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Investing EDUCATION
[EV Logo] for the
================ 21st [Photo of Brick Wall]
Mutual Funds Century
Semiannual Report September 30, 1997
EATON VANCE
[Photo of Highway] LIMITED
MATURITY MUNICIPALS FUND
MARATHON California
Connecticut
Global Management-Global Distribution Florida
Massachusetts
Michigan
New Jersey
New York
Ohio
Pennsylvania
[Photo of Bridge]
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EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
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LETTER TO SHAREHOLDERS
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[Photo of Thomas J. Fetter]
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Thomas J. Fetter,
President
The municipal bond market continued to respond favorably in 1997 to an economic
climate of solid growth yet low inflation. Gross domestic product (GDP), a
widely-used measure of economic performance, grew 4.9% in the first quarter,
3.3% in the second, and 3.3% in the third. However, inflation remained in the
2-to-3% range due to higher productivity brought on by technology and an
increase in global competition. While the Federal Reserve elected to raise the
Fed Funds Rate - the primary short-term interest rate benchmark - 0.25% to 5.5%
in March, it has since maintained a stable interest rate policy in response to a
benign inflation outlook. Not surprisingly, municipal bonds have turned in solid
returns, with the Lehman Brothers Municipal Bond Index* - an unmanaged index of
municipal bonds - rising 9.0% during the year ended September 30, 1997.
The municipal bond market has been characterized by heavy issuance and strong
investor demand
According to Standard & Poor's, nearly $227 billion in municipal securities were
brought to market in 1996, a 14% increase from the prior year. Thus far in 1997,
municipal issuance has kept up that pace. Issuers have redeemed older bonds with
relatively high coupons and replaced them with new bonds bearing lower coupons.
This municipal refunding activity has been sparked in part by the strong market
rally of recent months that has seen yields for 30-year AAA-rated general
obligations decline to the 5.25% level at September 30. At that level, municipal
yields represent 82% of 30-year Treasury yields, making them an attractive
option for investors.
Amid Washington's newly found fiscal responsibility, the outlook for municipal
bonds appears bright
We believe the long-term outlook for municipal bonds has improved in the past
year for several reasons. First, Congress and the Clinton Administration agreed
to balance the budget by 2002. This would sharply reduce the government's
borrowing needs, leading to lower interest rates and channeling investments into
more productive areas of the economy. Second, the marginal tax rates of many
taxpayers remain high. For them, municipal bonds may still be the best vehicle
for tax relief. And finally, a balanced investment portfolio features equities,
bonds, and cash. The stock market has shown higher-than-normal volatility this
year, capped by steep price declines in late October. Following three years of
stock market outperformance, we believe investors should consider reallocating a
portion of their portfolios to bonds to maintain a prudent asset allocation. For
these reasons, we believe that the municipal market will continue to attract
tax-conscious investors. Eaton Vance will continue its leadership role in
seeking high, tax-free income.
Sincerely,
/s/ Thomas J. Fetter,
Thomas J. Fetter
President
November 10, 1997
*It is not possible to invest directly in an Index.
Municipal bonds yield 82% of Treasury yields
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5.25% 8.20%
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30-Year AAA-rated Taxable equivalent yield
General Obligation (GO) Bonds* in 36% tax bracket
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6.40%
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30-Year Treasury bond
Principal and interest payments of Treasury securities are guaranteed by the
U.S. government.
*GO yield are a compilation of a representative variety of general obligations
and are not necessarily representative of the Fund's yield. Statistics as of
September 30, 1997.
Past performance is no guarantee of future results.
Source: Bloomberg, L.P.
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Mutual fund shares are not insured 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.
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<PAGE>
EV Marathon California Limited Maturity Municipals Fund as of September 30,1997
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INVESTMENT UPDATE
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[Photo of Cynthia J. Clemson
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Cynthia J. Clemson,
Portfolio Manager
The Economy
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o Robust economic growth should continue in California for the foreseeable
future, with job growth up for the fifth consecutive year. Primary strength
was in business services, software, and entertainment. Construction and real
estate also enjoyed good growth as home prices in Southern California reversed
a long downtrend.
o California exports continue to expand rapidly, growing 19% in the past year
despite a deep recession in Mexico, the state's fourth largest export
customer. Exports have grown at more than twice the rate of state gross
product over the past decade.
o The state's exodus appears to have slowed. According to vehicle registrations,
the number of people moving to California has increased, while an improving
economy has slowed the emigration to other states.
