[front cover page]
Eaton Vance Investment Trust
For the Funds:
(bullet) EV Traditional California Limited Maturity Municipals Fund
(bullet) EV Traditional Connecticut Limited Maturity Municipals Fund
(bullet) EV Traditional Florida Limited Maturity Municipals Fund
(bullet) EV Traditional Michigan Limited Maturity Municipals Fund
(bullet) EV Traditional New Jersey Limited Maturity Municipals Fund
(bullet) EV Traditional New York Limited Maturity Municipals Fund
(bullet) EV Traditional Ohio Limited Maturity Municipals Fund
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[EATON VANCE LOGO]
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Annual Shareholder Report
March 31, 1997
<PAGE>
[GRAPHIC TEXT CHART]
Results for the year ended
March 31, 1997
<TABLE>
<CAPTION>
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| Total | Income | | | | | The |
| return (One | dividends| | | | If your | after-tax |
| year ended | paid by | | Fund's | | combined | equivalent |
| 3/31/97, | Fund | NAV per | distribution|[GRAPHICS] | Federal & | yield you |
| excl. sales | (during | share at| rate at |(drawings | state tax | would need |Tax
| charge) | period) | 3/31/97 | 3/31/97 |of States) | rate is ...| is ... |Information*
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<S> <C> <C> <C> <C> <C> <C> <C> <C>
EV Traditional California | | | | | | | |
Limited Maturity Municipals | 3.6% | $0.429 | $9.56 | 4.50% |California | 41.95% | 7.75% | 99.00%
Fund | | | | | | | |
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EV Traditional Connecticut | | | | | | | |
Limited Maturity Municipals | 3.5% | $0.414 | $9.53 | 4.35% |Connnecticut| 38.88% | 7.12% | 98.22%
Fund | | | | | | | |
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EV Traditional Florida | | | | | | | |
Limited Maturity Municipals | 2.9% | $0.469 | $9.95 | 4.72% |Florida | 38.71% | 7.70% | 99.73%
Fund | | | | | | | |
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EV Traditional Michigan | | | | | | | |
Limited Maturity Municipals | 4.8% | $0.429 | $9.60 | 4.48% |Michigan | 40.02% | 7.47% | 99.86%
Fund | | | | | | | |
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EV Traditional New Jersey | | | | | | | |
Limited Maturity Municipals | 3.9% | $0.424 | $9.62 | 4.42% |New Jersey | 40.08% | 7.38% | 99.39%
Fund | | | | | | | |
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EV Traditional New York | | | | | | | |
Limited Maturity Municipals | 3.6% | $0.469 | $10.05 | 4.68% |New York | 40.38% | 7.85% | 99.93%
Fund | | | | | | | |
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EV Traditional Ohio | | | | | | | |
Limited Maturity Municipals | 4.3% | $0.424 | $9.59 | 4.43% |Ohio | 40.80% | 7.48% | 99.71%
Fund | | | | | | | |
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</TABLE>
(footnote to chart)
* Percentages represent the portion of the total dividends paid by the Funds
from net investment income during the year ended March 31, 1997, that have
been designated as tax-exempt interest dividends. Tax legislation
eliminated the exception to the market discount rules applicable to
tax-exempt obligations. As a result, certain tax-exempt obligations acquired
by the Portfolio at market discounts may generate a small amount of
ordinary taxable income.
------------------------------------------------------
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.
------------------------------------------------------
2
<PAGE>
To Shareholders
The municipal bond market in 1996 was characterized by heightened volatility
as investors reacted to a seesaw interest rate environment and a
politically-charged debate over the possibility of a flat tax. After showing
signs of slowing at the year's outset, it became apparent in the first
quarter of 1996 that the economy was stronger than anticipated and that
inflation, while still modest, would bear further watching. Consequently,
long-term bond yields climbed steadily higher, reaching their peak in mid-June,
1996.
Investors were heartened by economic reports in the second half of the year
that showed a scenario of slow growth and low inflation. In addition, the
federal budget deficit, which had ballooned in the 1980s and had been so long
the bane of fixed-income investors, fell to just 1.5% of gross domestic
product. Against that favorable backdrop, bond yields finished the year at
lower levels than at mid-year.
The first quarter of 1997 has been marked by stronger-than-expected economic
growth, a tightening labor market, and increasing uneasiness over inflation,
which remains low. At its March 25 meeting, the Federal Reserve raised the
Federal Funds Rate 0.25% in an effort to slow the economy and make a
preemptory strike at inflation. In response to 1997's economic events, the
bond market has sold off somewhat, and the yield on the 30-year Treasury Bond
- - a widely-held gauge of bond market sentiment - rose to 7.08% on March 31
from 6.64% at the end of 1996.
Despite Changing Market Conditions, Municipal Bonds Remain
an Attractive Investment
According to the Public Securities Association, state and local governments sold
roughly $183 billion in securities in 1996, and will sell approximately the same
volume in 1997. That is sharply lower than the supply levels for 1995 and
earlier. With greatly reduced supply and increasing competition for bonds,
municipal bonds should retain their value among tax-conscious investors.
We believe an investment in municipal bonds continues to represent good value
for several reasons. First, Congress and the Clinton Administration have reached
a tentative agreement to balance the budget over the next five years - a
development viewed favorably by bond investors. Second, with the equity markets
having turned in two consecutive years of performances well above historical
averages, investors may look for alternatives within the bond markets. And
third, taxes remain a burden and, for most investors, municipal bonds are the
last remaining vehicle for tax relief. For these reasons, we believe that the
municipal market will continue to be a favored avenue for tax-conscious
investors. Eaton Vance's municipal bond department will continue to seek high,
tax-free current income for shareholders.
[PHOTO OF THOMAS J. FETTER] Sincerely,
/s/ Thomas J. Fetter
Thomas J. Fetter,
President
May 9, 1997
3
<PAGE>
Management Discussion
An interview with William H. Ahern, Vice President, and Portfolio Manager of
the Connecticut, Florida, Michigan, New Jersey and Ohio Limited Maturity
Municipals Portfolios.
Q. Bill, what were your impressions of the economy over the past year?
A. The economy has shown a good deal of resilience in the past year. While
many economists expected the growth trend to slow in late 1996 or early
1997, it has maintained fairly strong momentum. The good news is that the
expansion has continued without significant inflation. The Federal Reserve
has monitored the situation closely and has acted to preempt inflation,
most recently in March, when it raised the Federal funds rates by 25 basis
points (.25 percentage point). In response to the robust economic news, the
bond market has been quite volatile.
Q. What was behind the market volatility?
A. The volatility appears to be more in response to shifting investor
sentiment toward the inflation outlook than to any empirical evidence.
While actual inflation data have been rather tame, the Fed has, for some
time, signalled a bias for higher interest rates. Interestingly, with the
exception of its March rate hike, the Fed has been fairly restrained in its
actions. But the market has still been waiting for the other shoe to drop.
Meanwhile, investors have tended to overreact to economic reports,
especially employment data. With job creation very strong, interest rates
have risen more at the short end of the yield curve than the long end. That
has produced a fairly volatile environment for the bond market. As evidence
of that volatility, Treasury yields, which were 7.2% a year ago, declined
to 6.35% in November before moving back up to 7.1% at March 31. That's a
fairly wild ride for bond investors.
[PHOTO OF WILLIAM H. AHERN]
Q. So the Fed has been "jawboning" interest rates higher?
A. That's correct. For many months, the Fed was able to accomplish much of the
rate increase through public comment alone. This jawboning can be very
effective over the short run, but runs the risk of losing credibility if it
is not followed by action. Thus, the March rate increase, while a
relatively mild action, can be seen as part of a larger Fed strategy to
contain inflation.
Q. Did you make any changes within the Portfolios during the period?
A. Yes. We've made a number of structural changes to the Portfolios. As the
market has become increasingly generic in recent years, these structural
subtleties have become much more critical to performance. Our efforts have
been aimed primarily at enhancing liquidity, improving the Portfolios' call
protection, and adjusting duration, or the Fund's responsiveness to changes
in interest rates.
By consolidating holdings, we have been able to reduce the number of bonds
in many of the Portfolios while increasing the average size of those
holdings. That helps to enhance the liquidity of the Portfolios. Call
protection, of course, continues to be an important consideration. By
increasing call protection, we have reduced the Portfolios' exposure to
untimely bond redemptions and increased upside potential. Finally, we have
used the market downturn as an opportunity to adjust the durations of the
Portfolios and improve the trading characteristics of our bonds. By keeping
an average duration generally in the 6.5-to-6.75 year range, we have
limited the damage during the recent downturn.
Q. Specifically, what is meant by a generic market?
A. That refers to the fact that in recent years, quality spreads - the yield
difference between bonds of varying quality - have become increasingly
narrow. That is largely a function of the widespread use of insurance by
municipal bond issuers. Bonds that,
4
<PAGE>
based on their underlying fundamentals, would ordinarily carry an A-rating,
receive a Aaa-rating due to private insurance. The result is that the
municipal market is increasingly dominated by insured issues. Perhaps more
than ever before, investors must really do their homework to find good
values.
Q. Has that affected your approach to the market?
A. Yes. I think the changing make-up of the market has made it necessary for
investors to expand their research efforts. For example, we have redoubled
our efforts in the non-rated sector of the market. The non-rated segment
typically consists of smaller issuers, such as colleges, nursing homes, or
private purpose industrial development bonds. Because these bonds lack
ratings from the major rating agencies, they may carry an unusually
attractive coupon. Naturally, investing in non-rated bonds requires
especially rigorous analysis. At Eaton Vance, we have dedicated more
resources and analysts to this area of the market. Equally as important,
we've developed our own internal criteria to make certain that these bonds
meet our strict standards of creditworth iness. By focusing on this segment
of the market, we have been able to add incrementally to our yields in an
era of declining spreads.
Q. Has the intermediate sector of the muni market performed in line with
expectations?
A. Yes. While the intermediate municipal market has declined with the rate
increases, it has characteristically declined less than the Treasury
market. The intermediate segment of the market was isolated from the
decline somewhat by shorter maturities as well as by the fact that price
changes in the municipal market are rarely as large as in the Treasury
market - either on the upside or the downside. Once again, the intermediate
bond market performed pretty much in line with expectations.
Q. Supply and demand has long been a major factor in the municipal market. Has
that been the case in the past year?
A. Issuance wasn't much of a factor in the municipal market in the past year.
New issuance in 1996 exceeded the levels of 1995, but not to the extent
that there was a glut. In addition to refundings that removed bonds from
the market in recent years, investor demand from individuals, mutual funds
and insurance companies was more than sufficient to meet new supply.
Q. Bill, as you look ahead to the rest of 1997, what is your view of the
municipal market?
A. I remain generally constructive on the outlook for municipal bonds. While
the economy has registered steady growth, inflation has been modest.
Continuing increases in productivity and global competition are helping to
keep inflation in check. Having said that, the Federal Reserve has been a
staunch inflation-fighter and, therefore, we can't rule out the possibility
of additional Fed rate hikes. That would be a potential hurdle over the
short-term. But it's important to remember that Federal tax rates remain
fairly onerous and municipal bonds are among the few ways for investors to
reduce their tax bills.
For the conservative investor, a major investment goal may be tax-free
income with lower volatility, the mandate of the Limited Municipals
Portfolios. While past performance is no guarantee of future results, the
intermediate sector has historically managed a good percentage of the yield
of long-term bonds, with roughly half of their volatility. I believe
intermediate municipals continue to merit consideration from conservative,
income-oriented investors.
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Included in the pages that follow are performance charts
that compare your Fund's total return with that of a
broad-based securities market index. The lines on the chart
represent the total returns of $10,000 hypothetical
investments in your Fund and the unmanaged Lehman Brothers
7-year Municipal Bond Index. The heavy solid line on the
chart represents the Fund's performance. The Fund's total
return figure reflects fund expenses and portfolio
transaction costs, and assumes the reinvestment of income
dividends and capital gain distributions. The light solid
line represents the Fund's performance, including the Fund's
2.5% maximum sales charge. The dotted line represents the
performance of the Lehman Brothers 7-Year Municipal Bond
Index, a broad-based, widely recognized unmanaged index of
municipal bonds. Whereas the Fund's portfolio is comprised
principally of bonds solely from your individual state, the
Index is composed of bonds from all 50 states and many
jurisdictions. The Index's total return does not reflect any
commissions or expenses that would be incurred if an
investor individually purchased or sold the securities
represented in the Index. It is not possible to invest in
the Index.
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5
<PAGE>
EV Traditional California Limited Maturity Municipals Fund
Your investment at work [illustration (building)]
Central Valley
Financing Authority
Carson Ice Project
These bonds were issued in 1993 to finance the construction of a cogeneration
power plant in Sacramento County following the voter-mandated shutdown of the
Rancho Seco nuclear power plant. Operated by the Carson Company, the
gas-fired project sells generated steam to the Sanitation District for use at
its Treatment Facility, as well as to the Glacier Valley Ice Plant, an
affiliate of Carson. The bonds finance the cost-effective production of
public energy and a safe alternative to nuclear energy, while also fulfilling
the energy needs of a jobs-producing private enterprise.
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Portfolio Overview
Based on market value as of March 31, 1997
[illustration of
state of California]
Number of issues.......................................23
Average quality........................................AA
Investment grade.....................................93.7%
Effective maturity (years)..........................11.29
Largest sectors:
Insured hospital revenue...........................21.9%*
Escrowed/prerefunded...............................16.4
Insured lease revenue/COP..........................11.6*
Electric utilities..................................9.0
Water & sewer revenue...............................5.0
* Private insurance does not remove the market risks that are associated with
these investments.
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The State of the State: California
The California economy is once again moving at full throttle. Having lost
500,000 jobs in the 1990-93 recession, the state has added almost 1 million in
the past three years and continues to build momentum. Technology, foreign trade,
tourism and entertainment have been the main generators of jobs, according to
California's Center for Continuing Study. The film industry has added 60,000
jobs in the past three years alone, benefiting from increased sales to global
markets. Foreign trade has also been a vital element in the recovery of the
state's technology sector. Technology exports reached more than $72 billion in
1996. Venture capital funding in the pivotal Silicon Valley area exceeded $2
billion last year, a sign of growing confidence in the state's ability to
generate new products for the technology marketplace. Total employment is
expected to rise by 20% in the next decade, with household income rising 35%,
well above national levels. Mirroring the improvement in the California economy,
the state's revenues have improved significantly, running well above estimates
for the current fiscal year, and are likely to produce a healthy surplus at
fiscal year-end.
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Comparison of Change in Value of a $10,000 Investment in
EV Traditional California Limited Maturity Municipals Fund
and the Lehman Brothers 7-Year Municipal Bond Index
From December 31, 1993, through March 31, 1997
[LINE CHART]
EV Traditional
California Fund, including 7-Year
Limited Maturity maximum sales Municipal
Date Municipals Fund charge Bond Index
---- --------------- --------------- ----------
12/31/93+ $10,000 $9,747 $10,000
1/31/94 $10,090 $9,835 $10,106
2/28/94 $9,934 $9,683 $9,887
3/31/94 $9,655 $9,411 $9,623
4/30/94 $9,701 $9,456 $9,693
5/31/94 $9,758 $9,511 $9,741
6/30/94 $9,722 $9,476 $9,724
7/31/94 $9,850 $9,601 $9,861
8/31/94 $9,866 $9,617 $9,913
9/30/94 $9,770 $9,523 $9,818
10/31/94 $9,663 $9,419 $9,719
11/30/94 $9,512 $9,272 $9,577
12/31/94 $9,595 $9,352 $9,723
1/31/95 $9,774 $9,527 $9,905
2/28/95 $9,972 $9,720 $10,128
3/31/95 $10,022 $9,768 $10,233
4/30/95 $10,034 $9,781 $10,261
5/31/95 $10,232 $9,974 $10,534
6/30/95 $10,179 $9,922 $10,524
7/31/95 $10,276 $10,017 $10,658
8/31/95 $10,360 $10,098 $10,784
9/30/95 $10,393 $10,130 $10,825
10/31/95 $10,479 $10,214 $10,920
11/30/95 $10,586 $10,318 $11,040
12/31/95 $10,628 $10,360 $11,098
1/31/96 $10,704 $10,434 $11,206
2/28/96 $10,675 $10,405 $11,168
3/31/96 $10,562 $10,295 $11,059
4/30/96 $10,546 $10,279 $11,038
5/31/96 $10,531 $10,265 $11,022
6/30/96 $10,592 $10,324 $11,107
7/31/96 $10,654 $10,385 $11,198
8/31/96 $10,650 $10,381 $11,205
9/30/96 $10,757 $10,485 $11,306
10/31/96 $10,842 $10,568 $11,427
11/30/96 $11,039 $10,760 $11,618
12/31/96 $10,967 $10,690 $11,583
1/31/97 $10,975 $10,697 $11,625
2/28/97 $11,058 $10,778 $11,721
3/31/97 $10,940 $10,663 $11,569
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AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
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With max. sales charge 1.0% 2.1% $10,663
W/out max. sales charge 3.6% 2.8% $10,940
------------------------------------------------------------------
(footnote to graphic)
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 12/8/93. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
6
<PAGE>
EV Traditional Connecticut Limited Maturity Municipals Fund
Your investment at work [illustration (graduation cap)]
CT Health & Education
Finance Authority
Quinnipiac College
This bond was issued in 1993 to finance the construc-tion and furnishing of a
new 286-bed residence hall, to construct a series of buildings for the
relocation of the Law School, and to refund earlier Quinnipiac issues. In
recent years, Quinnipiac has continued its transformation from a commuter
college to a residential college, with the percentage of students residing on
campus now reaching over 70%. Rated BBB- by Standard & Poor's, the bonds
carry a 6.0% coupon and are an example of the Portfolio's research efforts
during the past year to find good value in lower-rated investment-quality
bonds.
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Portfolio Overview
Based on market value as of March 31, 1997
[illustration of
state of Connecticut]
Number of issues....................................29
Average quality.....................................AA
Investment grade...................................100%
Effective maturity (years)............................ 9.80
Largest sectors:
Insured general obligations.........................22.8%*
Insured hospitals...................................15.5*
Education...........................................12.8
General obligations..................................9.8
Industrial development revenue.......................7.4
* Private insurance does not remove the market risks that are associated with
these investments.
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The State of the State: Connecticut
The Connecticut unemployment rate declined to 4.9% in February, bettering the
national average and providing another sign that the state economy is improving.
The state has witnessed employment growth in the past year, with a marked
improvement from earlier in the decade. For example, housing permits through
February increased 25% from the same period a year ago. Retail sales also
increased in 1996, rising 9.3%. Elsewhere, the casino industry has been
particularly strong, with Foxwood's Casino in Ledyard reportedly the highest
grossing casino in the country. With the addition of another casino in nearby
Montville, the gaming industry has produced significant job creation. Elsewhere,
Pratt & Whitney, a leading manufacturer of jet engines, increased its payroll in
the past year. Having laid off thousands of workers in the recession of the
early 1990's, the company has benefited from increased demand for aircraft from
a resurgent airline industry. On the fiscal front, the imposition of a state
income tax in 1992 stabilized the Connecticut tax structure by reducing the
state's economic vulnerability and substantially increasing revenues. Total tax
collections for the fiscal year rose 4.4%, more than offseting higher Medicaid
spending requirements.
