been restated to reflect this change in presentation. (d) Computed giving effect to the Advisor's, Administrator's and Distributor's expense limitation undertaking. (e) Not annualized. (f) The benefits derived from custody credits and directed brokerage arrangements, if applicable, had no impact. (g) Annualized. - -------------------------------------------------------------------------------- 96 & 97 - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund Selected data for a share outstanding throughout each period is as follows:
(UNAUDITED) SIX MONTHS PERIOD ENDED ENDED DECEMBER 31, JUNE 30, Class B Shares 2001 2001 (a) ------------ --------- Net Asset Value, Beginning of Period ................................ $ 11.36 $ 11.41 ------------ --------- Income from Investment Operations: Net investment income (b) ........................................... 0.22 (c) 0.19 Net realized and unrealized loss on investments and futures contracts (0.09)(c) (0.05) ------------ --------- Total from Investment Operations ................................. 0.13 0.14 ------------ --------- Less Distributions Declared to Shareholders: From net investment income .......................................... (0.22) (0.19) From net realized capital gains ..................................... (0.09) -- ------------ --------- Total Distributions Declared to Shareholders ..................... (0.31) (0.19) ------------ --------- Net Asset Value, End of Period ...................................... $ 11.18 $ 11.36 ============ ========= Total return (d)(e) ................................................. 1.16% 1.26% ============ ========= Ratios to Average Net Assets: Expenses (f)(g) ..................................................... 1.55% 1.55% Net investment income (f)(g) ........................................ 3.74%(c) 3.84% Waiver/reimbursement (g) ............................................ 0.17% 0.11% Portfolio turnover rate (e) ......................................... 24% 17% Net assets, end of period (000's) ................................... $ 5,457 $ 6,981
(a) Class B shares were initially offered on January 26, 2001. (b) Per share data was calculated using average shares outstanding during the period. (c) As required, effective July 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium on debt securities. For the six months ended December 31, 2001, this change had no effect on the net investment income per share or net realized loss per share, but increased the ratio of net investment income to average net assets from 3.72% to 3.74%. Per share, ratios and supplemental data for the periods prior to December 31, 2001, have not been restated to reflect this change in presentation. (d) Computed giving effect to the Advisor's, Administrator's and Distributor's expense limitation undertaking. (e) Not annualized. (f) The benefits derived from custody credits and directed brokerage arrangements, if applicable, had no impact. (g) Annualized. - -------------------------------------------------------------------------------- 98 & 99 - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund Selected data for a share outstanding throughout each period is as follows:
(UNAUDITED) SIX MONTHS PERIOD ENDED ENDED DECEMBER 31, JUNE 30, Class C Shares 2001 2001 (a) ------------ -------- Net Asset Value, Beginning of Period ................................ $ 11.36 $ 11.41 ------------ -------- Income from Investment Operations: Net investment income (b) ........................................... 0.24(c) 0.21 Net realized and unrealized loss on investments and futures contracts (0.08)(c) (0.04) ------------ -------- Total from Investment Operations ................................. 0.16 0.17 ------------ -------- Less Distributions Declared to Shareholders: From net investment income .......................................... (0.25) (0.22) From net realized capital gains ..................................... (0.09) -- ------------ -------- Total Distributions Declared to Shareholders ..................... (0.34) (0.22) ------------ -------- Net Asset Value, End of Period ...................................... $ 11.18 $ 11.36 ============ ======== Total return (d)(e) ................................................. 1.38% 1.46% ============ ======== Ratios to Average Net Assets: Expenses (f)(g) ..................................................... 1.10% 1.10% Net investment income (f)(g) ........................................ 4.19%(c) 4.29% Waiver/reimbursement (g) ............................................ 0.62% 0.56% Portfolio turnover rate (e) ......................................... 24% 17% Net assets, end of period (000's) ................................... $ 683 $ 962
