Eaton Vance Investment Trust
For the Funds:
(bullet) EV Marathon California Limited Maturity Municipals Fund
(bullet) EV Marathon Connecticut Limited Maturity Municipals Fund
(bullet) EV Marathon Florida Limited Maturity Municipals Fund
(bullet) EV Marathon Massachusetts Limited Maturity Municipals Fund
(bullet) EV Marathon Michigan Limited Maturity Municipals Fund
(bullet) EV Marathon New Jersey Limited Maturity Municipals Fund
(bullet) EV Marathon New York Limited Maturity Municipals Fund
(bullet) EV Marathon Ohio Limited Maturity Municipals Fund
(bullet) EV Marathon Pennsylvania Limited Maturity Municipals Fund
[LOGO: HOUSE]
Semi-Annual Shareholder Report
September 30, 1996
Table of Contents
Item Page
Six-month results 3
President's letter to shareholders 4
Portfolio Managers' Discussion 5-6
Management Reports:
EV Marathon California Limited Maturity Municipals Fund 7
EV Marathon Connecticut Limited Maturity Municipals Fund 8
EV Marathon Florida Limited Maturity Municipals Fund 9
EV Marathon Massachusetts Limited Maturity Municipals Fund 10
EV Marathon Michigan Limited Maturity Municipals Fund 11
EV Marathon New Jersey Limited Maturity Municipals Fund 12
EV Marathon New York Limited Maturity Municipals Fund 13
EV Marathon Ohio Limited Maturity Municipals Fund 14
EV Marathon Pennsylvania Limited Maturity Municipals Fund 15
Financial Statements 16
Fund shares are not guaranteed by the FDIC and are not deposits
or other obligations of, or guaranteed by, any depository
institution. Shares are subject to investment risks, including
possible loss of principal invested.
Information about your mutual fund investment
<TABLE>
<CAPTION>
Results for the Total Return Dividends paid* If your combined The after-tax
six months ended (Six months by Fund Fund NAV Fund's distribution federal & state equivalent yield
September 30, 1996 ended 9/30/96) (During period) (9/30/96) rate at 9/30/96 tax rate is... you would need is:
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
EV Marathon California
Limited Maturity
Municipals Fund-Class I 1.6% $0.199 $10.04 3.96% 43.04% 6.95%
EV Marathon California
Limited Maturity
Municipals Fund-Class II 2.1% $0.105 $10.04 4.69% 43.04% 8.23%
EV Marathon Connecticut
Limited Maturity
Municipals Fund 1.6% $0.187 $9.82 3.77% 38.88% 6.17%
EV Marathon Florida
Limited Maturity
Municipals Fund-Class I 1.4% $0.199 $10.11 3.94% 39.25% 6.49%
EV Marathon Florida
Limited Maturity
Municipals Fund-Class II 1.9% $0.105 $10.11 4.66% 38.75% 7.61%
EV Marathon Massachusetts
Limited Maturity
Municipals Fund-Class I 1.4% $0.192 $10.05 3.81% 43.68% 6.76%
EV Marathon Massachusetts
Limited Maturity
Municipals Fund-Class II 2.1% $0.103 $10.05 4.54% 43.68% 8.06%
EV Marathon Michigan
Limited Maturity
Municipals Fund 1.9% $0.194 $9.72 3.97% 41.44% 6.78%
EV Marathon New Jersey
Limited Maturity
Municipals Fund-Class I 1.8% $0.196 $10.09 3.87% 40.21% 6.47%
EV Marathon Florida
Limited Maturity
Municipals Fund-Class II 2.3% $0.103 $10.09 4.59% 40.21% 7.68%
EV Marathon New York
Limited Maturity
Municipals Fund-Class I 1.5% $0.196 $10.10 3.84% 40.86% 6.49%
EV Marathon New York
Limited Maturity
Municipals Fund-Class II 2.0% $0.103 $10.10 4.56% 40.86% 7.71%
EV Marathon Ohio
Limited Maturity
Municipals Fund 2.2% $0.198 $9.86 4.06%% 40.80% 6.86%
EV Marathon Pennsylvania
Limited Maturity
Municipals Fund-Class I 1.5% $0.202 $10.14 3.96% 47.43% 7.53%
EV Marathon Pennsylvania
Limited Maturity
Municipals Fund-Class II 2.2% $0.107 $10.14 4.69% 46.42% 8.75%
</TABLE>
*For Class II shares, dividends paid are for the period from the
start of business, June 27, 1995, to September 30, 1996. +Combined
federal and state tax rates for Florida and Pennsylvania will each
vary with a change in distribution rate due to calculations that
include each state's intangibles tax.
[GRAPHIC OF THE STATES CALIFORNIA, CONNECTICUT, FLORIDA,
MASSCHUSETTS, MICHIGAN, NEW JERSEY, NEW YORK, OHIO, AND PENNSYLVANIA
OMITTED IN COLUMN SIX]
To Shareholders:
Following an upbeat 1995, the bond market encountered difficulty in
the first half of 1996, as the investment climate changed
dramatically.
The year started favorably enough, with the Federal Reserve lowering
the Federal Funds Rate - the rate banks charge each other for
overnight loans and a key short-term interest rate barometer - to
5.25%. Investors' optimism was short-lived, however, as Fed Chairman
Alan Greenspan suggested in his spring Congressional testimony that,
in light of current economic growth, the next move in rates would
likely be higher. Subsequent employment data showed that job
creation was exceeding market estimates and that the labor market
was indeed tightening.
While job growth has cooled in recent months from the blistering
pace set early in the year, the economy has nonetheless failed to
give a clear indication of its long-term direction. Accordingly, the
Federal Reserve has effectively put its monetary policy on hold.
Despite the uncertainty in the market, there are several reasons we
believe an investment in municipal bonds continues to represent good
value for tax-conscious investors. First, while turning in somewhat
faster growth than expected, the nation's economy remains subdued.
GDP grew at a revised 4.8% rate in the second quarter - a relatively
strong showing - but was followed by a 2.2% growth rate in the third
quarter, according to preliminary figures. Interestingly, recent
indicators, including the Federal Reserve's "beige book," an
anecdotal regional economic survey, suggest a possible slowdown in
the first half of 1997. Most importantly, by most measures,
inflation remains well under control.
Second, whatever the outcome of the various tax cut proposals that
have marked the campaigns of both major political parties, it is
certain that the tax structure will remain sharply progressive. That
means that municipal bonds should retain their relative value.
[GRAPHIC OMITTED TAX-EXEMPT BONDS YIELD CHART]
Tax-exempt bonds yield 81% of Treasury yields
30-yr. AAA Gerneral
Obligation (GO) Bonds* 5.61%
Taxable equivalent yield
of investment for couple
in 36% tax bracket 8.77%
30-year Treasury Bonds 6.92%
Principal and interest payments of Treasury securities are
guaranteed by the U.S. government.
*GO yield is a compilation of a representative variey of
general obligation bonds and is not necessarily represented
by the Fund's yield. Statistics as of September 30, 1996.
Past performance is no guarnatee of future results.
Source: Bloomberg, L.P.
Third, on the budget front, the deficit has been reduced
significantly. At present, the deficit as a percentage of GDP is the
smallest of all industrialized nations, alleviating near-term
borrowing needs.
Finally, and perhaps most important, the tax burden of our citizens
is still extraordinarily high. Municipal bonds remain the best way
for most individuals to relieve that burden and keep more of what
they work so hard to earn.We believe that, despite the occasional
market fluctuations, a steadfast, long-term outlook is the best way
to reap the advantages of tax-free investing.
Sincerely,
/S/ Thomas J. Fetter
Thomas J. Fetter
President
November 10, 1996
[PHOTO OF THOMAS J. FETTER OMITTED]
Management Discussion
[PHOTO OF RAYMOND E. HENDER OMITTED]
An interview with Raymond E. Hender, Vice President, and William H.
Ahern, Vice President, Portfolio Managers of the Limited Maturity
Municipals Portfolios.
Q. Ray, how would you describe the bond market in recent months?
Mr. Hender: Volatility has certainly been the hallmark of the bond
market for much of the year. Many investors had been anticipating a
slowdown in the second half of the year. However, the economy not
only maintained its momentum, but proved a bit stronger than
expected. For example, third quarter GDP rose 2.2%, following a 4.6%
surge in the second quarter attributed to a rebuilding of inventories
by business. The economy's strength in the face of weaker expectations
has contributed to the bond market's increasing volatility during the year.
Q. Bill, why has the market been unable to settle on one direction?
Mr. Ahern: The employment reports in March and April started the
ball rolling, with much stronger-than-expected job data. However, no
sooner had the market digested that information, than we again saw
some anecdotal signs of weakness. That pattern continued through the
period. Finally, prior to the Fed's most recent Open Market
Committee meeting in September, the market anticipated that the Fed
would elect to raise interest rates. Defying expectations, the Fed
decided to stand pat. Actually, the mere threat of a Fed rate hike
had caused the market to adjust, eliminating the need for Fed
action. In any event, the market's expectations contributed to the
volatility throughout the period and made this a fairly difficult
investment environment. That's been as true of the municipal market
as it has of the Treasury market.
Q. How would you characterize supply and demand in the municipal
market?
Mr. Hender: Municipal supply has been relatively light but on a par
with reduced demand. With a strong stock market for much of the year,
investors have generally focused less on fixed-income vehicles. Much
of the municipal supply has consisted of insured bonds, which made
the municipal market more generic in nature. By that, I mean that
quality spreads - the yield difference between bonds of varying quality
- - have diminished. That has made it considerably more difficult to find
bargains in the investment grade segment of the market.
Q. What changes have you made to the Portfolios in recent months?
Mr. Hender: We've made several shifts in the past several months.
First, we've extended the durations of the Portfolios beyond the
mid-point of our range. Recent signs point to a weakening of the economy
at some point, either in the fourth quarter of this year or some time
early next year. By extending duration - a measure of responsiveness to
interest rate changes - we are increasing the Portfolios' exposure
to a potential market rally. Second, we've added more aggressive
coupons to the Portfolios by trading current and premium coupon
bonds for discount bonds. Typically, discounts have greater
potential for capital appreciation in a stable-to-lower interest
rate environment. Finally, we've improved the Portfolios' call
protection, which also tends to improve upside potential.
Mr. Ahern: In a generic market like this, we've also redoubled our
efforts in the non-rated segment of the market. While the Portfolios
remain highly diversified, our selective use of non-rated bonds
should provide new opportunities. In those efforts, we benefit from
the depth and ample resources of the Eaton Vance research
department.
Q. That's an interesting point. Could you focus briefly on Eaton
Vance's municipal research department?
Mr. Ahern: At Eaton Vance, we maintain a strong research effort
that provides a continuous flow of information between our analysts
and our portfolio managers. We have analysts dedicated to each state
as well as to various industry sectors, such as electric utilities,
co-generation facilities, or transportation projects. By having
analysts dedicated to these various sectors and states, we can be
assured of full coverage of the important developments within those
areas and know that our standards are applied uniformly. That is
particularly critical in assessing non-rated bonds or lower-rated
bonds.
[PHOTO OF WILLIAM H. AHERN OMITTED]
Q. Why is that so important today?
Mr. Hender: As Bill indicated earlier, the market is increasingly
generic, with insured bonds representing a growing percentage of new
issuance. Therefore, we are looking at non-rated bonds to find value
and attractive new yield opportunities. Our analysts visit hundreds
of company, state, local, and agency officials annually. They also
maintain close contact with outside research sources and major
credit ratings agencies to monitor the fiscal progress of state and
local issuers. This in-depth research is helpful in determining
which bonds may present good opportunities, and, conversely, which
do not meet our criteria.
Q. How would you assess the current market from a credit standpoint?
Mr. Ahern: From a credit standpoint, this has been a relatively calm
period. Unlike recent years, which saw a number of credit
disappointments, such as the difficulties in Orange County, the
fiscal health of states and municipalities has improved somewhat in
the current economic environment. State and local budgets have
clearly benefited from lower interest rates. And employment growth -
while certainly not robust - has helped boost tax revenues at the
state level. Every new job created provides additional tax revenue,
and in many cases, helps reduce spending on social services. That
has created a better credit climate.
Q. Have you made many sector changes to the Portfolios?
Mr. Hender: There has not been much change in terms of sectors. As
Bill indicated, the states have done fairly well in the past year,
and, as a result, the general obligation sector has been fairly
stable. Elsewhere, we continue to monitor the electric utility
sector closely. Deregulation, together with wholesale and retail
wheeling - the sale of power to customers in other service areas -
is certain to radically alter that industry. In the health care
sector, we have upgraded the quality of our hospital holdings,
focusing increasingly on the large, well-managed systems that should
fare well in a changing health care scene.
Mr. Ahern: We've also favored several subsets of health care,
including continuing care communities and nursing homes. These
alternative-care facilities are beneficiaries of the nation's aging
population as well as the push in the political arena to find more
effective and less costly ways to deliver high-quality health care.
Finally, we have been increasingly selective in the solid waste
sector. The New Jersey court mandates initially sent shockwaves
through the entire solid waste sector. But the market is once again
focusing on the underlying fundamentals of individual projects and
we have limited our exposure to those that we view as the strongest.
Q. Looking ahead, what is your outlook for the market?
Mr. Hender: Predicting the direction of interest rates with any
degree of certainty is difficult. I would, however, agree with the
consensus that the economy is likely to weaken in the near-term. The
major question is whether the sharp employment growth of this year
will fuel inflation. If inflation does not result, we are likely to
see a stable-to-lower interest rate scenario. That should be a
favorable backdrop for the overall bond market.
In the municipal bond market, the vast majority of refunding has
been completed. Therefore, the market is not likely to suffer from
severe supply pressures in the coming year. That's important because
there should then be a good balance between supply and demand.
Naturally, past trends don't always provide a clue to future
performance. But intermediate-term municipal bonds should continue to offer
yields that are over 80% of taxable yields, according to Bloomberg
Financial. In my view, that illustrates the continuing degree of
value in this segment of the municipal market. And for investors who
want to enjoy the benefits of tax-free income while limiting their
volatility and exposure to interest rate risk, the intermediate-term
sector of the market still merits close attention.
EV Marathon California Limited Maturity Municipals Fund
The State of the State: California
California's economy has had a difficult time since it was hit by
the recession of 1991-1992. Total state employ-ment just recently
reached the pre-recession peak of 14.5 million recorded in mid-1990.
Employment growth, however, has been sporadic. Annualized growth
this year has ranged from 2.0% to 2.5%. In 1994, the state added
256,000 jobs, but only 89,000 in 1995. Much of the job growth has
taken place in the San Francisco Bay Area, where employment in
business services has increased 17% in the past year. By contrast,
unemployment in the Los Angeles Area was 7.25%, a slight increase
over the same 12-month period. Overall, the state's unemployment
remained well above the national average. Wages have fallen
somewhat, indicating the continuing effects of job losses in the
aerospace industry.
Financially, California's tax revenues have improved with the
recovery, but the state remains burdened with struc-tural budget
problems - most notably, an increase in school funding and mandatory
criminal sentencing. Should revenues decline, these legislated
programs could have an adverse effect on the budget.
Nevertheless, the overall economic picture in California has
brightened enough to warrant a rating increase from "A" to "A+" by
Standard & Poor's.
[GRAPHIC OF THE STATE CALIFORNIA OMITTED]
Portfolio Overview
Based on market value as of September 30, 1996
Number of issues 29
Average quality AA
Investment grade 100%
Effective maturity 5.27 yrs.
Largest sectors:
Escrowed/prerefunded 21.8%
Insured hospital revenue 18.5*
Education 7.4
Electric utility 6.3
Insured lease revenue/COPs 5.2*
* Private insurance does not remove the market risks associated with
this investment.
[GRAPHIC OF BUILDING OMITTED]
Your Investment at Work:
San Bernardino, CA
Joint Power Financing Authority
Lease Revenue Bond
The California Department of Transportation builds and maintains the
state's highway system. The proceeds of this bond issue were used to
build an office building and parking facility in San Bernardino for
the use of Department employees. The new building will allow the
Department to consolidate 1,200 employees currently working in
higher-priced, rented buildings.
The bonds, rated A by Moody's and Standard & Poor's, respectively,
have a 5.4% coupon and are expected to benefit from California's
continued rebound from recession. California has regained all of the
jobs lost from the recession of the early 1990s and has successfully
diversified from the aerospace and defense industries into
entertainment, electronics and apparel. The Department of
Transportation will be responsible for making the lease payments
that back interest payments on the bonds.
The Portfolio's Five Largest Holdings:*
Loma Linda, CA
Hospital Revenue Bonds (MBIA)
Aaa/AAA 5.00% 12/1/13
San Bernadino, CA
Certificates of Participation
NR/AAA 7.00% 8/1/28
California Health Facilities Financing Authority
Catholic Health West (AMBAC)
Aaa/AAA 5.00% 7/1/14
California Health Facilities Authority
Sisters of Providence
A1/AA- 7.5% 10/1/10
The City of Los Angeles
Wastewater System
A1/A 6.90% 6/1/08
*By market value as of September 30, 1996.
EV Marathon Connecticut Limited Maturity Municipals Fund
The State of the State: Connecticut
Unemployment in Connecticut has fallen sharply in the past year, as
employment growth has outpaced that of the nation as a whole. There
are 9,000 fewer people on the state's jobless rolls. Non-farm job
growth has resulted in a gain of more than 13,000 jobs during that
period, with the largest increases in the service and trade areas.
The construction, retail and finance sectors were particularly
strong, with government hiring also adding to the state's momentum.
The construction sector has enjoyed a rebound, with the number of
construction contracts more than doubling in the past year and
reaching their highest level since 1987. Manufacturing employment
continued to register a loss, marking the twelfth consecutive year
of decline. Personal income for state residents is up 1.9%,
according to the state's Department of Labor. The improved economy
has eased some of the state's fiscal pressures. Total tax
collections are running more than 9% above the fiscal year 1995
level of $6.8 billion, driven primarily by an increase in personal
income tax collections. However, the state's accumulated deficit
must still be addressed.
[GRAPHIC OF STATE OF CONNECTICUT OMITTED]
Portfolio Overview
Based on market value as of September 30, 1996
Number of issues 31
Average quality AA-
Investment grade 100%
Effective maturity 9.30 yrs.
Largest sectors:
General obligations 14.0%
Insured hospitals 13.7*
Insured general obligations 11.4*
Education 11.1
Housing 7.1
* Private insurance does not remove the market risks associated with
this investment.
[GRAPHIC OF GRADUATION CAP OMITTED]
Your investment at work:
Connecticut Health & Educational Facilities Authority
Fairfield University
Fairfield University is a private university established in 1942 and
located in Fairfield, in southwestern Connecticut. The school has a
current enrollment of approximately 3,200 full-time undergraduate
and graduate students and 1,700 part-time undergraduate, graduate
and continuing education students. This bond was issued in 1994 to
help fund new construction, renovations, and improvements to a
number of facilities on the Fairfield campus, including: the
renovation of Canisius Hall, an academic facility; the construction
of new athletic locker facilities; the installation of computer
rnetwork wiring in dormitories; and various repairs to buildings and
equipment. The bond is rated Baa1/BBB+ by Moody's and S&P, and is a
good example of the Portfolio's efforts to find value and attractive
yield opportunities among lower-rated investment-grade bonds.
The Portfolio's Five Largest Holdings*
Connecticut State Airport Bonds
Bradley International Airport (FGIC)
Aaa/AAA 7.40% 10/1/04
State of Connecticut
Health Education Finance Authority
Fairfield University
Baa1/BBB+ 6.90% 7/1/14
Connecticut Housing Finance Authority
Aa/AA 6.9% 11/15/99
State of Connecticut
Health Education Facilities Authority
New Britain Hospital
NR/BBB- 7.50% 7/1/06
Connecticut Development Authority
Frito-Lay Project
A2/NR 6.375% 7/1/04
*By market value as of September 30, 1996.
EV Marathon Florida Limited Maturity Municipals Fund
The State of the State: Florida
Florida's economy has grown steadily since 1993, led by a strong
service sector which comprises over one-third of the state's
employment and consists mainly of health and business services.
Total employment increased by 5% from 1993 to 1995, and the
unemployment rate decreased from 8.2% in 1992 to 5.2% at the end of
the second quarter of 1996. Other strong sectors include
construction and trade which, along with service, account for two-
thirds of employment in Florida. Tourism was hit hard by the
recession in the early 1990s, but has rebounded strongly in the past
few years. The tourism industry provides the foundation for much of
the state's economy and is expected to grow by 4.3% through fiscal
1997, according to Standard & Poor's.
Though dependent on a cyclical 6% sales and use tax, Florida's
finances are well managed, and the state maintains a healthy working
capital reserve. Governor Chiles has proposed bond issuance
totalling $1.14 billion for fiscal 1997, which will provide funding
in four main areas: Public Education, Environmental Preservation,
Right-of-Way Acquisition, and Prison and Detention. As required by law,
all bond issues must be backed by a specific revenue stream to receive
the "full faith and credit" approval from the Florida state government.
[GRAPHIC OF THE STATE FLORIDA OMITTED]
Portfolio Overview
Based on market value as of September 30, 1996
Number of issues 56
Average quality AA
Investment grade 98.5%
Effective maturity 8.31 yrs.
Largest sectors:
Escrowed 21.3%
General obligations 18.1
Utility 9.9
Insured hospital 9.3*
Insured transportation 7.6*
* Private insurance does not remove the market risks associated with
this investment.
[GRAPHIC OF TREE OMITTED]
Your investment at work:
Nassau County, FL
Pollution Control Bonds
ITT/Rayonier Inc. Project
Rayonier, Inc. is a leading international company engaged in the
trading, merchandising and manufacture of logs, timber and forest
products. At its production facility in northeastern Florida,
Rayonier manufactures several grades of pulp used in textiles,
packaging, cosmetics, film, plastics, detergents and paints.
Rayonier is also among the top makers of fluff pulp, used in
absorbent products such as disposable diapers, sanitary products,
and industrial napkins. The proceeds of these bonds were used to
finance the acquisition, construction, and installation of air and
water pollution control facilities serving the company's pulp mill
in Fernandina Beach, in Nassau County, Florida. This industrial
development bond is an example of a municipal bond investment being
used to encourage economic initiatives while providing support for
the environment.
The Portfolio's Largest Five Holdings*
Jacksonville, FL
Bulk Power Supply System
Aaa/AAA 6.75% 10/1/16
Florida Department of
Natural Resources (MBIA)
Aaa/AAA 5.25% 7/1/10
Jacksonville, FL
Health Facilities Authority (MBIA)
Baptist Medical Center Project
Aaa/AAA 7.25% 6/1/05
Florida State Board of
Education
Aa/AA 5.5% 6/1/11
Orlando Utility
Community Water & Electric
Public Utility (MBIA)
Aaa/AAA 6.5% 10/1/20
*By market value as of September 30, 1996.
EV Marathon Massachusetts Limited Maturity Municipals Fund
The State of the State: Massachusetts
The Massachusetts economy has made a dramatic recovery from the
recession of 1990-1991, which was one of the most difficult in
recent memory. After three years of budget deficits, the election of
Governor William Weld in 1990 led to immediate changes on the
budgetary front. Since his election in 1990, the governor has
balanced the budget in every year of his adminis-tration. As a
result of its more conservative fiscal policies, the state's general
obligation debt has earned several rating increases since 1991.
Though the Massachusetts economic recovery was somewhat slow at
first, the business climate has shown great improvement in recent
years. Unemployment reached 4.0% in August of 1996, its lowest since
June of 1989, and job growth has been increasing at a 1.4% annual
rate, with 114,800 new jobs added in the past two years. The
technology and defense-related sectors, which experienced
significant job losses, are beginning to turn around.
The state government has become much friendlier towards the business
community through tax cuts, regulatory reform, investing in
infrastructure, and programs to help small businesses.
[GRAPHIC OF THE STATE MASSACHUSETTS OMITTED]
Portfolio Overview
Based on market value as of September 30, 1996
Number of issues 49
Average quality AA
Investment grade 95.1%
Effective maturity 8.27 yrs.
Largest sectors:
Insured housing 16.8*%
Escrowed/prerefunded 12.8
Hospitals 12.5
Insured general obligations 10.3*
General obligations 8.4
* Private insurance does not remove the market risks associated with
this investment.
[GRAPHIC OF WATER PIPE OMITTED]
Your investment at work
Massachusetts Water
Resources Authority
Revenue Bonds
The Massachusetts Water Resources Authority was created in 1985 and
assumed control of the waterworks and sewer systems that provide
wholesale services to cities and towns located primarily in eastern
Massachusetts. The Authority's service area includes, in whole or
part, sixty cities and towns encompassing a population of 2.5
million people. Since its creation in 1985, the Authority has made
significant headway toward meeting statutory environmental mandates.
Its centerpiece achievement has been its progress toward the
construction of a new wastewater treatment plant for Boston Harbor.
Due to its increasingly sound financial practices, the Authority has
enjoyed strong financial performance in recent years. These bonds
provide an attractive 7.5% coupon from a strong issuer, while
helping fund improvements for essential services.
The Portfolio's Five Largest Holdings*
Massachusetts Housing Finance Agency (AMBAC)
Harborpoint Development
Aaa/AAA 6.20% 12/1/10
Massachusetts Housing Finance Agency (MBIA)
Aaa/AAA 6.125% 12/1/11
Massachusetts Health & Educational Facilities Authority
Daughters of Charity
Aa/NR 5.75% 7/1/02
Massachusetts Bay Transportation Authority (AMBAC)
Aaa/AAA 5.25% 3/1/11
Massachusetts Water &
Resource Authority
Aaa/AAA 7.5% 4/1/09
*By market value as of September 30, 1996.