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Comparison of Change in Value of a $10,000 Investment in
EV Traditional Connecticut Limited Maturity Municipals Fund
and the Lehman Brothers 7-Year Municipal Bond Index
From December 31, 1993, through March 31, 1997
[LINE CHART]
EV Traditional
Connecticut Fund, including 7-Year
Limited Maturity maximum sales Municipal
Date Municipals Fund charge Bond Index
-------- --------------- --------------- ----------
12/31/93+ $10,000 $9,747 $10,000
1/31/94 $10,044 $9,789 $10,106
2/28/94 $9,856 $9,606 $9,887
3/31/94 $9,585 $9,342 $9,623
4/30/94 $9,650 $9,406 $9,693
5/31/94 $9,665 $9,421 $9,741
6/30/94 $9,608 $9,364 $9,724
7/31/94 $9,724 $9,478 $9,861
8/31/94 $9,749 $9,502 $9,913
9/30/94 $9,672 $9,427 $9,818
10/31/94 $9,575 $9,332 $9,719
11/30/94 $9,464 $9,224 $9,577
12/31/94 $9,566 $9,324 $9,723
1/31/95 $9,723 $9,476 $9,905
2/28/95 $9,888 $9,638 $10,128
3/31/95 $9,947 $9,695 $10,233
4/30/95 $9,969 $9,716 $10,261
5/31/95 $10,123 $9,867 $10,534
6/30/95 $10,101 $9,845 $10,524
7/31/95 $10,197 $9,938 $10,658
8/31/95 $10,290 $10,029 $10,784
9/30/95 $10,332 $10,070 $10,825
10/31/95 $10,438 $10,174 $10,920
11/30/95 $10,533 $10,266 $11,040
12/31/95 $10,574 $10,306 $11,098
1/31/96 $10,649 $10,379 $11,206
2/28/96 $10,607 $10,338 $11,168
3/31/96 $10,493 $10,227 $11,059
4/30/96 $10,453 $10,189 $11,038
5/31/96 $10,415 $10,151 $11,022
6/30/96 $10,497 $10,231 $11,107
7/31/96 $10,591 $10,322 $11,198
8/31/96 $10,574 $10,306 $11,205
9/30/96 $10,690 $10,419 $11,306
10/31/96 $10,763 $10,490 $11,427
11/30/96 $10,935 $10,658 $11,618
12/31/96 $10,896 $10,620 $11,583
1/31/97 $10,913 $10,637 $11,625
2/28/97 $10,994 $10,716 $11,721
3/31/97 $10,864 $10,589 $11,569
------------------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
------------------------------------------------------------------
With max. sales charge 0.9% 1.8% $10,589
W/out max. sales charge 3.5% 2.6% $10,864
------------------------------------------------------------------
(footnote to graphic)
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 12/2/93. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
7
<PAGE>
EV Traditional Florida Limited Maturity Municipals Fund
Your investment at work [illustration (medical symbol)]
Escambia County FL
Health Facilities Authority
Baptist Hospital, Inc.
Baptist Hospital is a major tertiary care center located in Pensacola. The
Hospital provides a wide range of inpatient and outpatient medical and surgical
services. In addition, the hospital provides specialty services in the areas of
obstetrics, behavioral medicine, psychiatry, substance abuse, diabetes,
hemodialysis, oncology, cardiology, and urology. This issue is a good example of
the Portfolio's efforts to find good value in non-rated or lower-rated
investment grade bonds. Rated BBB+ by Standard & Poor's, a major bond rating
agency, the bond carries an attractive 6% coupon.
- --------------------------------------------------------------------------------
Portfolio Overview
Based on market value as of March 31, 1997
[illustration of state of Florida]
Number of issues.............................. 40
Average quality............................... AA
Investment grade.............................. 98.3%
Effective maturity (years)......................... 11.44
Largest sectors:
General obligations............................ 17.0%
Escrowed....................................... 14.3
Utilities...................................... 13.4
Insured - Hospital............................. 9.5*
Insured - Transportation....................... 9.3*
* Private insurance does not remove the market risks that are associated with
these investments.
- --------------------------------------------------------------------------------
The State of the State: Florida
Florida remains a major generator of jobs in the southeastern U.S. economy,
utilizing its attractive climate and growing reputation as an entertainment
center. The state's economy continued to post solid growth in the past year,
with unemployment reaching a low of 5% in the final quarter of 1996, the lowest
level since 1988. The service sectors have been especially strong, providing the
bulk of new job creation. Meanwhile, the manufacturing sector remained weak,
with the exception of some strength in the aircraft, electrical equipment, and
appliances segments. Tourism remained a source of strength for the Florida
economy. Theme park attendance in the Orlando area set new records, resulting in
rising hotel occupancy rates and prompting plans for park expansions.
The influx of retirees to Florida continues, although population growth has
subsided somewhat from the frantic pace set in the 1980s. In 1996, wage growth
outpaced overall income growth in Florida, reversing a trend in a state where
investment income of retirees has traditionally increased faster than wages.
Separately, Florida has done a good job of expanding its tax base and can look
forward to growing revenues from corporate, sales and use-tax revenues.
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in
EV Traditional Florida Limited Maturity Municipals Fund
and the Lehman Brothers 7-Year Municipal Bond Index
From July 31, 1994, through March 31, 1997
EV Traditional
Florida Fund, including 7-Year
Limited Maturity maximum sales Municipal
Date Municipals Fund charge Bond Index
-------- --------------- --------------- ----------
7/31/94+ $10,000 $9,750 $10,000
8/31/94 $10,030 $9,778 $10,052
9/30/94 $9,949 $9,700 $9,956
10/31/94 $9,839 $9,593 $9,856
11/30/94 $9,708 $9,465 $9,712
12/31/94 $9,848 $9,602 $9,860
1/31/95 $10,020 $9,769 $10,045
2/28/95 $10,198 $9,942 $10,271
3/31/95 $10,269 $10,012 $10,378
4/30/95 $10,278 $10,020 $10,405
5/31/95 $10,472 $10,210 $10,682
6/30/95 $10,460 $10,198 $10,672
7/31/95 $10,563 $10,299 $10,808
8/31/95 $10,667 $10,400 $10,936
9/30/95 $10,697 $10,429 $10,978
10/31/95 $10,770 $10,500 $11,073
11/30/95 $10,852 $10,580 $11,195
12/31/95 $10,936 $10,662 $11,255
1/31/96 $11,010 $10,734 $11,364
2/28/96 $10,933 $10,659 $11,325
3/31/96 $10,815 $10,545 $11,214
4/30/96 $10,782 $10,512 $11,194
5/31/96 $10,760 $10,491 $11,177
6/30/96 $10,823 $10,552 $11,263
7/31/96 $10,899 $10,626 $11,356
8/31/96 $10,898 $10,625 $11,363
9/30/96 $11,006 $10,730 $11,465
10/31/96 $11,082 $10,804 $11,589
11/30/96 $11,267 $10,985 $11,782
12/31/96 $11,212 $10,931 $11,746
1/31/97 $11,189 $10,909 $11,788
2/28/97 $11,274 $10,991 $11,886
3/31/97 $11,129 $10,850 $11,732
------------------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
------------------------------------------------------------------
With max. sales charge 0.3% 3.6% $10,850
W/out max. sales charge 2.9% 4.5% $11,129
------------------------------------------------------------------
(footnote to graphic)
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 7/5/94. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
8
<PAGE>
EV Traditional Michigan Limited Maturity Municipals Fund
Michigan Hospital [illustration (medical symbol)]
Finance Authority
Presbyterian Villages
These bonds were issued in 1995 to refinance existing debt as well as to provide
financing for projects at the Presbyterian Village continuing care retirement
communities. The principal project consists of a new building designed,
programmed, and staffed to serve Alzheimer's patients. In addition to the new
building, the bonds financed capital improvements to roadways, lighting, dining
facilities, natural gas utilities, and telephones. In this bond, the Portfolio
was able to help finance a much needed assisted-living center while realizing an
attractive yield from a well-regarded issuer.
- --------------------------------------------------------------------------------
Portfolio Overview
Based on market value as of March 31, 1997
[illustration of state of Michigan]
Number of issues .............................. 27
Average quality ............................... A+
Investment grade .............................. 97.5%
Effective maturity (years) ......................... 9.98
Largest sectors:
Insured general obligations ................... 21.2%*
Escrowed/prerefunded .......................... 19.4
Hospitals ..................................... 16.9
Special tax revenue ........................... 10.3
General obligations ........................... 8.3
* Private insurance does not remove the market risks that are associated
with these investments.
- --------------------------------------------------------------------------------
The State of the State: Michigan
Boosted by a solid performance of the national economy, the Michigan economy
continued to enjoy strong job growth in 1996. The state's robust economic
recovery has pushed employment levels to an all-time high, attracting a flood of
workers to the labor force. The state labor force expanded by 3% from a year
earlier, outpacing the growth in the national labor force, which rose only 1.6%.
The fastest-growing areas for state job creation included services, trade,
retailing, and construction. In the important auto sector, total vehicles
production declined from the sharp pace of 1995, although demand for light
trucks continued to surge. Growth in personal income also showed strong
momentum. The state remains in a very positive financial position. The state's
financial reserves are near their highest in history, with the "Rainy Day Fund"
maintaining a healthy balance equal to around 4% of General and School Aid
revenues. Michigan continues to manage its debt well, with most ratios remaining
below median levels. That prudent fiscal management affords the state an extra
measure of flexibility and continues to earn the state's general obligations a
rating of Aa from Moody's, a major rating agency.
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in
EV Traditional Michigan Limited Maturity Municipals Fund
and the Lehman Brothers 7-Year Municipal Bond Index
From December 31, 1993, through March 31, 1997
[LINE CHART]
EV Traditional
Michigan Fund, including 7-Year
Limited Maturity maximum sales Municipal
Date Municipals Fund charge Bond Index
-------- --------------- --------------- ----------
12/31/93+ $10,000 $9,747 $10,000
1/31/94 $10,079 $9,824 $10,106
2/28/94 $9,882 $9,632 $9,887
3/31/94 $9,582 $9,340 $9,623
4/30/94 $9,659 $9,414 $9,693
5/31/94 $9,706 $9,460 $9,741
6/30/94 $9,690 $9,445 $9,724
7/31/94 $9,797 $9,549 $9,861
8/31/94 $9,824 $9,576 $9,913
9/30/94 $9,728 $9,481 $9,818
10/31/94 $9,611 $9,368 $9,719
11/30/94 $9,470 $9,230 $9,577
12/31/94 $9,573 $9,331 $9,723
1/31/95 $9,763 $9,516 $9,905
2/28/95 $9,941 $9,689 $10,128
3/31/95 $9,990 $9,738 $10,233
4/30/95 $10,003 $9,750 $10,261
5/31/95 $10,180 $9,923 $10,534
6/30/95 $10,138 $9,882 $10,524
7/31/95 $10,214 $9,956 $10,658
8/31/95 $10,309 $10,048 $10,784
9/30/95 $10,352 $10,090 $10,825
10/31/95 $10,482 $10,217 $10,920
11/30/95 $10,578 $10,311 $11,040
12/31/95 $10,610 $10,342 $11,098
1/31/96 $10,697 $10,427 $11,206
2/28/96 $10,624 $10,355 $11,168
3/31/96 $10,500 $10,235 $11,059
4/30/96 $10,462 $10,197 $11,038
5/31/96 $10,458 $10,194 $11,022
6/30/96 $10,519 $10,253 $11,107
7/31/96 $10,637 $10,368 $11,198
8/31/96 $10,600 $10,332 $11,205
9/30/96 $10,728 $10,457 $11,306
10/31/96 $10,825 $10,552 $11,427
11/30/96 $11,011 $10,733 $11,618
12/31/96 $10,985 $10,707 $11,583
1/31/97 $11,026 $10,747 $11,625
2/28/97 $11,109 $10,828 $11,721
3/31/97 $11,002 $10,724 $11,569
------------------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
------------------------------------------------------------------
With max. sales charge 2.1% 2.2% $10,724
W/out max. sales charge 4.8% 3.0% $11,002
------------------------------------------------------------------
(footnote to graphic)
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 12/8/93. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
9
<PAGE>
EV Traditional New Jersey Limited Maturity Municipals Fund
Your investment at work [illustration (airplane)]
Port Authority of
New York & New Jersey
Delta Airlines
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. Delta Airlines is among the nation's largest passenger carriers.
This Port Authority issue provided funding for improvements to Delta Airline's
terminal facilities. Rated Baa3/BB+ by Moody's and S&P, respectively, the bonds
carry an attractive 6.95% coupon. With the projected increase in air traffic in
the busy metropolitan area in coming years, credit quality may improve. The
bonds are an example of the Portfolio's research-driven investments in
infrastructure projects.
- --------------------------------------------------------------------------------
Portfolio Overview
Based on market value as of March 31, 1997
[illustration of state of New Jersey]
Number of issues............................. 57
Average quality.............................. AA-
Investment grade............................. 97.0%
Effective maturity (years)........................ 9.48
Largest sectors:
Insured general obligations................... 21.2%*
Insured - Transportation...................... 10.8*
General obligations........................... 9.6
Hospitals..................................... 7.1
Cogeneration.................................. 7.1
* Private insurance does not remove the market risks that are
associated with these investments.
- --------------------------------------------------------------------------------
The State of the State: New Jersey
Employment continued to expand in New Jersey in early 1997, with non-farm
employment reaching a seven-year high in February. The unemployment rate fell to
5.5%, the lowest level since October, 1990. Despite the job creation, the
state's economy continued to lag the nation's, having been hampered by recent
rounds of job cuts tied to corporate restructurings in the communications,
utilities, and pharmaceuticals industries. Despite its slow recovery, New
Jersey's economy remains among the most diverse in the nation, and the state is
the national headquarters for several of the largest commercial and industrial
companies in the U.S. Nonetheless, while New Jersey ranks second in the nation
in per capita income, the state's $1.25 billion, three-year personal income tax
cut, as well as the phase-in of a homeowner property tax deduction, will likely
result in reduced state revenues. Another challenge facing New Jersey is the
impact of federal welfare reforms on state finances. While federal "block
grants" will initially exceed current-law funding, caseload trends suggest that
the state's needs may widen in future years. Like other states, New Jersey will
need to determine ways to manage that deficit.
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in
EV Traditional New Jersey Limited Maturity Municipals Fund
and the Lehman Brothers 7-Year Municipal Bond Index
From December 31, 1993, through March 31, 1997
[LINE CHART]
EV Traditional
New Jersey Fund, including 7-Year
Limited Maturity maximum sales Municipal
Date Municipals Fund charge Bond Index
-------- --------------- --------------- ----------
12/31/93+ $10,000 $9,747 $10,000
1/31/94 $10,088 $9,833 $10,106
2/28/94 $9,932 $9,681 $9,887
3/31/94 $9,652 $9,408 $9,623
4/30/94 $9,728 $9,482 $9,693
5/31/94 $9,775 $9,528 $9,741
6/30/94 $9,738 $9,492 $9,724
7/31/94 $9,855 $9,606 $9,861
8/31/94 $9,871 $9,622 $9,913
9/30/94 $9,795 $9,548 $9,818
10/31/94 $9,678 $9,434 $9,719
11/30/94 $9,547 $9,306 $9,577
12/31/94 $9,692 $9,447 $9,723
1/31/95 $9,860 $9,610 $9,905
2/28/95 $10,015 $9,762 $10,128
3/31/95 $10,086 $9,831 $10,233
4/30/95 $10,077 $9,822 $10,261
5/31/95 $10,264 $10,004 $10,534
6/30/95 $10,210 $9,952 $10,524
7/31/95 $10,307 $10,046 $10,658
8/31/95 $10,379 $10,117 $10,784
9/30/95 $10,433 $10,169 $10,825
10/31/95 $10,518 $10,253 $10,920
11/30/95 $10,646 $10,377 $11,040
12/31/95 $10,688 $10,418 $11,098
1/31/96 $10,742 $10,471 $11,206
2/28/96 $10,691 $10,421 $11,168
3/31/96 $10,567 $10,300 $11,059
4/30/96 $10,517 $10,251 $11,038
5/31/96 $10,491 $10,226 $11,022
6/30/96 $10,573 $10,306 $11,107
7/31/96 $10,690 $10,420 $11,198
8/31/96 $10,675 $10,405 $11,205
9/30/96 $10,780 $10,508 $11,306
10/31/96 $10,843 $10,569 $11,427
11/30/96 $11,017 $10,738 $11,618
12/31/96 $10,990 $10,712 $11,583
1/31/97 $11,042 $10,763 $11,625
2/28/97 $11,113 $10,832 $11,721
3/31/97 $10,983 $10,706 $11,569
------------------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
------------------------------------------------------------------
With max. sales charge 1.3% 2.2% $10,706
W/out max. sales charge 3.9% 3.0% $10,983
------------------------------------------------------------------
(footnote to graphic)
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 12/8/93. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
10
<PAGE>
EV Traditional New York Limited Maturity Municipals Fund
Your Investment at Work [illustration (medical staff)]
Glen Cove, NY
Industrial Development Authority
The Regency at Glen Cove
These bonds were issued in 1992 to finance the construction of an Adult Home for
elderly residents who require assistance with daily living activities and other
rehabilitation care. Licensed by the New York Department of Social Services, the
project consists of 96 living units, dining facilities, a library, visiting
rooms, games rooms, administrative offices, and examination rooms for visiting
physicians. Communities are turning increasingly to facilities such as the
Regency for living care alternatives for our aging populations. The non-rated
bonds carry a very attractive 9.5% coupon.
- --------------------------------------------------------------------------------
Portfolio Overview
Based on market value as of March 31, 1997
[illustration of state of New York]
Number of issues................................ 41
Average quality................................. AA-
Investment grade................................ 97.8%
Effective maturity (years)........................... 11.81
Largest sectors:
Transportation................................... 23.8%
Lease revenue/Certificate of participation....... 14.4
Insured transportation........................... 9.5*
Insured hospital................................. 9.5*
Housing.......................................... 6.7
* Private insurance does not remove the market risks that are
associated with these investments.
- --------------------------------------------------------------------------------
The State of the State: New York
The New York economy remains in a slow-growth mode, although there have been
encouraging signs of strength in some sectors. The Wall Street boom that
produced record profits in 1996, continued into 1997 and led to employment
growth in financial services. The state real estate market continued to firm,
with construction of multi-family homes leading the way. Commercial construction
has also strengthened, with the office market seeing a gradual decline in
vacancy rates. For example, major projects underway in New York City include a
new terminal at Kennedy International Airport, a state-of-the-art commodity
trading center, three major entertainment complexes, three hotels, and a number
of new retail complexes. On the fiscal front, the state is expected to end
fiscal 1997 with a surplus, the result of higher-than-expected tax revenues and
successful efforts to restrain spending. Tax revenue growth exceeded
expectations due in part to capital gains from the rising stock market and from
record bonus payments within the financial services industry. The effect of tax
reductions could significantly reduce state revenues. Continued cost controls
will likely be necessary to maintain an operating budget balance.
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in
EV Traditional New York Limited Maturity Municipals Fund
and the Lehman Brothers 7-Year Municipal Bond Index
From July 31, 1993, through March 31, 1997
[LINE CHART]
EV Traditional
New York Fund, including 7-Year
Limited Maturity maximum sales Municipal
Date Municipals Fund charge Bond Index
-------- --------------- --------------- ----------
7/31/94+ $10,000 $9,749 $10,000
8/31/94 $10,059 $9,807 $10,052
9/30/94 $9,958 $9,708 $9,956
10/31/94 $9,848 $9,601 $9,856
11/30/94 $9,686 $9,443 $9,712
12/31/94 $9,838 $9,590 $9,860
1/31/95 $10,009 $9,758 $10,045
2/28/95 $10,199 $9,942 $10,271
3/31/95 $10,270 $10,012 $10,378
4/30/95 $10,268 $10,010 $10,405
5/31/95 $10,474 $10,211 $10,682
6/30/95 $10,473 $10,209 $10,672
7/31/95 $10,576 $10,310 $10,808
8/31/95 $10,690 $10,422 $10,936
9/30/95 $10,720 $10,451 $10,978
10/31/95 $10,825 $10,553 $11,073
11/30/95 $10,971 $10,695 $11,195
12/31/95 $11,023 $10,746 $11,255
1/31/96 $11,108 $10,829 $11,364
2/28/96 $11,063 $10,784 $11,325
3/31/96 $10,956 $10,680 $11,214
4/30/96 $10,922 $10,647 $11,194
5/31/96 $10,911 $10,637 $11,177
6/30/96 $10,974 $10,698 $11,263
7/31/96 $11,061 $10,783 $11,356
8/31/96 $11,039 $10,761 $11,363
9/30/96 $11,157 $10,877 $11,465
10/31/96 $11,245 $10,962 $11,589
11/30/96 $11,430 $11,143 $11,782
12/31/96 $11,364 $11,078 $11,746
1/31/97 $11,353 $11,067 $11,788
2/28/97 $11,449 $11,161 $11,886
3/31/97 $11,348 $11,063 $11,732
------------------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
------------------------------------------------------------------
With max. sales charge 1.0% 4.2% $11,063
W/out max. sales charge 3.6% 5.2% $11,348
------------------------------------------------------------------
(footnote to graphic)
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 7/6/94. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
11
<PAGE>
EV Traditional Ohio Limited Maturity Municipals Fund
Your investment at work [illustration (medical staff)]
Warren County, OH
Hospital Facilities
Otterbein Homes Project
The Otterbein Corporation is a non-profit corporation established in 1912 with
close ties to the United Methodist Church. It currently owns and operates five
retirement homes and health care centers throughout Ohio and provides management
services to four additional homes. The homes provide both skilled and
intermediate care for their elderly residents. These bonds, which were used to
refinance outstanding debt of the Corporation, have a coupon of 7.2% and provide
good income from a small but well-regarded issuer.