The Fund
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o During the six months ended September 30, 1997, the Fund's Class I and Class
II shares had total returns of 4.6% and 5.0%, respectively.(1) These returns
resulted from an increase in net asset value per share for both Classes to
$10.24 on September 30, 1997 from $9.98 on March 31, 1997, and the
reinvestment of $0.198 per share in tax-free income for Class I, and $0.235
per share for Class II.(2)
o Based on the Fund's most recent dividend and a net asset value of $10.24 per
share on September 30, 1997, the distribution rate was 3.89% for Class I
shares and 4.60% for Class II shares.(3)
o The SEC yields at September 30 were 3.34% and 4.08%, respectively.(4)
Management Update
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o There have been several shifts in the Portfolio in recent months. Adopting a
barbell approach, we have somewhat reduced our exposure to insured issues
while seeking select high-yield opportunities.
o The Portfolio focused on health care bonds, which had cheapened in the face of
health care reform proposals. We discovered especially good values among
smaller hospital issues. Elsewhere, we've found industrial development bonds
increasingly attractive with a strengthening California economy.
o We have increased the diversification of the Portfolio, and extended our
efforts to enhance liquidity.
Your Investment at Work
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California Statewide Communities
Development Corporation - Pacific Homes [Graphic Omitted]
o Pacific Homes was incorporated in 1929 by the United Methodist Church to
provide housing, nursing and social services for seniors.
o The proceeds of these certificates of participation were used to fund the
construction and renovation of 16 new residential units at Pacific Homes Casa
de Manana facility in La Jolla.
o With its 5.9% coupon, the bond provides the Fund an investment from a quality
issuer and good potential for capital appreciation.
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(1) This return does not include the Fund's Class I applicable contingent
deferred sales charge (CDSC). (2)A portion of the Fund's income could be
subject to federal income tax and/or alternative minimum tax.(3) The Fund's
distribution rate represents actual distributions paid to shareholders and
is calculated daily by dividing the last distribution per share (annualized)
by the net asset value. (4) The Fund's SEC yield is calculated by dividing
the net investment income per share for the 30-day period by the net asset
value at the end of the period and annualizing the result. (5)Returns are
calculated by determining the percentage change in net asset value (NAV)
with all distributions reinvested. SEC returns for Class I reflect
applicable CDSC based on the following schedule: 3%-1st year; 2.5%-2nd year;
2%-3rd year; 1%-4th year. (6) Sector weightings and Portfolio Overview are
as of 9/30/97 only and may not be representative of the Portfolio's current
or future investments. *Private insurance does not decrease the risk of loss
of principal associated with this investment.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost.
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Fund Information
as of September 30, 1997
Performance(5)
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Average Annual Total Returns (at net asset value)
Class I Class II
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One Year 6.1% 6.8%
Five Years 4.6 4.8
Life of Fund (5/29/92) 4.9 5.0
SEC Average Annual Total Returns (including applicable CDSC)
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Class I Class II
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One Year 3.1% 6.8%
Five Years 4.6 4.8
Life of Fund (5/29/92) 4.9 5.0
5 Largest Sectors(6)
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By total investments
Insured - Hospitals* 19.9%
Insured - General Obligations* 12.5%
Insured - Special Tax* 8.5%
Escrowed/prerefunded 8.3%
Insured - Transportation 7.0%
Portfolio Overview(6)
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Number of Issues 32
Average Rating AA
Average Coupon 5.84%
Average Effective Maturity 10.5 Yrs.
Average Maturity 8.1 Yrs.
Average Duration 6.7 Yrs.
<PAGE>
EV Marathon Connecticut Limited Maturity Municipals Fund as of
September 30, 1997
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INVESTMENT UPDATE
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[Photo of William H. Ahern]
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William H. Ahern,
Portfolio Manager
The Economy
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o Connecticut's recovery from the 1989-92 recession continued in 1997, although
the state still lagged national trends. Most of the state's employment gains
have come in the business services area, including finance, software and
internet services, as well as health services. Retail and construction have
also been good job providers.
o Connecticut's labor force has grown by 1.1% in the past year, but at a slower
pace than the nation as a whole. The state's unemployment rate of 4.5% was
well below last year's 5.6% mark, and has now fallen below the national rate.
o By August, state tax receipts were roughly 8.8% higher than the same period
last year. Personal income tax and real estate tax revenues each showed
significant growth over 1996. Corporate tax receipts, in contrast, were more
than 13% below last year's levels.
The Fund
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o During the six months ended September 30, 1997, the Fund's Class I and Class
II shares had total returns of 4.3% and 4.6%, respectively.(1) These returns
resulted from an increase in net asset value per share for both Classes to
$10.02 on September 30, 1997 from $9.79 on March 31, 1997, and the
reinvestment of $0.184 per share in tax-free income for Class I, and $0.220
per share for Class II.(2)
o Based on the Fund's most recent dividend and a net asset value of $10.02 per
share on September 30, 1997, the distribution rate was 3.69% for Class I
shares and 4.41% for Class II shares.(3)
o The SEC yields at September 30 were 3.23% and 4.15%, respectively.(4)
Management Update
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o In a market characterized by increasing volatility, the Portfolio remained
generally neutrally positioned through the period, with little change in
duration.
o The Portfolio took advantage of Eaton Vance's extensive research resources to
find higher-yielding opportunities. Conversely, our research helped us avoid a
number of deteriorating situations.
o With insured bonds comprising an increasingly large percentage of municipal
bond issuance, it has become more challenging to find value in a generic
market. We have therefore turned to the lower-rated, investment grade sector
of the municipal market, where lesser-known issuers may represent interesting
values.