(a) Class C shares were initially offered on January 26, 2001. (b) Per share data was calculated using average shares outstanding during the period. (c) As required, effective July 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium on debt securities. For the six months ended December 31, 2001, this change had no effect on the net investment income per share or net realized loss per share, but increased the ratio of net investment income to average net assets from 4.17% to 4.19%. Per share, ratios and supplemental data for the periods prior to December 31, 2001, have not been restated to reflect this change in presentation. (d) Computed giving effect to the Advisor's, Administrator's and Distributor's expense limitation undertaking. (e) Not annualized. (f) The benefits derived from custody credits and directed brokerage arrangements, if applicable, had no impact. (g) Annualized. - -------------------------------------------------------------------------------- 100 & 101 - -------------------------------------------------------------------------------- Stein Roe Intermediate Municipals Fund Selected data for a share outstanding throughout each period is as follows:
(UNAUDITED) SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, --------------------------------------------------------- Class S Shares 2001 2001 2000 1999 1998 1997 ------------ ------- ------- ------- ------- ------- Net Asset Value, Beginning of Period .......... $ 11.36 $ 10.96 $ 11.23 $ 11.57 $ 11.38 $ 11.22 ------------ ------- ------- ------- ------- ------- Income from Investment Operations: Net investment income ......................... 0.27(a)(b) 0.54(a) 0.28 0.54 0.54 0.55 Net realized and unrealized gain (loss) on investments and futures contracts ....... (0.09)(b) 0.40 (0.27) (0.30) 0.22 0.22 ------------ ------- ------- ------- ------- ------- Total from Investment Operations ........... 0.18 0.94 0.01 0.24 0.76 0.77 ------------ ------- ------- ------- ------- ------- Less Distributions Declared to Shareholders: From net investment income .................... (0.27) (0.54) (0.26) (0.54) (0.54) (0.55) From net realized capital gains ............... (0.09) -- (0.02) (0.04) (0.03) (0.06) ------------ ------- ------- ------- ------- ------- Total Distributions Declared to Shareholders (0.36) (0.54) (0.28) (0.58) (0.57) (0.61) ------------ ------- ------- ------- ------- ------- Net Asset Value, End of Period ................ $ 11.18 $ 11.36 $ 10.96 $ 11.23 $ 11.57 $ 11.38 ============ ======= ======= ======= ======= ======= Total return (c) .............................. 1.59%(d) 8.74% 3.10% 2.08% 6.84% 7.07% ============ ======= ======= ======= ======= ======= Ratios to Average Net Assets: Expenses ...................................... 0.70%(e) 0.70% 0.70% 0.70% 0.70% 0.70% Net investment income ......................... 4.59%(b)(e) 4.79% 4.93% 4.58% 4.70% 4.84% Waiver/reimbursement .......................... 0.17%(e) 0.18% 0.11% 0.09% 0.11% 0.12% Portfolio turnover rate ....................... 24%(d) 17% 26% 48% 29% 44% Net assets, end of period (000's) ............. $ 131,659 $132,201 $135,810 $168,896 $196,651 $196,006
(a) Per share data was calculated using average shares outstanding during the period. (b) As required, effective July 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium on debt securities. For the six months ended December 31, 2001, this change had no effect on the net investment income per share or net realized loss per share, but increased the ratio of net investment income to average net assets from 4.57% to 4.59%. Per share, ratios and supplemental data for the periods prior to December 31, 2001, have not been restated to reflect this change in presentation. (c) Computed giving effect to the Advisor's, Administrator's and Distributor's expense limitation undertaking. (d) Not annualized. (e) Annualized. - -------------------------------------------------------------------------------- 102 & 103 - -------------------------------------------------------------------------------- Stein Roe Managed Municipals Fund Selected data for a share outstanding throughout each period is as follows:
(UNAUDITED) SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, ---------------------------------------------------------- 2001 2001 2000 1999 1998 1997 ------------ -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period .......... $ 8.99 $ 8.65 $ 9.07 $ 9.38 $ 9.11 $ 8.85 ------------ -------- -------- -------- -------- -------- Income from Investment Operations: Net investment income ......................... 0.22(a)(b) 0.45(a) 0.47 0.47 0.48 0.48 Net realized and unrealized gain (loss) on investments and futures contracts ....... (0.03)(b) 0.41 (0.32) (0.31) 0.27 0.26 ------------ -------- -------- -------- -------- -------- Total from Investment Operations ........... 