- --------------------------------------------------------------------------------
Portfolio Overview
Based on market value as of March 31, 1997
[illustration of state of Ohio]
Number of issues...................................... 40
Average quality....................................... A+
Investment grade...................................... 81.9%
Effective maturity (years)................................. 8.89
Largest sectors:
Insured general obligations............................ 31.0%*
Hospitals.............................................. 14.7
General obligations.................................... 11.3
Escrowed............................................... 7.7
Industrial development revenue......................... 7.6
* Private insurance does not remove the market risks that are
associated with these investments.
- --------------------------------------------------------------------------------
The State of the State: Ohio
Ohio has been a major beneficiary of the strength in the national economy. A low
unemployment rate and low inflation have raised the confidence of Ohio's
consumers, who have stepped up their purchases of homes and consumer products.
Job creation has held firm in the manufacturing sector and increased in the
service and construction sectors. Manufacturing employment remains above the
national average, although continued growth in financial services, retail and
trade sectors has helped diversify the Ohio economy. While manufacturing jobs
are expected to decline in coming years, total employment should expand by 1%
annually. Ohio has enjoyed a strong fiscal profile, with tax revenues exceeding
forecasts in recent years while spending has been held below budgeted levels.
This strong performance prompted the legislature to institute a temporary $400
million tax cut. Despite the loss of these tax receipts, the state's revenues
continue to run ahead of expectations, providing the prospect for continued
balanced operations with no depletion of state reserves.
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in
EV Traditional Ohio Limited Maturity Municipals Fund
and the Lehman Brothers 7-Year Municipal Bond Index
From December 31, 1993, through March 31, 1997
[LINE CHART]
EV Traditional
Ohio Fund, including 7-Year
Limited Maturity maximum sales Municipal
Date Municipals Fund charge Bond Index
-------- --------------- --------------- ----------
12/31/93+ $10,000 $9,747 $10,000
1/31/94 $10,116 $9,860 $10,106
2/28/94 $9,878 $9,629 $9,887
3/31/94 $9,588 $9,346 $9,623
4/30/94 $9,675 $9,430 $9,693
5/31/94 $9,731 $9,485 $9,741
6/30/94 $9,705 $9,460 $9,724
7/31/94 $9,832 $9,584 $9,861
8/31/94 $9,848 $9,599 $9,913
9/30/94 $9,741 $9,495 $9,818
10/31/94 $9,634 $9,391 $9,719
11/30/94 $9,504 $9,263 $9,577
12/31/94 $9,648 $9,404 $9,723
1/31/95 $9,827 $9,578 $9,905
2/28/95 $9,972 $9,720 $10,128
3/31/95 $10,032 $9,779 $10,233
4/30/95 $10,023 $9,770 $10,261
5/31/95 $10,232 $9,973 $10,534
6/30/95 $10,168 $9,911 $10,524
7/31/95 $10,243 $9,984 $10,658
8/31/95 $10,337 $10,076 $10,784
9/30/95 $10,391 $10,128 $10,825
10/31/95 $10,488 $10,222 $10,920
11/30/95 $10,583 $10,316 $11,040
12/31/95 $10,636 $10,367 $11,098
1/31/96 $10,669 $10,399 $11,206
2/28/96 $10,628 $10,359 $11,168
3/31/96 $10,515 $10,249 $11,059
4/30/96 $10,487 $10,222 $11,038
5/31/96 $10,483 $10,218 $11,022
6/30/96 $10,587 $10,319 $11,107
7/31/96 $10,660 $10,391 $11,198
8/31/96 $10,656 $10,386 $11,205
9/30/96 $10,784 $10,511 $11,306
10/31/96 $10,846 $10,572 $11,427
11/30/96 $11,032 $10,753 $11,618
12/31/96 $10,993 $10,715 $11,583
1/31/97 $10,989 $10,711 $11,625
2/28/97 $11,094 $10,813 $11,721
3/31/97 $10,964 $10,687 $11,569
------------------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
------------------------------------------------------------------
With max. sales charge 1.6% 2.1% $10,687
W/out max. sales charge 4.3% 2.9% $10,964
------------------------------------------------------------------
(footnote to graphic)
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 12/8/93. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
12
<PAGE>
EV Traditional Limited Maturity Municipals Funds
Financial Statements
Statements of Assets and Liabilities
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional Traditional Traditional
California Connecticut Florida Traditional
Limited Limited Limited Michigan
Fund Fund Fund Limited Fund
----------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
Assets:
Investments --
Identified cost $2,778,862 $1,320,375 $3,824,293 $ 939,007
Unrealized appreciation (depreciation) 46,800 6,634 (41,376) 81,066
----------- ----------- ----------- ------------
Total investment in Portfolio, at value (Note 1A) $2,825,662 $1,327,009 $3,782,917 $1,020,073
Receivable for Fund shares sold -- -- -- 146
Receivable from the Administrator (Note 4) 13,043 12,442 17,937 14,550
Deferred organization expenses (Note 1D) 3,607 3,857 2,595 3,567
----------- ----------- ----------- ------------
Total assets $2,842,312 $1,343,308 $3,803,449 $1,038,336
----------- ----------- ----------- ------------
Liabilities:
Distributions payable $ 7,251 $ 1,662 $ 10,933 $ 2,105
Accrued expenses 4,309 2,880 2,487 1,968
----------- ----------- ----------- ------------
Total liabilities $ 11,560 $ 4,542 $ 13,420 $ 4,073
----------- ----------- ----------- ------------
Net Assets $2,830,752 $1,338,766 $3,790,029 $1,034,263
=========== =========== =========== ============
Sources of Net Assets:
Paid-in capital $3,391,730 $1,441,930 $3,885,488 $1,410,138
Accumulated net realized loss on investment
transactions and financial futures contracts
(computed on basis of identified cost) (607,892) (109,506) (55,539) (456,735)
Accumulated undistributed (distributions in excess
of) net investment income 114 (292) 1,456 (206)
Net unrealized appreciation (depreciation) of
investments and financial futures contracts
(computed on the basis of identified cost) 46,800 6,634 (41,376) 81,066
----------- ----------- ----------- ------------
Total $2,830,752 $1,338,766 $3,790,029 $1,034,263
=========== =========== =========== ============
Shares of Beneficial Interest Outstanding 296,213 140,426 380,752 107,775
=========== =========== =========== ============
Net Asset Value and Redemption Price Per Share
(net assets [division sign] shares of beneficial
interest outstanding) $ 9.56 $ 9.53 $ 9.95 $ 9.60
=========== =========== =========== ============
Computation of Offering Price
(100 [division sign] 97.50 of net asset value
per share) $ 9.81 $ 9.77 $10.21 $ 9.85
=========== =========== =========== ============
</TABLE>
On sales of $50,000 or more, the offering price is reduced.
See notes to financial statements
13
<PAGE>
Statements of Assets and Liabilities
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional Traditional
New Jersey New York Traditional
Limited Limited Ohio
Fund Fund Limited Fund
----------- ----------- -------------
<S> <C> <C> <C>
Assets:
Investments --
Identified cost $1,010,339 $566,103 $2,699,050
Unrealized appreciation 26,109 3,390 45,021
----------- ----------- -------------
Total investment in Portfolio, at value (Note 1A) $1,036,448 $569,493 $2,744,071
Receivable for Fund shares sold 10 -- --
Receivable from the Administrator (Note 4) 12,070 17,497 1,580
Deferred organization expenses (Note 1D) 3,590 4,074 3,490
----------- ----------- -------------
Total assets $1,052,118 $591,064 $2,749,141
----------- ----------- -------------
Liabilities:
Dividends payable $ 1,807 $ 1,457 $ 7,171
Accrued expenses 1,153 677 1,633
----------- ----------- -------------
Total liabilities $ 2,960 $ 2,134 $ 8,804
----------- ----------- -------------
Net Assets $1,049,158 $588,930 $2,740,337
=========== =========== =============
Sources of Net Assets:
Paid-in capital $1,142,643 $579,514 $2,966,850
Accumulated net realized gain (loss) on
investment transactions and financial futures
transactions (computed on the basis of
identified cost) (119,396) 7,223 (272,620)
Accumulated undistributed (distributions in
excess of) net investment income (198) (1,197) 1,086
Net unrealized appreciation of investments and
financial futures transactions (computed on
the basis of identified cost) 26,109 3,390 45,021
----------- ----------- -------------
Total $1,049,158 $588,930 $2,740,337
=========== =========== =============
Shares of Beneficial Interest Outstanding 109,030 58,600 285,734
=========== =========== =============
Net Asset Value and Redemption Price Per Share
(net assets [division sign] shares of beneficial
interest outstanding) $ 9.62 $10.05 $ 9.59
=========== =========== =============
Computation of Offering Price
(100 [division sign] 97.50 of net asset value
per share) $ 9.87 $10.31 $ 9.84
=========== =========== =============
</TABLE>
On sales of $50,000 or more, the offering price is reduced.
See notes to financial statements
14
<PAGE>
Statements of Operations
- --------------------------------------------------------------------------------
Year Ended March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional Traditional Traditional
California Connecticut Florida Traditional
Limited Limited Limited Michigan
Fund Fund Fund Limited Fund
----------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B):
Interest income allocated from Portfolio $191,301 $ 84,448 $166,925 $ 90,392
Expenses allocated from Portfolio (20,921) (7,574) (17,117) (11,614)
----------- ----------- ----------- ------------
Net investment income from Portfolio $170,380 $ 76,874 $149,808 $ 78,778
----------- ----------- ----------- ------------
Expenses --
Service fees (Note 5) $ 6,316 $ 2,883 $ 2,985 $ 2,726
Transfer and dividend disbursing agent fees 2,567 1,157 2,142 1,339
Printing and postage 5,980 4,779 8,667 5,195
Legal and accounting services 9,374 7,787 3,784 7,610
Custodian fee 3,000 2,984 2,999 2,986
Registration fees -- 500 167 1,250
Amortization of organization expenses (Note 1D) 2,153 2,301 1,925 2,133
Miscellaneous 1,223 1,192 790 1,271
----------- ----------- ----------- ------------
Total expenses $ 30,613 $ 23,583 $ 23,459 $ 24,510
Deduct --
Allocation of expenses to the Administrator
(Note 4) 13,043 12,442 17,937 14,550
----------- ----------- ----------- ------------
Net expenses $ 17,570 $ 11,141 $ 5,522 $ 9,960
----------- ----------- ----------- ------------
Net investment income $152,810 $ 65,733 $144,286 $ 68,818
----------- ----------- ----------- ------------
Realized and Unrealized Gain (Loss) from Portfolio:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (7,420) $ 5,653 $(39,449) $ 62,601
Financial futures contracts (33,710) (9,298) (16,605) (12,080)
----------- ----------- ----------- ------------
Net realized gain (loss) $(41,130) $ (3,645) $(56,054) $ 50,521
----------- ----------- ----------- ------------
Change in unrealized appreciation
(depreciation) --
Investment transactions $ (5,749) $ (8,135) $(14,389) $(46,759)
Financial futures contracts 6,274 366 8,390 (1,125)
----------- ----------- ----------- ------------
Net change in unrealized appreciation
(depreciation) $ 525 $ (7,769) $ (5,999) $(47,884)
----------- ----------- ----------- ------------
Net realized and unrealized gain (loss) $(40,605) $(11,414) $(62,053) $ 2,637
----------- ----------- ----------- ------------
Net increase in net assets from
operations $112,205 $ 54,319 $ 82,233 $ 71,455
=========== =========== =========== ============
</TABLE>
See notes to financial statements
15
<PAGE>
Statements of Operations
- --------------------------------------------------------------------------------
Year Ended March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional Traditional
New Jersey New York Traditional
Limited Limited Ohio
Fund Fund Limited Fund
----------- ----------- -------------
<S> <C> <C> <C>
Investment Income (Note 1B):
Interest income allocated from Portfolio $87,892 $ 26,764 $175,955
Expenses allocated from Portfolio (9,200) (2,761) (19,626)
----------- ----------- -------------
Net investment income from Portfolio $78,692 $ 24,003 $156,329
----------- ----------- -------------
Expenses --
Service fees (Note 5) $ 2,399 $ 591 $ 4,506
Transfer and dividend disbursing agent fees 1,081 411 2,410
Printing and postage 5,142 7,960 5,484
Legal and accounting services 5,598 3,773 7,766
Custodian fee 2,976 2,999 2,796
Registration fees -- -- 600
Amortization of organization expenses (Note 1D) 2,141 2,160 2,090
Miscellaneous 1,168 878 1,221
----------- ----------- -------------
Total expenses $20,505 $ 18,772 $ 26,873
Deduct --
Allocation of expenses to the Administrator
(Note 4) 12,070 17,497 2,552
----------- ----------- -------------
Net expenses $ 8,435 $ 1,275 $ 24,321
----------- ----------- -------------
Net investment income $70,257 $ 22,728 $132,008
----------- ----------- -------------
Realized and Unrealized Gain (Loss) from Portfolio:
Net realized gain (loss) --
Investment transactions (identified cost
basis) $ 8,935 $ 8,364 $ 36,747
Financial futures contracts (7,717) (2,610) (13,360)
----------- ----------- -------------
Net realized gain $ 1,218 $ 5,754 $ 23,387
----------- ----------- -------------
Change in unrealized appreciation
(depreciation) --
Investment transactions $(5,916) $(12,997) $(33,065)
Financial futures contracts 318 2,114 --
----------- ----------- -------------
Net change in unrealized appreciation $(5,598) $(10,883) $(33,065)
----------- ----------- -------------
Net realized and unrealized loss $(4,380) $ (5,129) $ (9,678)
----------- ----------- -------------
Net increase in net assets from
operations $65,877 $ 17,599 $122,330
=========== =========== =============
See notes to financial statements
</TABLE>
16
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Year Ended March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional Traditional Traditional
California Connecticut Florida Traditional
Limited Limited Limited Michigan
Fund Fund Fund Limited Fund
----------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 152,810 $ 65,733 $ 144,286 $ 68,818
Net realized gain (loss) (41,130) (3,645) (56,054) 50,521
Change in unrealized appreciation
(depreciation) 525 (7,769) (5,999) (47,884)
----------- ----------- ----------- ------------
Net increase in net assets from operations $ 112,205 $ 54,319 $ 82,233 $ 71,455
----------- ----------- ----------- ------------
Distributions to shareholders (Note 2) --
From net investment income $ (152,964) $ (65,733) $ (141,200) $ (69,863)
In excess of net investment income -- (217) -- --
----------- ----------- ----------- ------------
Total distributions to shareholders $ (152,964) $ (65,950) $ (141,200) $ (69,863)
----------- ----------- ----------- ------------
Transactions in shares of beneficial interest
(Note 3) --
Proceeds from sales of shares $ 62,614 $ 149,595 $2,027,379 $ 59,200
Net asset value of shares issued to
shareholders in payment of distributions
declared 92,031 50,892 61,784 53,615
Cost of shares redeemed (2,083,220) (578,017) (565,599) (1,420,338)
----------- ----------- ----------- ------------
Net increase (decrease) in net assets from
Fund share transactions $(1,928,575) $ (377,530) $1,523,564 $(1,307,523)
----------- ----------- ----------- ------------
Net increase (decrease) in net assets $(1,969,334) $ (389,161) $1,464,597 $(1,305,931)
Net Assets:
At beginning of year 4,800,086 1,727,927 2,325,432 2,340,194
----------- ----------- ----------- ------------
At end of year $ 2,830,752 $1,338,766 $3,790,029 $ 1,034,263
=========== =========== =========== ============
Accumulated undistributed (distributions in
excess of) net investment income included in
net assets at end of year $ 114 $ (292) $ 1,456 $ (206)
=========== =========== =========== ============
See notes to financial statements
</TABLE>
17
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Year Ended March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional Traditional
New Jersey New York Traditional
Limited Limited Ohio
Fund Fund Limited Fund
----------- ----------- -------------
<S> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 70,257 $ 22,728 $ 132,008
Net realized gain 1,218 5,754 23,387
Change in unrealized appreciation (5,598) (10,883) (33,065)
----------- ----------- -------------
Net increase in net assets from operations $ 65,877 $ 17,599 $ 122,330
----------- ----------- -------------
Distributions to shareholders (Note 2) --
From net investment income $ (70,257) $(22,728) $ (132,600)
In excess of net investment income (36) (564) --
From net realized gain -- (3,179) --
----------- ----------- -------------
Total distributions to shareholders $ (70,293) $(26,471) $ (132,600)
----------- ----------- -------------
Transactions in shares of beneficial interest
(Note 3) --
Proceeds from sales of shares $ 82,125 $162,377 $ 33,472
Net asset value of shares issued to
shareholders in payment of distributions
declared 58,751 11,914 53,618
Cost of shares redeemed (994,022) (1,126) (879,609)
----------- ----------- -------------
Net increase (decrease) in net assets from
Fund share transactions $ (853,146) $173,165 $ (792,519)
----------- ----------- -------------
Net increase (decrease) in net assets $ (857,562) $164,293 $ (802,789)
Net Assets:
At beginning of year 1,906,720 424,637 3,543,126
----------- ----------- -------------
At end of year $1,049,158 $588,930 $2,740,337
=========== =========== =============
Accumulated undistributed (distributions in
excess of) net investment income included in
net assets at end of year $ (198) $ (1,197) $ 1,086
=========== =========== =============
See notes to financial statements
</TABLE>
18
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Year Ended March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional Traditional Traditional
California Connecticut Florida Traditional
Limited Limited Limited Michigan
Fund Fund Fund Limited Fund
----------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 263,388 $ 47,800 $ 41,551 $ 156,361
Net realized gain (loss) 4,999 (21,750) 1,459 36,526
Change in unrealized appreciation
(depreciation) 125,662 43,082 (39,806) 53,460
----------- ----------- ----------- ------------
Net increase in net assets from operations $ 394,049 $ 69,132 $ 3,204 $ 246,347
----------- ----------- ----------- ------------
Distributions to shareholders (Note 2) --
From net investment income $ (258,258) $ (47,800) $ (41,551) $ (154,185)
In excess of net investment income -- (762) (1,811) --
----------- ----------- ----------- ------------
Total distributions to shareholders $ (258,258) $ (48,562) $ (43,362) $ (154,185)
----------- ----------- ----------- ------------
Transactions in shares of beneficial interest
(Note 3) --
Proceeds from sales of shares $ 766,925 $ 769,941 $2,140,838 $ 123,386
Net asset value of shares issued to
shareholders in payment of distributions
declared 172,382 35,104 30,957 102,234
Cost of shares redeemed (4,244,747) (680,629) (46,950) (4,881,976)
----------- ----------- ----------- ------------
Net increase (decrease) in net assets from
Fund share transactions $(3,305,440) $ 124,416 $2,124,845 $(4,656,356)
----------- ----------- ----------- ------------
Net increase (decrease) in net assets $(3,169,649) $ 144,986 $2,084,687 $(4,564,194)
Net Assets:
At beginning of year 7,969,735 1,582,941 240,745 6,904,388
----------- ----------- ----------- ------------