EV Marathon Michigan Limited Maturity Municipals Fund
The State of the State: Michigan
The Michigan economy continued to gather momentum in the first half
of 1996 and has now expanded more than twice as fast as the nation
in the 5-year period since 1991. The state's August unemploy-ment
rate was 4.5%, well below the national rate of 5.1%. The state
enjoys a $1.1 billion fiscal surplus, as tax receipts continue to
run above the pace of previous fiscal years. The Michigan economy
has been boosted by the resurgence in the auto industry, which now
accounts for 11% of the state's workforce. Detroit's Big Three
enjoyed profits totalling $13 billion in 1995, and as a signal of
confidence in the industry's future, Chrysler and General Motors
have each unveiled plans to spend more than $1 billion to expand
manufacturing plant facilities in the state. Meanwhile, the state
has had success in drawing foreign investments. A revamped tax code
is generally viewed as friendlier to business and is seen as a
strong incentive to relocate within the state. For example, Thyssen,
a large German steel producer, has announced plans to build a steel
processing plant in the metropolitan Detroit area. Elsewhere, state
welfare caseloads continue to decline, recently reaching 90,000, a
record low. Meanwhile, the state's wage and salary levels continue
to rise.
[GRAPHIC OF THE STATE MICHIGAN OMITTED]
Portfolio Overview
Based on market value as of September 30, 1996
Number of issues 28
Average quality A+
Investment grade 98.4%
Effective maturity 8.98 yrs.
Largest sectors:
Escrowed/prerefunded 18.3%
Insured general obligations 16.2*
Hospitals 14.3
Special tax revenue 11.8
General obligations 8.6
* Private insurance does not remove the market risks associated
with this investment.
[GRAPHIC OF MEDICAL SYMBOL OMITTED]
Your investment at work
City of Flint, MI
Hospital Building Authority
Hurley Medical Center
The Flint Hospital Building Authority was organized in 1948 and
authorized to issue bonds to finance the acquisition, furnishing,
equipping, operation, maintenance and repair of hospital-related
facilities serving the City's residents. The Hurley Medical Center
is a well-regarded, 495-bed, tertiary care teaching facility in the
Flint area. Hurley Center is in tune with the Portfolio's more
selective stance toward health care issues. In an increasingly
competitive health care industry, the Portfolio has focused on
facilities that are well-positioned due to demographics or market
niche.
Interest and principal payments are made by the Authority from cash
rentals paid by the City of Flint based on revenues generated by the
Medical Center. This Baa/NR bond has a 6% coupon and reflects the
Portfolio's efforts to find value in non-rated and lower-rated
investment quality bonds.
The Portfolio's Five Largest Holdings*
Grand Ledge, MI
Public School District (MBIA)
Aaa/AAA 7.875% 10/1/04
Battle Creek, MI
Downtown Development Authority
NR/BBB+ 6.65% 5/1/02
Monroe County, MI
The Detroit Edison Company (AMBAC)
Aaa/AAA 6.35% 12/1/04
Michigan State Housing
Development Authority
NR/A+ 6.00% 4/1/01
Michigan State Hospital
Finance Authority
Gratiot Community Hospital
NR/BBB 6.10% 10/1/07
*By market value as of September 30, 1996.
EV Marathon New Jersey Limited Maturity Municipals Fund
The State of the State: New Jersey
The New Jersey economy has showed signs of improvement but continues
to lag the national trends. The state's August unemployment rate of
6.1% was somewhat higher than the national rate. The bulk of new
jobs produced in New Jersey during the six-month period has been in
the services sector, including business services, healthcare, and
retail trade. The construction sector has presented a mixed picture.
Through the first four months of 1996, residential construction
permits declined 11% from the same period a year ago, in part due to
unfavorable weather conditions. Highway and other infrastructure
projects, however, increased significantly. The administration's
regulatory reforms have helped draw businesses to the state, which
has boosted job growth. New Jersey's budget continues to enjoy a
healthy surplus, although payments to the state pension fund have
been reduced. The state's three-year, 30% tax cut and continuing
cost controls continue to give New Jersey a high profile among
states seeking to lift economic growth. New Jersey revenues rose to
$4.7 billion in 1995 from $4.5 billion in 1994.
[GRAPHIC OF THE STATE NEW JERSEY OMITTED]
Portfolio Overview
Based on market value as of September 30, 1996
Number of issues 63
Average quality AA
Investment grade 99.2%
Effective maturity 8.95 yrs.
Largest sectors:
Insured general obligations 21.4%*
Insured transportation 13.6*
General obligations 10.2
Housing 7.8
Escrowed 6.9
* Private insurance does not remove the market risks associated with
this investment.
[GRAPHIC OF AIRPLANE OMITTED]
Your investment at work
Port of New York and New Jersey
Special Project Bonds
Delta Air Lines, Inc. Project
The Port Authority of New York and New Jersey is a joint authority
that oversees the administration of the area's metropolitan
airports, sea terminals, tunnels, and highways. This bond provided
funding for a construction project on the Delta Airlines passenger
terminal building at LaGuardia Airport, together with construction
and maintenance of aircraft loading positions, airport roads, runway
aprons and taxiways, aircraft parking areas, and automobile parking
areas. While contributing to job creation in the metropolitan New
York/New Jersey area, the project upgraded facilities at one of the
nation's busiest airports. This issue is rated Baa3/BB+ by Moody's
and Standard & Poor's, respectively, and has a 6.1% coupon.
The Portfolio's Five Largest Holdings*
New Jersey Housing &
Mortgage Finance Agency
NR/A+ 6.50% 11/1/03
Jersey City, New Jersey
School District
A/AA 6.25% 10/1/10
New Jersey Economic Development Authority
Heating & Cooling
Trigen-Trenton Project
NR/BBB- 6.10% 12/1/04
Puerto Rico Aqueduct &
Sewer Authority
Baa1/AAA 7.875% 7/1/17
State of New Jersey
Rutgers, The State University (MBIA)
A1/AA 6.2% 5/1/04
*By market value as of September 30, 1996.
EV Marathon New York Limited Maturity Municipals Fund
The State of the State: New York
New York's economy has continued its relatively slow rate of growth
in 1996, with mediocre economic results for the state offset by a
Wall Street-led recovery in New York City. The securities industry,
concentrated primarily in New York City, has emerged as a key part
of the state's overall economy, accounting for 2.5% of the state's
private sector employment and over 5% for that of New York City.
Average wages for the securities industry, at $127,800 in 1995, are
among the highest in the state. By comparison, average wages
excluding this industry were $32,300 in 1995. Overall, employment in
the state is up 1% over the previous year, and this rate of growth
is not expected to change significantly through 1997. The
unemployment rate, at 6.4% in July of this year, was more than a
full percentage point higher than that of the nation. New York is
still one of the wealthiest states in the country, with a personal
income that is 118% of the nation, but the rate of growth in
personal income has slowed considerably since the 1990-1991
recession.
New York's budget has been balanced due to higher than expected
revenues from the securities industry, but problems remain. Though
the governor's three-year income tax cut was implemented for the
1996-97 budget, spending cuts have been slow to materialize. And
with the enactment of the new federal welfare bill, New York's
costly social programs could become especially burdensome if not
brought under stricter control.
[GRAPHIC OF THE STATE NEW YORK OMITTED]
Portfolio Overview
Based on market value as of September 30, 1996
Number of issues 55
Average quality AA-
Investment grade 99.2%
Effective maturity 8.60 yrs.
Largest sectors:
Transportation 12.4%
Education 10.4
General obligation 10.2
Insured transportation 9.7*
Escrowed/prerefunded 9.5
* Private insurance does not remove the market risks associated with
this investment.
[GRAPHIC OF GRADUATION CAP OMITTED]
Your investment at work
Dormitory Authority of the
State of New York
State University of New York
The Dormitory Authority of New York State provides financing for
construction and repair projects to public and private educational
facilities throughout the state, including projects for the many
campuses of the State University system. Rated Aaa by Moody's, these
escrowed bonds provide an attractive 6.75% coupon from a well-
regarded issuer. Escrowed bonds are bonds that have been pre-
refunded by the issuers to take advantage of a lower rate
environment. Refundings hit the market in large supply in 1992 and
1993 as interest rates declined sharply. The large number of
refundings created a huge supply on the market and an unusual
opportunity in the intermediate range of the market. These bonds
have a stated maturity of 2021 but have been refunded to 2002. As a
result, investors enjoy the yield of a longer-maturity bond, but
with the volatility of a shorter-maturity bond.
The Portfolio's Five Largest Holdings:*
Dormitory Authority of the
State of New York
University of Rochester
A1/A+ 6.50% 7/1/09
New York State Energy Research & Development Authority: Central
Hudson Gas (FGIC)
Aaa/AAA 7.375% 10/1/14
New York City
Housing Development Corporation (Multi-Family)
Aa/AA 5.625% 5/1/12
New York State Medical Care Facilities Finance Agency
New York State Hospital (AMBAC)
Aaa/AAA 6.1% 2/15/04
New York Urban Development Corporation
Baa1/BBB 5.375% 1/1/15
*By market value as of September 30, 1996.
EV Marathon Ohio Limited Maturity Municipals Fund
The State of the State: Ohio
Ohio has benefited in the past few years from an increasing
diversification of its economy. The state has relied historically on
manufacturing, but this sector has declined in importance, following
a national trend. Still, manufacturing remains a larger percentage
of the economy in Ohio than in the U.S. According to the Federal
Reserve Bank of Cleveland, 17% of Ohio's workers were categorized as
operators, fabricators, and laborers, versus 14% nationally. This
could explain a projected growth rate that is slower in Ohio than it
is in the U.S. The FRBC estimates that through the year 2005, the
U.S. economy will grow at an average annual rate of 1.5%, compared
to 1.1% in Ohio. Nevertheless, the diversifying economy - led by the
service and trade sectors - has brought much stability to the
state, and the positive effects of economic diversification should
continue.
Ohio's government has done an admirable job of managing the state's
finances, with significant cuts in spending leading to budgetary
surpluses over the past few years. Moreover, the budget is balanced
through 1997. This conservative fiscal management has earned the
state high bond ratings from both Moody's and Standard & Poor's.
[GRAPHIC OF THE STATE OHIO OMITTED]
Portfolio Overview
Based on market value as of September 30, 1996
Number of issues 36
Average quality AA-
Investment grade 88.5%
Effective maturity 8.52 yrs.
Largest sectors:
Insured general obligations 24.4%*
Hospitals 15.7
General obligations 14.2
Industrial development revenue 8.5
Escrowed 7.4
* Private insurance does not remove the market risks associated with
this investment.
[GRAPHIC OF MEDICAL SYMBOL OMITTED]
Your investment at work
County of Erie, OH Hospital Improvement Bonds
Firelands Community
Hospital Project
Firelands Community Hospital is an acute care, community-based,
general hospital located in Sandusky, Ohio. With over 220 beds in
two facilities, Firelands provides a full range of allopathic and
osteopathic services to the residents of Sandusky and Erie County.
The hospital benefits from a favorable niche position as the only
hospital in the county to offer obstetrical, psychiatric, physical
rehabilitation, outpatient mental health, and chemical dependency
treatment. Firelands also serves as a teaching site for medical
interns enrolled at area universities. With an attractive coupon of
6.75%, this issue, rated A/A- by Moody's and Standard & Poor's,
respectively, represents the Portfolio's ongoing focus on value in
lower-rated investment-grade bonds.
The Portfolio's Five Largest Holdings*
Southwest Licking, OH
School Facilities Improvement (FGIC)
Aaa/AAA 7.10% 12/1/16
West Clermont, OH
School District (AMBAC)
Aaa/AAA 6.90% 12/1/12
Mt. Vernon County, OH
Local School District (FGIC)
Aaa/AAA 7.5% 12/1/14
The Student Loan Funding Corporation
of Cincinnati, OH (AMT)
A1/NR 5.95% 8/1/05
Ohio State Public Facilities Commission
Higher Educational Facilities (AMBAC)
Aaa/AAA 4.3% 12/1/08
*By market value as of September 30, 1996.
EV Marathon Pennsylvania Limited Maturity Municipals Fund
The State of the State: Pennsylvania
While the national economy continues to register growth, progress in
Pennsylvania has been uneven, with the lower-cost, centrally located
areas continuing to outpace the Pittsburgh and Philadelphia
metropolitan areas. Mirroring the job growth at the national level,
Pennsylvania experienced a surge in employment gains in the early
summer months. In July, the Common-wealth's unemployment rate was
5.1%, unchanged from June. Total employment reached its highest
level in seven years. The construction industry was responsible for
the bulk of new jobs added during the summer, as the industry saw a
surge in housing starts that exceeded most expectations. Retail
trade, services and government also added significantly to the job
picture. Personal income levels for commonwealth residents continued
to rise in recent months, fueling the improvement in the retail
sector. Pennsylvania's fiscal outlook continues to improve, having
benefited from tax reforms, government cost controls, and a slowly
improving economy.
[GRAPHIC OF THE STATE PENNSYLVANIA OMITTED]
Portfolio Overview
Based on market value as of September 30, 1996
Number of issues 51
Average quality AA-
Investment grade 93.7%
Effective maturity 8.40 yrs.
Largest sectors:
Hospitals 21.4%
Escrowed 16.2
Insured hospitals 12.6*
Education 8.8
Insured general obligations 6.1*
* Private insurance does not remove the market risks associated with
this investment.
[GRAPHIC OF MEDICAL SYMBOL OMITTED]
Your investment at work
Montour County, PA
Health System
Revenue Bonds
Geisinger Authority
Geisinger is a regional, multi-institutional, health care system,
serving a population of approximately two million residents in
central and northeastern Pennsylvania. The Geisinger facilities
obligated by these bonds include two medical centers with over 800
beds, a group medical practice with 500 physicians, and a substance
abuse center. The medical centers, located in Danville and Wilkes-
Barre, provide multi-specialty medical services, treatment of
alcohol and drug dependency, management and consultative services,
and continuing medical education. These bonds are rated Aa/AA by
Moody's and Standard & Poor's, respectively. Issued by a well-
respected health services practitioner, the bonds have a very
attractive coupon of 7.375%, which helps to boost the Fund's income
while narrowing the Portfolio's focus in an increasingly selective
health care sector.
The Portfolio's Five Largest Holdings*
Pennsylvania Higher Education Facilities Authority
University of Pennsylvania Hospital
Aa/AA 5.875% 1/1/15
Pennsylvania State
Turnpike Commission (AMBAC)
Aaa/AAA 6.25% 6/1/11
Pottsville, PA Hospital Authority
Daughters of Charity
Aa/NR 5.00% 8/15/12
Philadelphia Municipal Authority
Justice Lease Revenue Bonds (FGIC)
Aaa/AAA 7.10% 11/15/11
Commonwealth of Pennsylvania (AMBAC)
Aaa/AAA 5.0% 11/15/11
*By market value as of September 30, 1996.
EV Marathon Limited Maturity Municipals Funds
Financial Statements
<TABLE>
<CAPTION>
Statements of Assets and Liabilities
September 30, 1996 (Unaudited)
Marathon Marathon Marathon Marathon Marathon
California Connecticut Florida Massachusetts Michigan
Limited Fund Limited Fund Limited Fund Limited Fund Limited Fund
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments --
Identified cost $ 46,390,937 $ 12,277,697 $ 96,501,427 $ 75,969,195 $ 15,328,698
Unrealized appreciation 1,198,297 196,906 2,627,567 1,569,654 350,742
------------ ------------ ------------ ------------ ------------
Total investment in Portfolio, at value
(Note 1A) $ 47,589,234 $ 12,474,603 $ 99,128,994 $ 77,538,849 $ 15,679,440
Receivable for Fund shares sold -- -- 500 57,322 --
Other assets -- -- 2,161 1,952 --
Deferred organization expenses
(Note 1D) 4,007 6,363 5,002 4,522 7,301
------------ ------------ ------------ ------------ ------------
Total assets $ 47,593,241 $ 12,480,966 $ 99,136,657 $ 77,602,645 $ 15,686,741
------------ ------------ ------------ ------------ ------------
Liabilities:
Dividends payable $ 73,788 $ 17,983 $ 153,133 $ 116,576 $ 23,863
Payable for Fund shares redeemed 80,654 26,592 225,494 38,639 186,893
Payable to affiliate --
Trustees' fees 417 41 834 417 41
Accrued expenses 26,280 6,170 53,188 43,329 7,370
------------ ------------ ------------ ------------ ------------
Total liabilities $ 181,139 $ 50,786 $ 432,649 $ 198,961 $ 218,167
------------ ------------ ------------ ------------ ------------
Net Assets $ 47,412,102 $ 12,430,180 $ 98,704,008 $ 77,403,684 $ 15,468,574
============ ============ ============ ============ ============
Sources of Net Assets:
Paid-in capital $ 49,045,782 $ 12,683,664 $100,080,772 $ 78,489,794 $ 16,181,723
Accumulated net realized loss on
investment and financial futures
transactions (computed on the basis
of identified cost) (2,723,109) (494,738) (3,759,770) (2,515,923) (1,069,987)
Accumulated undistributed (distributions
in excess of) net investment income (108,868) 44,348 (244,561) (139,841) 6,096
Unrealized appreciation of investments and
financial futures contracts from Portfolio
(computed on the basis of identified cost) 1,198,297 196,906 2,627,567 1,569,654 350,742
------------ ------------ ------------ ------------ ------------
Total $ 47,412,102 $ 12,430,180 $ 98,704,008 $ 77,403,684 $ 15,468,574
============ ============ ============ ============ ============
Class I
Net Assets $ 40,809,414 $ 12,430,180 $ 81,885,995 $ 63,216,574 $ 15,468,574
============ ============ ============ ============ ============
Shares of beneficial interest outstanding 4,066,281 1,265,783 8,100,685 6,292,373 1,592,176
============ ============ ============ ============ ============
Net Asset Value Offering Price
and Redemption Price Per Share (Note 6) $10.04 $ 9.82 $10.11 $10.05 $ 9.72
====== ====== ====== ====== ======
Class II
Net Assets $ 6,602,688 $ -- $ 16,818,013 $ 14,187,110 $ --
============ ============ ============ ============ ============
Shares of beneficial interest outstanding 657,814 -- 1,663,633 1,412,021 --
============ ============ ============ ============ ============
Net Asset Value and Redemption Price
Per Share $10.04 $ -- $10.11 $10.05 $ --
====== ====== ====== ====== ======
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Statements of Assets and Liabilities
September 30, 1996 (Unaudited)
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Limited Fund Limited Fund Limited Fund Limited Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Assets:
Investments --
Identified cost $ 66,463,776 $114,884,079 $ 27,134,978 $ 71,236,500
Unrealized appreciation 1,507,700 1,328,976 580,183 1,700,213
------------ ------------ ------------ ------------
Total investment in Portfolio, at value
(Note 1A) $ 67,971,476 $116,213,055 $ 27,715,161 $ 72,936,713
Receivable for Fund shares sold -- 50,460 3,308 67,490
Other assets -- 1,321 -- --
Deferred organization expenses
(Note 1D) 4,447 4,953 5,938 4,652
------------ ------------ ------------ ------------
Total assets $ 67,975,923 $116,269,789 $ 27,724,407 $ 73,008,855
------------ ------------ ------------ ------------
Liabilities:
Dividends payable $ 103,893 $ 175,627 $ 42,764 $ 114,937
Payable for Fund shares redeemed 366,161 306,060 133,509 143,643
Payable to affiliate --
Trustees' fees 417 834 -- 417
Accrued expenses 37,577 61,015 12,605 41,595
------------ ------------ ------------ ------------
Total liabilities $ 508,048 $ 543,536 $ 188,878 $ 300,592
------------ ------------ ------------ ------------
Net Assets $ 67,467,875 $115,726,253 $ 27,535,529 $ 72,708,263
============ ============ ============ ============
Sources of Net Assets:
Paid-in capital $ 68,583,491 $117,782,691 $ 28,221,457 $ 73,386,594
Accumulated net realized loss on
investment and financial futures
transactions (computed on the basis
of identified cost) (2,496,032) (3,114,245) (1,378,011) (2,261,310)
Accumulated undistributed (distributions
in excess of) net investment income (127,284) (271,169) 111,900 (117,234)
Unrealized appreciation of investments and
financial futures contracts from Portfolio
(computed on the basis of identified cost) 1,507,700 1,328,976 580,183 1,700,213
------------ ------------ ------------ ------------
Total $ 67,467,875 $115,726,253 $ 27,535,529 $ 72,708,263
============ ============ ============ ============
Class I
Net Assets $ 54,479,251 $ 98,419,363 $ 27,535,529 $ 57,127,087
============ ============ ============ ============
Shares of beneficial interest outstanding 5,400,056 9,744,818 2,791,989 5,634,951
============ ============ ============ ============
Net Asset Value, Offering Price and
Redemption Price (Note 6) Per Share $10.09 $10.10 $ 9.86 $10.14
====== ====== ====== ======
Class II
Net Assets $ 12,988,624 $ 17,306,890 $ -- $ 15,581,176
============ ============ ============ ============
Shares of beneficial interest outstanding 1,287,252 1,713,434 -- 1,536,788
============ ============ ============ ============
Net Asset Value and Redemption Price
Per Share $10.09 $10.10 -- $10.14
====== ====== ====== ======
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Statements of Operations
Six Months Ended September 30, 1996 (Unaudited)
Marathon Marathon Marathon Marathon Marathon
California Connecticut Florida Massachusetts Michigan
Limited Fund Limited Fund Limited Fund Limited Fund Limited Fund
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Investment Income (Note 1B):
Interest income allocated from Portfolio $ 1,431,772 $ 346,269 $ 2,922,810 $ 2,296,345 $ 507,199
Expenses allocated from Portfolio (164,003) (35,191) (314,482) (246,902) (69,591)
------------ ------------ ------------ ------------ ------------
Net investment income from Portfolio $ 1,267,769 $ 311,078 $ 2,608,328 $ 2,049,443 $ 437,608
------------ ------------ ------------ ------------ ------------
Expenses --
Compensation of Trustees not
members of the Administrator's
organization $ 828 $ 82 $ 1,655 $ 828 $ 82
Distribution fees (Note 5) --
Class I 222,079 56,189 460,815 359,824 78,703
Class II 1,690 -- 4,099 3,456 --
Custodian fees 3,098 1,442 5,824 4,742 1,676
Transfer and dividend disbursing
agent fees 14,265 4,220 39,727 27,821 4,983
Printing and postage 9,479 5,111 1,913 15,894 5,668
Legal and accounting services 9,030 7,633 9,057 9,051 9,013
Amortization of organization expenses
(Note 1D) 3,052 2,038 3,817 3,365 2,020
Miscellaneous 5,685 1,521 17,528 5,788 4,041
------------ ------------ ------------ ------------ ------------
Total expenses $ 269,206 $ 78,236 $ 544,435 $ 430,769 $ 106,186
------------ ------------ ------------ ------------ ------------
Net investment income $ 998,563 $ 232,842 $ 2,063,893 $ 1,618,674 $ 331,422
------------ ------------ ------------ ------------ ------------
Realized and Unrealized Gain
(Loss) on Investments:
Net realized gain (loss) from Portfolio --
Investment transactions (identified
cost basis) $ (112,157) $ 10,467 $ (410,332) $ (198,462) $ 146,153
Financial futures contracts (326,980) (38,964) (554,160) (311,097) (87,799)
------------ ------------ ------------ ------------ ------------
Net realized gain (loss) $ (439,137) $ (28,497) $ (964,492) $ (509,559) $ 58,354
Change in unrealized appreciation
of investments and financial
futures contracts 206,144 (10,906) 220,304 (47,222) (92,536)
------------ ------------ ------------ ------------ ------------
Net realized and unrealized loss $ (232,993) $ (39,403) $ (744,188) $ (556,781) $ (34,182)
------------ ------------ ------------ ------------ ------------
Net increase in net assets
from operations $ 765,570 $ 193,439 $ 1,319,705 $ 1,061,893 $ 297,240
============ ============ ============ ============ ============
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Statements of Operations
Six Months Ended September 30, 1996 (Unaudited)
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Limited Fund Limited Fund Limited Fund Limited Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B):
Interest income allocated from Portfolio $ 2,015,373 $ 3,394,709 $ 833,384 $ 2,234,930
Expenses allocated from Portfolio (212,495) (359,911) (98,789) (241,347)
------------ ------------ ------------ ------------
Net investment income from Portfolio $ 1,802,878 $ 3,034,798 $ 734,595 $ 1,993,583
------------ ------------ ------------ ------------
Expenses --
Compensation of Trustees not
members of the Administrator's
organization $ 828 $ 1,655 $ 82 $ 828
Distribution fees (Note 5) --
Class I 311,592 540,026 141,270 327,878
Class II 3,080 4,127 -- 4,422
Custodian fees 4,194 6,536 2,013 4,440
Transfer and dividend disbursing
agent fees 24,501 42,944 7,279 25,595
Printing and postage 14,289 19,905 7,333 13,808
Legal and accounting services 9,212 9,051 8,716 9,255
Amortization of organization expenses
(Note 1D) 3,355 3,781 2,009 3,497
Miscellaneous 3,943 6,341 5,084 6,919
------------ ------------ ------------ ------------
Total expenses $ 374,994 $ 634,366 $ 173,786 $ 396,642
------------ ------------ ------------ ------------
Net investment income $ 1,427,884 $ 2,400,432 $ 560,809 $ 1,596,941
------------ ------------ ------------ ------------
Realized and Unrealized Gain
(Loss) on Investments:
Net realized gain (loss) from Portfolio --
Investment transactions (identified
cost basis) $ 13,164 $ (52,907) $ 152,370 $ 268,365
Financial futures contracts (279,688) (535,587) (79,700) (529,915)
------------ ------------ ------------ ------------
Net realized gain (loss) $ (266,524) $ (588,494) $ 72,670 $ (261,550)
Change in unrealized appreciation
of investments and financial
futures contracts 62,156 (65,026) (10,292) (244,909)
------------ ------------ ------------ ------------
Net realized and unrealized
gain (loss) $ (204,368) $ (653,520) $ 62,378 $ (506,459)
------------ ------------ ------------ ------------
Net increase in net assets
from operations $ 1,223,516 $ 1,746,912 $ 623,187 $ 1,090,482
============ ============ ============ ============
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
Six Months Ended September 30, 1996 (Unaudited)
Marathon Marathon Marathon Marathon Marathon
California Connecticut Florida Massachusetts Michigan
Limited Fund Limited Fund Limited Fund Limited Fund Limited Fund
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 998,563 $ 232,842 $ 2,063,893 $ 1,618,674 $ 331,422
Net realized gain (loss) on investments (439,137) (28,497) (964,492) (509,559) 58,354
Change in unrealized appreciation
of investments 206,144 (10,906) 220,304 (47,222) (92,536)
------------ ------------ ------------ ------------ ------------