0.19 0.86 0.15 0.16 0.75 0.74 ------------ -------- -------- -------- -------- -------- Less Distributions Declared to Shareholders: From net investment income .................... (0.23) (0.45) (0.47) (0.47) (0.48) (0.48) From net realized capital gains ............... (0.22) (0.07) (0.10) -- -- -- ------------ -------- -------- -------- -------- -------- Total Distributions Declared to Shareholders (0.45) (0.52) (0.57) (0.47) (0.48) (0.48) ------------ -------- -------- -------- -------- -------- Net Asset Value, End of Period ................ $ 8.73 $ 8.99 $ 8.65 $ 9.07 $ 9.38 $ 9.11 ============ ======== ======== ======== ======== ======== Total return .................................. 2.02%(d) 10.13% 1.86% 1.67% 8.37% 8.56% ============ ======== ======== ======== ======== ======== Ratios to Average Net Assets: Expenses (c) .................................. 0.75%(e) 0.74% 0.69% 0.72% 0.72% 0.73% Net investment income (c) ..................... 4.85%(b)(e) 5.07% 5.39% 5.02% 5.14% 5.31% Portfolio turnover rate ....................... 8%(d) 17% 19% 17% 12% 16% Net assets, end of period (000's) ............. $ 445,395 $454,366 $458,205 $538,322 $583,138 $582,366
(a) Per share data was calculated using average shares outstanding during the period. (b) As required, effective July 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium on debt securities. For the six months ended December 31, 2001, this change had no effect on the net investment income per share or net realized loss per share, but increased the ratio of net investment income to average net assets from 4.83% to 4.85%. Per share, ratios and supplemental data for the periods prior to December 31, 2001, have not been restated to reflect this change in presentation. (c) The benefits derived from custody credits and directed brokerage arrangements, if applicable, had no impact. (d) Not Annualized. (e) Annualized. - -------------------------------------------------------------------------------- 104 & 105 - -------------------------------------------------------------------------------- Stein Roe High-Yield Municipals Fund Selected data for a share outstanding throughout each period is as follows:
(UNAUDITED) SIX MONTHS PERIOD ENDED ENDED DECEMBER 31, JUNE 30, Class A Shares 2001 2001 (a) ------------ ------- Net Asset Value, Beginning of Period ................................ $ 11.13 $ 11.11 ------------ ------- Income from Investment Operations: Net investment income (b) ........................................... 0.31(c) 0.58 Net realized and unrealized gain on investments and futures contracts 0.02(c) 0.01 ------------ ------- Total from Investment Operations ................................. 0.33 0.59 ------------ ------- Less Distributions Declared to Shareholders: From net investment income .......................................... (0.32) (0.57) ------------ ------- Net Asset Value, End of Period ...................................... $ 11.14 $ 11.13 ============ ======= Total return (d) .................................................... 2.97% 5.42% ============ ======= Ratios to Average Net Assets: Expenses (e) ........................................................ 1.10% 1.06% Net investment income (e) ........................................... 5.51%(c) 5.65% Net assets, end of period (000's) ................................... $ 1 $ 1
(a) From commencement of operations on July 31, 2000. (b) Per share data was calculated using average shares outstanding during the period. (c) As required, effective July 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium on debt securities. The effect of this change for the six months ended December 31, 2001, was to increase the ratio of net investment income to average net assets from 5.49% to 5.51%. Per share, ratios and supplemental data for periods prior to December 31, 2001 have not been restated to reflect this change in presentation. (d) Not Annualized. (e) Annualized - -------------------------------------------------------------------------------- 106 & 107 - -------------------------------------------------------------------------------- Stein Roe High-Yield Municipals Fund Selected data for a share outstanding throughout each period is as follows:
(UNAUDITED) SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, ----------------------------------------------------------- Class S Shares 2001 2001 2000 1999 1998 1997 ------------ ------- ------- ------- ------- ------- Net Asset Value, Beginning of Period ....... $ 11.12 $ 11.04 $ 11.71 $ 11.97 $ 11.67 $ 11.40 ------------ ------- ------- ------- ------- ------- Income from Investment Operations: Net investment income ...................... 0.32(a)(b) 0.65(a) 0.65 0.63 0.65 0.72 Net realized and unrealized gain (loss) on investments and futures contracts .... 0.01(b) 0.08 (0.68) (0.25) 0.30 0.27 ------------ ------- ------- ------- ------- ------- Total from Investment Operations ........ 0.33 0.73 (0.03) 0.38 0.95 0.99 ------------ ------- ------- ------- ------- ------- Less Distributions Declared to Shareholders: From net investment income ................. (0.34) (0.65) (0.64) (0.64) (0.65) (0.72) ------------ ------- ------- ------- ------- ------- Net Asset Value, End of Period ............. $ 11.11 $ 11.12 $ 11.04 $ 11.71 $ 11.97 $ 11.67 ============ ======= ======= ======= ======= ======= Total return ............................... 2.92%(e) 6.78% (0.16)% 3.18%(d) 8.32% 8.91% ============ ======= ======= ======= ======= ======= Ratios to Average Net Assets: Expenses ................................... 0.85%(f) 0.81% 0.78% 0.77% 0.75% 0.77% Net investment income ...................... 5.69%(b)(f) 5.86% 5.82% 5.26% 5.48% 6.20% Portfolio turnover rate .................... N/A N/A N/A N/A 8%(c) 11%(c) Net assets, end of period (000's) .......... $ 212,715 $224,950 $253,787 $297,874 $341,780 $306,070
(a) Per share data was calculated using average shares outstanding during the period. (b) As required, effective July 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium on debt securities. The effect of this change for the six months ended December 31, 2001, was to increase the ratio of net investment income to average net assets from 5.67% to 5.69%. Per share, ratios and supplemental data for periods prior to December 31, 2001 have not been restated to reflect this change in presentation. (c) Prior to commencement of operations of the Portfolio. (d) 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%. (e) Not Annualized. (f) Annualized. - -------------------------------------------------------------------------------- 108 Shareholder Meeting Results - -------------------------------------------------------------------------------- Stein Roe Municipal Money Market Fund On September 26, 2001, a Special Meeting of Shareholders of the fund was held to conduct a vote for or against the approval of the items listed on the Trust's Proxy Statement for said meeting. On July 16, 2001, the record date for the Meeting, the Fund had shares outstanding of 106,791,771. The votes were as follows: % of Shares to % of Shares Proposal of new investment Total Outstanding to Total advisory agreement: Shares Shares Shares Voted - -------------------------------------------------------------------------------- For 55,338,227 51.82% 96.01% Against 1,174,232 1.10% 2.04% Abstain 1,122,911 1.05% 1.95% Stein Roe Intermediate Municipals Fund On September 26, 2001, a Special Meeting of Shareholders of the fund was held to conduct a vote for or against the approval of the items listed on the Trust's Proxy Statement for said meeting. On July 16, 2001, the record date for the Meeting, the Fund had shares outstanding of 153,888,968. The votes were as follows: % of Shares to % of Shares Proposal of new investment Total Outstanding to Total advisory agreement: Shares Shares Shares Voted - -------------------------------------------------------------------------------- For 92,617,350 60.18% 95.94% Against 1,022,246 0.66% 1.06% Abstain 2,895,450 1.88% 3.00% Stein Roe Managed Municipals Fund On September 26, 2001, a Special Meeting of Shareholders of the fund was held to conduct a vote for or against the approval of the items listed on the Trust's Proxy Statement for said meeting. On July 16, 2001, the record date for the Meeting, the Fund had shares outstanding of 458,917,956. The votes were as follows: % of Shares to % of Shares Proposal of new investment Total Outstanding to Total advisory agreement: Shares Shares Shares Voted - -------------------------------------------------------------------------------- For 268,395,066 58.48% 94.52% Against 7,888,467 1.72% 2.78% Abstain 7,665,022 1.67% 2.70% - -------------------------------------------------------------------------------- 109 - -------------------------------------------------------------------------------- Stein Roe High Yield Municipals Fund On September 26, 2001, a Special Meeting of Shareholders of the fund was held to conduct a vote for or against the approval of the items listed on the Trust's Proxy Statement for said meeting. On July 16, 2001, the record date for the Meeting, the Fund had shares outstanding of 224,634,756. The votes were as follows: % of Shares to % of Shares Proposal of new investment Total Outstanding to Total advisory agreement: Shares Shares Shares Voted - -------------------------------------------------------------------------------- For 117,145,907 52.15% 93.90% Against 3,173,618 1.41% 2.54% Abstain 4,440,121 1.98% 3.56% [LOGO] stein roe MUTUAL FUNDS ONE FINANCIAL CENTER BOSTON, MA 02111-2621 800-338-2550 DIR-03/465I-0102 02/0191 -----END PRIVACY-ENHANCED MESSAGE-----