At end of year $ 4,800,086 $1,727,927 $2,325,432 $ 2,340,194
=========== =========== =========== ============
Accumulated undistributed (distributions in
excess of) net investment income included in
net assets at end of year $ 268 $ (75) $ (1,630) $ 839
=========== =========== =========== ============
See notes to financial statements
</TABLE>
19
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Year Ended March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional Traditional
New Jersey New York Traditional
Limited Limited Ohio
Fund Fund Limited Fund
----------- ----------- -------------
<S> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 98,254 $ 35,062 $ 162,780
Net realized gain (loss) (17,599) 5,055 28,142
Change in unrealized appreciation 57,190 12,420 23,630
----------- ----------- -------------
Net increase in net assets from operations $ 137,845 $ 52,537 $ 214,552
----------- ----------- -------------
Distributions to shareholders (Note 2) --
From net investment income $ (96,903) $ (35,062) $ (162,780)
In excess of net investment income -- (439) (3,471)
----------- ----------- -------------
Total distributions to shareholders $ (96,903) $ (35,501) $ (166,251)
----------- ----------- -------------
Transactions in shares of beneficial interest
(Note 3) --
Proceeds from sales of shares $ 354,799 $ 1,369,335 $ 185,818
Net asset value of shares issued to
shareholders in payment of distributions
declared 83,122 16,412 90,926
Cost of shares redeemed (1,878,569) (1,157,662) (1,871,443)
----------- ----------- -------------
Net increase (decrease) in net assets from
Fund share transactions $(1,440,648) $ 228,085 $(1,594,699)
----------- ----------- -------------
Net increase (decrease) in net assets $(1,399,706) $ 245,121 $(1,546,398)
Net Assets:
At beginning of year 3,306,426 179,516 5,089,524
----------- ----------- -------------
At end of year $ 1,906,720 $ 424,637 $ 3,543,126
=========== =========== =============
Accumulated undistributed (distributions in
excess of) net investment income included in
net assets at end of year $ (162) $ (633) $ 1,678
=========== =========== =============
See notes to financial statements
</TABLE>
20
<PAGE>
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional California Limited Traditional Connecticut Limited
------------------------------------------ ---------------------------------------------
Year Ended March 31, Year Ended March 31,
------------------------------------------ ---------------------------------------------
1997 1996 1995 1994* 1997 1996 1995 1994**
------- ------- ------- ------- ------- ------- ------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value--Beginning
of year $ 9.650 $ 9.520 $ 9.570 $10.000 $ 9.610 $ 9.460 $ 9.500 $10.000
------- ------- ------- ----- ----- ----- ----- -------
Income (loss) from operations:
Net investment income $ 0.430 $ 0.376 $ 0.348 $ 0.098 $ 0.414 $ 0.350 $ 0.344 $ 0.072
Net realized and unrealized
gain (loss) on investments (0.090) 0.124 0.003+++ (0.400) (0.079) 0.156 0.002+++ (0.475)
------- ------- ------- ----- ----- ----- ----- -------
Total income (loss) from
operations $ 0.340 $ 0.500 $ 0.351 $(0.302) $ 0.335 $ 0.506 $ 0.346 $(0.403)
------- ------- ------- ----- ----- ----- ----- -------
Less distributions:
From net investment income $(0.430) $(0.370) $(0.348) $(0.098) $(0.414) $(0.350) $(0.344) $(0.072)
In excess of net investment
income -- -- (0.053) (0.030) (0.001) (0.006) (0.042) (0.025)
------- ------- ------- ----- ----- ----- ----- -------
Total distributions $(0.430) $(0.370) $(0.401) $(0.128) $(0.415) $(0.356) $(0.386) $(0.097)
------- ------- ------- ----- ----- ----- ----- -------
Net asset value--End of year $ 9.560 $ 9.650 $ 9.520 $ 9.570 $ 9.530 $ 9.610 $ 9.460 $ 9.500
======= ======= ======= ===== ===== ===== ===== =======
Total Return (1) 3.58% 5.39% 3.80% (3.16%) 3.54% 5.49% 3.78% (4.14%)
Ratios/Supplemental Data+:
Net assets, end of year
(000 omitted) $ 2,831 $ 4,800 $ 7,970 $14,479 $ 1,339 $ 1,728 $ 1,583 $ 2,051
Ratio of net expenses to
average daily net assets
(2)(3) 1.14% 1.54% 1.51% 1.48%+ 1.27% 1.62% 1.37% 1.38%+
Ratio of net expenses to
average daily net assets,
after custodian fee
reduction (2) 1.13% 1.50% -- -- 1.23% 1.58% -- --
Ratio of net investment
income to average daily net
assets 4.49% 3.90% 3.75% 2.91%+ 4.32% 3.62% 3.70% 2.70%+
+ The operating expenses of the Funds reflect an allocation of expenses to the
Administrator and/or Investment Adviser. Had such actions not been taken, the
ratios and net investment income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2)(3) 1.52% 1.81% 1.81% 1.98%+ 2.32% 2.88% 3.01% 2.78%+
Expenses after custodian fee
reduction (2) 1.51% 1.77% -- -- 2.28% 2.84% -- --
Net investment income 4.11% 3.63% 3.45% 2.41%+ 3.27% 2.36% 2.06% 1.30%+
Net investment income per
share $ 0.394 $ 0.350 $ 0.320 $ 0.081 $ 0.313 $ 0.228 $ 0.192 $ 0.035
======= ======= ======= ===== ===== ===== ===== =======
</TABLE>
+ Annualized
+++ The per share amount is not in accord with the net realized and
unrealized gain (loss) for the period because of the 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, December 8, 1993, to March 31,
1994.
** For the period from the start of business, December 27, 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.
Total return is not computed on an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter,
have been adjusted to reflect a change in reporting guidelines. The new
reporting guidelines require the Fund to increase its expense ratio by
the effect of any expense offset arrangements with its service providers
or those of the Portfolio. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
21
<PAGE>
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional Florida Limited Traditional Michigan Limited
------------------------------ ---------------------------------------------
Year Ended March 31, Year Ended March 31,
------------------------------ ---------------------------------------------
1997 1996 1995* 1997 1996 1995 1994**
------- ------- ------- ------- ------- ------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value--Beginning of
year $10.120 $10.070 $10.000 $ 9.580 $ 9.480 $ 9.490 $10.000
------- ------- ------- ----- ----- ----- -------
Income (loss) from operations:
Net investment income $ 0.480 $ 0.451 $ 0.321 $ 0.425 $ 0.376 $ 0.352 $ 0.100
Net realized and unrealized
gain (loss) on investments (0.181) 0.070+++ 0.088 0.025 0.095 0.039+++ (0.484)
------- ------- ------- ----- ----- ----- -------
Total income (loss) from
operations $ 0.299 $ 0.521 $ 0.409 $ 0.450 $ 0.471 $ 0.391 $(0.384)
------- ------- ------- ----- ----- ----- -------
Less distributions:
From net investment income $(0.469) $(0.451) $(0.321) $(0.430) $(0.371) $(0.352) $(0.100)
In excess of net investment
income -- (0.020) (0.018) -- -- (0.049) (0.026)
------- ------- ------- ----- ----- ----- -------
Total distributions $(0.469) $(0.471) $(0.339) $(0.430) $(0.371) $(0.401) $(0.126)
------- ------- ------- ----- ----- ----- -------
Net asset value--End of year $ 9.950 $10.120 $10.070 $ 9.600 $ 9.580 $ 9.480 $ 9.490
======= ======= ======= ===== ===== ===== =======
Total Return (1) 2.90% 5.33% 4.19% 4.78% 5.10% 4.26% (3.99%)
Ratios/Supplemental Data+:
Net assets, end of year
(000 omitted) $ 3,790 $ 2,325 $ 241 $ 1,034 $ 2,340 $ 6,904 $ 8,874
Ratio of net expenses to
average daily net assets
(2)(3) 0.76% 0.89% 0.74%+ 1.42% 1.83% 1.56% 1.15%+
Ratio of net expenses to
average daily net assets,
after custodian fee
reduction (2) 0.74% 0.87% -- 1.39% 1.79% -- --
Ratio of net investment
income to average daily net
assets 4.73% 4.26% 4.52%+ 4.45% 3.94% 3.80% 3.07%+
+ The operating expenses of the Funds reflect an allocation of expenses to the
Administrator and/or Investment Adviser. Had such actions not been taken, the
ratios and net investment income (loss) per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2)(3) 1.35% 2.48% 12.20%+ 2.36% 2.15% 1.99% 2.35%+
Expenses after custodian fee
reduction (2) 1.33% 2.46% -- 2.33% -- -- --
Net investment income (loss) 4.14% 2.67% (6.94%)+ 3.51% 3.62% 3.37% 1.87%+
Net investment income (loss)
per share $ 0.420 $ 0.283 $(0.506) $ 0.335 $ 0.345 $ 0.312 $ 0.061
======= ======= ======= ===== ===== ===== =======
</TABLE>
+ Annualized
+++ The per share amount is not in accord with the net realized and
unrealized gain (loss) for the period because of the 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, July 5, 1994, to March 31,
1995.
** For the period from the start of business, December 8, 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.
Total return is not computed on an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter,
have been adjusted to reflect a change in reporting guidelines. The new
reporting guidelines require the Fund to increase its expense ratio by
the effect of any expense offset arrangements with its service providers
or those of the Portfolio. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
22
<PAGE>
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional New Jersey Limited Traditional New York Limited
------------------------------------------ ----------------------------------
Year Ended March 31, Year Ended March 31,
------------------------------------------ ----------------------------------
1997 1996 1995 1994* 1997 1996 1995**
------- ------- ------- ------- ------- ------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value--Beginning of
year $ 9.670 $ 9.590 $ 9.570 $10.000 $10.220 $10.030 $10.000
------- ------- ------- ----- ----- ----- --------
Income (loss) from operations:
Net investment income $ 0.425 $ 0.368 $ 0.345 $ 0.099 $ 0.459 $ 0.465 $ 0.325
Net realized and unrealized
gain (loss) on investments (0.050) 0.077 0.071 (0.404) (0.099) 0.196 0.051
------- ------- ------- ----- ----- ----- --------
Total income (loss) from
operations $ 0.375 $ 0.445 $ 0.416 $(0.305) $ 0.360 $ 0.661 $ 0.376
------- ------- ------- ----- ----- ----- --------
Less distributions:
From net investment income $(0.425) $(0.365) $(0.345) $(0.099) $(0.459) $(0.465) $(0.325)
In excess of net investment
income -- -- (0.051) (0.026) (0.011) (0.006) (0.021)
From net realized gain on
investments -- -- -- -- (0.060) -- --
------- ------- ------- ----- ----- ----- --------
Total distributions $(0.425) $(0.365) $(0.396) $(0.125) $(0.530) $(0.471) $(0.346)
------- ------- ------- ----- ----- ----- --------
Net asset value--End of year $ 9.620 $ 9.670 $ 9.590 $ 9.570 $10.050 $10.220 $10.030
======= ======= ======= ===== ===== ===== ========
Total Return (1) 3.94% 4.77% 4.49% (3.20%) 3.58% 6.68% 3.87%
Ratios/Supplemental Data+:
Net assets, end of year
(000 omitted) $ 1,049 $ 1,907 $ 3,306 $ 3,148 $ 589 $ 425 $ 180
Ratio of net expenses to
average daily net assets
(2)(3) 1.13% 1.54% 1.61% 1.57%+ 0.82% 0.61% 0.98%+
Ratio of net expenses to
average daily net assets,
after custodian fee
reduction (2) 1.10% 1.52% -- -- 0.80% 0.58% --
Ratio of net investment
income to average daily net
assets 4.40% 3.78% 3.62% 3.08%+ 4.50% 4.52% 5.96%+
+ The operating expenses of the Funds reflect an allocation of expenses to the
Administrator and/or Investment Adviser. Had such actions not been taken, the
ratios and net investment income (loss) per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2)(3) 1.89% 2.30% 2.16% 2.88%+ 4.29% 2.87% 28.54%+
Expenses after custodian fee
reduction (2) 1.86% 2.28% -- -- 4.27% 2.84% --
Net investment income (loss) 3.64% 3.02% 3.07% 1.77%+ 1.04% 2.26% (21.60%)+
Net investment income (loss)
per share $ 0.351 $ 0.291 $ 0.293 $ 0.057 $ 0.107 $ 0.233 $(1.178)
======= ======= ======= ===== ===== ===== ========
</TABLE>
+ Annualized
* For the period from the start of business, December 8, 1993, to March 31,
1994.
** For the period from the start of business, July 6, 1994, to March 31,
1995.
(1) Total 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. Total return is
not computed on an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter,
have been adjusted to reflect a change in reporting guidelines. The new
reporting guidelines require the Fund to increase its expense ratio by
the effect of any expense offset arrangements with its service providers
or those of the Portfolio. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
23
<PAGE>
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Traditional Ohio Limited
---------------------------------------------
Year Ended March 31,
---------------------------------------------
1997 1996 1995 1994*
------- ------- ------- ---------
<S> <C> <C> <C> <C>
Net asset value--Beginning of year $ 9.610 $ 9.530 $ 9.500 $10.000
------- ------- ------- -------
Income (loss) from operations:
Net investment income $ 0.424 $ 0.358 $ 0.358 $ 0.095
Net realized and unrealized gain
(loss) on investments (0.019) 0.088 0.068 (0.473)
------- ------- ------- -------
Total income (loss) from
operations $ 0.405 $ 0.446 $ 0.426 $(0.378)
------- ------- ------- -------
Less distributions:
From net investment income $(0.425) $(0.358) $(0.358) $(0.095)
In excess of net investment income -- (0.008) (0.038) (0.027)
------- ------- ------- -------
Total distributions $(0.425) $(0.366) $(0.396) $(0.122)
------- ------- ------- -------
Net asset value--End of year $ 9.590 $ 9.610 $ 9.530 $ 9.500
======= ======= ======= =======
Total Return (1) 4.27% 4.81% 4.63% (3.91%)
Ratios/Supplemental Data+:
Net assets, end of year
(000 omitted) $ 2,740 $ 3,543 $ 5,090 $ 5,795
Ratio of net expenses to average
daily net assets (2)(3) 1.49% 2.01% 1.60% 1.27%+
Ratio of net expenses to average
daily net assets, after custodian
fee reduction (2) 1.46% 1.99% -- --
Ratio of net investment income to
average daily net assets 4.40% 3.70% 3.81% 3.04%+
+ The operating expenses of the Funds reflect an allocation of expenses to the
Administrator and/or Investment Adviser. Had such actions not been taken, the
ratios and net investment income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2)(3) 1.58% 2.10% 1.95%+
Expenses after custodian fee
reduction (2) 1.55% -- --
Net investment income 4.31% 3.32% 2.36%+
Net investment income per share $ 0.415 $ 0.311 $ 0.074
======= ======= =======
</TABLE>
+ Annualized
* For the period from the start of business, December 8, 1993, to March 31,
1994.
(1) Total 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. Total return is
not computed on an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter,
have been adjusted to reflect a change in reporting guidelines. The new
reporting guidelines require the Fund to increase its expense ratio by
the effect of any expense offset arrangements with its service providers
or those of the Portfolio. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
24
<PAGE>
Notes to Financial Statements
- --------------------------------------------------------------------------------
(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 investment
management company. The Trust presently consists of twenty-four Funds, seven
of which are included in these financial statements. They include EV
Traditional California Limited Maturity Municipals Fund ("Traditional
California Limited Fund"), EV Traditional Connecticut Limited Maturity
Municipals Fund ("Traditional Connecticut Limited Fund"), EV Traditional
Florida Limited Maturity Municipals Fund ("Traditional Florida Limited
Fund"), EV Traditional Michigan Limited Maturity Municipals Fund
("Traditional Michigan Limited Fund"), EV Traditional New Jersey Limited
Maturity Municipals Fund ("Traditional New Jersey Limited Fund"), EV
Traditional New York Limited Maturity Municipals Fund ("Traditional New York
Limited Fund"), and EV Traditional Ohio Limited Maturity Municipals Fund
("Traditional Ohio Limited Fund"). 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 Traditional California
Limited Fund invests its assets in the California Limited Maturity Municipals
Portfolio, the Traditional Connecticut Limited Fund invests its assets in the
Connecticut Limited Maturity Municipals Portfolio, the Traditional Florida
Limited Fund invests its assets in the Florida Limited Maturity Municipals
Portfolio, the Traditional Michigan Limited Fund invests its assets in the
Michigan Limited Maturity Municipals Portfolio, the Traditional New Jersey
Limited Fund invests its assets in the New Jersey Limited Maturity Municipals
Portfolio, the Traditional New York Limited Fund invests its assets in the
New York Limited Maturity Municipals Portfolio, and the Traditional Ohio
Limited Fund invests its assets in the Ohio 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 (6.5%, 10.8%, 4.1%, 6.8%, 1.8%, 0.6%, and 9.6% at March 31, 1997
for the Traditional California Limited Fund, Traditional Connecticut Limited
Fund, Traditional Florida Limited Fund, Traditional Michigan Limited Fund,
Traditional New Jersey Limited Fund, Traditional New York Limited Fund, and
Traditional Ohio 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 Valuations -- Valuation of securities by the Portfolios is
discussed in Note 1A 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, 1997,
the Funds, for federal income tax purposes had capital loss carryovers which
will reduce taxable income arising from 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 or excise tax.
The amounts and expiration dates of the capital loss carryovers are as
follows:
Fund Amount Expires
- ----- ------ -------------------
Traditional California Limited Fund $ 19,388 March 31, 2005
373,739 March 31, 2004
116,865 March 31, 2003
Traditional Connecticut Limited Fund 2,392 March 31, 2005
49,875 March 31, 2004
37,427 March 31, 2003
6,885 March 31, 2002
Traditional Florida Limited Fund 32,164 March 31, 2005
Traditional Michigan Limited 280,688 March 31, 2004
164,025 March 31, 2003
Traditional New Jersey Limited Fund 81,999 March 31, 2004
17,960 March 31, 2003
Traditional Ohio Limited Fund 134,780 March 31, 2004
131,894 March 31, 2003
Additionally, at March 31, 1997, net capital losses of $3,855 for the
Traditional Florida Limited Fund attributable to security transactions
incurred after October 31, 1996, are treated as arising on the first day of
the Fund's next taxable year.
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
25
<PAGE>
C. Federal Taxes (continued)
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 tax-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. 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 daily cash balances the Funds or the Portfolios maintain with IBT.
All significant credit balances used to reduce each Fund's custodian fees are
reported as a reduction of expenses on the statement of operations.
F. 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.
G. Other -- Investment transactions are accounted for on a trade date basis.
(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. 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 Fund at the net asset value as of the ex-dividend date.
Distributions are paid in the form of additional shares or, at the election
of the shareholder, in cash. The 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. The tax treatment of distributions for the calender year will be
reported to shareholders prior to February 1, 1998 and will be based on tax
accounting methods which may differ from amounts determined for financial
statement purposes.