Net increase in net assets from
operations $ 765,570 $ 193,439 $ 1,319,705 $ 1,061,893 $ 297,240
------------ ------------ ------------ ------------ ------------
Distributions to shareholders (Note 2) --
From net investment income
Class I $ (945,467) $ (232,842) $ (1,937,960) $ (1,502,432) $ (331,422)
Class II (53,096) -- (125,933) (107,366) --
In excess of net investment income
Class I (15,028) (5,964) (43,539) -- (12,318)
Class II (991) -- (4,325) -- --
------------ ------------ ------------ ------------ ------------
Total distributions to shareholders $ (1,014,582) $ (238,806) $ (2,111,757) $ (1,609,798) $ (343,740)
------------ ------------ ------------ ------------ ------------
Transactions in shares of beneficial
interest (Note 3) --
Proceeds from sales of shares
Class I $ 255,099 $ 400,599 $ 1,118,285 $ 646,755 $ 118,281
Net asset value of shares issued to
shareholders in payment
of distributions declared
Class I 464,445 158,082 950,816 918,302 188,330
Class II 15,206 -- 33,601 43,253 --
Cost of shares redeemed
Class I (6,544,786) (1,097,215) (17,296,265) (13,683,788) (3,496,892)
Class II (770,332) -- (2,091,726) (1,781,571) --
Net asset value of shares exchanged
Class I (7,344,918) -- (18,864,563) (15,882,005) --
Class II 7,344,918 -- 18,864,563 15,882,005 --
------------ ------------ ------------ ------------ ------------
Decrease in net assets from
Fund share transactions $ (6,580,368) $ (538,534) $(17,285,289) $(13,857,049) $ (3,190,281)
------------ ------------ ------------ ------------ ------------
Net decrease in net assets $ (6,829,380) $ (583,901) $(18,077,341) $(14,404,954) $ (3,236,781)
Net Assets:
At beginning of period 54,241,482 13,014,081 116,781,349 91,808,638 18,705,355
------------ ------------ ------------ ------------ ------------
At end of period $ 47,412,102 $ 12,430,180 $ 98,704,008 $ 77,403,684 $ 15,468,574
============ ============ ============ ============ ============
Accumulated undistributed
(distributions in excess of) net
investment income included in net
assets at end of year $ (108,868) $ 44,348 $ (244,561) $ (139,841) $ 6,096
============ ============ ============ ============ ============
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
Six Months Ended September 30, 1996 (Unaudited)
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Limited Fund Limited Fund Limited Fund Limited Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 1,427,884 $ 2,400,432 $ 560,809 $ 1,596,941
Net realized gain (loss) on investments (266,524) (588,494) 72,670 (261,550)
Change in unrealized appreciation
of investments 62,156 (65,026) (10,292) (244,909)
------------ ------------ ------------ ------------
Net increase in net assets from
operations $ 1,223,516 $ 1,746,912 $ 623,187 $ 1,090,482
------------ ------------ ------------ ------------
Distributions to shareholders (Note 2) --
From net investment income
Class I $ (1,327,270) $ (2,273,047) $ (560,809) $ (1,428,044)
Class II (96,784) (127,385) -- (141,697)
In excess of net investment income
Class I -- (44,600) (8,617) --
Class II -- (1,514) -- --
------------ ------------ ------------ ------------
Total distributions to shareholders $ (1,424,054) $ (2,446,546) $ (569,426) $ (1,569,741)
------------ ------------ ------------ ------------
Transactions in shares of beneficial
interest (Note 3) --
Proceeds from sales of shares
Class I $ 519,858 $ 635,695 $ 522,003 $ 849,639
Net asset value of shares issued to
shareholders in payment
of distributions declared
Class I 888,787 1,485,351 375,332 833,202
Class II 37,884 50,574 -- 29,705
Cost of shares redeemed
Class I (10,320,047) (16,489,055) (3,174,340) (10,713,728)
Class II (1,497,090) (3,102,841) -- (2,218,091)
Net asset value of shares exchanged
Class I (14,388,955) (20,333,964) -- (17,684,154)
Class II 14,388,955 20,333,964 -- 17,684,154
------------ ------------ ------------ ------------
Decrease in net assets from
Fund share transactions $(10,370,608) $(17,420,276) $ (2,277,005) $(11,219,273)
------------ ------------ ------------ ------------
Net decrease in net assets $(10,571,146) $(18,119,910) $ (2,223,244) $(11,698,532)
Net Assets:
At beginning of period 78,039,021 133,846,163 29,758,773 84,406,795
------------ ------------ ------------ ------------
At end of period $ 67,467,875 $115,726,253 $ 27,535,529 $ 72,708,263
============ ============ ============ ============
Accumulated undistributed
(distributions in excess of) net
investment income included in net
assets at end of year $ (127,284) $ (271,169) $ 111,900 $ (117,234)
============ ============ ============ ============
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
Year Ended March 31, 1996
Marathon Marathon Marathon Marathon Marathon
California Connecticut Florida Massachusetts Michigan
Limited Fund Limited Fund Limited Fund Limited Fund Limited Fund
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 2,430,286 $ 556,922 $ 5,004,434 $ 3,877,768 $ 884,709
Net realized gain (loss) on investments 685,890 37,555 467,460 (29,836) 276,050
Change in unrealized appreciation
of investments 374,647 239,758 1,319,556 1,657,419 34,463
------------ ------------ ------------ ------------ ------------
Net increase in net assets from
operations $ 3,490,823 $ 834,235 $ 6,791,450 $ 5,505,351 $ 1,195,222
------------ ------------ ------------ ------------ ------------
Distributions to shareholders
(Class I) (Note 2) --
From net investment income $ (2,430,286) $ (551,156) $ (5,004,434) $ (3,877,768) $ (861,813)
In excess of net investment income (25,299) -- (78,461) (58,748) --
------------ ------------ ------------ ------------ ------------
Total distributions to shareholders $ (2,455,585) $ (551,156) $ (5,082,895) $ (3,936,516) $ (861,813)
------------ ------------ ------------ ------------ ------------
Transactions in shares of beneficial
interest (Note 3) --
Proceeds from sales of shares $ 1,279,875 $ 804,443 $ 6,589,116 $ 3,102,845 $ 435,247
Net asset value of shares issued to
shareholders in payment
of distributions declared 1,169,614 355,300 2,390,452 2,315,310 486,147
Cost of shares redeemed (23,100,091) (4,041,652) (43,488,206) (28,516,530) (8,597,683)
------------ ------------ ------------ ------------ ------------
Decrease in net assets from
Fund share transactions $(20,650,602) $ (2,881,909) $(34,508,638) $(23,098,375) $ (7,676,289)
------------ ------------ ------------ ------------ ------------
Net decrease in net assets $(19,615,364) $ (2,598,830) $(32,800,083) $(21,529,540) $ (7,342,880)
Net Assets:
At beginning of year 73,856,846 15,612,911 149,581,432 113,338,178 26,048,235
------------ ------------ ------------ ------------ ------------
At end of year $ 54,241,482 $ 13,014,081 $116,781,349 $ 91,808,638 $ 18,705,355
============ ============ ============ ============ ============
Accumulated undistributed
(distributions in excess of) net
investment income included in net
assets at end of year $ (92,849) $ 50,312 $ (196,697) $ (148,717) $ 18,414
============ ============ ============ ============ ============
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
Year Ended March 31, 1996
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Limited Fund Limited Fund Limited Fund Limited Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 3,269,114 $ 5,568,639 $ 1,306,505 $ 3,606,448
Net realized gain (loss) on investments 100,958 263,252 201,615 (333,806)
Change in unrealized appreciation
of investments 818,497 2,159,272 155,302 1,588,869
------------ ------------ ------------ ------------
Net increase in net assets from
operations $ 4,188,569 $ 7,991,163 $ 1,663,422 $ 4,861,511
------------ ------------ ------------ ------------
Distributions to shareholders
(Class I) (Note 2) --
From net investment income $ (3,269,114) $ (5,568,639) $ (1,240,802) $ (3,606,448)
In excess of net investment income (23,528) (226,436) -- (93,394)
------------ ------------ ------------ ------------
Total distributions to shareholders $ (3,292,642) $ (5,795,075) $ (1,240,802) $ (3,699,842)
------------ ------------ ------------ ------------
Transactions in shares of beneficial
interest (Note 3) --
Proceeds from sales of shares $ 1,519,569 $ 4,503,742 $ 823,945 $ 3,135,022
Net asset value of shares issued to
shareholders in payment
of distributions declared 2,124,271 3,728,559 820,409 2,153,945
Cost of shares redeemed (19,862,245) (43,273,612) (6,586,968) (25,596,793)
------------ ------------ ------------ ------------
Decrease in net assets from
Fund share transactions $(16,218,405) $(35,041,311) $ (4,942,614) $(20,307,826)
------------ ------------ ------------ ------------
Net decrease in net assets $(15,322,478) $(32,845,223) $ (4,519,994) $(19,146,157)
Net Assets:
At beginning of year 93,361,499 166,691,386 34,278,767 103,552,952
------------ ------------ ------------ ------------
At end of year $ 78,039,021 $133,846,163 $ 29,758,773 $ 84,406,795
============ ============ ============ ============
Accumulated undistributed
(distributions in excess of) net
investment income included in net
assets at end of year $ (131,114) $ (225,055) $ 120,517 $ (144,434)
============ ============ ============ ============
See notes to financial statements
</TABLE>
Financial Highlights
<TABLE>
<CAPTION>
Marathon California Limited
--------------------------------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited) Year Ended March 31,
----------------------------- ------------------------------------------------
Class I Class II** 1996 1995 1994 1993*
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 10.080 $ 9.940 $ 9.950 $ 10.050 $ 10.340 $ 10.000
-------- -------- -------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.194 $ 0.123 $ 0.385 $ 0.367 $ 0.380 $ 0.333
Net realized and unrealized
gain (loss) on investments (0.037) 0.102++ 0.134 (0.027) (0.180) 0.443
-------- -------- -------- -------- -------- --------
Total income from operations $ 0.157 $ 0.225 $ 0.519 $ 0.340 $ 0.200 $ 0.776
-------- -------- -------- -------- -------- --------
Less distributions:
From net investment income $ (0.194) $ (0.123) $ (0.385) $ (0.367) $ (0.380) $ (0.333)
In excess of net investment income (0.003) (0.002) (0.004) (0.066) (0.096) --
From net realized gain on
investment transactions -- -- -- (0.007) (0.014) --
From paid-in capital -- -- -- -- -- (0.103)
-------- -------- -------- -------- -------- --------
Total distributions $ (0.197) $ (0.125) $ (0.389) $ (0.440) $ (0.490) $ (0.436)
-------- -------- -------- -------- -------- --------
Net asset value, end of period $ 10.040 $ 10.040 $ 10.080 $ 9.950 $ 10.050 $ 10.340
======== ======== ======== ======== ======== ========
Total Return (1) 1.60% 2.07% 5.27% 3.53% 1.86% 7.67%
Ratios/Supplemental Data***:
Net assets, end of period (000 omitted) $ 40,809 $ 6,603 $ 54,241 $ 73,857 $ 82,451 $ 37,124
Ratio of net expenses to average
daily net assets (2)(4) 1.74%+ 0.94%+ 1.63% 1.55% 1.40% 1.33%+
Ratio of net expenses to average daily
net assets after custodian fee reduction (2) 1.73%+ 0.93%+ 1.59% -- -- --
Ratio of net investment income to
average daily net assets 3.88%+ 4.64%+ 3.81% 3.72% 3.55% 3.77%+
Portfolio Turnover (3) -- -- -- -- 0% 24%
*** For the following periods, the operating expenses of the Funds and Portfolios reflect a reduction of expenses by the
Administrator and/or Investment Adviser. Had such actions not been taken, net investment income per share and the ratios
would have been:
Net investment income per share $ 0.377 $ 0.299
======== ========
Ratios (As a percentage of
average daily net assets):
Expenses (2)(4) 1.48% 1.72%+
Net investment income 3.47% 3.38%+
+ Annualized.
++ The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of timing of
sales of Fund shares and the amount of per share realized and unrealized gains and losses at such time.
* For the period from the start of business, May 29, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to September 30, 1996.
(1) Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net
asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at
the net asset value on the payable date. Amount is computed on a nonannualized basis.
(2) Includes each Fund's share of its corresponding Portfolio's allocated expenses.
(3) Portfolio Turnover represents the rate of portfolio activity for the period while the Funds were making investments
directly in securities. The portfolio turnover rate for the period since the Funds transferred substantially all of its
investable assets to the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this
report.
(4) The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Fund to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios for each of the periods ended on or before
March 31, 1995 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Marathon Connecticut Limited
-------------------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited) Year Ended March 31,
------------------------- ---------------------------------------
Class I 1996 1995 1994*
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 9.850 $ 9.690 $ 9.690 $ 10.000
-------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.180 $ 0.379 $ 0.373 $ 0.343
Net realized and unrealized
gain (loss) on investments (0.025) 0.150 0.026 (0.243)
-------- -------- -------- --------
Total income from operations $ 0.155 $ 0.529 $ 0.399 $ 0.100
-------- -------- -------- --------
Less distributions:
From net investment income $ (0.180) $ (0.369) $ (0.373) $ (0.343)
In excess of net investment income (0.005) -- (0.026) (0.056)
In excess of net realized gain on
investment transactions -- -- -- (0.011)
-------- -------- -------- --------
Total distributions $ (0.185) $ (0.369) $ (0.399) $ (0.410)
-------- -------- -------- --------
Net asset value, end of period $ 9.820 $ 9.850 $ 9.690 $ 9.690
======== ======== ======== ========
Total Return (1) 1.62% 5.50% 4.27% 0.73%
Ratios/Supplemental Data***:
Net assets, end of period (000 omitted) $ 12,430 $ 13,014 $ 15,613 $ 14,752
Ratio of net expenses to average
daily net assets (2)(3) 1.85%+ 1.53% 1.23% 0.86%+
Ratio of net expenses to average daily
net assets after custodian fee reduction (2) 1.80%+ 1.49% -- --
Ratio of net investment income to
average daily net assets 3.69%+ 3.78% 3.89% 3.50%+
*** For the following periods, the operating expenses of the Funds and Portfolios reflect a reduction of expenses by the
Administrator and/or Investment Adviser. Had such actions not been taken, net investment income per share and the ratios
would have been:
Net investment income per share $ 0.346 $ 0.317 $ 0.229
======== ======== ========
Ratios (As a percentage of
average daily net assets):
Expenses (2)(3) 1.86% 1.81% 2.02%+
Net investment income 3.45% 3.31% 2.34%+
+ Annualized.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
(1) Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net
asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at
the net asset value on the payable date. Amount is computed on a nonannualized basis.
(2) Includes each Fund's share of its corresponding Portfolio's allocated expenses.
(3) The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Fund to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios for each of the periods ended on or before
March 31, 1995 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Marathon Florida Limited
--------------------------------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited) Year Ended March 31,
----------------------------- ------------------------------------------------
Class I Class II** 1996 1995 1994 1993*
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 10.170 $ 10.030 $ 10.080 $ 10.060 $ 10.360 $ 10.000
-------- -------- -------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.192 $ 0.121 $ 0.383 $ 0.375 $ 0.387 $ 0.333
Net realized and unrealized
gain (loss) on investments (0.056) 0.084++ 0.096 0.090 (0.200) 0.469
-------- -------- -------- -------- -------- --------
Total income from operations $ 0.136 $ 0.205 $ 0.479 $ 0.465 $ 0.187 $ 0.802
-------- -------- -------- -------- -------- --------
Less distributions:
From net investment income $ (0.192) $ (0.121) $ (0.383) $ (0.375) $ (0.387) $ (0.333)
In excess of net investment income (0.004) (0.004) (0.006) (0.058) (0.092) --
From net realized gain on
investment transactions -- -- -- (0.012) (0.008) --
From paid-in capital -- -- -- -- -- (0.109)
-------- -------- -------- -------- -------- --------
Total distributions $ (0.196) $ (0.125) $ (0.389) $ (0.445) $ (0.487) $ (0.442)
-------- -------- -------- -------- -------- --------
Net asset value, end of period $ 10.110 $ 10.110 $ 10.170 $ 10.080 $ 10.060 $ 10.360
======== ======== ======== ======== ======== ========
Total Return (1) 1.39% 1.85% 4.78% 4.79% 1.68% 7.94%
Ratios/Supplemental Data***:
Net assets, end of period (000 omitted) $ 81,886 $ 16,818 $116,781 $149,581 $162,999 $ 90,210
Ratio of net expenses to average
daily net assets (2)(4) 1.66%+ 0.89%+ 1.57% 1.50% 1.42% 1.24%+
Ratio of net expenses to average daily
net assets after custodian fee reduction (2) 1.65%+ 0.88%+ 1.56% -- -- --
Ratio of net investment income to
average daily net assets 3.83%+ 4.53%+ 3.74% 3.77% 3.57% 3.73%+
Portfolio Turnover (3) -- -- -- -- 0% 11%
*** For the following periods, the operating expenses of the Funds and Portfolios reflect a reduction of expenses by the
Administrator and/or Investment Adviser. Had such actions not been taken, net investment income per share and the ratios
would have been:
Net investment income per share $ 0.311
========
Ratios (As a percentage of
average daily net assets):
Expenses (4) 1.49%+
Net investment income 3.48%+
+ Annualized.
++ The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of timing of
sales of Fund shares and the amount of per share realized and unrealized gains and losses at such time.
* For the period from the start of business, May 29, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to September 30, 1996.
(1) Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net
asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at
the net asset value on the payable date. Amount is computed on a nonannualized basis.
(2) Includes each Fund's share of its corresponding Portfolio's allocated expenses.
(3) Portfolio Turnover represents the rate of portfolio activity for the period while the Funds were making investments directly
in securities. The portfolio turnover rate for the period since the Funds transferred substantially all of its investable
assets to the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
(4) The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Fund to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios for each of the periods ended on or before March
31, 1995 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Marathon Masschusetts Limited
--------------------------------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited) Year Ended March 31,
----------------------------- ------------------------------------------------
Class I Class II* 1996 1995 1994 1993**
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 10.100 $ 9.940 $ 9.980 $ 9.960 $ 10.270 $ 10.000
-------- -------- -------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.191 $ 0.124 $ 0.383 $ 0.383 $ 0.385 $ 0.334
Net realized and unrealized
gain (loss) on investments (0.051) 0.107++ 0.126 0.082 (0.197) 0.368
-------- -------- -------- -------- -------- --------
Total income from operations $ 0.140 $ 0.231 $ 0.509 $ 0.465 $ 0.188 $ 0.702
-------- -------- -------- -------- -------- --------
Less distributions:
From net investment income $ (0.190) $ (0.121) $ (0.383) $ (0.383) $ (0.385) $ (0.334)
In excess of net investment income -- -- (0.006) (0.055) (0.095) --
From net realized gain on
investment transactions -- -- -- (0.007) (0.018) --
From paid-in capital -- -- -- -- -- (0.098)
-------- -------- -------- -------- -------- --------
Total distributions $ (0.190) $ (0.121) $ (0.389) $ (0.445) $ (0.498) $ (0.432)
-------- -------- -------- -------- -------- --------
Net asset value, end of period $ 10.050 $ 10.050 $ 10.100 $ 9.980 $ 9.960 $ 10.270
======== ======== ======== ======== ======== ========
Total Return (1) 1.43% 2.14% 5.08% 4.84% 1.75% 6.95%
Ratios/Supplemental Data***:
Net assets, end of period (000 omitted) $ 63,217 $ 14,187 $ 91,809 $113,338 $115,121 $ 55,737
Ratio of net expenses to
average daily net assets (2)(4) 1.68%+ 0.88%+ 1.60% 1.57% 1.46% 1.24%+
Ratio of net expenses to average daily
net assets after custodian fee reduction (2) 1.66%+ 0.86%+ 1.58% -- -- --
Ratio of net investment income to
average daily net assets 3.82%+ 4.68%+ 3.71% 3.89% 3.61% 3.88%+
Portfolio Turnover (3) -- -- -- -- 2% 21%
*** For the following periods, the operating expenses of the Funds and Portfolios reflect a reduction of expenses by the
Administrator and/or Investment Adviser. Had such actions not been taken, net investment income per share and the ratios would
have been:
Net investment income per share $ 0.307
========
Ratios (As a percentage of average daily net assets):
Expenses (4) 1.55%+
Net investment income 3.57%+
+ Annualized.
++ The per share amount is not in accord with the net realized and unrelized gain (loss) for the period because of timing of
sales of Fund shares and the amount of per share realized and unrealized gains and losses at such time.
* For the period from the start of business, June 27, 1996, to September 30, 1996.
** For the period from the start of business, June 1, 1992, to March 31, 1993.
(1) Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net
asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at
the net asset value on the payable date. Amount is computed on a nonannualized basis.
(2) Includes each Fund's share of its corresponding Portfolio's allocated expenses.
(3) Portfolio Turnover represents the rate of portfolio activity for the period while the Funds were making investments directly
in securities. The portfolio turnover rate for the period since the Funds transferred substantially all of its investable
assets to the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
(4) The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Fund to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios for each of the periods ended on or before March
31, 1995 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Marathon Michigan Limited
-------------------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited) Year Ended March 31,
------------------------- ---------------------------------------
Class I 1996 1995 1994*
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 9.730 $ 9.630 $ 9.650 $ 10.000
-------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.185 $ 0.383 $ 0.364 $ 0.345
Net realized and unrealized
gain (loss) on investments (0.003) 0.090 0.030 (0.279)
-------- -------- -------- --------
Total income from operations $ 0.182 $ 0.473 $ 0.394 $ 0.066
-------- -------- -------- --------
Less distributions:
From net investment income $ (0.185) $ (0.373) $ (0.364) $ (0.345)
In excess of net investment income (0.007) -- (0.050) (0.071)
-------- -------- -------- --------
Total distributions $ (0.192) $ (0.373) $ (0.414) $ (0.416)
-------- -------- -------- --------
Net asset value, end of period $ 9.720 $ 9.730 $ 9.630 $ 9.650
======== ======== ======== ========
Total Return (1) 1.92% 4.95% 4.24% 0.37%
Ratios/Supplemental Data***:
Net assets, end of period (000 omitted) $ 15,469 $ 18,705 $ 26,048 $ 26,788
Ratio of net expenses to average
daily net assets (2)(4) 2.06%+ 1.78% 1.55% 0.91%+
Ratio of net expenses to average daily
net assets after custodian fee reduction (2) 2.03%+ 1.75% -- --
Ratio of net investment income to
average daily net assets 3.83%+ 3.92% 3.82% 3.56%+
*** For the following periods, the operating expenses of the Funds and Portfolios reflect a reduction of expenses by the
Administrator and/or Investment Adviser. Had such actions not been taken, net investment income per share and the ratios
would have been:
Net investment income per share $ 0.354 $ 0.275
======== ========
Ratios (As a percentage of
average daily net assets):
Expenses (2)(4) 1.66% 1.63%+
Net investment income 3.71% 2.84%+
+ Annualized.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
(1) Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net
asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at
the net asset value on the payable date. Amount is computed on a nonannualized basis.
(2) Includes each Fund's share of its corresponding Portfolio's allocated expenses.
(3) The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Fund to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios for each of the periods ended on or before March
31, 1995 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Marathon New Jersey Limited
--------------------------------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited) Year Ended March 31,
----------------------------- ------------------------------------------------
Class I Class II** 1996 1995 1994 1993*
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 10.110 $ 9.960 $ 10.020 $ 10.030 $ 10.350 $ 10.000
-------- -------- -------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.195 $ 0.125 $ 0.383 $ 0.370 $ 0.374 $ 0.325
Net realized and unrealized
gain (loss) on investments (0.021) 0.128++ 0.093 0.068 (0.216)++ 0.453
-------- -------- -------- -------- -------- --------
Total income from operations $ 0.174 $ 0.253 $ 0.476 $ 0.438 $ 0.158 $ 0.778
-------- -------- -------- -------- -------- --------
Less distributions:
From net investment income $ (0.194) $ (0.123) $ (0.383) $ (0.370) $ (0.374) $ (0.325)
In excess of net investment income -- -- (0.003) (0.060) (0.092) --
From net realized gain on
investment transactions -- -- -- (0.018) (0.012) --
From paid-in capital -- -- -- -- -- (0.103)
-------- -------- -------- -------- -------- --------
Total distributions $ (0.194) $ (0.123) $ (0.386) $ (0.448) $ (0.478) $ (0.428)
-------- -------- -------- -------- -------- --------
Net asset value, end of period $ 10.090 $ 10.090 $ 10.110 $ 10.020 $ 10.030 $ 10.350
======== ======== ======== ======== ======== ========
Total Return (1) 1.77% 2.35% 4.79% 4.53% 1.44% 7.71%
Ratios/Supplemental Data***:
Net assets, end of period (000 omitted) $ 54,479 $ 12,989 $ 78,039 $ 93,361 $ 99,743 $ 58,527
Ratio of net expenses to average
daily net assets (2)(4) 1.57%+ 0.82%+ 1.60% 1.56% 1.51% 1.25%+
Ratio of net expenses to average daily
net assets after custodian fee reduction (2) 1.54%+ 0.79%+ 1.58% -- -- --
Ratio of net investment income to
average daily net assets 3.59%+ 4.74%+ 3.77% 3.73% 3.50% 3.71%+
Portfolio Turnover (3) -- -- -- -- 0% 9%
*** For the following periods, the operating expenses of the Funds and Portfolios reflect a reduction of expenses by the
Administrator and/or Investment Adviser. Had such actions not been taken, net investment income per share and the ratios
would have been:
Net investment income per share $ 0.299
========
Ratios (As a percentage of average daily net assets):
Expenses (2)(4) 1.55%+
Net investment income 3.41%+
+ Annualized.
++ The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of timing of
sales of Fund shares and the amount of per share realized and unrealized gains and losses at such time.