(3) Shares of Beneficial Interest
The Funds' Declaration of Trust permits the Trustees to issue an unlimited
number of full and fractional shares of beneficial interest (without par
value). Transactions in Fund shares were as follows:
<TABLE>
<CAPTION>
Traditional Traditional
California Limited Connecticut Limited
Fund Fund
--------------------- ---------------------
Year Ended March 31, Year Ended March 31,
--------------------- ---------------------
1997 1996 1997 1996
-------- -------- ------- ---------
<S> <C> <C> <C> <C>
Sales 6,491 79,260 15,533 79,771
Issued to shareholders electing to receive
payments of distributions in Fund shares 9,563 17,785 5,314 3,640
Redemptions (217,252) (436,543) (60,149) (70,930)
-------- -------- ------- -------
Net increase (decrease) (201,198) (339,498) (39,302) 12,481
======== ======== ======= =======
</TABLE>
<TABLE>
<CAPTION>
Traditional
Florida Limited Traditional Michigan
Fund Limited Fund
------------------ -----------------------
Year Ended March 31, Year Ended March 31,
------------------- ------------------------
1997 1996 1997 1996
------- ------ -------- ----------
<S> <C> <C> <C> <C>
Sales 201,090 207,359 6,136 12,885
Issued to shareholders electing to receive
payments of distributions in Fund shares 6,139 3,014 5,594 10,623
Redemptions (56,181) (4,584) (148,234) (507,235)
------- ------ -------- --------
Net increase (decrease) 151,048 205,789 (136,504) (483,727)
======= ====== ======== ========
</TABLE>
26
<PAGE>
(3) Shares of Beneficial Interest (continued)
<TABLE>
<CAPTION>
Traditional New Traditional New York
Jersey Limited Fund Limited Fund
--------------------- --------------------
Year Ended March 31, Year Ended March 31,
--------------------- --------------------
1997 1996 1997 1996
-------- -------- ----- ----------
<S> <C> <C> <C> <C>
Sales 8,460 36,458 15,975 135,541
Issued to shareholders electing to receive
payments of distributions in Fund shares 6,091 8,541 1,173 1,602
Redemptions (102,694) (192,653) (111) (113,486)
-------- -------- ----- --------
Net increase (decrease) (88,143) (147,654) 17,037 23,657
======== ======== ===== ========
</TABLE>
Traditional Ohio Limited Fund
--------------------------------
Year Ended March 31,
--------------------------------
1997 1996
------- --------
Sales 3,456 19,075
Issued to shareholders electing to receive
payments of distributions in Fund shares 5,570 9,399
Redemptions (92,004) (193,886)
------ --------
Net decrease (82,978) (165,412)
====== =========
(4) Transactions with Affiliates
Eaton Vance Management (EVM) serves as the Administrator of each Fund, but
receives no compensation. Each of the Portfolios have engaged Boston
Management and Research (BMR), a subsidiary of EVM, to render investment
advisory services. See Note 2 of the Portfolios' Notes to Financial
Statements which are included elsewhere in this report. To enhance the net
income of the Funds for the year ended March 31, 1997, $12,891, $12,382,
$17,937, $14,550, $12,070, $17,497, and $2,552 of expenses related to the
operation of the Traditional California Limited Fund, Traditional Connecticut
Limited Fund, Traditional Florida Limited Fund, Traditional Michigan Limited
Fund, Traditional New Jersey Limited Fund, Traditional New York Limited Fund,
and Traditional Ohio Limited Fund, respectively, were allocated to EVM.
Certain officers and Trustees receive remuneration for their services to each
Fund out of the investment adviser fee.
(5) Service Plan
Each Fund has adopted a Service Plan designed to meet the service fee
requirements of the sales charge rule of the National Association of
Securities Dealers, Inc. The Service Plans provide that each Fund may make
service fee payments to the Principal Underwriter, Eaton Vance Distributors,
Inc. (EVD), Authorized Firms and other persons in amounts not exceeding 0.25%
of each Fund's average daily net assets for any fiscal year which is
attributable to shares of a Fund sold by such persons and remaining
outstanding for at least one year. Service fee payments are made for personal
services and/or the maintenance of shareholder accounts. For the year ended
March 31, 1997, Traditional California Limited Fund, Traditional Connecticut
Limited Fund, Traditional Florida Limited Fund, Traditional Michigan Limited
Fund, Traditional New Jersey Limited Fund, Traditional New York Limited Fund,
and Traditional Ohio Limited Fund paid or accrued service fees of $6,316,
$2,883, $2,985, $2,726, $2,399, $591, and $4,506, respectively.
Certain officers and Trustees of the Funds are officers or directors of EVD.
27
<PAGE>
(6) Investment Transactions
Increases and decreases in each Fund's investment in its corresponding
Portfolio for the year ended March 31, 1997 were as follows:
<TABLE>
<CAPTION>
Traditional California Traditional Connecticut Traditional Florida
Limited Fund Limited Fund Limited Fund
----------------------- ------------------------ ------------------------
<S> <C> <C> <C>
Increases $ 119,707 $ 166,696 $2,045,593
Decreases 2,225,914 617,897 671,414
Traditional Michigan Traditional New Jersey Traditional New York
Limited Fund Limited Fund Limited Fund
--------------------- ---------------------- ------------------------
Increases $ 96,278 $ 114,652 $ 183,811
Decreases 1,488,459 1,038,693 37,635
Traditional Ohio
Limited Fund
-------------------
Increases $ 43,807
Decreases 997,302
</TABLE>
28
<PAGE>
Independent Auditors' Report
To the Trustees and Shareholders of Eaton Vance Investment Trust:
We have audited the accompanying statements of assets and liabilities of EV
Traditional California Limited Maturity Municipals Fund, EV Traditional
Connecticut Limited Maturity Municipals Fund, EV Traditional Florida Limited
Maturity Municipals Fund, EV Traditional Michigan Limited Maturity Municipals
Fund, EV Traditional New Jersey Limited Maturity Municipals Fund, EV
Traditional New York Limited Maturity Muncipals Fund, and EV Traditional Ohio
Limited Maturity Municipals Fund (the Funds) (series of Eaton Vance
Investment Trust) as of March 31, 1997, and the related statements of
operations for the year then ended, the statements of changes in net assets
for the years ended March 31, 1997 and 1996, and the financial highlights for
each of the years in the four-year period ended March 31, 1997. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of each of the
aforementioned Funds of Eaton Vance Investment Trust at March 31, 1997, the
results of their operations, the changes in their net assets and their
financial highlights for the respective stated periods in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
May 2, 1997
29
<PAGE>
California Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
- --------------------------------------------------------------------------------
Tax Exempt Investments - 100%
<TABLE>
<CAPTION>
Ratings (Unaudited)
------------------------------------
Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
-------- --------- --------- ------------------------------------- -----------
<S> <C> <C> <C> <C>
Cogeneration - 3.5%
NR BBB- $1,500 Central Valley Finance Authority, Carson
Ice Project, 5.20%, 7/1/99 $1,505,550
-----------
Escrowed/Prerefunded - 16.4%
A1 AA- $2,400 California Health Facilities, Sisters of
Providence, Prerefunded to 10/1/00,
7.50%, 10/1/10 $2,664,000
Aa AA 1,500 Los Angeles Department of Airports,
Prerefunded to 5/1/97, 7.40%, 5/1/10 1,534,470
NR AAA 2,500 San Bernardino, California, Certificates
of Participation, Prerefunded to
8/1/01, 7.00%, 8/1/28 2,777,800
-----------
$6,976,270
-----------
Electric Utilities - 9.0%
A2 A+ $1,000 California Pollution Control Financing
Authority, Southern California Edison
Company, Series D, 6.85%, 12/1/08 $1,058,450
A2 A 2,000 California Pollution Control Financing
Authority, San Diego Gas & Electric,
5.90%, 6/1/14 2,053,200
Baa1 BBB+ 750 Puerto Rico Electric Power Authority,
5.50%, 7/1/14 714,998
-----------
$3,826,648
-----------
Housing - 3.6%
Aaa NR $1,500 Corona, California, Single Family
Housing Project, 6.05%, 5/1/27 $1,506,105
-----------
Insured Electric Utility - 3.5%
Aaa AAA $1,500 Sacramento Municipal Utility District,
(AMBAC), 5.60%, 8/15/16 $1,471,230
-----------
Insured General Obligation - 4.7%
Aaa AAA $2,000 Mt. Diablo, CA School District (AMBAC),
5.70%, 8/1/14 $2,002,760
-----------
Insured Hospital Revenue - 21.9%
Aaa AAA $1,750 ABAG Finance Authority, Certificates of
Participation, Stanford University
Hospital, (MBIA), 4.90%, 11/1/03 $1,752,853
Aaa AAA 1,000 ABAG Finance Authority, Certificates of
Participation, Stanford University
Hospital, (MBIA), 5.125%, 11/1/05 1,004,440
Insured Hospital Revenue (continued)
Aaa AAA $2,500 California Health Facilities Financing
Authority, (Catholic Health West),
(AMBAC), 5.00%, 7/1/14 $2,286,100
Aaa AAA 2,750 Loma Linda, CA, Hospital Revenue, (MBIA),
5.00%, 12/1/13 2,533,300
Aaa AAA 1,750 Tri-City, California, Hospital District,
(MBIA), 5.625%, 2/15/17 1,698,953
-----------
$9,275,646
-----------
Insured Lease Revenue/
Certificates of Participation - 11.6%
Aaa AAA $1,355 California State Public Works Board -
Department of Corrections, (AMBAC),
5.25%, 12/1/13 $1,303,225
Aaa AAA 3,850 San Francisco, California, State
Building Authority Lease Revenue,
(AMBAC), 5.25%, 12/1/16 3,626,854
-----------
$4,930,079
-----------
Insured Special Tax Revenue - 3.0%
Aaa AAA $1,250 Los Angeles Metropolitan Transportation
Authority Sales Tax, (AMBAC), 5.70%,
7/1/12 $1,258,075
-----------
Insured Transportation - 3.5%
Aaa AAA $1,500 San Francisco, California, City & County
Airport, (MBIA), (AMT), 5.60%, 5/1/13 $1,479,600
-----------
Industrial Development Revenue - 4.6%
A3 A $2,000 California Pollution Control Revenue
Waste Disposal, (Browning-Ferris
Industries), (AMT), 5.80%, 12/1/16 $1,933,840
-----------
Nursing Homes - 4.8%
NR A+ $2,000 California Statewide Communities
Development Corporation, (Pacific
Homes), 5.90%, 4/1/09 $2,017,120
-----------
Special Tax Revenue - 4.9%
Aa AA $2,000 Orange County Local Transportation
Authority, Sales Tax Revenue Bonds,
5.70%, 2/15/03 $2,085,220
-----------
30
<PAGE>
California Limited Maturity Municipals Portfolio (continued)
- --------------------------------------------------------------------------------
Tax-Exempt Investments (continued)
Ratings (Unaudited)
------------------------------------
Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
-------- --------- --------- ------------------------------------- -----------
Water & Sewer Revenue - 5.0%
A1 A $2,000 The City of Los Angeles Wastewater System,
6.90%, 6/1/08 (1) $ 2,120,739
-----------
Total Tax-Exempt Investments (identified
cost, $41,774,003) $42,388,882
===========
</TABLE>
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
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 March 31, 1997, 48.2% 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 20.0% to 28.2% of total
investments.
See notes to financial statements
31
<PAGE>
Connecticut Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
- --------------------------------------------------------------------------------
Tax-Exempt Investments - 100%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ----------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
--------- ------- ------- ------------------------------------- -----------
<S> <C> <C> <C> <C>
Education - 12.8%
NR BBB- $500 State of Connecticut HEFA, Quinnipiac
College, 6.00%, 7/1/13 $ 484,080
NR BBB- 285 State of Connecticut HEFA, University of
New Haven, 6.00%, 7/1/06 287,585
Baa1 BBB+ 750 State of Connecticut HEFA, Fairfield
University, 6.90%, 7/1/14 768,555
-----------
$1,540,220
-----------
Escrowed/Prerefunded - 2.2%
Aaa AAA $250 South Central Connecticut Regional Water
Authority, (AMBAC), Prerefunded to
8/1/01, 6.50%, 8/1/07 $ 271,373
-----------
General Obligations - 9.8%
Aa3 AA- $400 State of Connecticut, 5.125%, 8/15/11 $ 383,940
Aa NR 190 Norwich, Connecticut, 5.00%, 8/1/14 175,953
Aa NR 190 Norwich, Connecticut, 5.00%, 8/1/15 174,473
Baa1 A- 500 Puerto Rico Aqueduct & Sewer Authority,
5.00%, 7/1/19 444,315
-----------
$1,178,681
-----------
Hospital Revenue - 5.3%
NR BBB- $600 Connecticut Health and Educational
Facilities Authority, New Britain
Hospital, 7.50%, 7/1/06 $ 637,572
-----------
Housing - 4.3%
Aa AA $500 Connecticut Housing Finance Authority,
6.90%, 11/15/99 $ 517,895
-----------
Industrial Development Revenue - 7.4%
A1 NR $625 Connecticut Development Authority -
Frito Lay Project, 6.375%, 7/1/04 $ 636,156
Baa3 BB+ 250 Puerto Rico Port Authority, (American
Airlines), (AMT), 6.25%, 6/1/26 254,805
-----------
$ 890,961
-----------
Insured General Obligations - 22.8%
Aaa AAA $500 Brandford, Connecticut, (FGIC) 5.40%,
2/15/14 $ 487,595
Aaa AAA 500 Bridgeport, Connecticut, (AMBAC),
6.00%, 9/1/06 528,315
Aaa AAA 500 Old Saybrook, Connecticut, (AMBAC),
4.10%, 8/15/01 487,840
Aaa AAA 300 Connecticut Regional School District
#19, (MBIA), 5.00%, 6/15/16 275,487
Aaa AAA 320 Seymour, Connecticut, (FSA), 5.40%,
3/1/15 310,026
Aaa AAA 180 Seymour, Connecticut, (FSA), 5.40%,
3/1/16 173,606
Aaa AAA 500 Waterbury, Connecticut, (MBIA), 4.875%,
8/15/06 485,150
-----------
$2,748,019
-----------
Insured Hospitals - 15.5%
Aaa AAA $150 Connecticut HEFA, Greenwich Hospital
Issue, (MBIA), 5.75%, 7/1/06 $ 156,600
Aaa AAA 250 Connecticut HEFA, Waterbury Hospital
Issue, (FSA), 7.00%, 7/1/20 268,398
Aaa AAA 250 Connecticut HEFA, Stamford Hospital
Issue, (MBIA), 6.50%, 7/1/06 267,583
Aaa AAA 250 Connecticut HEFA, Stamford Hospital
Issue, (MBIA), 5.25%, 7/1/11 241,227
Aaa AAA 470 Connecticut HEFA, St. Raphael Hospital
Issue, (AMBAC), 6.50%, 7/1/06 466,447
Aaa AAA 500 Connecticut HEFA, Veteran Memorial
Hospital Issue, (MBIA), 5.375%, 7/1/16 474,115
-----------
$1,874,370
-----------
Insured Miscellaneous - 4.5%
Aaa AAA $500 Woodstock, Connecticut Special
Obligation Bonds, (AMBAC), 7.00%,
3/1/07 $ 541,425
-----------
Insured Transportation - 7.1%
Aaa AAA $750 Connecticut State Airport Bonds, Bradley
International Airport, (FGIC), 7.40%,
10/1/04 $ 858,555
-----------
Insured Utility - 4.4%
Aaa AAA $500 Connecticut Municipal Electric
Authority, (MBIA), 6.00%, 1/1/07 $ 532,410
-----------
32
<PAGE>
Connecticut Limited Maturity Municipals Portfolio (continued)
Tax-Exempt Investments (continued)
Ratings (Unaudited)
- ----------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
--------- ------- ------- ------------------------------------- -----------
Water & Sewer Revenue - 3.9%
Aaa AA+ $500 Connecticut State Clean Water Revenue,
4.875%, 5/1/09 $ 474,135
-----------
Total Tax-Exempt Investments
(identified cost, $11,956,737) $12,065,616
===========
</TABLE>
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
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 March 31, 1997, 54.3% of the securities in the
portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate
percentage by financial institution range from 6.2% to 19.0% of total
investments.
See notes to financial statements
33
<PAGE>
Florida Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
- --------------------------------------------------------------------------------
Tax-Exempt Investments--100%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ---------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
-------- ------- -------- ------------------------------------- ------------
<S> <C> <C> <C> <C>
Escrowed - 14.3%
Aaa AAA $1,015 Dade County, FL, Educational
Facilities Authority, (MBIA),
Prerefunded to 10/1/01, 7.00%,
10/1/08 $ 1,124,955
Aaa AAA 1,500 Dade County, FL, Local School
District, (FGIC), Prerefunded to
8/1/01, 6.00%, 8/1/06 1,575,240
Aaa AAA 1,500 Florida Department of Natural
Resources, Preservation 2000,
(MBIA), Prerefunded to 7/1/98,
7.25%, 7/1/08 1,587,945
Aaa AAA 3,000 Jacksonville Electric Authority, Bulk
Power Supply System, Prerefunded to
10/1/00, 6.75%, 10/1/16 3,247,260
Aaa AAA 3,250 Orlando Utility Community Water &
Electric, Prerefunded to 10/1/01,
6.50%, 10/1/20 3,538,243
Baa1 AAA 1,750 Puerto Rico Aqueduct & Sewer
Authority, Prerefunded to 7/1/98,
7.875%, 7/1/17 1,868,142
------------
$12,941,785
------------
General Obligations - 17.0%
Aa2 AA $4,000 Florida State Board of Education,
5.00%, 6/1/14 $ 3,705,960
Aa2 AA 5,000 Florida State Board of Education,
5.00%, 6/1/15 4,588,200
Aa2 AA 4,000 Florida State Board of Education,
5.55%, 6/1/11 4,014,160
Baa1 A 1,000 Puerto Rico Public Building
Authority, 6.50%, 7/1/03 1,084,330
Baa1 A- 2,000 Puerto Rico Municipal Finance Agency,
5.50%, 7/1/01 2,040,760
------------
$15,433,410
------------
Hospitals - 2.9%
NR BBB+ $1,250 Escambia County Health Facilities
Authority, (Baptist Hospital, Inc.,
and Baptist Manor, Inc.), 6.00%,
10/1/ 14 $ 1,237,600
Baa1 NR 425 Jacksonville Health Facilities
Authority, (National Benevolent
Association-Cypress Village
Project), 6.00%, 12/1/98 429,900
Hospitals (continued)
Baa1 NR $ 450 Jacksonville Health Facilities
Authority, (National Benevolent
Association-Cypress Village
Project), 6.25%, 12/1/99 $ 457,223
Baa1 NR 480 Jacksonville Health Facilities
Authority, (National Benevolent
Association-Cypress Village
Project), 6.50%, 12/1/00 489,797
------------
$ 2,614,520
------------
Housing - 2.2%
Baa BBB $2,000 Puerto Rico Housing Bank and Finance
Agency, 5.10%, 12/1/03 $ 1,979,400
------------
Industrial Development Revenue - 2.3%
B1 BB+ $2,000 Polk County, Florida, Industrial
Development Authority, (IMC
Fertilizer), (AMT), 7.525%, 1/1/15 $ 2,124,520
------------
Insured Cogeneration - 2.2%
Aaa AAA $2,000 Dade County, Florida, Resource
Recovery Facilities, (AMBAC),
(AMT), 5.30%, 10/1/07 $ 1,975,320
------------
Insured General Obligation - 5.9%
Aaa AAA $2,000 Dade County Local School District,
(MBIA), 5.00%, 2/15/15 $ 1,821,240
Aaa AAA 4,000 Manatee County, FL, (FGIC), 4.75%,
10/1/13 3,555,840
$ 5,377,080
------------
Insured Hospital - 9.5%
Aaa AAA $4,000 Jacksonville Health Facilities
Authority, (Baptist Medical Center
Project), (MBIA), 7.25%, 6/1/25 (1) $ 4,269,080
Aaa AAA 3,500 Naples, Florida, Hospital District,
(Naples Community Hospital) (MBIA),
5.50%, 10/1/16 3,368,470
Aaa AAA 1,000 Orange County Health Facilities
Authority, (Adventist Health
System/ Sunbelt Inc.) (CGIC),
5.50%, 11/15/02 1,031,100
------------
$ 8,668,650
------------
34
<PAGE>
Florida Limited Maturity Municipals Portfolio (continued)
- --------------------------------------------------------------------------------
Tax-Exempt Investments (continued)
Ratings (Unaudited)
- ---------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
-------- ------- -------- ------------------------------------- ------------
Insured Housing - 2.6%
Aaa AAA $1,240 Florida Housing Finance Agency,
(Leigh Meadows Apartments),
(AMBAC), 5.85%, 9/1/10 $ 1,246,076
Aaa AAA 1,140 Florida Housing Finance Agency,
(Stottert Arms Apartments),
(AMBAC), 5.90%, 9/1/10 1,150,305
-----------
$ 2,396,381
------------
Insured Industrial Development
Revenue - 1.6%
Aaa AAA $1,500 Pinellas County, FL, Resource
Recovery, (MBIA), 5.125%, 10/1/04 $ 1,500,465
------------
Insured Miscellaneous - 1.8%
Aaa AAA $1,750 Hillsborough County Florida Capital
Improvement, (MBIA), 5.00%, 7/1/13 $ 1,634,342
------------
Insured Special Tax - 4.3%
Aaa AAA $4,000 Florida Department of Natural
Resources, (MBIA), 5.25%, 7/1/10 $ 3,941,520
------------
Insured Transportation - 9.3%
Aaa AAA $2,000 Dade County, Florida, Seaport
Revenue, (MBIA), 5.125%, 10/1/16 $ 1,851,260
Aaa AAA 2,000 Florida State Turnpike Authority -
D.O.T., (FGIC), 5.00%, 7/1/19 1,790,920
Aaa AAA 3,120 Hillsborough County Aviation
Authority, Tampa International
Airport, (FGIC), 6.85%, 10/1/06 3,325,577
Aaa AAA 1,500 Sarasota - Manatee County, Florida,
Airport, (MBIA), 5.375%, 8/1/14 1,455,465
------------
$ 8,423,222
------------
Insured Water & Sewer - 9.0%
Aaa AAA $5,000 Dade County FL, Water & Sewer
Revenue, (FGIC), 5.25%, 10/1/11 $ 4,893,300
Aaa AAA 2,000 Manatee County FL, Public Utilities,
(MBIA), 6.75%, 10/1/04 2,225,260
Aaa AAA 1,000 Pasco County FL, Water & Sewer
Revenue, (FGIC), 5.40%, 10/1/03 1,027,270
------------
$ 8,145,830
------------
Special Tax Revenue - 1.7%
NR NR $1,500 Virgin Islands Public Finance
Authority, 6.80%, 10/1/00 $ 1,569,570
------------
Utility - 13.4%
Aa AA $3,000 Gainesville, Florida Utility System
Revenue, 5.00%, 10/1/15 $ 2,747,400
Aa1 AA 6,000 Jacksonville Electric Authority, St.
John's River Power Park, 5.25%,
10/1/20 5,468,580
Baa1 BBB+ 2,000 Puerto Rico Electric Power Authority,
5.50%, 7/1/14 1,906,660
Aa AA- 2,000 City of Tallahassee, Electric
Refunding Bonds, 5.90%, 10/1/05 2,104,420
------------
$12,227,060
------------
Total Tax-Exempt Investments
(identified cost, $90,512,005) $90,953,075
============
</TABLE>
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
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 March 31, 1997, 51.0% 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 1.1% to 27.2% of total
investments.
See notes to financial statements
35
<PAGE>
Michigan Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
- --------------------------------------------------------------------------------
Tax-Exempt Investments - 100%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ---------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
-------- ------- -------- ------------------------------------- ------------
<S> <C> <C> <C> <C>
Escrowed/Prerefunded - 19.4%
Aaa AAA $1,500 Grand Ledge, Michigan Public School
District, (MBIA), Prerefunded to
5/1/04, 7.875%, 5/1/11 $1,781,580
Baa1 AAA 500 Puerto Rico Aqueduct & Sewer
Authority, Prerefunded to 7/1/98,
7.875%, 7/1/17 533,755
Aaa AAA 2,305 Romulus, Michigan Community School
District, Prerefunded to 5/1/07,
0.00%, 5/1/22 496,681
------------
$2,812,016
------------
General Obligations - 8.3%
Ba1 BBB $ 650 Detroit, Michigan, 6.25%, 4/1/05 $ 677,794
Ba1 BBB 495 Detroit, Michigan, 6.40%, 4/1/05 520,908
------------
$1,198,702
------------
Hospitals - 16.9%
Baa1 NR $ 525 Flint, Michigan Hospital Authority,
(Hurley Medical Center), 6.00%,
7/1/05 $ 526,397
A2 A+ 470 Marquette Michigan Hospital Finance
Authority, 6.625%, 4/1/07 470,602
NR BBB 100 Michigan Hospital Finance Authority,
(Central MI. Community Hospital),
6.00%, 10/1/05 101,595
NR BBB 100 Michigan Hospital Finance Authority,
(Central MI. Community Hospital),
6.10%, 10/1/06 102,021
NR BBB 225 Michigan Hospital Finance Authority,
(Central MI. Community Hospital),
6.20%, 10/1/07 230,157
NR BBB 1,000 Michigan State Hospital Finance
Authority, (Gratiot Community
Hospital), 6.10%, 10/1/07 1,017,450
------------
$2,448,222
------------
Industrial Development Revenue - 5.1%
NR BB- $ 225 Richmond, Michigan Economic
Development Corporation, K-MART
Project, 6.30%, 1/1/99 $ 224,386
Baa3 BB+ 500 Puerto Rico Port Authority (American
Airlines),(AMT) 6.25%, 6/1/26 509,610
------------
$ 733,996
------------
Insured General Obligations - 21.2%
Aaa AAA $ 500 Detroit, Michigan, School District,
(AMBAC), 6.50%, 5/1/10 $ 549,370
Aaa AAA 500 Hartland, Michigan, 5.125%, 5/1/17 461,635
Aaa AAA 500 Imlay, Michigan, School District,
5.40%, 5/1/17 474,440
Aaa AAA 750 Willow Run, Michigan, Community
School District, (AMBAC), 5.00%,
5/1/16 683,272
Aaa AAA 1000 Wixom, Michigan, (AMBAC), 4.75%,
5/1/11 903,860
------------
$3,072,577
------------
Insured Industrial Development
Revenue - 3.7%
Aaa AAA $ 500 Monroe County, Michigan, The Detroit
Edison Company, (AMBAC), (AMT),
6.35%, 12/1/04 $ 536,910
------------
Insured Lease Revenue/
Certificate of Participation - 1.5%
A1 AA- $ 225 State of Michigan Building Authority,
(AMBAC), 5.20%, 10/1/09 $ 221,270
------------
Lease Revenue/C.O.P - 3.6%
A1 AA- $ 500 State of Michigan Building Authority,
6.10%, 10/1/01 $ 527,370
------------
Miscellaneous Healthcare - 1.0%
NR NR $ 150 Pittsfield, Michigan, Economic
Development Authority, (Arbor
Hospice Project), 7.875%, 8/15/27 $ 138,462
------------
Nursing Homes - 2.8%
NR NR $ 395 Michigan Hospital Finance Authority,
(Presbyterian Villages), 6.20%,
1/1/06 $ 399,736
------------
Solid Waste - 2.4%
Ba1 BBB- $ 350 Central Wayne, Michigan, Sanitation
Authority, 6.40%, 7/1/06 $ 350,343
------------
Special Tax Revenue - 10.3%
NR A- $2,000 Detroit, Michigan, Downtown
Development Authority Tax
Increment, 0.00%, 7/1/21 $ 438,180
NR BBB+ 1,000 Battle Creek, Michigan Downtown
Development Authority, 6.65%,
5/1/02 1,059,600
------------
$1,497,780
------------
36
<PAGE>
Michigan Limited Maturity Municipals Portfolio (continued)
- --------------------------------------------------------------------------------
Tax-Exempt Investments (continued)
Ratings (Unaudited)
- ---------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
-------- ------- -------- ------------------------------------- ------------
Water & Sewer Revenue - 3.8%
Aa1 AA $500 Michigan Municipal Bond Authority,
7.00%, 10/1/02 $ 552,750
------------
Total Tax-Exempt Investments
(identified cost, $14,096,910) $14,490,134
============
</TABLE>
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
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 March 31, 1997, 42.2% 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 6.6% to 23.3% of total
investments.
See notes to financial statements
37
<PAGE>
New Jersey Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
- --------------------------------------------------------------------------------
Tax-Exempt Investments - 100%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ----------------------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
- --------------------- ------- -------- ------------------------------------- ------------
<S> <C> <C> <C> <C>
Assisted Living - 1.1%
NR NR $ 650 New Jersey Economic Development
Authority Assisted Living Project,
(Chelsea at East Brunswick), (AMT),
8.00%, 10/1/07 $ 646,685
------------
Cogeneration - 7.1%
NR BBB- $2,250 New Jersey Economic Development
Authority, Heating & Cooling,
(Trigen-Trenton Project), (AMT),
6.10%, 12/1/05 $2,327,918
NR BB+ 1,135 New Jersey Economic Development
Authority, Electric Energy
Facilities, (Vineland
Cogeneration), (AMT), 7.875%,
6/1/19 1,219,603
NR NR 550 Port Authority of New York & New
Jersey, (KIAC Project), (AMT),
6.50%, 10/1/01 566,241
------------
$4,113,762
------------
Education - 0.7%
NR BBB+ $ 380 New Jersey Educational Facilities
Authority, Drew University, 5.875%,
7/1/03 $ 393,501
------------
Escrowed - 3.2%
Baa1 AAA $1,735 Puerto Rico Aqueduct & Sewer
Authority, Prerefunded to 7/1/98,
7.875%, 7/1/17 $1,852,130
------------
General Obligations - 9.6%
Aaa AAA $1,000 Morris County, New Jersey, 6.50%,
8/1/02 $1,085,680
A3 AA 2,195 Jersey City, New Jersey, School
District, 6.25%, 10/1/10 2,377,712
Aa AA 1,000 South Brunswick, New Jersey, 7.125%,
7/15/02 1,108,890
Aaa AA+ 1,000 Union County, New Jersey, 5.00%,
2/1/10 963,680
------------
$5,535,962
------------
Hospitals - 7.1%
Baa2 NR $ 500 Camden County, New Jersey Healthcare,
(Cooper Health Systems), 5.60%,
2/15/07 $ 486,310
Baa2 BBB 1,380 New Jersey Health Care Facilities
Financing Authority, (St.
Elizabeth's Hospital), 5.75%,
7/1/08 1,361,894
Hospitals (continued)
A3 A- $1,000 New Jersey Health Care Facilities
Financing Authority, (Atlantic City
Medical Care Center), 6.45%, 7/1/02 $1,056,690
A3 A- 340 New Jersey Health Care Facilities
Financing Authority, (Atlantic City
Medical Care Center), 6.25%, 7/1/00 352,985
A3 A- 750 New Jersey Health Care Facilities
Financing Authority, (Atlantic City
Medical Care Center), 6.55%, 7/1/03 807,090
------------
$4,064,969
------------
Housing - 6.5%
NR A+ $2,570 New Jersey Housing and Mortgage
Finance Agency, 6.50%, 11/1/03 $2,734,968
NR A+ 1,000 New Jersey Housing and Mortgage
Finance Agency, 6.00%, 11/1/02 1,033,400
------------
$3,768,368
------------
Industrial Development Revenue - 2.0%
Aa3 NR $ 610 New Jersey Economic Development
Authority, LOC: Bank of Paris,
(AMT), 6.00%, 12/1/02 $ 630,313
NR NR 500 New Jersey Economic Development
Authority, (Holt-Hauling) (AMT),
7.80%, 12/15/16 498,960
------------
$1,129,273
------------
Insured Education - 3.5%
Aaa AAA $1,000 Essex County, New Jersey, Improvement
Authority, (Guaranteed County
College Project), (AMBAC), 5.25%,
12/1/16 $ 943,160
Aaa AAA 1,000 New Jersey State Educational
Facilities, Seton Hall University,
(FGIC), 6.10%, 7/1/01 1,053,480
------------
$1,996,640
------------
38
<PAGE>
New Jersey Limited Maturity Municipals Portfolio (continued)
- --------------------------------------------------------------------------------
Tax-Exempt Investments (continued)
Ratings (Unaudited)
- ----------------------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
- --------------------- ------- -------- ------------------------------------- ------------
Insured General Obligations - 21.2%
Aaa AAA $1,000 Atlantic City, New Jersey, Board of
Education, (AMBAC), 6.00%, 12/1/02 $ 1,059,610
Aaa AAA 1,175 Edison, New Jersey, (AMBAC), 4.70%,
1/1/04 1,160,160
Aaa AAA 500 City of Elizabeth, Union County, New
Jersey, (MBIA) 6.10%, 11/15/99 521,370
Aaa AAA 500 City of Elizabeth, Union County, New
Jersey, (MBIA) 6.20%, 11/15/01 531,975
Aaa AAA 500 City of Elizabeth, Union County, New
Jersey, (MBIA) 6.20%, 11/15/02 532,355
Aaa AAA 1,200 Jackson Township, New Jersey, Local
School District, (FGIC), 6.60%,
6/1/03 1,310,340
Aaa AAA 1,200 Kearney, New Jersey, (FSA), 6.50%,
2/1/04 1,296,048
Aaa AAA 1,000 Monmouth County, New Jersey,
Improvement Authority, (MBIA),
5.125%, 12/1/16 933,000
Aaa AAA 850 Roselle, New Jersey, (MBIA), 4.65%,
10/15/03 840,506
Aaa AAA 1,000 South Brunswick Township, New Jersey,
Board of Education, (FGIC), 6.40%,
8/1/03 1,083,520
Aaa AAA 1,000 South River, New Jersey, School
District, (FGIC), 5.00%, 12/1/09 1,072,225
Aaa AAA 2000 Washington Township, New Jersey,
Board of Education, 5.125%, 2/1/15 1,873,620
------------
$12,214,729
------------
Insured Hospital - 3.7%
Aaa AAA $1,910 New Jersey Health Care Facilities &
Financing Authority, (Dover General
Hospital & Medical Center), (MBIA),
7.00%, 7/1/04 $ 2,136,641
------------
Insured Industrial Development
Revenue - 0.2%
Aaa AAA $ 100 Warren County New Jersey Pollution
Control Finance Authority, Resource
Recovery, (MBIA), 6.55%, 12/1/06 $ 108,218
------------
Insured Lease Revenue/
Certificate of Participation - 1.1%
Aaa AAA $ 595 Hudson County, New Jersey,
Certificates of Participation,
(MBIA), 6.20%, 6/1/03 $ 631,468
------------
Insured Solid Waste - 0.5%
Aaa AAA $ 250 The Bergen County Utilities
Authority, Solid Waste System,
(FGIC), 6.00%, 6/15/02 $ 264,300
------------
Insured Transportation - 10.8%
Aaa AAA $2,000 New Jersey Transportation Trust Fund
Authority, (MBIA), 5.00%, 6/15/15 $ 1,839,320
Aaa AAA 1,500 New Jersey Turnpike Authority, (FSA),
5.90%, 1/1/03 1,571,565
Aaa AAA 895 New Jersey Turnpike Authority, (FSA),
6.40%, 1/1/02 953,336
Aaa AAA 2,000 Port Authority of New York & New
Jersey, (AMBAC), 5.125%, 7/15/14 1,882,180
------------
$ 6,246,401
------------
Insured Utility - 1.8%
Aaa AAA $1,000 Middlesex County, New Jersey, Utility
Authority, (FGIC) 6.10%, 12/1/01 $ 1,060,340
------------
Insured Water & Sewer Revenue - 0.9%
Aaa AAA $ 565 Pennsville Sewerage Authority Capital
Appreciation Bonds, (MBIA), 0.00%,
11/1/16 $ 185,111
Aaa AAA 565 Pennsville Sewerage Authority Capital
Appreciation Bonds, (MBIA), 0.00%,
11/1/17 174,856
Aaa AAA 565 Pennsville Sewerage Authority Capital
Appreciation Bonds, (MBIA), 0.00%,
11/1/18 165,172
------------
$ 525,139
------------
39
<PAGE>
- --------------------------------------------------------------------------------
Tax-Exempt Investments (continued)
Ratings (Unaudited)
- ----------------------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
- --------------------- ------- -------- ------------------------------------- ------------
Lease Revenue/
Certificates of Participation - 2.8%
A1 A+ $ 720 New Jersey Economic Development
Authority, Lease Revenue, (Green
Lights Energy Project), 5.00%,
1/15/06 $ 700,488
A1 A+ 875 State of New Jersey, Certificates of
Participation, 5.90%, 4/1/99 895,492
------------
$ 1,595,980
------------
Life Care - 0.6%
NR NR $ 310 New Jersey Economic Development
Authority, (Cadbury Corporation
Project), 8.00%, 7/1/15 $ 322,047
------------
Solid Waste - 4.9%
Ba NR $ 300 The Atlantic County Utilities
Authority (New Jersey), Solid Waste
System, 7.00%, 3/1/08 $ 299,793
A1 AA- 500 Gloucester County Improvement
Authority of New Jersey, (Landfill
Project), 5.40%, 9/1/00 512,575
A1 NR 300 The Passaic County Utilities
Authority (New Jersey), Solid Waste
Disposal, 5.70%, 3/1/98 305,037
NR BB 1,700 The Union County Utilities Authority
(New Jersey), Solid Waste System,
(AMT), 7.20%, 6/15/14 1,730,736
------------
$ 2,848,141
------------
Transportation - 6.0%
A1 AA- $ 250 New Jersey Highway Authority, (Garden
State Parkway), 6.10%, 1/1/06 $ 263,243
Baa3 BB+ 1,625 Port Authority of New York & New
Jersey, (Delta Airlines), 6.95%,
6/1/08 1,724,352
A1 AA- 1000 Port Authority of New York & New
Jersey, (AMT), 5.375%, 10/15/16 942,870
A1 AA- 500 Port Authority of New York & New
Jersey, (AMT), 5.50%, 7/1/06 509,755
------------
$ 3,440,220
------------
Utility - 4.7%
Baa1 BBB+ $3,000 Puerto Rico Electric Power Authority,
5.25%, 7/1/21 $ 2,705,279
------------
Total Tax-Exempt Investments
(identified cost, $56,492,991) $57,600,193
============
</TABLE>
- --------------------------------------------------------------------------------
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
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 March 31, 1997, 43.7% 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 6.6% to 18.2% of total
investments.