* For the period from the start of business, June 1, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to September 30, 1996.
(1) Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net
asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at
the net asset value on the payable date. Amount is computed on a nonannualized basis.
(2) Includes each Fund's share of its corresponding Portfolio's allocated expenses.
(3) Portfolio Turnover represents the rate of portfolio activity for the period while the Funds were making investments directly
in securities. The portfolio turnover rate for the period since the Funds transferred substantially all of its investable
assets to the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
(4) The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Fund to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios for each of the periods ended on or before March
31, 1995 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Marathon New York Limited
--------------------------------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited) Year Ended March 31,
----------------------------- ------------------------------------------------
Class I Class II** 1996 1995 1994 1993*
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 10.150 $ 10.000 $ 10.030 $ 10.040 $ 10.360 $ 10.000
-------- -------- -------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.190 $ 0.121 $ 0.374 $ 0.378 $ 0.387 $ 0.327
Net realized and unrealized
gain (loss) on investments (0.046) 0.101++ 0.135 0.049 (0.219) 0.475
-------- -------- -------- -------- -------- --------
Total income from operations $ 0.144 $ 0.222 $ 0.509 $ 0.427 $ 0.168 $ 0.802
-------- -------- -------- -------- -------- --------
Less distributions:
From net investment income $ (0.190) $ (0.121) $ (0.374) $ (0.378) $ (0.387) $ (0.327)
In excess of net investment income (0.004) (0.001) (0.015) (0.055) (0.093) --
From net realized gain on
investment transactions -- -- -- (0.004) (0.008) --
From paid-in capital -- -- -- -- -- (0.115)
-------- -------- -------- -------- -------- --------
Total distributions $ (0.194) $ (0.122) $ (0.389) $ (0.437) $ (0.488) $ (0.442)
-------- -------- -------- -------- -------- --------
Net asset value, end of period $ 10.100 $ 10.100 $ 10.150 $ 10.030 $ 10.040 $ 10.360
======== ======== ======== ======== ======== ========
Total Return (1) 1.46% 2.04% 5.12% 4.41% 1.46% 7.95%
Ratios/Supplemental Data***:
Net assets, end of period (000 omitted) $ 98,419 $ 17,307 $133,846 $166,691 $178,251 $ 93,819
Ratio of net expenses to average
daily net assets (2)(4) 1.65%+ 0.84%+ 1.57% 1.51% 1.40% 1.21%+
Ratio of net expenses to average daily
net assets after custodian fee reduction (2) 1.64%+ 0.83%+ 1.55% -- -- --
Ratio of net investment income to
average daily net assets 3.85%+ 4.55%+ 3.66% 3.81% 3.56% 3.69%+
Portfolio Turnover (3) -- -- -- -- -- 11%
***For the following periods, the operating expenses of the Funds and Portfolios reflect a reduction of expenses by the
Administrator and/or Investment Adviser. Had such actions not been taken, net investment income per share and the ratios
would have been:
Net investment income per share $ 0.305
========
Ratios (As a percentage of average daily net assets):
Expenses (2)(4) 1.47%+
Net investment income 3.43%+
+ Annualized.
++ The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of timing of
sales of Fund shares and the amount of per share realized and unrealized gains and losses at such time.
* For the period from the start of business, May 29, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to September 30, 1996.
(1) Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net
asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at
the net asset value on the payable date. Amount is computed on a nonannualized basis.
(2) Includes each Fund's share of its corresponding Portfolio's allocated expenses.
(3) Portfolio Turnover represents the rate of portfolio activity for the period while the Funds were making investments directly
in securities. The portfolio turnover rate for the period since the Funds transferred substantially all of its investable
assets to the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
(4) The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Fund to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios for each of the periods ended on or before March
31, 1995 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Marathon Ohio Limited
-------------------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited) Year Ended March 31,
------------------------- ---------------------------------------
Class I 1996 1995 1994*
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 9.840 $ 9.730 $ 9.730 $ 10.000
-------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.194 $ 0.398 $ 0.382 $ 0.354
Net realized and unrealized
gain (loss) on investments 0.023 0.085 0.032 (0.194)
-------- -------- -------- --------
Total income from operations $ 0.217 $ 0.483 $ 0.414 $ 0.160
-------- -------- -------- --------
Less distributions:
From net investment income $ (0.194) $ (0.373) $ (0.382) $ (0.354)
In excess of net investment income (0.003) -- (0.032) (0.076)
-------- -------- -------- --------
Total distributions $ (0.197) $ (0.373) $ (0.414) $ (0.430)
-------- -------- -------- --------
Net asset value, end of period $ 9.860 $ 9.840 $ 9.730 $ 9.730
======== ======== ======== ========
Total Return (1) 2.24% 5.07% 4.41% 1.23%
Ratios/Supplemental Data***:
Net assets, end of period (000 omitted) $ 27,536 $ 29,759 $ 34,279 $ 32,002
Ratio of net expenses to average
daily net assets (2)(3) 1.94%+ 1.67% 1.49% 1.03%+
Ratio of net expenses to average daily
net assets after custodian fee reduction (2) 1.92%+ 1.65% -- --
Ratio of net investment income to
average daily net assets 3.95%+ 4.04% 3.95% 3.53%+
*** For the following periods, the operating expenses of the Funds and Portfolios reflect a reduction of expenses by the
Administrator and/or Investment Adviser. Had such actions not been taken, net investment income per share and the ratios
would have been:
Net investment income per share $ 0.371 $ 0.293
======== ========
Ratios (As a percentage of
average daily net assets):
Expenses (2)(3) 1.60% 1.63%+
Net investment income 3.84% 2.93%+
+ Annualized.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
(1) Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net
asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at
the net asset value on the payable date. Amount is computed on a nonannualized basis.
(2) Includes each Fund's share of its corresponding Portfolio's allocated expenses.
(3) The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Fund to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios for each of the periods ended on or before March
31, 1995 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Marathon Pennsylvania Limited
--------------------------------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited) Year Ended March 31,
----------------------------- ------------------------------------------------
Class I Class II** 1996 1995 1994 1993*
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 10.190 $ 10.030 $ 10.090 $ 10.100 $ 10.390 $ 10.000
-------- -------- -------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.204 $ 0.127 $ 0.388 $ 0.374 $ 0.399 $ 0.336
Net realized and unrealized
gain (loss) on investments (0.054) 0.109++ 0.110 0.065 (0.195) 0.490
-------- -------- -------- -------- -------- --------
Total income from operations $ 0.150 $ 0.236 $ 0.498 $ 0.439 $ 0.204 $ 0.826
-------- -------- -------- -------- -------- --------
Less distributions:
From net investment income $ (0.200) $ (0.126) $ (0.388) $ (0.374) $ (0.399) $ (0.336)
In excess of net investment income -- -- (0.010) (0.069) (0.083) --
From net realized gain on
investment transactions -- -- -- (0.006) (0.012) --
In excess of realized gain on
investment transactions -- -- -- -- -- (0.100)
-------- -------- -------- -------- -------- --------
Total distributions $ (0.200) $ (0.126) $ (0.398) $ (0.449) $ (0.494) $ (0.436)
-------- -------- -------- -------- -------- --------
Net asset value, end of period $ 10.140 $ 10.140 $ 10.190 $ 10.090 $ 10.100 $ 10.390
======== ======== ======== ======== ======== ========
Total Return (1) 1.52% 2.16% 4.98% 4.50% 1.89% 8.19%
Ratios/Supplemental Data***:
Net assets, end of period (000 omitted) $ 57,127 $ 15,581 $ 84,407 $103,553 $109,515 $ 65,005
Ratio of net expenses to average
daily net assets (2)(4) 1.71%+ 0.93%+ 1.62% 1.57% 1.45% 1.29%+
Ratio of net expenses to average daily
net assets after custodian fee reduction (2) 1.70%+ 0.92%+ 1.60% -- -- --
Ratio of net investment income to
average daily net assets 4.04%+ 4.77%+ 3.79% 3.75% 3.63% 3.88%+
Portfolio Turnover (3) -- -- -- -- 0% 18%
*** For the following periods, the operating expenses of the Funds and Portfolios reflect a reduction of expenses by the
Administrator and/or Investment Adviser. Had such actions not been taken, net investment income per share and the ratios
would have been:
Net investment income per share $ 0.315
========
Ratios (As a percentage of average daily net assets):
Expenses (2)(4) 1.53%+
Net investment income 3.64%+
+ Annualized.
++ The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of timing of
sales of Fund shares and the amount of per share realized and unrealized gains and losses at such time.
* For the period from the start of business, June 1, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to September 30, 1996.
(1) Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net
asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at
the net asset value on the payable date. Amount is computed on a nonannualized basis.
(2) Includes each Fund's share of its corresponding Portfolio's allocated expenses.
(3) Portfolio Turnover represents the rate of portfolio activity for the period while the Funds were making investments directly
in securities. The portfolio turnover rate for the period since the Funds transferred substantially all of its investable
assets to the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
(4) The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the Fund to increase its expense ratio by the effect of any
expense offset arrangements with its service providers. The expense ratios for each of the periods ended on or before March
31, 1995 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
Notes to Financial Statements
(Unaudited)
(1) Significant Accounting Policies
Eaton Vance Investment Trust (the Trust) is an entity of the type
commonly known as a Massachusetts business trust and is registered
under the Investment Company Act of 1940, as amended, as an open-end
management investment company. The Trust presently consists of
twenty-four Funds, nine of which are included in these financial
statements. They include EV Marathon California Limited Maturity
Municipals Fund ("Marathon California Limited Fund"), EV Marathon
Connecticut Limited Maturity Municipals Fund ("Marathon Connecticut
Limited Fund"), EV Marathon Florida Limited Maturity Municipals Fund
("Marathon Florida Limited Fund"), EV Marathon Massachusetts Limited
Maturity Municipals Fund ("Marathon Massachusetts Limited Fund"), EV
Marathon Michigan Limited Maturity Municipals Fund ("Marathon
Michigan Limited Fund"), EV Marathon New Jersey Limited Maturity
Municipals Fund ("Marathon New Jersey Limited Fund"), EV Marathon
New York Limited Maturity Municipals Fund ("Marathon New York
Limited Fund"), EV Marathon Ohio Limited Maturity Municipals Fund
("Marathon Ohio Limited Fund"), and EV Marathon Pennsylvania Limited
Maturity Municipals Fund ("Marathon Pennsylvania Limited Fund"). The
Funds have two classes of shares. Class I shares are sold at net
asset value and are subject to a contingent deferred sales charge
(See Note 6). Class I shares held for the longer of (i) four years
or (ii) the time at which the contingent deferred sales charge
applicable to such shares expires will automatically convert to
Class II shares. All classes of shares have equal rights as to
assets and voting privileges. Realized and unrealized gains and
losses and net investment income, other than class specific expenes,
are allocated daily to each class of shares based on the relative
net assets of each class to the total net assets of the Fund. Each
class of shares differs in its distribution plan and certain other
class specific expenses. Each Fund invests all of its investable
assets in interests in a separate corresponding open-end management
investment company (a "Portfolio"), a New York Trust, having the
same investment objective as its corresponding Fund. The Marathon
California Limited Fund invests its assets in the California Limited
Maturity Municipals Portfolio, the Marathon Connecticut Limited Fund
invests its assets in the Connecticut Limited Maturity Municipals
Portfolio, the Marathon Florida Limited Fund invests its assets in
the Florida Limited Maturity Municipals Portfolio, the Marathon
Massachusetts Limited Fund invests its assets in the Massachusetts
Limited Maturity Municipals Portfolio, the Marathon Michigan Fund
invests its assets in the Michigan Limited Maturity Municipals Portfolio,
the Marathon New Jersey Limited Fund invests its assets in the New
Jersey Limited Maturity Municipals Portfolio, the Marathon New York
Limited Fund invests its assets in the New York Limited Maturity
Municipals Portfolio, the Marathon Ohio Limited Fund invests its assets
in the Ohio Limited Maturity Municipals Portfolio and the Marathon
Pennsylvania Limited Fund invests its assets in the Pennsylvania
Limited Maturity Municipals Portfolio. The value of each Fund's
investment in its corresponding Portfolio reflects the Fund's
proportionate interest in the net assets of that Portfolio (93.6%,
88.3%, 98.5%, 94.2%, 90.5%, 97.6%, 96.4%, 90.1% and 92.0% at
September 30, 1996 for the Marathon California Limited Fund, Marathon
Connecticut Limited Fund, Marathon Florida Limited Fund, Marathon
Massachusetts Limited Fund, Marathon Michigan Limited Fund, Marathon
New Jersey Limited Fund, Marathon New York Limited Fund, Marathon
Ohio Limited Fund and Marathon Pennsylvania Limited Fund, respectively).
The performance of each Fund is directly affected by the performance of
its corresponding Portfolio. The financial statements of each Portfolio,
including the portfolio of investments, are included elsewhere in this
report and should be read in conjunction with each Fund's financial
statements. The following is a summary of significant accounting policies
consistently followed by the Trust in the preparation of its
financial statements. The policies are in conformity with generally
accepted accounting principles.
A. Investment Valuation -- Valuation of securities by the Portfolios
is discussed in Note 1 of the Portfolios' Notes to Financial
Statements which are included elsewhere in this report.
B. Income -- Each Fund's net investment income consists of the
Fund's pro rata share of the net investment income of its
corresponding Portfolio, less all actual and accrued expenses of
each Fund determined in accordance with generally accepted
accounting principles.
C. Federal Taxes -- Each Fund's policy is to comply with the
provisions of the Internal Revenue Code applicable to regulated
investment companies and to distribute to shareholders each year all
of its taxable and tax-exempt income, including any net realized
gain on investments. Accordingly, no provision for federal income or
excise tax is necessary. At March 31, 1996, the following Funds, for
federal income tax purposes, had capital loss carryovers, which will
reduce each Fund's taxable income arisingfrom future net realized
gain on investments, if any, to the extent permitted by the Internal
Revenue Code, and thus will reduce the amount of the distributions
to shareholders which would otherwise be necessary to relieve the
Funds of any liability for federal income taxes. The amounts and
expiration dates of the capital loss carryovers are as follows:
Fund Amount Expires
------ -------------- -----------------
Marathon California Limited $1,636,789 March 31, 2004
Fund 723,340 March 31, 2003
Marathon Connecticut Limited 248,769 March 31, 2004
Fund 232,805 March 31, 2003
Marathon Florida Limited Fund 2,395,400 March 31, 2004
645,654 March 31, 2003
Marathon Massachusetts Limited 1,434,610 March 31, 2004
Fund 595,115 March 31, 2003
Marathon Michigan Limited 629,966 March 31, 2004
Fund 513,947 March 31, 2003
Marathon New Jersey Limited 1,685,218 March 31, 2004
Fund 574,423 March 31, 2003
Marathon New York Limited 1,660,209 March 31, 2004
Fund 901,272 March 31, 2003
Marathon Ohio Limited Fund 627,563 March 31, 2004
817,971 March 31, 2003
3,600 March 31, 2002
Marathon Pennsylvania Limited 1,531,994 March 31, 2004
Fund 574,393 March 31, 2003
Dividends paid by each Fund from net interest on tax-exempt
municipal bonds allocated from its corresponding Portfolio are not
includable by shareholders as gross income for federal income tax
purposes because each Fund and Portfolio intend to meet certain
requirements of the Internal Revenue Code applicable to regulated
investment companies which will enable the Funds to pay exempt-
interest dividends. The portion of such interest, if any, earned on
private activity bonds issued after August 7, 1986, may be
considered a tax preference item to shareholders.
D. Deferred Organization Expenses -- Costs incurred by a Fund in
connection with its organization, including registration costs, are
being amortized on the straight-line basis over five years,
beginning on the date each Fund commenced operations.
E. Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the
reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of revenue and expense
during the reporting period. Actual results could differ from those
estimates.
F. Expense Reduction -- Investors Bank & Trust Company (IBT) serves
as custodian to the Funds and the Portfolios. Pursuant to the
respective custodian agreements, IBT receives a fee reduced by
credits which are determined based on the average cash balances the
Funds or the Portfolios maintain with IBT. All significant credit
balances used to reduce each Fund's custodian fees are reflected as
a reduction of operating expenses on the Statements of Operations.
G. Other -- Investment transactions are accounted for on a trade
date basis.
H. Interim Financial Information -- The interim financial statements
relating to September 30, 1996 and for the six month period then
ended have not been audited by independent certified public
accountants, but in the opinion of the Funds' management reflect all
adjustments consisting only of normal recurring adjustments,
necessary for the fair presentation of the financial statements.
(2) Distributions to Shareholders
The net income of each Fund is determined daily and substantially
all of the net income so determined is declared as a dividend to
shareholders of record at the time of declaration. Dividends are
declared separately for each class of shares. Distributions are paid
monthly. Distributions of allocated realized capital gains, if any,
are made at least annually. Shareholders may reinvest income and
capital gain distributions in additional shares of the same class of
a Fund at the net asset value as of the ex-dividend date.
Distributions are paid in the form of additional shares of the same
class or, at the election of the shareholder, in cash. The Funds
distinguish between distributions on a tax basis and a financial
reporting basis. Generally accepted accounting principles require
that only distributions in excess of tax basis earnings and profits
be reported in the financial statements as a return of capital.
Differences in the recognition or classification of income between
the financial statements and tax earnings and profits which result
in temporary over distributions for financial statement purposes are
classified as distributions in excess of net investment income or
accumulated net realized gains. Permanent differences between book
and tax accounting relating to distributions are reclassified to
paid-in capital. The tax treatment of distributions for the calendar
year will be reported to shareholders prior to February 1, 1997 and
will be based on tax accounting methods which may differ from
amounts determined for financial statement purposes.
(3) Shares of Beneficial Interest
<TABLE>
<CAPTION>
The Funds' Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of
beneficial interest (without par value). Such shares may be issued in a number of different classes. Transactions in Fund
shares were as follows:
Marathon California Limited Fund
--------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited)
------------------------------ Year Ended
Class I Class II March 31, 1996
------------ ------------ --------------------
<S> <C> <C> <C>
Sales 25,504 -- 125,775
Issued to shareholders electing to receive
payments of distributions in Fund shares 46,433 1,514 115,612
Redemptions (653,938) (77,039) (2,283,300)
Exchange to Class II shares (733,339) 733,339 --
--------- ------- ---------
Net increase (decrease) (1,315,340) 657,814 (2,041,913)
========= ======= =========
<CAPTION>
Marathon Connecticut Limited Fund
--------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited)
------------------------------ Year Ended
Class I March 31, 1996
------------ --------------------
<S> <C> <C>
Sales 40,995 81,436
Issued to shareholders electing to receive
payments of distributions in Fund shares 16,175 35,937
Redemptions (112,124) (408,009)
------- -------
Net decrease (54,954) (290,636)
======= =======
<CAPTION>
Marathon Florida Limited Fund
--------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited)
------------------------------ Year Ended
Class I Class II March 31, 1996
------------ ------------ --------------------
<S> <C> <C> <C>
Sales 110,947 -- 640,788
Issued to shareholders electing to receive
payments of distributions in Fund shares 94,317 3,321 232,870
Redemptions (1,717,337) (207,072) (4,235,722)
Exchange to Class II shares (1,867,384) 1,867,384 --
--------- --------- ---------
Net increase (decrease) (3,379,457) 1,663,633 (3,362,064)
========= ========= =========
<CAPTION>
Marathon Massachusetts Limited Fund
--------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited)
------------------------------ Year Ended
Class I Class II March 31, 1996
------------ ------------ --------------------
<S> <C> <C> <C>
Sales 64,694 -- 305,814
Issued to shareholders electing to receive
payments of distributions in Fund shares 91,786 4,300 228,138
Redemptions (1,367,524) (177,345) (2,805,006)
Exchange to Class II shares (1,585,066) 1,585,066 --
--------- --------- ---------
Net increase (decrease) (2,796,110) 1,412,021 (2,271,054)
========= ========= =========
<CAPTION>
Marathon Michigan Limited Fund
--------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited)
------------------------------ Year Ended
Class I March 31, 1996
------------ --------------------
<S> <C> <C>
Sales 12,264 44,619
Issued to shareholders electing to receive
payments of distributions in Fund shares 19,479 49,660
Redemptions (362,069) (876,104)
------- -------
Net decrease (330,326) (781,825)
======= =======
<CAPTION>
Marathon New Jersey Limited Fund
--------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited)
------------------------------ Year Ended
Class I Class II March 31, 1996
------------ ------------ --------------------
<S> <C> <C> <C>
Sales 52,085 -- 149,270
Issued to shareholders electing to receive
payments of distributions in Fund shares 88,639 3,752 208,755
Redemptions (1,030,930) (148,518) (1,950,361)
Exchange to Class II shares (1,432,018) 1,432,018 --
--------- --------- ---------
Net increase (decrease) (2,322,224) 1,287,252 (1,592,336)
========= ========= =========
<CAPTION>
Marathon New York Limited Fund
--------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited)
------------------------------ Year Ended
Class I Class II March 31, 1996
------------ ------------ --------------------
<S> <C> <C> <C>
Sales 63,054 -- 441,765
Issued to shareholders electing to receive
payments of distributions in Fund shares 147,640 5,003 365,297
Redemptions (1,639,735) (307,971) (4,238,030)
Exchange to Class II shares (2,016,402) 2,016,402 --
--------- --------- ---------
Net increase (decrease) (3,445,443) 1,713,434 (3,430,968)
========== ========= =========
<CAPTION>
Marathon Ohio Limited Fund
--------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited)
------------------------------ Year Ended
Class I March 31, 1996
------------ --------------------
<S> <C> <C>
Sales 53,274 83,296
Issued to shareholders electing to receive
payments of distributions in Fund shares 38,333 82,900
Redemptions (325,040) (664,620)
------- -------
Net decrease (233,433) (498,424)
======= =======
<CAPTION>
Marathon Pennsylvania Limited Fund
--------------------------------------------------------
Six Months Ended
September 30, 1996
(Unaudited)
------------------------------ Year Ended
Class I Class II March 31, 1996
------------ ------------ --------------------
<S> <C> <C> <C>
Sales 84,083 -- 304,907
Issued to shareholders electing to receive
payments of distributions in Fund shares 82,608 2,931 209,882
Redemptions (1,061,083) (219,443) (2,491,336)
Exchange to Class II shares (1,753,300) 1,753,300 --
--------- --------- ---------
Net increase (decrease) (2,647,692) 1,536,788 (1,976,547)
========== ========= =========
There were no transactions involving shares of any other class.
</TABLE>
(4) Transactions with Affiliates
Eaton Vance Management (EVM) serves as the administrator of each
Fund, but receives no compensation. The Portfolios have engaged
Boston Management and Research (BMR), a subsidiary of EVM, to render
investment advisory services. See Note 3 of the Portfolios' Notes to
Financial Statements which are included elsewhere in this report.
Certain of the officers and Trustees of the Funds and Portfolios are
officers and directors/trustees of the above organizations (Note 5).
Except as to Trustees of the Funds and the Portfolios who are not
members of EVM's or BMR's organization, officers and Trustees
receive remuneration for their services to each Fund out of the
investment adviser fee earned by BMR
(5) Distribution Plan
Each Fund has adopted a distribution plan (the Plan) pursuant to
Rule 12b-1 under the Investment Company Act of 1940. The Plans
require the Funds to pay the Principal Underwriter, Eaton Vance
Distributors, Inc. (EVD), amounts equal to 1/365 of 0.75% of each
Funds' daily net assets attributable to Class I shares, for
providing ongoing distribution services and facilities to the
respective Fund. A Fund will automatically discontinue payments to
EVD during any period in which there are no outstanding Uncovered
Distribution Charges, which are equivalent to the sum of (i) 3% (3-
1/2% for Marathon Connecticut Limited Fund, Marathon Michigan
Limited Fund and Marathon Ohio Limited Fund) of the aggregate amount
received by the Fund for Class I shares sold plus (ii) distribution
fees calculated by applying the rate of 1% over the prevailing prime
rate to the outstanding balance of Uncovered Distribution Charges of
EVD, reduced by the aggregate amount of contingent deferred sales
charges (see Note 6) and daily amounts theretofore paid to EVD. The
amount payable to EVD with respect to each day is accrued on such
day as a liability of each Fund and, accordingly, reduces each
Funds' net assets. For the six months ended September 30, 1996,
Marathon California Limited Fund, Marathon Connecticut Limited Fund,
Marathon Florida Limited Fund, Marathon Massachusetts Limited Fund,
Marathon Michigan Limited Fund, Marathon New Jersey Limited Fund,
Marathon New York Limited Fund, Marathon Ohio Limited Fund, and
Marathon Pennsylvania Limited Fund paid or accrued $183,117,
$47,345, $380,638, $296,955, $64,886, $257,772, $451,663, $106,510,
and $270,480, respectively, to or payable to EVD representing 0.75%
(annualized) of average daily net assets attributable to Class I
shares. At September 30, 1996, the amount of Uncovered Distribution
Charges of EVD calculated under the Plans for Marathon California
Limited Fund, Marathon Connecticut Limited Fund, Marathon Florida
Limited Fund, Marathon Massachusetts Limited Fund, Marathon Michigan
Limited Fund, Marathon New Jersey Limited Fund, Marathon New York
Limited Fund, Marathon Ohio Limited Fund and Marathon Pennsylvania
Limited Fund were approximately $489,000, $267,000, $989,000,
$718,000, $380,000, $637,000, $1,044,000, $595,000 and $617,000,
respectively.