See notes to financial statements
40
<PAGE>
New York Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
- --------------------------------------------------------------------------------
Tax-Exempt Investments - 100%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ---------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
-------- ------- -------- ------------------------------------- ------------
<S> <C> <C> <C> <C>
Assisted Living--1.2%
NR NR $ 115 Glen Cove, New York, Industrial
Development Authority, (The Regency
at Glen Cove), 9.50%, 7/1/97 $ 115,000
NR NR 560 Glen Cove, New York, Industrial
Development Authority, (The Regency
at Glen Cove), 9.50%, 7/1/99 560,000
NR NR 500 Glen Cove, New York, Industrial
Development Authority, (The Regency
at Glen Cove), 9.50%, 7/1/12 500,000
------------
$1,175,000
------------
Cogeneration - 1.0%
NR NR $ 950 Port Authority of New York & New
Jersey - KIAC Project, 6.50%,
10/1/01 $ 978,054
------------
Escrowed/Prerefunded - 2.1%
NR AA- $2,000 Power Authority of the State of New
York, Prerefunded to 1/1/98, 8.00%,
1/1/17 $2,100,320
------------
General Obligations - 3.6%
Baa1 BBB+ $1,500 The City of New York, 6.375%, 8/1/06 $1,541,325
A2 A- 2,000 State of New York, 5.25%, 7/15/09 1,966,100
------------
$3,507,425
------------
Hospitals - 4.0%
Baa1 B+ $2,000 Dormitory Authority of New York,
Department of Health, 5.375%,
7/1/08 $1,929,480
Baa1 BBB+ 1,000 New York State Dormitory Authority,
Mental Health Services, 5.30%,
2/15/04 991,990
Baa NR 1,000 New York State Dormitory Authority,
Nyack Hospital, 6.00%, 7/1/06 999,190
------------
$3,920,660
------------
Housing - 6.7%
Aa AA $5,100 New York City Housing Development
Corporation, (Multi-Family),
5.625%, 5/1/12 $5,000,754
Aa2 NR 1,500 New York State Mortgage Agency -
Homeownership Mortgage Bonds,
(AMT), 6.45%, 10/1/21 1,540,875
------------
$6,541,629
------------
Insured Education - 3.2%
Aaa AAA $1,075 Dormitory Authority of the State of
New York, Mt. Sinai School of
Medicine, (MBIA), 6.75%, 7/1/09 $1,164,193
Aaa AAA 2,000 Dormitory Authority of the State of
New York, State University,
(AMBAC), 5.25%, 5/15/10 1,980,260
------------
$3,144,453
------------
Insured General Obligation - 5.0%
Aaa AAA $2,000 Nassau County, New York, (AMBAC),
5.25%, 11/1/12 $1,934,820
Aaa AAA 3,000 Nassau County, New York, (AMBAC),
5.15%, 3/1/05 3,008,580
------------
$4,943,400
------------
Insured Hospital - 9.5%
Aaa AAA $2,000 New York State Dormitory Authority,
Montefiore Medical Center, (AMBAC),
5.25%, 2/1/15 (1) $1,876,480
Aaa AAA 4,450 New York State Medical Care
Facilities Finance Agency, New York
State Hospital, (AMBAC), 6.10%,
2/15/04 4,726,389
Aaa AAA 2,500 New York State Medical Care
Facilities Finance Agency, New York
State Hospital, (AMBAC), 6.20%,
2/15/05 2,674,125
------------
$9,276,994
------------
Insured Lease Revenue/
Certificate of Participation - 2.0%
Aaa AAA $2,000 City University of New York - John
Jay College, (AMBAC), 5.00%,
8/15/08 $1,943,300
------------
Insured Transportation - 9.5%
Aaa AAA $1,500 Albany County New York Airport,
(FSA), 5.25%, 12/15/10 $1,440,390
Aaa AAA 2,240 Metropolitan Transportation Authority
of New York, (FGIC), 5.70%, 7/1/10 2,263,139
Aaa AAA 1,500 New York State Thruway Authority -
Highway & Bridge Project, (AMBAC),
5.25%, 4/1/13 1,444,230
Aaa AAA 1,750 The Port Authority of New York and
New Jersey, (FGIC), (AMT), 5.40%,
7/15/10 1,731,713
41
<PAGE>
- --------------------------------------------------------------------------------
Tax-Exempt Investments (continued)
Ratings (Unaudited)
- ---------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
- -------- ------- -------- ------------------------------------- ------------
Insured Transportation (continued)
Aaa AAA $2,290 Triborough Bridge and Tunnel
Authority, (FGIC), 5.80%, 1/1/02 2,391,470
------------
$ 9,270,942
------------
Insured Utility - 5.6%
Aaa AAA $5,000 New York State Energy Research and
Development Authority, Central
Hudson Gas, (FGIC), 7.375%,
10/1/14 $ 5,437,500
------------
Insured Water and Sewer - 1.1%
Aaa AAA $1,000 New York City Municipal Water Finance
Authority, (AMBAC), 5.80%, 6/15/03 $ 1,043,120
------------
Lease Revenue/
Certificates of Participation - 14.4%
A1 AA $3,500 Housing New York Corporation, 6.00%,
11/1/03 $ 3,676,085
NR BBB 1,485 New York State Thruway Authority,
Capital Appreciation Bonds, 0.00%,
1/1/04 1,012,844
Aaa AAA 5,250 New York Urban Development
Corporation, Senior Lien, 5.50%,
7/1/16 5,047,665
Baa1 BBB 4,715 New York Urban Development
Corporation, 5.375%, 1/1/15 4,335,018
------------
$14,071,612
------------
Special Tax Revenue - 4.3%
A3 A $4,500 New York Local Government Assistance
Corporation, 5.25%, 4/1/16 $ 4,249,395
------------
Transportation - 23.8%
Baa1 BBB $3,000 New York State Thruway Authority,
5.75%, 4/1/16 $ 2,890,980
A1 AA- 3,000 Port Authority of New York & New
Jersey, (AMT), 6.00%, 7/1/14 3,058,710
A1 AA- 5,750 Port Authority of New York & New
Jersey, (AMT), 5.375%, 10/15/13 5,527,590
Transportation (continued)
A1 AA- $2,500 Port Authority of New York & New
Jersey, (AMT), 5.375%, 10/15/14 $2,386,600
Baa3 BB+ 2,875 Port Authority of New York & New
Jersey, (Delta Airlines), 6.95%,
6/1/08 3,050,778
Baa3 BB+ 1,700 Puerto Rico Port Authority, (American
Airlines), (AMT), 6.25%, 6/1/26 1,732,674
Aa A+ 5,000 Triborough Bridge & Tunnel Authority,
5.30%, 1/1/17 4,705,050
------------
$23,352,382
------------
Water & Sewer Revenue - 3.0%
A A- $1,825 New York City Municipal Water Finance
Authority, 5.70%, 6/15/02 $ 1,884,458
Aaa AAA 1,000 New York State Environmental
Facilities Corporation, County of
Westchester Project, 5.60%, 9/15/13 1,012,120
------------
$ 2,896,578
------------
Total Tax-Exempt Investments
(identified cost, $97,740,065) $97,852,764
============
</TABLE>
(1) Security has been segregated to cover margin requirements on open
financial futures contracts.
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
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 March 31, 1997, 35.8% of the securities in the
portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate
percentage by financial institution range from 1.2% to 21.1% of total
investments.
See notes to financial statements
42
<PAGE>
Ohio Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31,1997
- --------------------------------------------------------------------------------
Tax-Exempt Investments - 100%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ---------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
-------- ------- -------- ------------------------------------- ------------
<S> <C> <C> <C> <C>
Escrowed - 7.7%
Aaa AAA $ 650 Clermont County, Ohio, Water Works,
(AMBAC), Prerefunded to 12/1/01,
6.625%, 12/1/16 $ 712,296
NR NR 350 Cuyahoga County, Ohio, (Judson
Retirement Community), Escrowed to
11/15/99, 8.875%, 11/15/19 396,116
Baa1 AAA 1,000 Puerto Rico Aqueduct & Sewer
Authority, Prerefunded to 7/1/98,
7.875%, 7/1/17 1,067,510
-----------
$2,175,922
-----------
General Obligations - 11.3%
NR NR $ 500 Cleveland, Ohio, City School
District, 6.50%, 6/15/97 $ 500,645
Aa NR 500 Hamilton County, Ohio, 5.00%, 12/1/16 458,610
NR A+ 300 Kings County, Ohio, Local School
District, 7.60%, 12/1/10 327,084
A NR 1,000 Wauseon, Ohio School District, 7.25%,
12/1/10 1,106,570
NR NR 770 Youngstown, Ohio, County School
District, 6.40%, 7/1/00 798,505
-----------
$3,191,414
-----------
Hospitals - 14.7%
A A- $1,000 Erie County Hospital Improvement
(Fireland Community Hospital
Project), 6.75%, 1/1/08 $1,046,930
Aa NR 500 Franklin County, Ohio, Hospital
Improvement, (Children's Hospital),
5.75%, 11/1/15 491,295
Baa BBB 500 Hamilton County Ohio Health System
(Providence Hospital Project),
6.00%, 7/1/01 507,420
NR NR 990 Mt. Vernon Ohio Hospital, (Knox
Community Hospital), 7.875%, 6/1/12 1,020,670
Aa2 NR 1,000 Warren County, Ohio, Hospital
Facilities, (Otterbein Homes
Project), 7.20%, 7/1/11 1,072,910
-----------
$4,139,225
-----------
Housing - 5.7%
NR AAA $1,000 Cuyahoga County, Ohio, Multifamily
Housing, (National Terminal Apts.
Project), 6.40%, 7/1/16 $1,026,500
Housing (continued)
NR NR $ 300 Cuyahoga County, Ohio, First
Mortgage, (Rolling Hills Apts.
Project), (AMT), 8.00%, 1/1/28 $ 290,307
NR NR 300 Lucas County, Ohio, Economic
Development Multifamily Housing
(County Creek Project), (AMT),
8.00%, 7/1/26 286,941
-----------
$1,603,748
-----------
Industrial Development Revenue - 7.6%
NR A- $1,020 Ohio Economic Development Commission,
(ABS Industries) (AMT), 6.00%,
6/1/04 $1,075,386
NR NR 250 Ohio State Solid Waste Revenue,
(Republic Engineered Steel), (AMT),
9.00%, 6/1/21 251,658
NR A- 765 Ohio Economic Development Commission,
(Ohio Enterprise Bond Fund-Progress
Plastics Products), (AMT), 6.80%,
12/1/01 803,189
-----------
$2,130,233
-----------
Insured Education - 3.2%
Aaa AAA $1,000 Ohio State Public Facilities
Commission, (Higher Educational
Facilities), (AMBAC), 4.30%,
12/1/08 $ 898,650
-----------
Insured General Obligations - 31.0%
Aaa AAA $1,000 Cleveland, Ohio, (MBIA), 6.50%,
11/15/01 $1,073,720
Aaa AAA 225 Finneytown, Ohio, Local School
District, (FGIC), 6.15%, 12/1/11 240,716
Aaa AAA 500 Forest Hills, Ohio, Local School
District, (MBIA), 6.00%, 12/1/09 528,560
Aaa AAA 1,350 Mt. Vernon County, Ohio, Local School
District, (FGIC), 7.50%, 12/1/14 1,537,164
Aaa AAA 1,000 North Olmstead, Ohio, (AMBAC), 5.00%,
12/1/16 913,910
Aaa AAA 1,500 Southwest Licking Ohio School
Facilities Improvement, (FGIC),
7.10%, 12/1/16 1,685,055
43
<PAGE>
- --------------------------------------------------------------------------------
Tax-Exempt Investments (continued)
Ratings (Unaudited)
- ---------------------------------
Principal
Standard Amount
& (000
Moody's Poor's omitted) Security Value
- -------- ------- -------- ------------------------------------- ------------
Insured General Obligations (continued)
Aaa AAA $ 500 Strongsville, Ohio, City School
District, (MBIA), 5.375%, 12/1/12 $ 493,970
Aaa AAA 500 West Clermont Ohio School District,
(AMBAC), 7.125%, 12/1/19 556,275
Aaa AAA 1,500 West Clermont Ohio School District,
(AMBAC), 6.90%, 12/1/12 1,664,580
-----------
$ 8,693,950
-----------
Insured Transportation - 3.4%
Aaa AAA $1,000 Dayton, Ohio, Airport Revenue, (James
M. Cox - Dayton International
Airport), (AMBAC), 5.25%, 12/1/15 $ 946,970
-----------
Insured Utility - 1.6%
Aaa AAA $ 500 Cleveland, Ohio, Public Power System,
(MBIA), 5.125%, 11/15/18 $ 461,280
-----------
Insured Water & Sewer - 2.2%
Aaa AAA $ 690 Bellefontaine, Ohio, Water System
Mortgage Revenue, (AMBAC), 5.00%,
12/1/15 $ 630,080
-----------
Life Care - 2.4%
NR BBB- $ 680 Marion County, Ohio, Health Care
Facilities, (United Church Homes
Project), 5.25%, 11/15/98 $ 679,960
-----------
Nursing Homes - 4.2%
NR NR $ 300 Fairfield County, Ohio, Economic
Development Authority, (Beverly
Enterprises), 8.50%, 1/1/03 $ 324,147
NR NR 295 Greene County, Ohio, First Mortgage,
(Fairview Extended Care), 10.125%,
1/1/11 331,857
Nursing Homes (continued)
VMIG1 NR $ 500 Hamilton County, Ohio, Hospital
Facilities, (Episcopal Retirement
Project), 5.00%, 1/1/15 $ 505,225
-----------
$ 1,161,229
-----------
Special Tax - 1.6%
NR NR $ 454 Columbus Ohio Special Assessment,
6.05%, 9/15/05 $ 460,324
-----------
Transportation - 2.6%
NR NR $ 500 Cleveland-Cuyahoga County Port
Authority, (Rock & Roll Hall of
Fame), 5.45%, 12/1/05 $ 493,850
NR NR 250 Cleveland-Cuyahoga County Port
Authority, (Rock & Roll Hall of
Fame), 5.85%, 12/1/08 248,975
-----------
$ 742,825
-----------
Utility - 0.8%
Baa1 BBB+ $ 250 Puerto Rico Electric Power Authority,
5.50%, 7/1/14 $ 238,333
-----------
Total Tax-Exempt Investments
(identified cost, $27,768,855) $28,154,143
===========
</TABLE>
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
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 March 31, 1997, 54.5% 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 9.1% to 33.1% of total
investments.
See notes to financial statements
44
<PAGE>
Limited Maturity Municipals Portfolio
Financial Statements
Statements of Assets and Liabilities
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Connecticut Florida Michigan
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
----------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
Assets:
Investments --
Identified cost $41,774,003 $11,956,737 $90,512,005 $ 14,096,910
Unrealized appreciation 614,879 108,879 441,070 393,224
----------- ----------- ----------- ------------
Investments at value (Note 1A) $42,388,882 $12,065,616 $90,953,075 $ 14,490,134
Cash 282 31,601 778 137,744
Receivable for investments sold 936,857 -- 1,827,129 35,000
Interest receivable 773,815 176,116 2,001,265 335,000
Receivable for variation margin on
open financial futures contracts (Note 1E) 5,469 -- 11,719 --
Deferred organization expenses (Note 1D) 1,647 1,743 4,582 259
----------- ----------- ----------- ------------
Total assets $44,106,952 $12,275,076 $94,798,548 $ 14,998,137
----------- ----------- ----------- ------------
Liabilities:
Payable for investments purchased $ -- $ -- $ 1,834,573 $ --
Demand note payable (Note 5) 907,000 -- 45,000 --
Payable to affiliate for Trustees' fees (Note 2) 1,781 40 2,256 40
Accrued expenses 3,730 1,069 7,527 1,665
----------- ----------- ----------- ------------
Total liabilities $ 912,511 $ 1,109 $ 1,889,356 $ 1,705
----------- ----------- ----------- ------------
Net Assets applicable to investors'
interest in Portfolio $43,194,441 $12,273,967 $92,909,192 $ 14,996,432
=========== =========== =========== ============
Sources of Net Assets:
Net proceeds from capital contributions
and withdrawals $42,482,427 $12,165,088 $92,259,978 $ 14,603,208
Net unrealized appreciation of investments
and financial futures contracts (computed
on the basis of identified cost) 712,014 108,879 649,214 393,224
----------- ----------- ----------- ------------
Total $43,194,441 $12,273,967 $92,909,192 $ 14,996,432
=========== =========== =========== ============
</TABLE>
See notes to financial statements
45
<PAGE>
Statements of Assets and Liabilities
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
New Jersey New York Ohio
Limited Limited Limited
Portfolio Portfolio Portfolio
---------- ----------- ------------
<S> <C> <C> <C>
Assets:
Investments --
Identified cost $56,492,991 $ 97,740,065 $27,768,855
Unrealized appreciation 1,107,202 112,699 385,288
---------- ----------- ------------
Investments at value (Note 1A) $57,600,193 $ 97,852,764 $28,154,143
Cash 181 265 26,568
Receivable for investments sold 1,285,363 632,741 536,948
Interest receivable 1,001,651 1,833,333 527,972
Receivable for variation margin on open financial
futures contracts (Note 1E) -- 21,094 --
Prepaid expenses 2,345 -- --
Deferred organization expenses (Note 1D) 1,893 2,789 --
---------- ----------- ------------
Total assets $59,891,626 $100,342,986 $29,245,631
---------- ----------- ------------
Liabilities:
Payable for investments purchased $ 1,385,559 $ -- $ --
Payable for when-issued securities (Note 1G) -- -- 773,281
Demand note payable (Note 5) 206,000 318,000 --
Payable to affiliate for Trustees' fees (Note 2) 1,781 2,256 395
Accrued expenses 32,347 8,982 2,103
---------- ----------- ------------
Total liabilities $ 1,625,687 $ 329,238 $ 775,779
---------- ----------- ------------
Net Assets applicable to investors'
interest in Portfolio $58,265,939 $100,013,748 $28,469,852
========== =========== ============
Sources of Net Assets:
Net proceeds from capital
contributions and withdrawals $57,158,737 $ 99,526,390 $28,084,564
Net unrealized appreciation of investments and financial futures
contracts (computed on the basis of identified cost) 1,107,202 487,358 385,288
---------- ----------- ------------
Total $58,265,939 $100,013,748 $28,469,852
========== =========== ============
</TABLE>
See notes to financial statements
46
<PAGE>
Statements of Operations
- --------------------------------------------------------------------------------
Year Ended March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Connecticut Florida Michigan
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
---------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
Investment Income (Note 1B):
Interest income $ 2,860,592 $ 770,927 $ 5,988,431 $1,029,154
---------- ---------- ----------- ----------
Expenses --
Investment adviser fee (Note 2) $ 239,320 $ 64,492 $ 508,203 $ 83,756
Compensation of Trustees not members of the
Administrator's organization (Note 2) 6,787 163 8,728 163
Custodian fee (Note 1H) 30,586 13,042 63,236 15,751
Legal and accounting services 22,036 17,641 23,929 21,842
Bond pricing 6,319 6,556 8,970 4,943
Amortization of organization expenses
(Note 1D) 1,253 609 4,205 3,113
Registration fees -- -- -- --
Miscellaneous 14,658 4,981 24,387 9,745
---------- ---------- ----------- ----------
Total expenses $ 320,959 $ 107,484 $ 641,658 $ 139,313
---------- ---------- ----------- ----------
Deduct --
Reduction of investment adviser fee (Note 2) $ -- $ 32,497 $ -- $ --
Reduction of custodian fee (Note 1H) 6,576 5,706 21,381 5,813
---------- ---------- ----------- ----------
Total expense reductions $ 6,576 $ 38,203 $ 21,381 $ 5,813
---------- ---------- ----------- ----------
Net expenses $ 314,383 $ 69,281 $ 620,277 $ 133,500
---------- ---------- ----------- ----------
Net investment income $ 2,546,209 $ 701,646 $ 5,368,154 $ 895,654
---------- ---------- ----------- ----------
Realized and Unrealized Gain
(Loss) on Investments:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 350,071 $ 92,432 $ 426,609 $ 310,139
Financial futures contracts (496,498) (80,714) (772,529) (113,883)
---------- ---------- ----------- ----------
Net realized gain (loss) $ (146,427) $ 11,718 $ (345,920) $ 196,256
---------- ---------- ----------- ----------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ (423,549) $(117,846) $(1,862,868) $ (185,210)
Financial futures contracts 97,135 3,175 208,144 4,763
---------- ---------- ----------- ----------
Net change in unrealized appreciation $ (326,414) $(114,671) $(1,654,724) $ (180,447)
---------- ---------- ----------- ----------
Net realized and unrealized gain (loss) $ (472,841) $(102,953) $(2,000,644) $ 15,809
---------- ---------- ----------- ----------
Net increase in net assets
from operations $ 2,073,368 $ 598,693 $ 3,367,510 $ 911,463
========== ========== =========== ==========
</TABLE>
See notes to financial statements
47
<PAGE>
Statements of Operations
- --------------------------------------------------------------------------------
Year Ended March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
New
Jersey New York Ohio
Limited Limited Limited
Portfolio Portfolio Portfolio
--------- ----------- -----------
<S> <C> <C> <C>
Investment Income (Note 1B):
Interest income $3,854,081 $ 6,539,821 $1,802,655
--------- ----------- -----------
Expenses --
Investment adviser fee (Note 2) $ 324,454 $ 557,305 $ 146,515
Compensation of Trustees not members of the
Administrator's organization (Note 2) 6,412 8,729 1,618
Custodian fee (Note 1H) 43,642 68,754 21,250
Legal and accounting services 21,851 23,944 20,644
Bond pricing 10,126 9,302 7,239
Amortization of organization expenses (Note 1D) 1,789 2,570 2,549
Miscellaneous 14,436 23,382 9,450
--------- ----------- -----------
Total expenses $ 422,710 $ 693,986 $ 209,265
Deduct --
Reduction of custodian fee (Note 1H) 19,776 18,973 7,991
--------- ----------- -----------
Net expenses $ 402,934 $ 675,013 $ 201,274
--------- ----------- -----------
Net investment income $3,451,147 $ 5,864,808 $1,601,381
--------- ----------- -----------
Realized and Unrealized Gain
(Loss) on Investments:
Net realized gain (loss) --
Investment transactions
(identified cost basis) $ 393,991 $ 459,925 $ 357,703
Financial futures contracts (321,525) (747,067) (131,066)
--------- ----------- -----------
Net realized gain (loss) $ 72,466 $ (287,142) $ 226,637
--------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ (383,438) $(1,269,739) $ (288,513)
Financial futures contracts 13,389 374,659 --
--------- ----------- -----------
Net change in unrealized appreciation $ (370,049) $ (895,080) $ (288,513)
--------- ----------- -----------
Net realized and unrealized loss $ (297,583) $(1,182,222) $ (61,876)
--------- ----------- -----------
Net increase in net assets from operations $3,153,564 $ 4,682,586 $1,539,505
========= =========== ===========
</TABLE>
See notes to financial statements
48
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Year Ended March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Connecticut Florida Michigan
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ----------- ------------ -------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 2,546,209 $ 701,646 $ 5,368,154 $ 895,654
Net realized gain (loss) on
investment transactions (146,427) 11,718 (345,920) 196,256
Change in unrealized
appreciation (326,414) (114,671) (1,654,724) (180,447)
------------ ----------- ------------ ------------
Net increase in net assets
from operations $ 2,073,368 $ 598,693 $ 3,367,510 $ 911,463
------------ ----------- ------------ ------------
Capital transactions --
Contributions $ 890,101 $ 868,089 $ 4,859,506 $ 727,519
Withdrawals (18,985,108) (4,054,341) (43,152,835) (7,833,956)
------------ ----------- ------------ ------------
Net decrease in net assets resulting
from capital transactions $(18,095,007) $(3,186,252) $(38,293,329) $(7,106,437)
------------ ----------- ------------ ------------
Net decrease in net assets $(16,021,639) $(2,587,559) $(34,925,819) $(6,194,974)
Net Assets:
At beginning of year 59,216,080 14,861,526 127,835,011 21,191,406
------------ ----------- ------------ ------------
At end of year $ 43,194,441 $12,273,967 $ 92,909,192 $14,996,432
============ =========== ============ ============
</TABLE>
See notes to financial statements
49
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Year Ended March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
New Jersey New York Ohio
Limited Limited Limited
Portfolio Portfolio Portfolio
------------ ------------ -------------
<S> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 3,451,147 $ 5,864,808 $ 1,601,381
Net realized gain (loss) on
investment transactions 72,466 (287,142) 226,637
Change in unrealized
appreciation (370,049) (895,080) (288,513)
------------ ------------ -------------
Net increase in net assets
from operations $ 3,153,564 $ 4,682,586 $ 1,539,505
------------ ------------ -------------
Capital transactions --
Contributions $ 1,862,282 $ 3,989,610 $ 1,294,856
Withdrawals (26,922,483) (47,386,927) (7,893,884)
------------ ------------ -------------
Net decrease in net assets resulting
from capital transactions $(25,060,201) $(43,397,317) $(6,599,028)
------------ ------------ -------------
Net decrease in net assets $(21,906,637) $(38,714,731) $(5,059,523)
Net Assets:
At beginning of year 80,172,576 138,728,479 33,529,375
------------ ------------ -------------
At end of year $ 58,265,939 $100,013,748 $28,469,852
============ ============ =============
</TABLE>
See notes to financial statements
50
<PAGE>
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Year Ended March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Connecticut Florida Michigan
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------ ----------- ------------ --------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 3,416,052 $ 795,358 $ 6,849,405 $ 1,341,190
Net realized loss on
investment transactions 690,889 16,771 295,731 313,930
Net change in unrealized
appreciation 500,309 283,601 1,590,260 87,479
------------ ----------- ------------ -------------
Net increase in net assets
from operations $ 4,607,250 $ 1,095,730 $ 8,735,396 $ 1,742,599
------------ ----------- ------------ -------------
Capital transactions --
Contributions $ 2,502,298 $ 1,702,174 $ 10,648,982 $ 748,500
Withdrawals (30,237,193) (5,251,996) (56,128,282) (14,497,709)
------------ ----------- ------------ -------------
Net decrease in net assets resulting
from capital transactions $(27,734,895) $(3,549,822) $(45,479,300) $(13,749,209)
------------ ----------- ------------ -------------
Net decrease in net assets $(23,127,645) $(2,454,092) $(36,743,904) $(12,006,610)
Net Assets:
At beginning of year 82,343,725 17,315,618 164,578,915 33,198,016
------------ ----------- ------------ -------------
At end of year $ 59,216,080 $14,861,526 $127,835,011 $ 21,191,406
============ =========== ============ =============
</TABLE>
See notes to financial statements
51
<PAGE>
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
Year Ended March 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
New Jersey New York Ohio
Limited Limited Limited
Portfolio Portfolio Portfolio
------------ ------------ -------------
<S> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 4,281,726 $ 7,387,952 $ 1,869,100
Net realized gain (loss) on
investment transactions 83,359 217,916 230,400
Change in unrealized
appreciation 875,687 2,312,427 179,256
------------ ------------ -------------
Net increase in net assets
from operations $ 5,240,772 $ 9,918,295 $ 2,278,756
------------ ------------ -------------
Capital transactions --
Contributions $ 2,138,038 $ 7,273,143 $ 1,242,994
Withdrawals (24,485,909) (52,095,383) (9,427,749)
------------ ------------ -------------
Net decrease in net assets resulting
from capital transactions $(22,347,871) $(44,822,240) $(8,184,755)
------------ ------------ -------------
Net decrease in net assets $(17,107,099) $(34,903,945) $(5,905,999)
Net Assets:
At beginning of year 97,279,675 173,632,424 39,435,374
------------ ------------ -------------
At end of year $ 80,172,576 $138,728,479 $33,529,375
============ ============ =============
</TABLE>
See notes to financial statements
52
<PAGE>
Supplementary Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Limited Portfolio Connecticut Limited Portfolio
-------------------------------------- -------------------------------------------
Year Ended March 31, Year Ended March 31,
-------------------------------------- -------------------------------------------
1997 1996 1995 1994* 1997 1996 1995 1994**
------ ------ ------ ------ ------ ------- ------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average daily
net assets+:
Expenses (1) 0.63% 0.58% 0.53% 0.46%+ 0.54% 0.39% 0.17% 0.00%+
Net expenses, after
custodian fee
reduction 0.61% 0.55% -- -- 0.50% 0.35% -- --
Net investment income 4.98% 4.82% 4.72% 4.50%+ 5.09% 4.91% 4.95% 4.53%+
Portfolio Turnover 57% 36% 56% 6% 46% 52% 73% 39%
Net Assets, end of period
(000 omitted) $43,194 $59,216 $82,344 $95,704 $12,274 $ 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 (as a percentage of
average daily net assets) would have been as follows:
Expenses (1) 0.52%+ 0.78% 0.72% 0.67% 0.62%+
Expenses after custodian fee reduction -- 0.74% 0.68% -- --
Net investment income 4.44%+ 4.85% 4.58% 4.45% 3.92%+
</TABLE>
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
** For the period from the start of business, April 16, 1993, to March 31,
1994.
(1) The expense ratios for the years ended March 31, 1996 and 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 expense offset arrangements with its service providers.
The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
<TABLE>
<CAPTION>
Florida Limited Portfolio
-------------------------------------------
Year Ended March 31,
-------------------------------------------
1997 1996 1995 1994*
------ ------- ------- ---------
<S> <C> <C> <C> <C> <C>
Ratios to average daily
net assets:
Expenses (1) 0.59% 0.55% 0.52% 0.49%+
Net expenses, after
custodian fee reduction 0.57% 0.54% -- --
Net investment income 4.90% 4.73% 4.73% 4.53%+
Portfolio Turnover 66% 20% 44% 8%
Net Assets, end of period
(000 omitted) $92,909 $127,835 $164,579 $185,977
</TABLE>
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
(1) The expense ratios for the years ended March 31, 1996 and 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 expense offset arrangements with its service providers.
The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
See notes to financial statements
53
<PAGE>
Supplementary Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Michigan Limited Portfolio New Jersey Limited Portfolio
------------------------------------------ -----------------------------------------
Year Ended March 31, Year Ended March 31,
------------------------------------------ -----------------------------------------
1997 1996 1995 1994* 1997 1996 1995 1994**
------- ------- ------- ------- ------ ------ ------ ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average
daily net assets+:
Expenses (1) 0.79% 0.68% 0.48% 0.00%+ 0.61% 0.57% 0.54% 0.54%+
Net expenses, after
custodian fee
reduction 0.76% 0.64% -- -- 0.58% 0.55% -- --
Net investment
income 5.09% 5.00% 4.88% 4.62%+ 4.96% 4.78% 4.73% 4.53%+
Portfolio Turnover 28% 40% 111% 30% 37% 42% 44% 10%
Net Assets, end of
period
(000 omitted) $ 14,996 $ 21,191 $ 33,198 $ 35,608 $58,266 $80,173 $97,280 $102,948
</TABLE>
+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 (as a percentage of
average daily net assets) would have been as follows:
Expenses (1) 0.59% 0.54%+
Net investment
income 4.77% 4.08%+
+ 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 years ended March 31, 1996 and 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 expense offset arrangements with its service providers.
The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
<TABLE>
<CAPTION>
New York Limited Portfolio Ohio Limited Portfolio
------------------------------------------ -----------------------------------------
Year Ended March 31, Year Ended March 31,
------------------------------------------ -----------------------------------------
1997 1996 1995 1994* 1997 1996 1995 1994**
------- ------- ------- ----- ---- ---- ---- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average
daily net assets+:
Expenses (1) 0.58% 0.55% 0.52% 0.47%+ 0.68% 0.63% 0.46% 0.00%+
Net expenses, after
custodian fee
reduction 0.56% 0.53% -- -- 0.65% 0.61% -- --
Net investment
income 4.87% 4.66% 4.79% 4.50%+ 5.20% 5.06% 4.96% 4.68%+
Portfolio Turnover 58% 32% 31% 5% 34% 47% 120% 33%
Net Assets, end of
period (000 omitted) $100,014 $138,728 $173,632 $183,768 $28,470 $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 (as a percentage of
average daily net assets) would have been as follows:
Expenses (1) 0.58% 0.54%+
Net investment
income 4.84% 4.14%+
</TABLE>
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
** For the period from the start of business, April 16, 1993, to March 31,
1994.
(1) The expense ratios for the years ended March 31, 1996 and 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 expense offset arrangements with its service providers.
The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
See note to financial statements
54
<PAGE>
Notes to Financial Statements
- --------------------------------------------------------------------------------
(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. Federal 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, including registration costs, are being
amortized on the straight-line basis over five years, beginning on the date
each Portfolio commenced operations.
E. Financial Futures Contracts -- Upon entering 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. Options on Financial Futures Contracts -- Upon the purchase of a put
option on a financial futures contract by a Portfolio, the premium paid is
recorded as an investment, the value of which is marked-to-market daily. When
a purchased option expires, a Portfolio will realize a loss in the amount of
the cost of the option. When a Portfolio enters into a closing sales
transaction, the Portfolio will realize a gain or loss depending on whether
the sales proceeds from the closing sales transaction is greater or less than
the cost of the option. When a Portfolio exercises a put option, settlement
is made in cash. The risk associated with purchasing options is limited to
the premium originally paid.
G. 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.
H. Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolios. Pursuant to the custodian agreements, IBT
receives a fee reduced by the credits which are determined based on the
average daily cash balances each Portfolio maintains with IBT. All
significant credit balances used to reduce the Portfolios' custodian fees are
reflected as a reduction of expenses on the Statement of Operations.
55
<PAGE>
I. Use of Estimates -- The preparation of the 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.
J. Other -- Investment transactions are accounted for on a trade date basis.
(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 year ended March 31, 1997, each Portfolio incurred
advisory fees as follows:
Effective
Portfolio Amount Rate
- ------------------- ------- -------------
California Limited $239,320 0.47%
Connecticut Limited 64,492 0.47%
Florida Limited 508,203 0.46%
Michigan Limited 83,756 0.48%
New Jersey Limited 324,454 0.47%
New York Limited 557,305 0.46%
Ohio Limited 146,515 0.48%
To enhance the net income of the Connecticut Limited Portfolio, BMR made a
reduction of its fee in the amount of $32,497.
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. 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 year ended
March 31, 1997, no significant amounts have been deferred.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations.
(3) Investments
Purchases and sales of investments, other than U.S. Government securities,
put option transactions and short-term obligations, for the year ended March
31, 1997 were as follows:
California Connecticut Florida Michigan
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
---------- --------- ---------- -----------
Purchases $28,784,757 $6,190,195 $ 70,750,321 $ 4,839,639
Sales 46,006,048 8,563,337 102,106,262 10,872,883
New Jersey New York Ohio
Limited Limited Limited
Portfolio Portfolio Portfolio
---------- ----------- ----------
Purchases $25,394,155 $ 69,170,036 $10,295,734
Sales 46,414,717 106,987,883 14,960,465
56
<PAGE>
(4) Federal Income Tax Basis of Investments
The cost and unrealized appreciation/depreciation in value of the investments
owned by each Portfolio at March 31, 1997, as computed on a federal income
tax basis, are as follows:
<TABLE>
<CAPTION>
California Connecticut Florida Michigan
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
---------- ---------- ---------- ------------
<S> <C> <C> <C> <C>
Aggregate cost $41,774,003 $11,956,737 $90,512,005 $14,096,910
======== ======== ========== ===========
Gross unrealized appreciation $ 832,712 $ 187,375 $ 1,291,406 $ 495,155
Gross unrealized depreciation (217,833) (78,496) (850,336) (101,931)
-------- -------- ---------- -----------
Net unrealized appreciation $ 614,879 $ 108,879 $ 441,070 $ 393,224
======== ======== ========== ===========
</TABLE>
New Jersey New York Ohio
Limited Limited Limited
Portfolio Portfolio Portfolio
---------- ---------- ----------
Aggregate cost $56,492,991 $97,740,065 $27,768,855
======== ======== ==========
Gross unrealized appreciation $ 1,372,834 $ 961,923 $ 519,339
Gross unrealized depreciation (265,632) (849,224) (134,051)
-------- -------- ----------
Net unrealized appreciation $ 1,107,202 $ 112,699 $ 385,288
======== ======== ==========
(5) Line of Credit
The Portfolios participate with other portfolios and funds managed by BMR and
EVM and its affiliates in a $120 million unsecured line of credit with a
group of banks. Borrowings will be made by the Portfolios or Funds solely to
facilitate the handling of unusual or unanticipated short-term cash
requirements. Interest is charged to each portfolio or fund based on its
borrowings at the bank's base rate or at an amount above either the bank's
adjusted certificate of deposit rate, Eurodollar rate or federal funds
effective rate. In addition, a fee computed at an annual rate of 0.15% on the
daily unused portion of the facility is allocated among the participating
portfolios and funds at the end of each quarter. At March 31, 1997 the
California Limited Portfolio, Florida Limited Portfolio, New Jersey Limited
Portfolio, and New York Limited Portfolio, had a balance outstanding pursuant
to this line of credit of $907,000, $45,000, $206,000, and $318,000,
respectively. The Portfolios did not have any significant borrowings or
allocated fees during the year ended March 31, 1997.
(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 futures contracts and may involve, to a varying degree, elements of
risk in excess of the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at March 31, 1997,
were as follows:
<TABLE>
<CAPTION>
Futures
Contract
Expiration Net Unrealized
Limited Portfolio Date Contracts Position Appreciation
- ----------------- ------------ --------------------- ------- --------------
<S> <C> <C> <C> <C>
California 6/97 35 U.S. Treasury Bonds Short $ 97,135
Florida 6/97 75 U.S. Treasury Bonds Short 208,144
New York 6/97 135 U.S. Treasury Bonds Short 374,659
</TABLE>
At March 31, 1997, the Portfolios had sufficient cash and/or securities
segregated to cover margin requirements on open futures contracts.
57
<PAGE>
Independent Auditors' Report
To the Trustees and Investors of
California Limited Maturity Municipals Portfolio
Connecticut Limited Maturity Municipals Portfolio
Florida Limited Maturity Municipals Portfolio
Michigan Limited Maturity Municipals Portfolio
New Jersey Limited Maturity Municipals Portfolio
New York Limited Maturity Municipals Portfolio
Ohio Limited Maturity Municipals Portfolio
We have audited the accompanying statements of assets and liabilities,
including the portfolio of investments, of California Limited Maturity
Municipals Portfolio, Connecticut Limited Maturity Municipals Portfolio,
Florida Limited Maturity Municipals Portfolio, Michigan Limited Maturity
Municipals Portfolio, New Jersey Limited Maturity Municipals Portfolio,
New York Limited Maturity Municipals Portfolio, and Ohio Limited Maturity
Municipals Portfolio (the Portfolios), as of March 31, 1997, and the related
statements of operations for the year then ended, and the statements of
changes in net assets for the years ended March 31, 1997 and 1996 and the
supplementary data for each of the years in the four year period ended
March 31, 1997. These financial statements and supplementary data are the
responsibility of the Trusts' management. Our responsibility is to express an
opinion on the financial statements and supplementary data based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
supplementary data are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
securities owned at March 31, 1997 by correspondence with the custodian and
brokers; where replies were not received from brokers, we performed other
audit procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide
a reasonable basis for our opinion.
In our opinion, such financial statements and supplementary data present
fairly, in all material respects, the financial position of the
aforementioned Portfolios, as of March 31, 1997, the results of their
operations, the changes in their net assets, and their supplementary data for
the respective stated periods in conformity with generally accepted
accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
May 2, 1997
58
<PAGE>
Investment Management
Funds
Officers
Thomas J. Fetter
President
James B. Hawkes
Vice President and Trustee
Robert B. MacIntosh
Vice President
James L. O'Connor
Treasurer
Thomas Otis
Secretary
Independent Trustees
Donald R. Dwight
President, Dwight Partners, Inc.
Chairman, Newspapers 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 and Trustee
Robert B. MacIntosh
Vice President
William H. Ahern, Jr.
Vice President and Portfolio Manager of
Connecticut, Florida, Michigan, New Jersey,
and Ohio Limited Maturity Municipals
Portfolios
Nicole Anderes
Vice President and Portfolio Manager
of New York Limited Maturity Municipals
Portfolio
Cynthia J. Clemson
Vice President and Portfolio Manager
of Pennsylvania Limited Maturity
Municipals Portfolio
James L. O'Connor
Treasurer
Thomas Otis
Secretary
Independent Trustees
Donald R. Dwight
President, Dwight Partners, Inc.
Chairman, Newspapers 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
59
<PAGE>
Investment Adviser of Limited Maturity Tax Free Portfolios
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator of EV Traditional Limited Maturity Tax Free 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
24 Federal Street
Boston, MA 02110
Transfer Agent
The Shareholder Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
Independent 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
T-7LTFCSRC-5/97