In addition, the Plans authorize the Funds to make payments of
service fees to the Principal Underwriter, Authorized Firms and
other persons in amounts not exceeding 0.25% of each Fund's average
daily net assets for each fiscal year. The Trustees have initially
implemented the Plans by authorizing the Funds to make quarterly
service fee payments to the Principal Underwriter and Authorized
Firms in amounts not expected to exceed 0.15% of each Fund's average
daily net assets attributable to both Class I and Class II shares
based on the value of Fund shares sold by such persons and remaining
outstanding for at least one year. For the six months ended
September 30, 1996, Marathon California Limited Fund, Marathon
Connecticut Limited Fund, Marathon Florida Limited Fund, Marathon
Massachusetts Limited Fund, Marathon Michigan Limited Fund, Marathon
New Jersey Limited Fund, Marathon New York Limited Fund, Marathon
Ohio Limited Fund and Marathon Pennsylvania Limited Fund paid or
accrued service fees to or payable to EVD in the amount of $40,652,
$8,844, $84,276, $66,325, $13,817, $56,900, $92,490, $34,760, and
$61,820, respectively. Service fee payments are made for personal
services and/or maintenance of shareholder accounts. Service fees
paid to EVD and Authorized Firms are separate and distinct from the
sales commissions and distribution fees payable by a Fund to EVD,
and as such, are not subject to automatic discontinuance when there
are no outstanding Uncovered Distribution Charges of EVD.
Certain of the officers and Trustees of the Funds and Portfolios are
officers or directors of EVD.
(6) Contingent Deferred Sales Charge
A contingent deferred sales charge (CDSC) is imposed on any
redemption of Class I shares made within four years of purchase.
Generally the CDSC is based on the lower of the net asset value at
date of redemption or date of purchase. No charge is levied on Class
I shares acquired by reinvestment of dividends or capital gain
distributions. The CDSC is imposed at declining rates that begin at
3% in the case of redemptions in the first year of purchase. No CDSC
is levied on shares which have been sold to EVM or its affiliates or
to their respective employees or clients. CDSC charges are paid to
EVD to reduce the amount of Uncovered Distribution Charges
calculated under each Fund's Distribution Plan. CDSC charges received
when no Uncovered Distribution Charges exist will be credited to
the corresponding Fund. EVD received approximately $59,000, $14,000,
$169,000, $105,000, $45,000, $73,000, $159,000, $49,000, and $94,000,
respectively, of CDSC paid by shareholders of Marathon California
Limited Fund, Marathon Connecticut Limited Fund, Marathon Florida
Limited Fund, Marathon Massachusetts Limited Fund, Marathon Michigan
Limited Fund, Marathon New Jersey Limited Fund, Marathon New York
Limited Fund, Marathon Ohio Limited Fund, and Marathon Pennsylvania
Limited Fund for the six months ended September 30, 1996.
(7) Investment Transactions
Increases and decreases in each Fund's investment in its
corresponding Portfolio for the six months ended September 30, 1996
were as follows:
Marathon Marathon Marathon
California Connecticut Florida
Limited Limited Limited
Fund Fund Fund
-------------- ------------- -------------
Increases $ 7,768,919 $ 493,514 $ 20,162,635
Decreases 15,628,627 1,325,081 40,123,225
Marathon Marathon Marathon
Massachusetts Michigan New Jersey
Limited Limited Limited
Fund Fund Fund
-------------- ------------- -------------
Increases $16,706,117 $ 319,103 $15,040,862
Decreases 32,765,554 3,790,915 26,954,295
Marathon Marathon Marathon
New York Ohio Pennsylvania
Limited Limited Limited
Fund Fund Fund
-------------- ------------- -------------
Increases $21,207,168 $ 563,274 $ 18,633,481
Decreases 41,657,514 3,505,217 31,922,523
<TABLE>
<CAPTION>
California Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration - 3.0%
NR BBB- $1,500 Central Valley Finance
Authority, Carson Ice
Project, 5.20%, 7/1/99 $1,510,155
--------------
Education - 7.4%
Aaa AAA $1,500 California Educational
Facilities Authority, Stanford
University, 5.90%, 11/1/03 $2,112,820
Aaa AAA 2,000 California Educational
Facilities Authority,
California Institute of
Technology, 6.375%, 1/1/08 1,586,250
--------------
$3,699,070
--------------
Escrowed/Prerefunded - 21.8%
A1 AA- $2,400 California Health Facilities,
Sisters of Providence,
Prerefunded to 10/1/00,
7.50%, 10/1/10 $2,700,720
Aaa AAA 1,000 California State Public
Works Board, Department
of Corrections, Prerefunded
to 9/1/01, 6.50%, 9/1/19 1,103,270
Aa AA 1,500 Los Angeles Department of
Airports, Prerefunded to
5/1/97, 7.40%, 5/1/10 1,562,070
Aaa AAA 1,925 Moulton Niguel, California,
Water District, (AMBAC),
Prerefunded to 4/1/00,
7.30%, 4/1/12 2,137,058
NR AAA 3,000 San Bernadino, California,
Certificates of Participation,
Prerefunded to 8/1/01,
7.00%, 8/1/28 (2) 3,370,350
--------------
$10,873,468
--------------
Electric Utility - 6.3%
A2 A+ $1,000 California Pollution
Control Financing
Authority, Southern
California Edison
Company, Series D,
6.85%, 12/1/08 $1,074,590
A2 A 2,000 California Pollution
Control Financing
Authority, San Diego Gas
& Electric, 5.90%, 6/1/14 2,059,740
--------------
$3,134,330
--------------
General Obligations - 3.7%
Aa AA- $1,000 Palos Verdes CA, Library
District, 6.70%, 8/1/11 $1,061,690
Baa1 A 750 Commonwealth of
Puerto Rico, 6.35%, 7/1/10 794,610
--------------
$1,856,300
--------------
Housing - 2.1%
Aa A+ $1,000 Department of Veterans
Affairs of the State of
California, Home Purchase
Revenue Bonds, (AMT),
7.50%, 8/1/98 $1,035,180
--------------
Insured Electric Utility - 5.2%
Aaa AAA $1,500 Sacramento Municipal
Utility District, (AMBAC),
5.60%, 8/15/16 $1,489,230
Aaa AAA 1,000 Sacramento Municipal
Utility District, (MBIA),
6.20%, 8/15/05 1,077,380
--------------
$2,566,610
--------------
Insured General Obligation - 4.0%
Aaa AAA $2,000 Mt. Diablo, CA School
District (AMBAC),
5.70%, 8/1/14 $1,997,600
--------------
Insured Hospital Revenue - 18.5%
Aaa AAA $1,750 ABAG Finance Authority,
Certificates of Participation,
Stanford University Hospital,
(MBIA), 4.90%, 11/1/03 $1,743,718
Aaa AAA 1,000 ABAG Finance Authority,
Certificates of Participation,
Stanford University Hospital,
(MBIA), 5.125%, 11/1/05 997,440
Aaa AAA 3,750 Loma Linda, CA, Hospital
Revenue, (MBIA),
5.00%, 12/1/13 3,480,225
Aaa AAA 3,250 California Health Facilities
Financing Authority,
(Catholic Health West),
(AMBAC), 5.00%, 7/1/14 3,028,707
--------------
$9,250,090
--------------
Insured Lease Revenue/
Certificates of Participation - 5.2%
Aaa AAA $1,355 California State Public
Works Board - Department
of Corrections, (AMBAC),
5.25%, 12/1/13 $1,301,572
Aaa AAA 1,250 Merced County, California,
CSAC Lease Finance
Program, Certificates of
Participation, (FSA),
5.60%, 10/1/01 1,301,812
--------------
$2,603,384
--------------
Insured Special
Tax Revenue - 2.5%
Aaa AAA $1,250 Los Angeles Metropolitan
Transportation Authority
Sales Tax, (AMBAC),
5.70%, 7/1/12 $1,253,850
--------------
Insured Transportation - 3.8%
Aaa AAA $1,905 Los Angeles Department of
Airports, (Los Angeles
International Airport),
(FGIC), (AMT),
5.625%, 5/15/12 $1,878,597
--------------
Lease Revenue/
Certificate of Participation - 2.0%
A A $1,920 San Bernadino Joint Power
Finance Authority Lease
Revenue Bonds,
5.40%, 12/1/08 $976,420
--------------
Nursing Homes - 4.0%
NR A+ $2,000 California Statewide
Communities Development
Corporation, (Pacific
Homes), 5.90%, 4/1/09 $2,003,940
--------------
Special Tax Revenue - 4.1%
Aa AA $2,000 Orange County Local
Transportation Authority,
Sales Tax Revenue Bonds,
5.70%, 2/15/03 $2,070,981
--------------
Transportation - 2.1%
A1 NR $1,000 Contra Costa, California,
Transportation Authority,
6.40%, 3/1/01 $1,073,130
--------------
Water & Sewer Revenue - 4.3%
A1 A $2,000 The City of Los Angeles
Wastewater System,
6.90%, 6/1/08 (1) $2,154,480
--------------
Total Tax-Exempt
Investments (identified
cost, $48,626,770) $49,937,585
==============
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by California municipalities.
The ability of the issuers of the debt securities to meet their obligations may be
affected by economic developments in a specific industry or municipality. In order
to reduce the risk associated with such economic developments, at September 30, 1996,
39.2% of the securities in the portfolio of investments are backed by bond insurance
of various financial institutions and financial guaranty assurance agencies. The
aggregate percentage by financial institution range from 2.6% to 22.4% of total
investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Connecticut Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education - 11.1%
NR BBB- $500 State of Connecticut
HEFA, Quinnipiac College,
6.00%, 7/1/13 $478,580
NR BBB- 285 State of Connecticut
HEFA, University of
New Haven, 6.00% 7/1/06 283,723
Baa1 BBB+ 750 State of Connecticut
HEFA, Fairfield University,
6.90%, 7/1/14 (1) 782,438
--------------
$1,544,741
--------------
Electric Revenue - 3.9%
Baa1 A- $500 Puerto Rico Electric
Power Authority,
7.125%, 7/1/14 $535,690
--------------
Escrowed/Prerefunded - 4.0%
Aaa AAA $500 South Central Connecticut
Regional Water Authority,
(AMBAC), Prerefunded to
8/1/01, 6.50%, 8/1/07 $548,695
--------------
General Obligations - 14.0%
Aa AA $500 Brandford, Connecticut,
5.40%, 2/15/14 $491,125
Aa AA- 400 State of Connecticut,
5.125%, 8/15/11 382,912
Aa NR 190 Norwich, Connecticut,
5.00%, 8/1/14 180,104
Aa NR 190 Norwich, Connecticut,
5.00%, 8/1/15 178,718
Baa1 A- 500 Puerto Rico Aqueduct &
Sewer Authority,
5.00%, 7/1/19 451,525
Baa1 A- 250 Puerto Rico Municipal
Finance Agency,
5.875%, 7/1/06 256,297
--------------
$1,940,681
--------------
Hospital Revenue - 4.6%
NR BBB- $600 Connecticut Health and
Educational Facilities
Authority, New
Britain Hospital,
7.50%, 7/1/06 $639,576
--------------
Housing - 7.1%
Aa AA $200 Connecticut Housing
Finance Authority,
6.95%, 11/15/01 $209,320
Aa AA 750 Connecticut Housing
Finance Authority,
6.90%, 11/15/99 773,790
--------------
$983,110
--------------
Industrial Development
Revenue - 6.4%
A2 NR $625 Connecticut Development
Authority - Frito Lay
Project, 6.375%,
7/1/04 $637,144
Baa3 BB+ 250 Puerto Rico Port
Authority, (American
Airlines), 6.25%, 6/1/26 252,862
--------------
$890,006
--------------
Insured Education - 3.3%
Aaa AAA $500 University of Connecticut,
(FGIC), 5.00%, 2/1/16 (1) $460,925
--------------
Insured General Obligations - 11.4%
Aaa AAA $500 Bridgeport, Connecticut,
(AMBAC), 6.00%, 9/1/06 $533,040
Aaa AAA 250 Hartford, Connecticut,
(FGIC), 5.40%, 10/1/09 249,535
Aaa AAA 315 New Haven, Connecticut,
(FGIC), 5.25%, 8/1/06 317,621
Aaa AAA 500 Old Saybrook, Connecticut,
(AMBAC), 4.10%, 8/15/01 485,575
--------------
$1,585,771
--------------
Insured Hospitals - 13.7%
Aaa AAA $150 Connecticut HEFA,
Greenwich Hospital Issue,
(MBIA), 5.75% 7/1/06 $155,881
Aaa AAA 500 Connecticut HEFA,
Waterbury Hospital Issue,
(FSA), 7.00% 7/1/20 537,575
Aaa AAA 250 Connecticut HEFA,
Stamford Hospital Issue,
(MBIA), 6.50%, 7/1/06 267,620
Aaa AAA 470 Connecticut HEFA,
St. Raphael Hospital Issue,
(AMBAC), 6.50%, 7/1/06 464,224
Aaa AAA 500 Connecticut HEFA,
Veteran Memorial
Hospital Issue, (MBIA),
5.375%, 7/1/16 479,695
--------------
$1,904,995
--------------
Insured Miscellaneous - 3.9%
Aaa AAA $500 Woodstock, Connecticut
Special Obligation Bonds,
(AMBAC), 7.00%, 3/1/07 $545,135
--------------
Insured Transportation - 6.3%
Aaa AAA $750 Connecticut State Airport
Bonds, Bradley International
Airport, (FGIC),
7.40%, 10/1/04 $873,330
--------------
Insured Utility - 3.8%
Aaa AAA $500 Connecticut Municipal
Electric Authority,
(MBIA), 6.00%, 1/1/07 $528,560
--------------
Miscellaneous - 3.1%
Aa AA- $410 Connecticut State
Development Authority,
5.85%, 11/15/07 $428,434
--------------
Water & Sewer Revenue - 3.4%
Aaa AA+ $500 Connecticut State Clean
Water Revenue,
4.875%, 5/1/09 $472,306
--------------
Total Tax-Exempt
Investments (identified
cost, $13,652,704) $13,881,955
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by Connecticut
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with such
economic developments, at September 30, 1996, 42.4% of the securities in
the portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate
percentage by financial institution range from 3.9% to 18.6% of total
investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Florida Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Escrowed - 21.3%
Aaa AAA $1,015 Dade County, FL,
Educational Facilities
Authority,(MBIA),
Prerefunded to
10/1/01, 7.00%, 10/1/08 $1,138,769
Aaa AAA 1,500 Dade County, FL, Local
School District, (FGIC),
Prerefunded to
8/1/01, 6.00%, 8/1/06 1,593,210
Aaa AAA 1,000 Dunnedin, Florida,
Hospital, Mease Health
Care, (MBIA), Prerefunded
to 11/15/01, 6.75%,
11/15/21 1,112,810
Aa AAA 1,500 Florida Board of
Education Capital Outlay,
Prerefunded to 6/1/01
6.75%, 6/1/12 1,645,920
Aaa AAA 1,500 Florida Department of
Natural Resources,
Preservation 2000,
(MBIA), Prerefunded to
7/1/98,7.25%, 7/1/08 1,607,895
Aaa AAA 4,485 Jacksonville Electric
Authority, Bulk Power
Supply System, Prerefunded
to 10/1/00, 6.75%, 10/1/16 4,906,500
Aaa AAA 3,250 Orlando Utility
Community Water &
Electric, Prerefunded to
10/1/01, 6.50%, 10/1/20 3,574,513
Aaa AAA 2,000 Palm Bay, FL, Utility,
Palm Bay Utility
Corporation, (MBIA)
Prerefunded to 10/1/02,
6.20%, 10/1/17 2,185,400
Aaa AAA 2,805 Palm Beach County
Criminal Justice Facilities,
(FGIC), Prerefunded to
6/1/00, 7.00%, 6/1/01 3,086,706
Baa1 AAA 1,750 Puerto Rico Aqueduct &
Sewer Authority,
Prerefunded to 7/1/98,
7.875%, 7/1/17 1,895,652
--------------
$22,747,375
--------------
General Obligations - 18.1%
Aa AA $4,000 Florida State Board of
Education, 5.00%, 6/1/14 $3,762,600
Aa AA 3,000 Florida State Board of
Education, 5.00%, 6/1/09 2,896,080
Aa AA 1,500 Florida State Board of
Education, 5.125%, 6/1/18 1,396,875
Aa AA 4,000 Florida State Board of
Education, 5.50%, 6/1/11 4,022,040
Baa1 A 1,000 Puerto Rico Public
Building Authority,
6.50%, 7/1/03 1,086,670
Baa1 A- 2,000 Puerto Rico Municipal
Finance Agency,
5.50%, 7/1/01 2,048,380
Baa1 A- 2,500 Puerto Rico Municipal
Finance Agency,
5.875%, 7/1/05 2,578,875
NR NR 1,500 Virgin Islands Public
Finance Authority,
6.80%, 10/1/00 1,587,210
--------------
$19,378,730
--------------
Hospitals - 2.3%
NR BBB $515 Escambia County Health
Facilities Authority,
(Baptist Hospital Inc., and
Baptist Manor Inc.),
6.00%, 10/1/97 $519,486
NR BBB 545 Escambia County Health
Facilities Authority, (Baptist
Hospital Inc., and Baptist
Manor Inc.) 6.25%, 10/1/98 554,984
Baa1 NR 425 Jacksonville Health
Facilities Authority,
(National Benevolent
Association-Cypress Village
Project), 6.00%, 12/1/98 437,338
Baa1 NR 450 Jacksonville Health
Facilities Authority,
(National Benevolent
Association-Cypress Village
Project), 6.25%, 12/1/99 467,955
Baa1 NR 480 Jacksonville Health
Facilities Authority,
(National Benevolent
Association-Cypress Village
Project), 6.50%, 12/1/00 503,582
--------------
$2,483,345
--------------
Housing - 1.8%
Baa BBB $2,000 Puerto Rico Housing
Bank and Finance Agency,
5.10%, 12/1/03 $1,969,260
--------------
Industrial Development
Revenue - 3.4%
Baa2 BBB $1,470 Nassau County PCR,
(ITT Rayonier Incorporated
Project), 5.60%, 6/1/00 $1,497,577
B1 BB+ 2,000 Polk County, Florida,
Industrial Development
Authority, (IMC Fertilizer),
(AMT), 7.525%, 1/1/15 2,091,040
--------------
$3,588,617
--------------
Insured Cogeneration - 3.2%
Aaa AAA $2,000 Dade County, Florida,
Resource Recovery
Facilities, (AMBAC),
(AMT), 5.30%, 10/1/07 $1,978,660
Aaa AAA 1,500 Dade County, Florida,
Resource Recovery
Facilities, (AMBAC),
(AMT), 5.35%, 10/1/08 1,476,540
--------------
$3,455,200
--------------
Insured General Obligation - 3.6%
Aaa AAA $2,000 Dade County Local School
District, (MBIA),
6.40%, 8/1/00 $2,133,540
Aaa AAA 1,580 Sarasota County, FL,
(FGIC), 6.25%, 10/1/05 1,701,202
--------------
$3,834,742
--------------
Insured Hospital - 9.3%
Aaa AAA $2,000 Hillsborough County
Hospital Authority,
(Tampa General Hospital
Project), (FSA),
6.375%, 10/1/13 $2,104,040
Aaa AAA 4,000 Jacksonville Health
Facilities Authority,
(Baptist Medical Center
Project), (MBIA),
7.25%, 6/1/05 (1) 4,342,640
Aaa AAA 1,000 City of Lakeland,
(Lakeland Regional
Medical Center Project),
(FGIC), 5.40%, 11/15/01 1,035,590
Aaa AAA $1,360 North Broward Hospital
District, (MBIA),
6.20%, 1/1/04 $1,464,489
Aaa AAA 1,000 Orange County Health
Facilities Authority,
(Adventist Health
System/Sunbelt Inc,)
(CGIC), 5.50%, 11/15/02 1,036,130
--------------
$9,982,889
--------------
Insured Housing - 2.2%
Aaa AAA $1,240 Florida Housing Finance
Agency, (Leigh Meadows
Apartments), (AMBAC),
5.85%, 9/1/10 $1,247,316
Aaa AAA 1,140 Florida Housing Finance
Agency, (Stottert Arms
Apartments), (AMBAC),
5.90%, 9/1/10 1,146,703
--------------
$2,394,019
--------------
Insured Miscellaneous - 2.0%
Aaa AAA $2,000 City of Jacksonville,
Guaranteed Entitlement,
(AMBAC), 5.50% 10/1/02 $2,086,980
--------------
Insured Special Tax - 4.6%
Aaa AAA $5,000 Florida Department of
Natural Resources,
(MBIA), 5.25%, 7/1/10 $4,894,200
--------------
Insured Transportation - 7.6%
Aaa AAA $2,000 Dade County, Florida,
Seaport Revenue, (MBIA),
5.125%, 10/1/16 $1,893,460
Aaa AAA 3,120 Hillsborough County
Aviation Authority, Tampa
International Airport,
(FGIC), 6.85%, 10/1/06 3,363,266
Aaa AAA 2,500 Palm Beach County,
Florida, Airport, (MBIA),
7.75%, 10/1/10 2,870,725
--------------
$8,127,451
--------------
Insured Water & Sewer - 7.6%
Aaa AAA $3,000 Dade County FL, Water &
Sewer Revenue, (FGIC),
5.00%, 10/1/09 $2,880,840
Aaa AAA 2,000 Manatee County FL,
Public Utilities, (MBIA),
6.75%, 10/1/04 2,247,920
Aaa AAA 1,000 Pasco County FL, Water &
Sewer Revenue,(FGIC),
5.40%, 10/1/03 1,037,690
Aaa AAA 2,000 Tampa, Florida, Water &
Sewer Revenue, (FGIC),
5.25%, 10/1/13 1,934,520
--------------
$8,100,970
--------------
Utility - 9.9%
Aa AA $2,000 Gainesville, Florida Utility
System Revenue,
5.00%, 10/1/15 $1,843,180
Aa1 AA 3,000 Jacksonville Electric
Authority, St. John's River
Power Park, 6.50%, 10/1/03 3,314,970
Aa1 AA 3,500 Jacksonville Electric
Authority, St. John's River
Power Park, 5.25%, 10/1/20 3,326,085
Aa AA- 2,000 City of Tallahassee, Electric
Refunding Bonds,
5.90%, 10/1/05 2,117,420
--------------
$10,601,655
--------------
Water & Sewer Revenue - 3.1%
A3 A+ $330 Dunes Community
Development District,
(Flagler County, Water &
Sewer Project), 5.40%,
10/1/00 $338,323
A3 A+ 345 Dunes Community
Development District,
(Flagler County, Water &
Sewer Project),
5.50%, 10/1/01 354,839
A3 A+ $365 Dunes Community
Development District,
(Flagler County, Water &
Sewer Project),
5.60%, 10/1/02 $376,220
A3 A+ 380 Dunes Community
Development District,
(Flagler County, Water &
Sewer Project),
5.70%, 10/1/03 393,269
Aa AA- 1,700 St. Petersburg, FL, Public
Utility Revenue,
6.65%, 10/1/03 1,833,571
--------------
$3,296,222
--------------
Total Tax-Exempt
Investments (identified
cost, $104,324,918) $106,941,655
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by Florida municipalities.
The ability of the issuers of the debt securities to meet their obligations may be
affected by economic developments in a specific industry or municipality. In order
to reduce the risk associated with such economic developments, at September 30, 1996,
40.1% of the securities in the portfolio of investments are backed by bond insurance
of various financial institutions and financial guaranty assurance agencies. The
aggregate percentage by financial institution range from 1.0% to 24.2% of total
investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Massachusetts Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education - 4.3%
A1 A+ $1,200 Massachusetts Health and
Education Finance
Authority, Tufts University,
7.40%, 8/1/18 $1,282,644
A A- 1,230 Massachusetts Health and
Education Finance
Authority, Suffolk
University,(CLEE),
5.85%, 7/1/16 1,232,977
A A- 1,030 Massachusetts Industrial
Finance Agency, Park
School, 5.50% 9/1/16 985,524
--------------
$3,501,145
--------------
Escrowed/Prerefunded - 12.8%
Aaa NR $1,000 Lowell, Massachusetts,
Prerefunded to 2/15/01,
7.625%, 2/15/10 $1,142,950
Aaa AAA 2,000 Lynn, Massachusetts, Water
and Sewer Commission,
(MBIA), Prerefunded to
12/1/00, 7.25%, 12/1/10 2,239,660
NR A+ 1,700 Massachusetts Health and
Educational Facilities
Authority, Baystate Medical
Center, Prerefunded to
7/1/99, 7.375%, 7/1/08 1,859,409
NR AAA 1,060 Massachusetts Health and
Educational Facilities
Authority, Jordan Hospital,
(FHA), Prerefunded to
8/15/98, 7.85%, 8/15/28 1,150,301
Aaa AAA 1,060 Massachusetts Health and
Educational Facilities
Authority, Berkshire
Health System, (MBIA),
Prerefunded to 10/1/98,
6.75%, 10/1/19 1,112,226
Aaa AAA 2,500 Massachusetts Water
Resource Authority,
Prerefunded to 4/1/00,
7.50%, 4/1/09 2,782,800
--------------
$10,287,346
--------------
General Obligations - 8.4%
Baa A- $1,000 City of Lawrence,
Massachusetts, State
Qualified Bonds, 5.00%,
9/15/02 $1,003,030
A1 A+ 1,240 The Commonwealth of
Massachusetts,
6.10%, 6/1/02 1,320,873
Baa1 A 3,000 Puerto Rico Aqueduct &
Sewer Authority, 5.00%,
7/1/15 2,753,310
Baa1 A 1,000 Puerto Rico Aqueduct &
Sewer Authority,
5.00%, 7/1/19 903,050
Baa1 A 750 Commonwealth of Puerto
Rico, 6.35%, 7/1/10 794,610
--------------
$6,774,873
--------------
Hospitals - 12.5%
Aa AA- $2,160 City of Boston,
Massachusetts, Boston
City Hospital, (FHA
Insured Mortgage),
5.15%, 2/15/01 $2,199,549
Baa BB 1,130 Massachusetts Health and
Educational Facilities
Authority, Milford
Whitinsville Hospital,
7.125% 7/15/02 1,138,577
NR BBB- 1,845 Massachusetts Health and
Educational Facilities
Authority, North Adams
Regional Hospital,
6.25%, 7/1/04 1,861,660
NR A- 500 Massachusetts Health and
Educational Facilities
Authority, Melrose
Wakefield Hospital,
5.375%, 7/1/05 496,570
NR A- 500 Massachusetts Health and
Educational Facilities
Authority, Sisters of
Providence Hospital,
6.00%, 11/15/00 508,510
Aa NR 3,000 Massachusetts Health and
Educational Facilities
Authority, Daughters of
Charity Issue,
5.75%, 7/1/02 3,132,150
A A 650 Massachusetts Health and
Educational Facilities
Authority, New England
Deaconess Hospital Issue,
6.50%, 4/1/04 687,843
--------------
$10,024,859
--------------
Housing - 0.2%
NR BBB+ $180 Massachusetts Housing
Finance Agency, (AMT),
8.10%, 8/1/23 $188,879
--------------
Insured Education - 3.6%
Aaa AAA $665 Massachusetts Educational
Financing Authority,
(AMBAC), (AMT),
6.65%, 1/1/01 $700,717
Aaa AAA 2,110 Massachusetts Educational
Financing Authority,
(MBIA), (AMT),
7.35%, 1/1/99 2,179,419
--------------
$2,880,136
--------------
Insured General Obligations - 10.3%
Aaa AAA $1,000 Chelsea, Massachusetts,
(AMBAC), 6.00%, 6/15/02 $1,063,750
Aaa AAA 1,500 The Commonwealth of
Massachusetts, (FGIC),
7.20%, 3/1/02 1,643,925
Aaa AAA 2,500 The Commonwealth of
Massachusetts, (FGIC),
6.50%, 6/1/01 2,689,450
Aaa AAA 1,000 Town of Rockport,
Massachusetts, (AMBAC),
6.80%, 12/15/04 1,090,610
Aaa AAA 1,800 Worcester, Massachusetts,
(MBIA), 5.75%, 10/1/14 1,823,400
--------------
$8,311,135
--------------
Insured Hospital - 1.3%
Aaa AAA $1,000 Massachusetts Health and
Educational Facilities
Authority, Central
Massachusetts Medical
Center, (AMBAC),
5.50%, 7/1/99 $1,026,770
--------------
Insured Housing - 16.8%
Aaa AAA $1,900 Massachusetts Housing
Finance Agency, (AMBAC),
(AMT), 5.90%, 1/1/03 $1,979,211
Aaa AAA 4,800 Massachusetts Housing
Finance Agency, (AMBAC),
(AMT), (Harborpoint
Development),
6.20%, 12/1/10 4,851,120
Aaa AAA 1,840 Massachusetts Housing
Finance Agency, (AMBAC),
(AMT), 6.00%, 7/1/04 1,931,485
Aaa AAA 4,730 Massachusetts Housing
Finance Agency, (MBIA),
6.125% 12/1/11 4,759,752
--------------
$13,521,568
--------------
Insured Industrial
Development Revenue - 1.8%
Aaa AAA $1,400 Massachusetts IFA
(Nantucket Electric),
(AMBAC), (AMT),
5.30%, 7/1/04 $1,408,708
--------------
Insured Solid Waste - 1.3%
Aaa AAA $1,000 Massachusetts Industrial
Finance Agency,
REFUSETECH Inc.
Project, (FSA),
5.45%, 7/1/01 $1,024,220
--------------
Insured Transportation - 3.6%
Aaa AAA $3,000 Massachusetts Bay
Transportation Authority,
(AMBAC), 5.25%, 3/1/11 $2,891,190
--------------
Insured Utility - 4.4%
Aaa AAA $2,000 Massachusetts Municipal
Wholesale Electric
Company, (AMBAC),
6.625%, 7/1/03 $2,193,500
Aaa AAA 1,225 Massachusetts Municipal
Wholesale Electric
Company, (MBIA),
6.40%, 7/1/02 1,326,736
--------------
$3,520,236
--------------
Insured Water and Sewer - 5.8%
Aaa AAA $2,000 Boston, MA Water &
Sewer Authority, (FGIC),
5.25%, 11/1/11 $1,921,380
Aaa AAA 3,000 Massachusetts Water &
Sewer Authority, (MBIA),
5.00%, 12/1/16 2,760,090
--------------
$4,681,470
--------------
Lease Revenue/Certificate
of Participation - 2.0%
NR BBB $1,650 Puerto Rico ITEM &
EC - Guaynabo Lease
Program, 5.375%, 7/1/06 $1,602,959
--------------
Nursing Homes - 2.7%
NR NR $1,000 Massachusetts Health and
Educational Facilities,
(1st Mortgage-Fairview
Extended Care),
10.125%, 1/1/11 $1,131,680
NR NR 1,000 Massachusetts Industrial
Finance Agency, Health
Care Facilities,(Age Institute
of Massachusetts),
7.60%, 11/1/05 1,004,450
--------------
$2,136,130
--------------
Special Tax Revenue - 2.3%
NR NR $1,750 Virgin Islands Public
Finance Authority,
6.70%, 10/1/99 $1,830,780
--------------
Transportation - 1.4%
A1 A+ $1,000 Woods Hole, Martha's
Vineyard and Nantucket
Steamship Authority,
6.60%, 3/1/03 $1,097,690
--------------
Utilities - 1.3%
A BBB+ $1,000 Massachusetts Municipal
Wholesale Electric
Company, 5.70%, 7/1/01 $1,026,181
--------------
Water & Sewer Revenue - 3.2%
A A $1,000 Massachusetts Water
Resources Authority,
6.25%, 11/1/10 $1,044,350
Aa NR 1,500 Massachusetts Water
Abatement - New Bedford
Loan Project,
5.70%, 2/1/12 1,523,640
--------------
$2,567,990
--------------
Total Tax-Exempt
Investments (identified
cost, $78,671,495) $80,304,265
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by Massachusetts
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with such
economic developments, at September 30, 1996, 48.9% of the securities in the
portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate percentage
by financial institution range from 1.3% to 23.8% of total investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Michigan Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Escrowed/Prerefunded - 18.3%
Aaa AAA $1,500 Grand Ledge, Michigan
Public School District,
(MBIA), Prerefunded
to 5/1/04, 7.875%,
10/1/04 $1,805,655
Baa1 AAA 750 Puerto Rico Aqueduct &
Sewer Authority,
Prerefunded to 7/1/98,
7.875%, 7/1/17 812,423
Aaa AAA 2,305 Romulus, Michigan
Community School
District, Prerefunded to
5/1/07, 0.00%, 5/1/22 481,399
--------------
$3,099,477
--------------
General Obligations - 8.6%
Ba1 BBB $650 Detroit, Michigan,
6.25%, 4/1/05 $665,893
Ba1 BBB 495 Detroit, Michigan,
6.40%, 4/1/05 512,013
Baa1 A 250 Puerto Rico Public
Building Authority,
6.60%, 7/1/04 272,295
--------------
$1,450,201
--------------
Hospitals - 14.3%
Baa NR $525 Flint, Michigan Hospital
Authority, (Hurley Medical
Center), 6.00%, 7/1/05 $513,093
A NR 505 Marquette Michigan
Hospital Finance Authority,
6.625%, 4/1/07 509,954
NR BBB 100 Michigan Hospital Finance
Authority, (Central MI.
Community Hospital),
6.00%, 10/1/05 100,412
NR BBB 100 Michigan Hospital
Finance Authority,
(Central MI. Community
Hospital), 6.10%, 10/1/06 100,444
NR BBB 225 Michigan Hospital
Finance Authority,
(Central MI. Community
Hospital), 6.20%, 10/1/07 226,066
NR BBB 1,000 Michigan State Hospital
Finance Authority,
(Gratiot Community
Hospital), 6.10%, 10/1/07 974,260
--------------
$2,424,229
--------------
Housing - 6.2%
NR A+ $1,000 Michigan State Housing
Development Authority,
6.00%, 4/1/01 $1,050,050
--------------
Industrial Development
Revenue - 4.6%
NR BB $270 Richmond, Michigan
Economic Development
Corporation, K-MART
Project, 6.30%, 1/1/99 $269,131
Baa3 BB+ 500 Puerto Rico Port Authority
(American Airlines),
(AMT) 6.25%, 6/1/26 505,725
--------------
$774,856
--------------
Insured General Obligations - 16.2%
Aaa AAA $500 Comstock, Michigan
Public Schools, (CGIC),
6.80%, 5/1/02 $540,415
Aaa AAA 500 Detroit, Michigan, School
District,(AMBAC),
6.50%, 5/1/10 546,860
Aaa AAA 500 Imlay, Michigan, School
District, 5.40%, 5/1/17 481,935
Aaa AAA 500 State of Michigan
Municipal Bond Authority,
Local Government Loan
Project, (MBIA),
5.375%, 11/1/17 474,895
Aaa AAA 750 Willow Run, Michigan,
Community School District,
(AMBAC), 5.00%, 5/1/16 688,507
--------------
$2,732,612
--------------
Insured Industrial
Development Revenue - 6.3%
Aaa AAA $1,000 Monroe County, Michigan,
The Detroit Edison
Company, (AMBAC),
(AMT), 6.35%, 12/1/04 (1) $1,070,790
--------------
Insured Water & Sewer
Revenue - 3.0%
Aaa AAA $525 Detroit, Michigan, Water
Revenue, 5.10%, 7/1/07 $513,492
--------------
Lease Revenue/Certificate
of Participation - 3.1%
A1 AA- $1,000 State of Michigan Building
Authority, 6.10%, 10/1/01 $530,835
--------------
Nursing Homes - 2.3%
NR NR $395 Michigan Hospital Finance
Authority, (Presbyterian
Villages), 6.20%, 1/1/06 $395,778
--------------
Solid Waste - 2.0%
Ba1 BBB- $350 Central Wayne, Michigan,
Sanitation Authority,
6.40%, 7/1/06 $343,014
--------------
Special Tax Revenue - 11.8%
NR A- $2,000 Detroit, Michigan,
Downtown Development
Authority Tax Increment,
0.00%, 7/1/21 $407,840
NR BBB+ 1,500 Battle Creek, Michigan
Downtown Development
Authority, 6.65%, 5/1/02 1,583,280
--------------
$1,991,120
--------------
Water & Sewer Revenue - 3.3%
Aa AA 500 Michigan Municipal
Bond Authority,
7.00%, 10/1/02 $558,090
--------------
Total Tax-Exempt
Investments (identified
cost, $16,446,546) $16,934,544
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by Michigan
municipalities. The ability of the issuers of the debt securities to
meet their obligations may be affected by economic developments in a
specific industry or municipality. In order to reduce the risk associated
with such economic developments, at September 30, 1996, 25.5% of the
securities in the portfolio of investments are backed by bond insurance
of various financial institutions and financial guaranty assurance
agencies. The aggregate percentage by financial institution range from
2.8% to 19.3% of total investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
New Jersey Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration - 4.7%
NR BBB- $2,250 New Jersey Economic
Development Authority,
Heating & Cooling,
(Trigen-Trenton Project),
(AMT), 6.10%, 12/1/04 $2,264,130
NR BB+ 385 New Jersey Economic
Development Authority,
Electric Energy Facilities,
(Vineland Cogeneration),
(AMT), 7.875%, 6/1/19 416,000
NR NR 550 Port Authority of New York
& New Jersey, (KIAC
Project), (AMT),
6.50%, 10/1/01 564,806
--------------
$3,244,936
--------------
Education - 4.1%
NR BBB+ $380 New Jersey Educational
Facilities Authority, Drew
University, 5.875%, 7/1/03 $395,933
NR A+ 340 Higher Education Assistance
Authority, (State of New
Jersey), (AMT), NJ Class
Loan Program,
5.70%, 1/1/02 341,646
A1 AA 1,895 Rutgers, The State
University (The State of
New Jersey), (MBIA),
6.20%, 5/1/04 2,040,877
--------------
$2,778,456
--------------
Escrowed - 6.9%
Aa1 AA+ $1,000 State of New Jersey,
Prerefunded to 8/1/02,
6.00%, 8/1/04 $1,064,090
Aaa AAA 1,325 Port Authority of New York
& New Jersey, (AMBAC),
Pre-refunded to 10/1/02,
7.40%, 10/1/12 1,523,776
Baa1 AAA 1,985 Puerto Rico Aqueduct &
Sewer Authority,
Prerefunded to 7/1/98,
7.875%, 7/1/17 2,150,212
--------------
$4,738,078
--------------
General Obligations - 10.2%
Aaa AA+ $265 Middlesex County,
New Jersey, Improvement
Authority, 5.60%, 3/1/11 $264,984
Aaa AAA 1,000 County of Morris,
New Jersey, 6.50%, 8/1/02 1,097,150
A AA 2,195 Jersey City, New Jersey,
School District,
6.25%, 10/1/10 2,325,559
Baa1 A- 750 Puerto Rico Municipal
Finance Agency,
5.60%, 7/1/02 769,530
Baa1 A 1,285 Commonwealth of Puerto
Rico, 6.35%, 7/1/10 1,361,432
Aa AA 1,000 South Brunswick,
New Jersey,
7.125%, 7/15/02 1,119,850
Aaa AA+ 5 Union County,
New Jersey, Improvement
Authority, 5.50%, 11/15/08 5,101
--------------
$6,943,606
--------------
Hospitals - 3.2%
A A- $1,000 New Jersey Health
Care Facilities Financing
Authority, (Atlantic City
Medical Care Center),
6.45%, 7/1/02 $1,053,170
A A- 340 New Jersey Health Care
Facilities Financing
Authority, (Atlantic City
Medical Care Center),
6.25%, 7/1/00 353,729
A A- 750 New Jersey Health Care
Facilities Financing
Authority, (Atlantic City
Medical Care Center),
6.55%, 7/1/03 795,525
--------------
$2,202,424
--------------
Housing - 7.8%
NR A+ $1,500 New Jersey Housing and
Mortgage Finance
Agency, 6.30%, 11/1/01 $1,582,980
NR A+ 2,570 New Jersey Housing and
Mortgage Finance Agency,
6.50%, 11/1/03 (1) 2,709,602
NR A+ 1,000 New Jersey Housing and
Mortgage Finance Agency,
6.00%, 11/1/02 1,035,910
--------------
$5,328,492
--------------
Industrial Development
Revenue - 1.0%
Aa3 NR $690 New Jersey Economic
Development Authority,
LOC: Bank of Paris,
(AMT), 6.00%, 12/1/02 $707,036
--------------
Insured Education - 3.0%
Aaa AAA $1,000 Essex County, New Jersey,
Improvement Authority,
(Guaranteed County
College Project), (AMBAC),
5.25%, 12/1/16 $959,110
Aaa AAA 1,000 New Jersey State
Educational Facilities,
Seton Hall University,
(FGIC), 6.10%, 7/1/01 1,063,630
--------------
$2,022,740
--------------
Insured General Obligations - 21.4%
Aaa AAA $1,000 Atlantic City, New Jersey,
Board of Education,
(AMBAC), 6.00%, 12/1/02 $1,062,180
Aaa AAA 1,175 Edison, New Jersey,
(AMBAC), 4.70%, 1/1/04 1,149,514
Aaa AAA 500 City of Elizabeth, Union
County, New Jersey,
(MBIA) 6.10%, 11/15/99 526,260
Aaa AAA 500 City of Elizabeth, Union
County, New Jersey,
(MBIA) 6.20%, 11/15/01 535,365
Aaa AAA 500 City of Elizabeth, Union
County, New Jersey,
(MBIA) 6.20%, 11/15/02 536,390
Aaa AAA 2,000 Essex County, New Jersey,
(AMBAC), 5.375%,
9/1/10 1,968,160
Aaa AAA 1,200 Jackson Township,
New Jersey, Local School
District, (FGIC),
6.60%, 6/1/02 1,313,328
Aaa AAA 1,200 Jackson Township,
New Jersey, Local School
District, (FGIC),
6.60%, 6/1/03 1,323,240
Aaa AAA 1,200 Kearney, New Jersey, (FSA),
6.50%, 2/1/04 1,311,660
Aaa AAA 850 Roselle, New Jersey, (MBIA),
4.65%, 10/15/03 839,953
Aaa AAA 1,000 South Brunswick Township,
New Jersey, Board of
Education, (FGIC),
6.40%, 8/1/03 1,084,260
Aaa AAA $1,000 South River, New Jersey,
School District, (FGIC),
5.00%, 12/1/09 $1,052,854
Aaa AAA 2,000 Washington Township,
New Jersey, Board of
Education, 5.125%, 2/1/15 1,887,460
--------------
$14,590,624
--------------
Insured Hospital - 3.2%
Aaa AAA $1,910 New Jersey Health Care
Facilities & Financing
Authority, (Dover General
Hospital & Medical Center),
(MBIA), 7.00%, 7/1/04 $2,152,589
--------------
Insured Industrial
Development Revenue - 1.6%
Aaa AAA $1,000 New Jersey Economic
Development Authority,
Market Transition
5.80%, 7/1/09 $1,020,030
Aaa AAA 100 Warren County
New Jersey Pollution
Control Finance Authority,
Resource Recovery,
(MBIA), 6.55%, 12/1/06 109,766
--------------
$1,129,796
--------------
Insured Lease Revenue/
Certificate of Participation - 0.9%
Aaa AAA $595 Hudson County,
New Jersey, Certificates of
Participation, (MBIA),
6.20%, 6/1/03 $628,772
--------------
Insured Solid Waste - 0.4%
Aaa AAA $250 The Bergen County
Utilities Authority, Solid
Waste System, (FGIC),
6.00%, 6/15/02 $266,708
--------------
Insured Transportation - 13.6%
Aaa AAA $2,000 New Jersey Transportation
Trust Fund Authority,
(MBIA), 5.00%, 6/15/15 $1,877,260
Aaa AAA 1,500 New Jersey Turnpike
Authority, (FSA),
5.90%, 1/1/03 1,572,330
Aaa AAA 1,000 New Jersey Turnpike
Authority, (MBIA),
5.90%, 1/1/04 1,051,560
Aaa AAA $895 New Jersey Turnpike
Authority, (FSA),
6.40%, 1/1/02 $958,044
Aaa AAA 2,000 Port Authority of New York
& New Jersey, (AMBAC),
5.125%, 7/15/14 1,908,860
Aaa AAA 2,000 Port Authority of New York
& New Jersey, (AMBAC),
5.20%, 7/15/21 1,872,980
--------------
$9,241,034
--------------
Insured Utility - 1.6%
Aaa AAA $1,000 Middlesex County,
New Jersey, Utility
Authority, (FGIC)
6.10%, 12/1/01 $1,065,310
--------------
Lease Revenue/Certificates
Of Participation - 2.4%
A1 A+ $720 New Jersey Economic
Development Authority,
Lease Revenue,
(Green Lights Energy
Project), 5.00%, 1/15/06 $705,809
A1 A+ 875 State of New Jersey,
Certificates of Participation,
5.90%, 4/1/99 900,681
--------------
$1,606,490
--------------
Life Care - 0.5%
NR NR $310 New Jersey Economic
Development Authority,
(Cadbury Corporation
Project), 8.00%, 7/1/15 $322,239
--------------
Solid Waste - 4.2%
Baa NR $300 The Atlantic County
Utilities Authority
(New Jersey), Solid Waste
System, 7.00%, 3/1/08 $296,502
A1 AA- 500 Gloucester County
Improvement Authority of
New Jersey, (Landfill
Project), 5.20%, 9/1/99 511,450
A1 NR 300 The Passaic County
Utilities Authority
(New Jersey), Solid
Waste Disposal,
5.70%, 3/1/98 305,058
NR A 1,700 The Union County
Utilities Authority
(New Jersey), Solid
Waste System, (AMT),
7.20%, 6/15/04 1,729,818
--------------
$2,842,828
--------------
Transportation - 3.7%
A1 AA- $250 New Jersey Highway
Authority, (Garden State
Parkway), 6.10%, 1/1/06 $264,960
Baa3 BB+ 1,625 Port Authority of New York
& New Jersey, (Delta
Airlines), 6.10%, 12/1/04 1,731,746
A1 AA- 500 Port Authority of New York
& New Jersey,
5.50%, 7/1/06 510,160
--------------
$2,506,866
--------------
Utility - 5.6%
Baa1 BBB+ $1,000 Puerto Rico Electric
Power Authority,
6.125%, 7/1/08 $1,045,789
Baa1 BBB+ 1,785 Puerto Rico Electric
Power Authority,
6.125%, 7/1/09 1,853,100
Baa1 BBB+ 1,000 Puerto Rico Electric
Power Authority,
6.125%, 7/1/08 915,860
--------------
$3,814,749
--------------
Total Tax-Exempt
Investments (identified
cost, $66,515,858) $68,133,773
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by New Jersey
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with such
economic developments, at September 30, 1996, 45.7% of the securities in
the portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate percentage
by financial institution range from 5.6% to 16.4% of total investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
New York Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration - 0.8%
NR NR $950 Port Authority of New York
& New Jersey - KIAC
Project, 6.50%, 10/1/01 $975,574
--------------
Education - 10.4%
Baa1 BBB $1,000 City University of
New York, John Jay College,
6.00%, 8/15/06 $1,013,280
NR AA 1,000 Dormitory Authority of the
State of New York,
Manhattan College,
6.10%, 7/1/04 1,049,530
A1 A+ 5,955 Dormitory Authority of the
State of New York,
University of Rochester,
6.50%, 7/1/09 (1) 6,146,989
Baa1 BBB 1,000 Dormitory Authority of the
State of New York, City
University, 6.10%, 7/1/01 1,039,860
NR AA 1,000 Dormitory Authority of the
State of New York, Nursing
Home, (Our Lady of
Consolation), (FHA),
5.20%, 8/1/05 995,730
Baa1 BBB+ 1,000 Dormitory Authority of the
State of New York, State
University, 7.25%, 5/15/99 1,064,560
Baa1 BBB+ 1,000 Dormitory Authority of
The State of New York,
State University,
5.20%, 5/15/03 997,170
--------------
$12,307,119
--------------
Escrowed/Prerefunded - 9.5%
Aaa NR $1,250 Dormitory Authority of
the State of New York,
State University,
Prerefunded to
5/15/02, 6.75%, 5/15/21 $1,394,375
Aaa AAA 2,000 New York State Housing
Finance Agency, Escrowed
to Maturity, 6.80%, 5/15/01 2,179,660
Aaa AA- 2,500 Port Authority of New York
& New Jersey, (AMBAC),
Prerefunded to
10/1/02, 7.40%, 10/1/12 2,875,050
NR AA- 2,000 Power Authority of the
State of New York,
Prerefunded to
1/1/98, 8.00%, 1/1/17 2,130,240
Aaa AAA 2,500 Suffolk County, New York
Water Authority, (AMBAC),
Prerefunded to 6/1/02,
6.00%, 6/1/17 2,698,150
--------------
$11,277,475
--------------
General Obligations - 10.2%
Baa1 BBB+ $1,000 The City of New York,
6.375%, 8/1/05 $1,033,120
Baa1 BBB+ 3,000 The City of New York,
6.40%, 8/1/03 3,148,200
Baa1 BBB+ 1,500 The City of New York,
6.375%, 8/1/06 1,543,050
A A- 1,500 State of New York,
7.50%, 11/15/00 1,650,720
A A- 1,000 State of New York,
7.50%, 11/15/01 1,119,690
A A- 2,000 State of New York,
7.00%, 11/15/02 2,221,740
Baa1 A 1,350 Puerto Rico
Commonwealth,
6.35%, 7/1/10 1,430,298
--------------
$12,146,818
--------------
Hospitals - 7.1%
Baa1 BBB $2,340 Dormitory Authority of
New York, Department of
Health, 5.375%, 7/1/08 $2,255,900
NR AAA 2,000 New York State Medical
Care Facilities Finance
Agency, Mount Sinai
Hospital, 5.40%, 8/15/00 2,050,260
NR AAA 3,000 New York State Medical
Care Facilities Finance
Agency, Mount Sinai
Hospital, 5.50%, 8/15/01 3,103,140
Baa NR 1,000 New York State Dormitory
Authority, Nyack Hospital,
6.00%, 7/1/06 1,005,750
--------------
$8,415,050
--------------
Housing - 4.2%
Aa AA $5,100 New York City Housing
Development Corporation,
(Multi-Family),
5.625%, 5/1/12 $5,014,116
--------------
Industrial Development
Revenue - 1.5%
Baa3 BB+ $1,700 Puerto Rico Port
Authority - American
Airlines, 6.25%, 6/1/26 $1,719,465
--------------
Insured Education - 4.7%
Aaa AAA $1,075 Dormitory Authority of
the State of New York,
Mt. Sinai School of
Medicine, (MBIA),
6.75%, 7/1/09 $1,159,581
Aaa AAA 2,550 Dormitory Authority of
the State of New York,
State University,
(AMBAC), 5.25%, 7/1/14 2,444,670
Aaa AAA 2,000 Dormitory Authority of
the State of New York,
State University, (AMBAC),
5.25%, 7/1/06 1,975,000
--------------
$5,579,251
--------------
Insured Hospital - 6.3%
Aaa AAA $4,450 New York State Medical
Care Facilities Finance
Agency, New York State
Hospital, (AMBAC),
6.10%, 2/15/04 $4,736,936
Aaa AAA 2,500 New York State Medical
Care Facilities Finance
Agency, New York State
Hospital, (AMBAC),
6.20%, 2/15/05 2,695,800
--------------
$7,432,736
--------------
Insured Lease Revenue/
Certificate of Participation - 1.6%
Aaa AAA $2,000 City University of
New York - John Jay
College, (AMBAC),
6.00%, 8/15/08 $1,923,660
--------------
Insured Miscellaneous - 0.9%
Aaa AAA $1,000 New York State Municipal
Bond Bank Agency,
(AMBAC), 6.625%,
3/15/06 $1,084,270
--------------
Insured Transportation - 9.7%
Aaa AAA $2,240 Metropolitan Transportation
Authority for the City of
New York, (MBIA),
5.70%, 7/1/10 $2,256,934
Aaa AAA 3,500 The Port Authority of
New York and New Jersey,
(MBIA), 6.375%, 10/15/17 3,713,850
Aaa AAA 1,000 The Port Authority of
New York and New Jersey,
(AMBAC), 5.20%, 7/15/15 956,030
Aaa AAA 2,000 Triborough Bridge and
Tunnel Authority, (MBIA),
6.20%, 1/1/01 2,121,140
Aaa AAA 2,290 Triborough Bridge and
Tunnel Authority, (FGIC),
5.80%, 1/1/02 2,390,554
--------------
$11,438,508
--------------
Insured Utility - 5.1%
Aaa AAA $500 New York State Energy
Research and Development
Authority, Gas Facilities,
(Brooklyn Union Gas),
(MBIA), 5.50%, 1/1/21 $486,255
Aaa AAA 5,000 New York State Energy
Research and Development
Authority, Central Hudson
Gas, (FGIC), 7.375%,
10/1/14 5,503,000
--------------
$5,989,255
--------------
Insured Water and Sewer - 1.7%
Aaa AAA $1,000 New York City Municipal
Water Finance Authority,
(AMBAC), 5.80%, 6/15/03 $1,051,950
Aaa AAA 1,000 Suffolk County, New York,
Water Authority, (MBIA),
5.00%, 6/1/15 922,300
--------------
$1,974,250
--------------
Lease Revenue/Certificates
of Participation - 6.8%
A1 AA $3,500 Housing New York
Corporation, 6.00%,
11/1/03 $3,655,435
Baa1 BBB 4,715 New York Urban
Development Corporation,
5.375%, 1/1/15 4,346,192
--------------
$8,001,627
--------------
Special Tax Revenue - 4.6%
A A $3,725 New York Local
Government Assistance
Corporation, 5.25%,
4/1/16 $3,541,805
A A 1,750 New York Local
Government Assistance
Corporation, 7.00%, 4/1/04 1,928,517
--------------
$5,470,322
--------------
Transportation - 12.4%
A1 A $1,750 New York State Thruway
Authority, 5.375%, 1/1/02 $1,794,398
A A- 1,645 New York State Thruway
Authority, 5.80%, 4/1/09 1,661,730
Baa1 BBB 1,000 New York State Thruway
Authority, 6.00%, 4/1/03 1,039,150
Baa1 BBB 3,000 New York State Thruway
Authority, 5.75%, 4/1/16 2,924,550
A1 AA- 3,000 Port Authority of New York
& New Jersey, (AMT),
6.00%, 7/1/14 3,055,380
Baa3 BB+ 2,875 Port Authority of New York
& New Jersey,
(Delta Airlines),
6.95%, 6/1/08 3,063,858
Aa A+ 1,250 Triborough Bridge &
Tunnel Authority,
4.75%, 1/1/19 1,102,663
--------------
$14,641,729
--------------
Water & Sewer Revenue - 2.5%
A A- $1,825 New York City Municipal
Water Finance Authority,
5.70%, 6/15/02 $1,901,285
Aaa AAA 1,000 New York State
Environmental Facilities
Corporation, County of
Westchester Project,
5.60%, 9/15/13 1,001,281
--------------
$2,902,566
--------------
Total Tax-Exempt
Investments (identified
cost, $116,927,363) $118,293,791
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by New York
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with such
economic developments, at September 30, 1996, 30.0% of the securities in
the portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate
percentage by financial institution range from 8.0% to 18.1% of total
investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Ohio Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education - 5.8%
A1 A+ $500 The Student Loan Funding
Corporation of Cincinnati,
(AMT), 5.75%, 8/1/03 $505,290
A1 NR 1,200 The Student Loan Funding
Corporation of Cincinnati,
(AMT), 5.95%, 8/1/05 1,212,600
--------------
$1,717,890
--------------
Escrowed - 7.4%
Aaa AAA $650 Clermont County, Ohio,
Water Works, (AMBAC),
Prerefunded to 12/1/01,
6.625%, 12/1/16 $721,676
NR NR 350 Cuyahoga County, Ohio,
(Judson Retirement
Community), Escrowed to
11/15/99, 8.875%,
11/15/19 403,175
Baa1 AAA 1,000 Puerto Rico Aqueduct &
Sewer Authority,
Prerefunded to 7/1/98
7.875%, 7/1/17 1,083,230
--------------
$2,208,081
--------------
General Obligations - 14.2%
NR NR $500 Cleveland, Ohio, City
School District, 6.50%,
6/15/97 $500,680
Aa NR 500 Hamilton County, Ohio,
5.00%, 12/1/16 458,330
NR A+ 300 Kings County, Ohio, Local
School District, 7.60%,
12/1/10 336,789
Baa1 A 1,000 Commonwealth of Puerto
Rico, 6.25%, 7/1/08 1,058,980
A NR 1,000 Wauseon, Ohio School
District, 7.25%, 12/1/10 1,079,760
NR NR 770 Youngstown, Ohio,
County School District,
6.40%, 7/1/00 789,419
--------------
$4,223,958
--------------
Hospitals - 15.7%
A A- $1,000 Erie County Hospital
Improvement (Fireland
Community Hospital
Project), 6.75%, 1/1/08 $1,057,240
Aa NR 1,000 Franklin County, Ohio,
Hospital Improvement,
(Children' s Hospital),
5.75%, 11/1/15 995,360
Baa BBB 500 Hamilton County Ohio
Health System (Providence
Hospital Project),
6.00%, 7/1/01 506,105
NR NR 990 Mt. Vernon Ohio Hospital,
(Knox Community
Hospital), 7.875%,6/1/12 1,020,225
Aa2 NR 1,000 Warren County, Ohio,
Hospital Facilities,
(Otterbein Homes
Project), 7.20%, 7/1/11 1,093,830
--------------
$4,672,760
--------------
Housing - 4.3%
NR AAA $1,000 Cuyahoga County, Ohio,
Multifamily Housing,
(National Terminal
Apts. Project),
6.40%, 7/1/16 $1,006,430
NR NR 300 Lucas County, Ohio,
Economic Development
Multifamily Housing
(County Creek Project),
8.00%, 7/1/26 285,012
--------------
$1,291,442
--------------
Industrial Development
Revenue - 8.5%
Aa NR $650 Cuyahoga County, Ohio,
IDR, (Chippewa Place
Project), 5.80% 8/1/05 $663,436
NR A- 1,020 Ohio Economic
Development Commission,
(ABS Industries)
(AMT), 6.00%, 6/1/04 1,046,316
NR A- 765 Ohio Economic
Development Commission,
(Ohio Enterprise Bond
Fund-Progress Plastics
Products), (AMT),
6.80%, 12/1/01 828,694
--------------
$2,538,446
--------------
Insured Education - 3.8%
Aaa AAA $1,250 Ohio State Public
Facilities Commission,
(Higher Educational
Facilities), (AMBAC),
4.30%, 12/1/08 $1,127,450
--------------
Insured General Obligations - 24.4%
Aaa AAA $1,000 Cleveland, Ohio, (MBIA),
6.50%, 11/15/01 $1,088,050
Aaa AAA 300 Huron County, Ohio,
(Landfill Refunding),
(MBIA), 5.50%, 12/1/08 302,625
Aaa AAA 1,350 Mt. Vernon County, Ohio,
Local School District,
(FGIC), 7.50%, 12/1/14 1,566,040
Aaa AAA 1,760 Southwest Licking Ohio
School Facilities
Improvement, (FGIC),
7.10%, 12/1/16 1,700,640
Aaa AAA 400 St. Henry, Ohio, Local
School District, (MBIA),
5.25%, 12/1/19 377,468
Aaa AAA 1,000 West Clermont Ohio
School District, (AMBAC),
7.125%, 12/1/19 570,175
Aaa AAA 1,500 West Clermont Ohio
School District, (AMBAC),
6.90%, 12/1/12 (1) 1,672,245
--------------
$7,277,243
--------------
Insured Hospital - 3.7%
Aaa AAA $1,000 Portage County Ohio
Hospital Revenue Bonds,
(Robinson Hospital Project),
(MBIA), 6.50%, 11/15/04 $1,097,600
--------------
Insured Transportation - 3.2%
Aaa AAA $1,000 Dayton, Ohio, Airport
Revenue, (James M. Cox -
Dayton International
Airport), (AMBAC),
5.25%, 12/1/15 $952,340
--------------
Insured Utility - 1.8%
Aaa AAA $500 Cleveland, Ohio, Public
Power System, (MBIA),
6.10%, 11/15/03 $538,760
--------------
Insured Water & Sewer - 2.1%
Aaa AAA $690 Bellefontaine, Ohio,
Water System Mortgage
Revenue, (AMBAC),
5.00%, 12/1/15 $635,580
--------------
Life Care - 2.2%
NR BBB- $680 Marion County, Ohio,
Health Care Facilities,
(United Church Homes
Project), 5.25%, 11/15/98 $675,131
--------------
Nursing Homes - 1.2%
NR NR $300 Greene County, Ohio,
First Mortgage, (Fairview
Extended Care),
10.125%, 1/1/11 $339,504
--------------
Special Tax - 1.7%
NR NR $504 Columbus Ohio Special
Assessment, 6.05%, 9/15/05 $501,221
--------------
Total Tax-Exempt
Investments (identified
cost, $29,217,526) $29,797,406
==============
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
The Portfolio invests primarily in debt securities issued by Ohio municipalities.
The ability of the issuers of the debt securities to meet their obligations may be
affected by economic developments in a specific industry or municipality. In order
to reduce the risk associated with such economic developments, at September 30,
1996, 39.0% of the securities in the portfolio of investments are backed by bond
insurance of various financial institutions and financial guaranty assurance
agencies. The aggregate percentage by financial institution range from 11.0% to
19.1% of total investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Pennsylvania Limited Maturity Municipals Portfolio
Portfolio of Investments - September 30, 1996 (Unaudited)
Tax-Exempt Investments - 100%
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's Omitted) Security Value
- --------------------------------- ------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living - 1.5%
NR NR $1,120 Delaware County,
Pennsylvania, Industrial
Development Authority,
(Glen Riddle Project),
(AMT),8.125%, 9/1/05 $1,181,141
--------------
Cogeneration - 4.3%
NR BBB- 2,000 Pennsylvania Economic
Development Financing
Authority, (Resource
Recovery - Culver Project),
(AMT), 7.05%, 12/1/10 $2,094,260
NR NR 1,200 Pennsylvania Economic
Development Financing
Authority, (Resource
Recovery for Northampton),
6.75%, 1/1/07 1,221,120
--------------
$3,315,380
--------------
Education - 8.8%
NR AAA $700 Montgomery County
Higher Education and
Health Authority, (Saint
Joseph's University),
(CLEE), 6.00%, 12/15/02 $741,447
Aa A+ 1,500 Pennsylvania Higher
Educational Facilities
Authority, (Thomas
Jefferson University),
5.90%, 8/15/00 1,567,170
Aa AA 4,500 Pennsylvania Higher
Educational Facilities
Authority, (University of
Pennsylvania Hospital),
5.875%, 1/1/15 4,545,630
--------------
$6,854,247
--------------
Escrowed - 16.2%
Aaa AAA $3,200 Philadelphia Municipal
Authority, Justice Lease
Revenue Bonds, (FGIC),
Prerefunded to 11/15/01,
7.10%, 11/15/11 $3,603,712
Aaa NR 2,500 Philadelphia, Pennsylvania,
Hospital & Higher
Education, (Children's
Hospital), Prerefunded to
2/15/02, 6.50%, 2/15/21 2,743,800
Aaa AAA $2,070 Pennsylvania
Intragovernmental
Cooperative Authority,
(City of Philadelphia
Funding Program), (FGIC),
Escrowed to Maturity,
6.00%, 6/15/02 $2,197,698
Baa BBB 500 Pennsylvania State Higher
Education, (Medical
College of Pennsylvania),
Prefunded to 3/1/01,
7.25%, 3/1/05 558,380
Aaa AAA 1,500 Somerset County,
Pennsylvania, General
Authority, (FGIC),
Escrowed to Maturity,
6.50%, 10/15/01 1,623,225
Aaa AAA 7,000 Westmoreland County,
Pennsylvania, Municipal
Authority, 0.00%, 8/15/19 1,851,990
--------------
$12,578,805
--------------
General Obligations - 4.2%
Aa AA $1,575 Delaware County,
Pennsylvania, 5.50%,
10/1/15 $1,556,714
Baa1 A 750 Puerto Rico Aqueduct &
Sewer Authority, 5.00%,
7/1/15 688,328
Baa1 A 1,000 The Commomwealth of
Puerto Rico, Public
Improvement Refunding
Bonds, 5.50%, 7/1/01 1,034,870
--------------
$3,279,912
--------------
Hospitals - 21.4%
Aa AA $2,000 Geisinger, Pennsylvania,
Health System, 7.375%,
7/1/02 $2,153,500
NR AAA 1,030 Indiana County,
Pennsylvania, Hospital
Authority, (Indiana
Hospital Project),
(CLEE), 5.75%, 7/1/00 1,062,723
NR AAA 825 Indiana County,
Pennsylvania, Hospital
Authority, (Indiana
Hospital Project), (CLEE),
5.875%, 7/1/01 859,320
A BBB+ $1,000 Monroeville, Pennsylvania,
Hospital Authority,
(Forbes Health),
5.75%, 10/1/05 $1,003,470
Baa NR 1,030 Montgomery County,
Pennsylvania, Higher
Education & Health
Authority, (Montgomery
Hospital), 6.25%, 7/1/06 1,043,359
Baa NR 1,100 Montgomery County,
Pennsylvania, Higher
Education & Health
Authority, (Montgomery
Hospital), 6.375%, 7/1/07 1,117,380
A NR 500 New Castle Area Hospital
Authority, (St. Francis
Hospital of New Castle),
5.90%, 11/15/00 513,905
NR BBB 445 Northampton County
Hospital Authority,
(Easton Hospital)
6.90%, 1/1/02 457,504
Baa1 BBB+ 1,500 The Hospitals and Higher
Education Facilities
Authority of Philadelphia,
(Graduate Health System),
7.00%, 7/1/05 1,533,885
Baa1 BBB+ 2,500 Philadelphia, Pennsylvania,
Hospital and Higher
Education Facilities
Authority, (Pennsylvania
Hospital), 6.05%, 7/1/04 2,536,700
Aa NR 4,750 Pottsville, PA, Hospital
Authority, (Daughters of
Charity), 5.00%,
8/15/12 (1) 4,368,195
--------------
$16,649,941
--------------
Industrial Development
Revenue - 1.2%
NR NR $885 Chester County, PA,
Industrial Development
Authority, 8.00%, 9/1/05 $926,153
--------------
Insured Education - 3.1%
Aaa AAA $2,280 Lycoming County
Authority, Pennnsylvania,
College Revenue Bonds,
(AMBAC), 6.00%, 11/1/01 $2,409,253
--------------
Insured General Obligations - 6.1%
Aaa AAA $2,000 Bucks County,
Pennsylvania, Technical
School Authority,
(AMBAC), 5.375%,
8/15/15 $1,920,840
Aaa AAA 3,000 Commonwealth of
Pennsylvania, (AMBAC),
5.00%, 11/15/11 2,838,330
--------------
$4,759,170
--------------
Insured Hospitals - 12.6%
Aaa AAA $1,250 Allegheny County,
Pennsylvania, Hospital
Development Authority,
(South Hills Health),
(MBIA), 5.50%, 5/1/08 $1,255,250
Aaa AAA 1,000 The Hospital Authority of
Beaver County,
Pennsylvania, (The Medical
Center of Beaver, PA),
(AMBAC), 5.90%,
7/1/00 1,043,810
Aaa AAA 1,985 Chester County,
Pennsylvania, Health &
Educational Facilities,
(Chester County Hospital),
(MBIA), 5.625%, 7/1/09 1,977,656
Aaa AAA 1,000 Erie County, Pennsylvania,
Hospital Authority, (Hamot
Health System), (AMBAC),
7.10%, 2/15/10 1,087,220
Aaa AAA 2,050 Sayre Health Care Facilities
Authority, (Guthrie Medical
Center), (AMBAC),
6.50%, 3/1/00 2,169,556
Aaa AAA 2,100 Washington County
Hospital Authority,
(Shadyside Hospital
Project), (AMBAC),
5.80%, 12/15/02 2,215,899
--------------
$9,749,391
--------------
Insured Lease Revenue/
Certificates of Participation - 2.1%
Aaa AAA $500 The Harrisburg Authority
(Dauphin County,
Pennsylvania), Lease
Revenue Bonds, (CGIC),
6.25%, 6/1/01 $535,300
Aaa AAA 1,000 Northumberland County
Authority, Pennsylvania,
Lease Revenue Bonds,
(MBIA), 6.50%, 10/15/01 1,082,150
--------------
$1,617,450
--------------
Insured Transportation - 5.7%
Aaa AAA $4,250 Pennsylvania State
Turnpike Commisssion,
(AMBAC), 6.25%,
6/1/11 (1) $4,437,383
--------------
Life Care - 1.0%
NR NR $245 Delaware County,
Pennsylvania, Authority,
(White Horse Village),
6.30%, 7/1/03 $245,368
NR NR 505 Delaware County,
Pennsylvania, Authority,
(White Horse Village),
6.40%, 7/1/04 505,848
--------------
$751,216
--------------
Nursing Home - 0.7%
NR NR $500 Wilkins Area,
Pennsylvania, Industrial
Development Authority,
(Fairview Extended Care),
10.25%, 1/1/21 $568,095
--------------
Solid Waste - 2.4%
Baa A- $500 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue,
6.20%, 5/15/99 511,805
Baa A- 500 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue,
6.20%, 5/15/99 513,890
Baa A- 300 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue,
6.20%, 5/15/99 310,011
Baa A- 500 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue,
6.20%, 5/15/99 518,755
--------------
$1,854,461
--------------
Special Tax Revenue - 0.3%
NR NR $250 Virgin Islands Public
Finance Authority,
(V.I. General Obligation/
Matching Loan Fund
Notes), 6.70%, 10/1/99 $261,540
--------------
Transportation - 4.8%
Aa3 AA- $2,550 Southeastern Pennsylvania
Transportation Authority,
LOC:Canadian Imperial
Bank of Commerce,
6.00%, 6/1/99 $2,646,033
Aa3 AA- 1,000 Southeastern Pennsylvania
Transportation Authority,
LOC: Canadian Imperial
Bank of Commerce,
6.00%, 6/1/99 1,052,490
--------------
$3,698,523
--------------
Utility - 1.4%
NR NR $1,000 Virgin Island Water &
Authority, 7.40%, 7/1/11 $1,058,840
--------------
Water & Sewer - 2.2%
NR AA $1,600 Pennsylvania Infrastucture
Investment Authority,
(Pennvest Pool Program),
6.45%, 9/1/04 $1,743,855
--------------
Total Tax-Exempt
Investments (identified
cost, $76,000,297) $77,694,756
==============
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Pennsylvania municipalities.
The ability of the issuers of the debt securities to meet their obligations may be affected
by economic developments in a specific industry or municipality. In order to reduce the
risk associated with such economic developments, at September 30, 1996, 29.6% of the
securities in the portfolio of investments are backed by bond insurance of various
financial institutions and financial guaranty assurance agencies. The aggregate
percentage by financial institution range from 0.7% to 22.9% of total investments.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Limited Maturity Municipals Portfolios
Financial Statements
Statments of Assets and Liabilities
September 30, 1996 (Unaudited)
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments --
Identified cost $48,626,770 $13,652,704 $104,324,918 $78,671,495 $16,446,546
Unrealized appreciation 1,310,815 229,251 2,616,737 1,632,770 487,998
------------ ------------ ------------ ------------ ------------
Total investments, at value
(Note 1A) $49,937,585 $13,881,955 $106,941,655 $80,304,265 $16,934,544
Cash 300,741 24,512 128 628 540
Receivable for daily variation
margin on open financial
futures contracts (Note 1E) 14,063 3,938 15,469 11,250 4,500
Receivable for investments sold 1,710,228 -- 490,000 2,152,342 --
Interest receivable 872,066 219,245 2,387,597 1,234,078 398,525
Deferred organization expenses
(Note 1D) 2,401 1,064 6,679 6,480 1,811
------------ ------------ ------------ ------------ ------------
Total assets $52,837,084 $14,130,714 $109,841,528 $83,709,043 $17,339,920
------------ ------------ ------------ ------------ ------------
Liabilities:
Demand note payable (Note 5) $-- $ -- $89,000 $870,000 $16,000
Payable for investments purchased 1,988,773 -- -- 519,843 --
Payable to affiliate --
Trustees' fee 1,543 41 2,044 1,544 1,237
Accrued expenses 4,508 1,651 10,872 7,347 1,010
------------ ------------ ------------ ------------ ------------
Total liabilities $1,994,824 $1,692 $101,916 $1,398,734 $18,247
------------ ------------ ------------ ------------ ------------
Net Assets applicable to
investors' interest in
Portfolio $50,842,260 $14,129,022 $109,739,612 $82,310,309 $17,321,673
============ ============ ============ ============ ============
Sources of Net Assets:
Net proceeds from capital
contributions and withdrawals $49,591,121 $13,918,106 $107,188,518 $80,725,279 $16,854,396
Unrealized appreciation of
investments and financial
futures contracts (computed on the
basis of identified cost) 1,251,139 210,916 2,551,094 1,585,030 467,277
------------ ------------ ------------ ------------ ------------
Total $50,842,260 $14,129,022 $109,739,612 $82,310,309 $17,321,673
============ ============ ============ ============ ============
<CAPTION>
Statements of Assets and Liabilities
September 30, 1996 (Unaudited)
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Assets:
Investments --
Identified cost $66,515,858 $116,927,363 $29,124,986 $76,000,297
Unrealized appreciation 1,617,915 1,366,428 672,420 1,694,459
------------ ------------ ------------ ------------
Total investments, at value
(Note 1A) $68,133,773 $118,293,791 $29,797,406 $77,694,756
Cash 315 2,175,768 110,001 471,553
Receivable for daily variation
margin on open financial futures
contracts (Note 1E) 17,156 11,250 4,219 14,063
Receivable for investments sold 1,301,997 -- 574,868 2,680,360
Interest receivable 1,110,661 2,082,335 561,895 1,311,314
Deferred organization expenses
(Note 1D) 2,785 4,070 1,261 4,244
------------ ------------ ------------ ------------
Total assets $70,566,687 $122,567,214 $31,049,650 $82,176,290
------------ ------------ ------------ ------------
Liabilities:
Demand note payable (Note 5) $912,000 $ -- $ -- $ --
Payable for investments purchased -- 1,993,130 301,742 2,903,787
Payable to affiliate --
Trustees' fee 1,544 2,044 417 1,544
Accrued expenses 6,126 10,816 2,612 6,471
------------ ------------ ------------ ------------
Total liabilities $919,670 $2,005,990 $304,771 $2,911,802
------------ ------------ ------------ ------------
Net Assets applicable to investors'
interest in Portfolio $69,647,017 $120,561,224 $30,744,879 $79,264,488
============ ============ ============ ============
Sources of Net Assets:
Net proceeds from capital
contributions and withdrawals $68,106,374 $119,242,536 $30,086,705 $77,629,704
Unrealized appreciation of
investments and financial futures
contracts (computed on the basis of
identified cost) 1,540,643 1,318,688 658,174 1,634,784
------------ ------------ ------------ ------------
Total $69,647,017 $120,561,224 $30,744,879 $79,264,488
============ ============ ============ ============
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Statements of Operations
Six Months Ended September 30, 1996 (Unaudited)
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest income $1,536,294 $393,886 $3,194,008 $2,429,471 $563,180
------------ ------------ ------------ ------------ ------------
Expenses --
Investment adviser fee (Note 2) $128,123 $33,271 $270,842 $205,650 $45,718
Compensation of Trustees not
members of the Investment
Adviser's organization 3,224 123 4,216 3,738 82
Custodian fees (Note 1G) 16,619 6,784 32,239 19,711 8,174
Legal and accounting services 18,520 14,220 20,420 20,420 18,420
Amortization of organization
expenses (Note 1D) 499 1,288 2,108 2,050 1,561
Miscellaneous 10,674 4,325 17,769 17,526 5,647
------------ ------------ ------------ ------------ ------------
Total expenses $177,659 $60,011 $347,594 $269,095 $79,602
------------ ------------ ------------ ------------ ------------
Deduct --
Reduction of investment
adviser fee (Note 2) $ -- $16,677 $ -- $ -- $ --
Reduction of custodian
fee (Note 1G) 1,815 3,346 3,859 7,880 2,416
------------ ------------ ------------ ------------ ------------
Total $1,815 $20,023 $3,859 $7,880 $2,416
------------ ------------ ------------ ------------ ------------
Net expenses $175,844 $39,988 $343,735 $261,215 $77,186
------------ ------------ ------------ ------------ ------------
Net investment income $1,360,450 $353,898 $2,850,273 $2,168,256 $485,994
------------ ------------ ------------ ------------ ------------
Realized and Unrealized Gain
(Loss) on Investments:
Net realized gain (loss) --
Investment transactions
(identified cost basis) ($122,600) $11,875 ($447,887) ($209,918) $162,171
Financial futures contracts (350,046) (44,410) (604,420) (328,595) (98,059)
------------ ------------ ------------ ------------ ------------
Net realized gain (loss) ($472,646) ($32,535) ($1,052,307) ($538,513) $64,112
------------ ------------ ------------ ------------ ------------
Change in unrealized
appreciation (depreciation) --
Investments $272,386 $2,525 $312,799 $2,712 ($90,436)
Financial futures contracts (59,675) (15,159) (65,643) (47,740) (15,958)
------------ ------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation) of investments $212,711 ($12,634) $247,156 ($45,028) ($106,394)
------------ ------------ ------------ ------------ ------------
Net realized and unrealized loss ($259,935) ($45,169) ($805,151) ($583,541) ($42,282)
------------ ------------ ------------ ------------ ------------
Net increase in net assets
from operations $1,100,515 $308,729 $2,045,122 $1,584,715 $443,712
============ ============ ============ ============ ============
<CAPTION>
Statements of Operations (Continued)
Six Months Ended September 30, 1996 (Unaudited)
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Investment Income:
Interest income $2,065,062 $3,511,702 $929,511 $2,431,381
------------ ------------ ------------ ------------
Expenses --
Investment adviser fee (Note 2) $173,692 $300,218 $75,224 $200,015
Compensation of Trustees not
members of the Investment
Adviser's organization 3,225 4,217 828 3,225
Custodian fees (Note 1G) 22,025 36,484 11,385 25,483
Legal and accounting services 18,420 20,420 18,420 20,420
Amortization of organization
expenses (Note 1D) 897 1,289 1,288 1,339
Miscellaneous 9,408 14,611 6,201 15,954
------------ ------------ ------------ ------------
Total expenses $227,667 $377,239 $113,346 $266,436
Deduct --
Reduction of custodian
fee (Note 1G) 9,927 4,890 3,217 3,941
------------ ------------ ------------ ------------
Net expenses $217,740 $372,349 $110,129 $262,495
------------ ------------ ------------ ------------
Net investment income $1,847,322 $3,139,353 $819,382 $2,168,886
------------ ------------ ------------ ------------
Realized and Unrealized Gain
(Loss) on Investments:
Net realized gain (loss) --
Investment transactions
(identified cost basis) $13,590 ($55,254) $170,489 $292,280
Financial futures contracts (286,485) (553,518) (89,321) (576,904)
------------ ------------ ------------ ------------
Net realized gain (loss) ($272,895) ($608,772) $81,168 ($284,624)
------------ ------------ ------------ ------------
Change in unrealized
appreciation (depreciation) --
Investments $127,275 ($16,010) ($1,381) ($208,107)
Financial futures contracts (63,883) (47,740) (14,246) (59,675)
------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation) of investments $63,392 ($63,750) ($15,627) ($267,782)
------------ ------------ ------------ ------------
Net realized and unrealized
gain (loss) ($209,503) ($672,522) $65,541 ($552,406)
------------ ------------ ------------ ------------
Net increase in net assets
from operations $1,637,819 $2,466,831 $884,923 $1,616,480
============ ============ ============ ============
See notes to financial statments
</TABLE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
Six Months Ended September 30, 1996 (Unaudited)
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Increase (Decrease)
in Net Assets:
From operations --
Net investment income $1,360,450 $353,898 $2,850,273 $2,168,256 $485,994
Net realized gain (loss)
on investments (472,646) (32,535) (1,052,307) (538,513) 64,112
Change in unrealized appreciation
of investments 212,711 (12,634) 247,156 (45,028) (106,394)
------------ ------------ ------------ ------------ ------------
Net increase in net assets
from operations $1,100,515 $308,729 $2,045,122 $1,584,715 $443,712
------------ ------------ ------------ ------------ ------------
Capital transactions --
Contributions $7,819,944 $639,611 $21,639,528 $16,916,097 $251,914
Withdrawals (17,294,279) (1,680,844) (41,780,049) (33,325,779) (4,565,359)
------------ ------------ ------------ ------------ ------------
Decrease in net assets resulting
from capital transactions ($9,474,335) ($1,041,233) ($20,140,521) ($16,409,682) ($4,313,445)
------------ ------------ ------------ ------------ ------------
Total decrease in net assets ($8,373,820) ($732,504) ($18,095,399) ($14,824,967) ($3,869,733)
Net Assets:
At beginning of period 59,216,080 14,861,526 127,835,011 97,135,276 21,191,406
------------ ------------ ------------ ------------ ------------
At end of period $50,842,260 $14,129,022 $109,739,612 $82,310,309 $17,321,673
============ ============ ============ ============ ============
<CAPTION>
Statements of Changes in Net Assets (Continued)
Six Months Ended September 30, 1996 (Unaudited)
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------
Increase (Decrease)
in Net Assets:
From operations --
Net investment income $1,847,322 $3,139,353 $819,382 $2,168,886
Net realized gain (loss)
on investments (272,895) (608,772) 81,168 (284,624)
Change in unrealized appreciation
of investments 63,392 (63,750) (15,627) (267,782)
------------ ------------ ------------ ------------
Net increase in net assets
from operations $1,637,819 $2,466,831 $884,923 $1,616,480
------------ ------------ ------------ ------------
Capital transactions --
Contributions $15,071,160 $21,586,967 $446,624 $19,231,304
Withdrawals (27,234,538) (42,221,053) (4,116,043) (33,777,296)
------------ ------------ ------------ ------------
Decrease in net assets resulting
from capital transactions ($12,163,378) ($20,634,086) ($3,669,419) ($14,545,992)
------------ ------------ ------------ ------------
Total decrease in net assets ($10,525,559) ($18,167,255) ($2,784,496) ($12,929,512)
Net Assets:
At beginning of period 80,172,576 138,728,479 33,529,375 92,194,000
------------ ------------ ------------ ------------
At end of period $69,647,017 $120,561,224 $30,744,879 $79,264,488
============ ============ ============ ============
<CAPTION>
Statements of Changes in Net Assets(Continued)
Year Ended March 31, 1996
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------ ------------
Increase (Decrease)
in Net Assets:
From operations --
Net investment income $3,416,052 $795,358 $6,849,405 $5,212,102 $1,341,190
Net realized gain (loss)
on investments 690,889 16,771 295,731 (63,095) 313,930
Change in unrealized appreciation
of investments 500,309 283,601 1,590,260 1,762,463 87,479
------------ ------------ ------------ ------------ ------------
Net increase in net assets
from operations $4,607,250 $1,095,730 $8,735,396 $6,911,470 $1,742,599
------------ ------------ ------------ ------------ ------------
Capital transactions --
Contributions $2,502,298 $1,702,174 $10,648,982 $4,408,033 $748,500
Withdrawals (30,237,193) (5,251,996) (56,128,282) (33,303,769) (14,497,709)
------------ ------------ ------------ ------------ ------------
Decrease in net assets resulting
from capital transactions ($27,734,895) ($3,549,822) ($45,479,300) ($28,895,736) ($13,749,209)
------------ ------------ ------------ ------------ ------------
Total decrease in net assets ($23,127,645) ($2,454,092) ($36,743,904) ($21,984,266) ($12,006,610)
Net Assets:
At beginning of year 82,343,725 17,315,618 164,578,915 119,119,542 33,198,016
------------ ------------ ------------ ------------ ------------
At end of year $59,216,080 $14,861,526 $127,835,011 $97,135,276 $21,191,406
============ ============ ============ ============ ============
<CAPTION>
Statements of Changes in Net Assets (Continued)
Year Ended March 31, 1996
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Increase (Decrease)
in Net Assets:
From operations --
Net investment income $4,281,726 $7,387,952 $1,869,100 $4,991,356
Net realized gain (loss)
on investments 83,359 217,916 230,400 (470,305)
Change in unrealized appreciation
of investments 875,687 2,312,427 179,256 1,828,795
------------ ------------ ------------ ------------
Net increase in net assets
from operations $5,240,772 $9,918,295 $2,278,756 $6,349,846
------------ ------------ ------------ ------------
Capital transactions --
Contributions $2,138,038 $7,273,143 $1,242,994 $4,976,577
Withdrawals (24,485,909) (52,095,383) (9,427,749) (32,738,468)
------------ ------------ ------------ ------------
Decrease in net assets resulting
from capital transactions ($22,347,871) ($44,822,240) ($8,184,755) ($27,761,891)
------------ ------------ ------------ ------------
Total decrease in net assets ($17,107,099) ($34,903,945) ($5,905,999) ($21,412,045)
Net Assets:
At beginning of year 97,279,675 173,632,424 39,435,374 113,606,045
------------ ------------ ------------ ------------
At end of year $80,172,576 $138,728,479 $33,529,375 $92,194,000
============ ============ ============ ============
See notes to financial statments
</TABLE>
<TABLE>
<CAPTION>
Supplementary Data
California Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, ----------------------------------
(Unaudited) 1996 1995 1994**
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.65%+ 0.58% 0.53% 0.46%+
Net Expenses after
custodian fee reduction 0.64%+ 0.55% -- --
Net investment income 4.95%+ 4.82% 4.72% 4.50%+
Portfolio Turnover 18% 36% 56% 6%
Net Assets, end of period
(000 omitted) $50,842 $59,216 $82,344 $95,704
++ The operating expenses of The Portfolios may reflect a reduction of The investment
adviser fee and/or an allocation of expenses to the Investment Adviser. Had such
actions not been taken, the ratios would have been as follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1) 0.52%+
Expenses after custodian
fee reduction --
Net investment income 4.44%+
<CAPTION>
Supplementary Data (continued)
Connecticut Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1996 ----------------------------------
(Unaudited) 1996 1995 1994*
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.60%+ 0.39% 0.17% 0.00%+
Net Expenses after
custodian fee reduction 0.56%+ 0.35% -- --
Net investment income 4.92%+ 4.91% 4.95% 4.53%+
Portfolio Turnover 33% 52% 73% 39%
Net Assets, end of period
(000 omitted) $14,129 $14,862 $17,316 $16,767
++ The operating expenses of The Portfolios may reflect a reduction of The investment
adviser fee and/or an allocation of expenses to the Investment Adviser. Had such
actions not been taken, the ratios would have been as follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1) 0.83%+ 0.72% 0.67% 0.62%+
Expenses after custodian
fee reduction 0.79%+ -- -- --
Net investment income 4.69%+ 4.58% 4.45% 3.92%+
<CAPTION>
Supplementary Data (continued)
Florida Limited Portfolio
-------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, ----------------------------------
(Unaudited) 1996 1995 1994**
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.60%+ 0.55% 0.52% 0.49%+
Net expenses after
custodian fee reduction 0.59%+ 0.54% -- --
Net investment income 4.86%+ 4.73% 4.73% 4.53%+
Portfolio Turnover 28% 20% 44% 8%
Net Assets, end of period
(000 omitted) $109,740 $127,835 $164,579 $185,977
Supplementary Data (Continued)
Massachusetts Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1996 --------------------------------
(Unaudited 1996 1995 1994**
------------------ --------- ------- ------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets):
Net expenses (1) 0.61%+ 0.57% 0.54% 0.52%+
Net expenses after
custodian fee reduction 0.59%+ 0.55% -- --
Net investment income 4.89%+ 4.72% 4.90% 4.57%+
Portfolio Turnover 29% 27% 46% 8%
Net Assets, end of period
(000 omitted) $82,310 $97,135 $119,120 $119,772
+ Annualized.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
** For the period from the start of business, May 3, 1993, to March 31, 1994.
(1) The expense ratios for the year ended March 31, 1996, and periods
thereafter, have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio
to increase its expense ratio by the effect of any offset arrangements with
its service providers. The expense ratios for each of the periods ended
March 31, 1995 and 1994 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Supplementary Data (continued)
Michigan Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1996 ----------------------------------
(Unaudited) 1996 1995 1994*
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.83%+ 0.68% 0.48% 0.00%+
Net expenses after
custodian fee reduction 0.80%+ 0.64% -- --
Net investment income 5.04%+ 5.00% 4.88% 4.62%+
Portfolio Turnover 14% 40% 111% 30%
Net Assets, end of period
(000 omitted) $17,322 $21,191 $33,198 $35,608
++ The operating expenses of The Portfolios may reflect a reduction of The
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1) 0.59% 0.54%+
Net investment income 4.77% 4.08%+
<CAPTION>
Supplementary Data (continued)
New Jersey Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, ----------------------------------
(Unaudited) 1996 1995 1994**
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.61%+ 0.57% 0.54% 0.54%+
Net Expenses after
custodian fee reduction 0.58%+ 0.55% -- --
Net investment income 4.93%+ 4.78% 4.73% 4.53%+
Portfolio Turnover 18% 42% 44% 10%
Net Assets, end of period
(000 omitted) $69,647 $80,173 $97,280 $102,948
++ The operating expenses of The Portfolios may reflect a reduction of The
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios would have been as
follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1)
Net investment income
<CAPTION>
Supplementary Data (continued)
New York Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, ----------------------------------
(Unaudited) 1996 1995 1994**
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets)++:
Net expenses (1) 0.58%+ 0.55% 0.52% 0.47%+
Net Expenses after
custodian fee reduction 0.57%+ 0.53% -- --
Net investment income 4.80%+ 4.66% 4.79% 4.50%+
Portfolio Turnover 21% 32% 31% 5%
Net Assets, end of period
(000 omitted) $120,561 $138,728 $173,632 $183,768
++ The operating expenses of The Portfolios may reflect a reduction of The investment
adviser fee and/or an allocation of expenses to the Investment Adviser. Had such actions
not been taken, the ratios would have been as follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1)
Net investment income
<CAPTION>
Supplementary Data (continued)
Ohio Limited Portfolio
----------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, --------------------------------
(Unaudited) 1996 1995 1994**
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net assets)
Net expenses (1) 0.71%+ 0.63% 0.46% 0.00%+
Net Expenses after
custodian fee reduction 0.69%+ 0.61% -- --
Net investment income 5.16%+ 5.06% 4.96% 4.68%+
Portfolio Turnover 17% 47% 120% 33%
Net Assets, end of period
(000 omitted) $30,745 $33,529 $39,435 $37,978
++ The operating expenses of The Portfolios may reflect a reduction of The investment
adviser fee and/or an allocation of expenses to the Investment Adviser. Had such actions
not been taken, the ratios would have been as follows:
Ratios (As a percentage of
average daily net assets):
Expenses (1) 0.58% 0.54%+
Net investment income 4.84% 4.14%+
+ Annualized.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
** For the period from the start of business, May 3, 1993, to March 31, 1994.
(1) The expense ratios for the year ended March 31, 1996, and periods thereafter, have
been adjusted to reflect a change in reporting requirements.The new reporting guidelines
require each Portfolio to increase its expense ratio by the effect of any offset arrangements
with its service providers. The expense ratios for each of the periods ended March 31, 1995
and 1994 have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<TABLE>
<CAPTION>
Supplementary Data (Continued)
Pennsylvania Limited Portfolio
-------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1996 ---------------------------------
(Unaudited 1996 1995 1994*
------------------- ------ -------- --------
<S> <C> <C> <C> <C>
Ratios
(As a percentage of
average daily net
assets):
Net expenses (1) 0.63%+ 0.58% 0.53% 0.50%+
Net expenses after
custodian fee
reduction (1) 0.62%+ 0.56% -- --
Net investment income 5.09%+ 4.81% 4.77% 4.59%+
Portfolio Turnover 25% 24% 39% 12%
Net Assets, end of period
(000 omitted) $79,264 $92,194 $113,606 $123,620
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
(1) The expense ratios for the year ended March 31, 1996, and periods thereafter,
have been adjusted to reflect a change in reporting requirements. The new reporting
guidelines require each Portfolio to increase its expense ratio by the effect of
any offset arrangements with its service providers. The expense ratios for each
of the periods ended March 31, 1995 and 1994 have not been adjusted to reflect this
change.
See notes to financial statements
</TABLE>
Notes to Financial Statements
(Unaudited)
(1) Significant Accounting Policies
California Limited Maturity Municipals Portfolio (California Limited
Portfolio), Connecticut Limited Maturity Municipals Portfolio
(Connecticut Limited Portfolio), Florida Limited Maturity Municipals
Portfolio (Florida Limited Portfolio), Michigan Limited Maturity
Municipals Portfolio (Michigan Limited Portfolio), New Jersey Limited
Maturity Municipals Portfolio (New Jersey Limited Portfolio), New York
Limited Maturity Municipals Portfolio (New York Limited Portfolio), and
Ohio Limited Maturity Municipals Portfolio (Ohio Limited Portfolio),
collectively the Portfolios, are registered under the Investment Company
Act of 1940 as non-diversified open-end management investment companies
which were organized as trusts under the laws of the State of New York
on May 1, 1992. The Declarations of Trust permit the Trustees to issue
interests in the Portfolios. The following is a summary of significant
accounting policies of the Portfolios. The policies are in conformity
with generally accepted accounting principles.
A. Investment Valuations -- Municipal bonds are normally valued on the
basis of valuations furnished by a pricing service. Taxable obligations,
if any, for which price quotations are readily available are normally
valued at the mean between the latest bid and asked prices. Futures
contracts listed on commodity exchanges are valued at closing settlement
prices. Short-term obligations, maturing in sixty days or less, are
valued at amortized cost, which approximates value. Investments for
which valuations or market quotations are unavailable are valued at fair
value using methods determined in good faith by or at the direction of
the Trustees.
B. Income -- Interest income is determined on the basis of interest
accrued, adjusted for amortization of premium or discount when required
for federal income tax purposes.
C. Income Taxes -- The Portfolios are treated as partnerships for
Federal tax purposes. No provision is made by the Portfolios for federal
or state taxes on any taxable income of the Portfolios because each
investor in the Portfolios is ultimately responsible for the payment of
any taxes. Since some of the Portfolios' investors are regulated
investment companies that invest all or substantially all of their
assets in the Portfolios, the Portfolios normally must satisfy the
applicable source of income and diversification requirements (under the
Internal Revenue Code) in order for their respective investors to
satisfy them. The Portfolios will allocate at least annually among their
respective investors each investor's distributive share of the
Portfolios' net taxable (if any) and tax-exempt investment income, net
realized capital gains, and any other items of income, gain, loss,
deduction or credit. Interest income received by the Portfolios on
investments in municipal bonds, which is excludable from gross income
under the Internal Revenue Code, will retain its status as income exempt
from federal income tax when allocated to each Portfolio's investors.
The portion of such interest, if any, earned on private activity bonds
issued after August 7, 1986, may be considered a tax preference item for
investors.
D. Deferred Organization Expenses -- Costs incurred by a Portfolio in
connection with its organization are being amortized on the straight-
line basis over five years beginning on the date each Portfolio
commenced operations.
E. Financial Futures Contracts -- Upon the entering of a financial
futures contract, a Portfolio is required to deposit ("initial margin")
either in cash or securities an amount equal to a certain percentage of
the purchase price indicated in the financial futures contract.
Subsequent payments are made or received by a Portfolio ("margin
maintenance") each day, dependent on the daily fluctuations in the value
of the underlying security, and are recorded for book purposes as
unrealized gains or losses by a Portfolio. A Portfolio's investment in
financial futures contracts is designed only to hedge against
anticipated future changes in interest rates. Should interest rates move
unexpectedly, a Portfolio may not achieve the anticipated benefits of
the financial futures contracts and may realize a loss.
F. When-issued and Delayed Delivery Transactions -- The Portfolios may
engage in When-issued and Delayed Delivery Transactions. The Portfolios
record when-issued securities on trade date and maintain security
positions such that sufficient liquid assets will be available to make
payment for the securities purchased. Securities purchased on a when-
issued or delayed delivery basis are marked to market daily and begin
earning interest on settlement date.
G. Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolios. Pursuant to the respective custodian
agreements, IBT receives a fee reduced by credits which are determined
based on the average cash balances each Portfolio maintains with IBT.
All significant credit balances used to reduce each Portfolio's
custodian fees are reflected as a reduction of operating expenses in the
Statements of Operations.
H. Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expense during the
reporting period. Actual results could differ from those estimates.
I. Other -- Investment transactions are accounted for on a trade date
basis.
J. Interim Financial Information -- The interim financial statements
relating to September 30, 1996 and for the six month period then ended
have not been audited by independent certified public accountants, but
in the opinion of the Portfolios' management reflect all adjustments
consisting only of normal recurring adjustments, necessary for the fair
presentation of the financial statements.
(2) Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research
(BMR), a wholly-owned subsidiary of Eaton Vance Management (EVM), as
compensation for management and investment advisory services rendered to
each Portfolio. The fee is based upon a percentage of average daily net
assets plus a percentage of gross income (i.e., income other than gains
from the sale of securities). For the six months ended September 30,
1996, each Portfolio paid advisory fees as follows:
Portfolio Amount Effective Rate*
- ---------- ---------- ---------------
California Limited $128,123 0.47%
Connecticut Limited 33,271 0.46%
Florida Limited 270,842 0.46%
Massachusetts Limited 205,650 0.46%
Michigan Limited 45,718 0.47%
New Jersey Limited 173,692 0.46%
New York Limited 300,218 0.46%
Ohio Limited 75,224 0.47%
Pennsylvania Limited 200,015 0.47%
To enhance the net income of the Connecticut Limited Portfolio, BMR made
a reduction of its fee in the amount of $16,677 for the six months ended
September 30, 1996.
Except as to Trustees of the Portfolios who are not members of EVM's or
BMR's organization, officers and Trustees receive remuneration for their
services to the Portfolios out of such investment adviser fee. Certain
of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations.
Trustees of the Portfolios that are not affiliated with the Investment
Adviser may elect to defer receipt of all or a percentage of their
annual fees in accordance with the terms of the Trustees Deferred
Compensation Plan. For the six months ended September 30, 1996, no
significant amounts have been deferred.
* Annualized
<TABLE>
<CAPTION>
(3) Investments
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, for the six months ended September 30, 1996 were as follows:
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
--------------- ------------ --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Purchases $ 9,811,742 $4,681,367 $31,836,410 $26,876,803 $2,664,204
Sales 19,585,647 5,271,602 48,849,046 46,394,716 6,163,875
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
--------------- ------------ --------- -----------
Purchases $ 12,912,676 $26,377,260 $5,244,592 $21,317,093
Sales 23,491,569 44,229,354 8,943,987 34,158,774
</TABLE>
<TABLE>
<CAPTION>
(4) Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at September 30, 1996, as computed
on a federal income tax basis, are as follows:
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ---------- -------------- ----------
<S> <C> <C> <C> <C> <C>
Aggregate
cost $ 48,626,770 $ 13,652,704 $104,324,918 $ 78,671,495 $ 16,446,546
============ ============ ============ ============== ==========
Gross
unrealized
appreciation $1,386,454 $ 268,245 $ 2,806,678 $1,661,900 $597,550
Gross
unrealized
depreciation 75,639 38,994 189,941 29,130 109,552
------------ ------------ ---------- -------------- ----------
Net
unrealized
appreciation $1,310,815 $ 229,251 $2,616,737 $1,632,770 $ 487,998
============ ============ ============ ============== ==========
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ -------------
Aggregate
cost $ 66,515,858 $116,927,363 $ 29,124,986 $ 76,000,297
============ ============ ============ ==============
Gross
unrealized
appreciation $1,807,450 $ 1,897,947 $ 752,648 $ 1,962,817
Gross
unrealized
depreciation 189,535 531,519 80,228 268,358
------------ ------------ ------------ -------------
Net
unrealized
appreciation $1,617,915 $ 1,366,428 $ 672,420 $ 1,694,459
============ ============ ============ ==============
</TABLE>
(5) Line of Credit
The Portfolios participate with other portfolios and funds managed by
BMR and EVM in a $120 million unsecured line of credit agreement with a
bank, a portion of which is discretionary. Each portfolio may
temporarily borrow up to 5% of its total assets to satisfy redemption
requests or settle transactions. Interest is charged to each portfolio
or fund based on its borrowings at an amount above either the bank's
adjusted certificate of deposit rate, a variable adjusted certificate of
deposit rate, or a federal funds effective rate.
In addition, a fee computed at an annual rate of 1/4 of 1% on the daily
unused portion of the facility is allocated among the participating
funds and portfolios at the end of each quarter. At September 30, 1996,
the Florida Limited Portfolio, Michigan Limited Portfolio and New Jersey
Limited Portfolio had balances outstanding pursuant to this line of
credit of $89,000, $16,000 and $912,000, respectively. The Portfolios
did not have any significant borrowings or allocated fees during the six
months ended September 30, 1996.
(6) Financial Instruments
The Portfolios regularly trade in financial instruments with off-balance
sheet risk in the normal course of their investing activities to assist
in managing exposure to various market risks. These financial
instruments include written options and futures contracts and may
involve, to a varying degree, elements of risk in excess of the amounts
recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial
instruments and does not necessarily represent the amounts potentially
subject to risk. The measurement of the risks associated with these
instruments is meaningful only when all related and offsetting
transactions are considered.
A summary of obligations under these financial instruments at September
30, 1996 is as follows:
Futures Contracts
Expiration Net Unrealized
Portfolio Date Contracts Position Depreciation
- ----------- ----- --------------------- --------- --------------
California
Limited 12/96 50 U.S. Treasury Bonds Short $59,676
Connecticut
Limited 12/96 14 U.S. Treasury Bonds Short 18,335
Florida
Limited 12/96 55 U.S. Treasury Bonds Short 65,643
Massachusetts
Limited 12/96 40 U.S. Treasry Bonds Short 47,740
Michigan
Limited 12/96 16 U.S. Treasury Bonds Short 20,721
New Jersey
Limited 12/96 61 U.S. Treasury Bonds Short 77,272
New York
Limited 12/96 40 U.S. Treasury Bonds Short 47,740
Ohio
Limited 12/96 15 U.S. Treasury Bonds Short 14,246
Pennsylvania
Limited 12/96 50 U.S. Treasury Bonds Short 59,675
Investment Management
Funds
Officers
Thomas J. Fetter
President
James B. Hawkes
Vice President, Trustee
Robert B. MacIntosh
Vice President
James L. O'Connor
Treasurer
Thomas Otis
Secretary
Independent Trustees
Donald R. Dwight
President, Dwight Partners, Inc.
Chairman, Newspaper of New England, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking, Harvard University Graduate
School of Business Administration
Norton H. Reamer
President and Director, United Asset Management Corporation
John L. Thorndike
Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
Portfolios
- -----------------------------------------------------------
Officers
Thomas J. Fetter
President
James B. Hawkes
Vice President, Trustee
Robert B. MacIntosh
Vice President
Raymond E. Hender
Vice President and Portfolio Manager of Florida, Massachusetts, New York
and Pennsylvania Limited Maturity Municipals Portfolios
James L. O'Connor
Treasurer
Thomas Otis
Secretary
Independent Trustees
Donald R. Dwight
President, Dwight Partners, Inc.
Chairman, Newspaper of New England, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking, Harvard University
Graduate School of Business Administration
Norton H. Reamer
President and Director, United Asset Management Corporation
John L. Thorndike
Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
Investment Adviser of Limited Maturity Municipals Portfolios
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator of EV Traditional Limited Maturity Municipals Funds
Eaton Vance Management
24 Federal Street
Boston, MA 02110
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
89 South Street
P.O. Box 1537
Boston, MA 02205-1537
Transfer Agent
First Data Investor Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
This report must be preceded or accompanied by a current prospectus
which contains more complete information on the Funds, including
distribution plan, sales charges and expenses. Please read the
prospectus carefully before you invest or send money.
Eaton Vance Investment Trust
24 Federal Street
Boston, MA 02110
M-10LTFCSRC-10/96