Your Investment at Work
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Connecticut Municipal Electric Cooperative [Graphic Omitted]
Power Supply Revenue Bonds
o The Connecticut Municipal Electric Energy Cooperative finances, acquires, and
builds generating resources to provide cost-efficient and reliable power
supplies to its member communities.
o These bonds were issued in 1996 to refund a portion of an earlier issue of
outstanding Power Supply System bonds.
o The bonds, rated Aaa/AAA by Moody's and S&P, carry an attractive 6.00% coupon
from a very high-quality issuer, while providing ample call protection.
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(1) This return does not include the Fund's Class I applicable contingent
deferred sales charge (CDSC). (2)A portion of the Fund's income could be
subject to federal income tax and/or alternative minimum tax.(3) The Fund's
distribution rate represents actual distributions paid to shareholders and
is calculated daily by dividing the last distribution per share (annualized)
by the net asset value. (4) The Fund's SEC yield is calculated by dividing
the net investment income per share for the 30-day period by the net asset
value at the end of the period and annualizing the result. (5) Returns are
calculated by determining the percentage change in net asset value (NAV)
with all distributions reinvested. SEC returns for Class I reflect
applicable CDSC based on the following schedule: 3%-1st year; 2.5%-2nd year;
2%-3rd year; 1%-4th year. (6) Sector weightings and Portfolio Overview are
as of 9/30/97 only and may not be representative of the Portfolio's current
or future investments. *Private insurance does not decrease the risk of loss
of principal associated with this investment.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost.
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Fund Information
as of September 30, 1997
Performance(5)
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Average Annual Total Returns (at net asset value)
Class I Class II
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One Year 5.9% 6.3%
Life of Fund (4/16/93) 4.0 4.1
SEC Average Annual Total Returns (including applicable CDSC)
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Class I Class II
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One Year 2.9% 6.3%
Life of Fund (4/16/93) 4.0 4.1
5 Largest Sectors(6)
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By total investments
Insured - General Obligations* 14.9%
General Obligations 14.4%
Education 12.0%
Insured - Transportation* 8.2%
Insured - Hospitals* 6.6%
Portfolio Overview(6)
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Number of Issues 30
Average Rating AA-
Average Coupon 5.86%
Average Effective Maturity 9.4 Yrs.
Average Maturity 12.5 Yrs.
Average Duration 6.8 Yrs.
<PAGE>
EV Marathon Florida Limited Maturity Municipals Fund as of September 30, 1997
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INVESTMENT UPDATE
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[Photo of William H. Ahern]
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William H. Ahern,
Portfolio Manager
The Economy
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o Florida has enjoyed a relatively strong employment picture. The state's
employment rolls grew by nearly 200,000 in the past year, accentuated by gains
in the retail, construction, and entertainment industries. Net income
continued to grow, as wages rose 4.0%, while property income grew 5.1%.
o The outlook is positive on the Florida tourism front. Room rates have
increased and resorts continue to enjoy strong occupancy rates, surpassing
previous records. The strong dollar, however, has negatively impacted European
travel to the state.
o Florida continues to merit a AA rating from major ratings agencies, reflecting
rapid population growth and a broadening economic base. Despite the demands
for increased infrastructure to match fast growth, the state has limited its
debt levels to 3.2% of personal income.
The Fund
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o During the six months ended September 30, 1997, the Fund's Class I and Class
II shares had total returns of 4.0% and 4.3%, respectively.(1) These returns
resulted from an increase in net asset value per share for both Classes to
$10.18 on September 30, 1997 from $9.98 on March 31, 1997, and the
reinvestment of $0.193 per share in tax-free income for Class I, and $0.230
per share for Class II.(2)
o Based on the Fund's most recent dividend and a net asset value of $10.18 per
share on September 30, 1997, the distribution rate was 3.81% for Class I
shares and 4.54% for Class II shares.(3)
o The SEC yields at September 30 were 3.29% and 4.03%, respectively.(4)
Management Update
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o The Portfolio featured relatively few changes during the period, focusing on
structural adjustments. General obligations, insured hospitals, and electric
utilities represented the largest sector weightings in the Portfolio.
o As always, call protection remained an important structural consideration. As
interest rates have declined, more bonds have reached early redemption dates.
By improving the Fund's call protection, we have increased its capital
appreciation potential.
o Insured bonds represented a relatively high percentage of the Portfolio's
holdings, an important consideration for quality-conscious Florida investors.
Your Investment at Work
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Polk County, FL Industrial Development Authority
IMC Fertilizer Corp. [Graphic Omitted]
o IMC Fertilizer is one of the world's largest producers of potash, phosphate,
and phosphate fertilizer.
o The proceeds of this bond were used to finance a 415-acre containment basin
for the storage of phosphogypsom, a manufacturing by-product.
o The bonds provide a 7.53% coupon and give the Portfolio the opportunity to add
yield while investing in a valuable environmental project for an industry
leader.
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(1) This return does not include the Fund's Class I applicable contingent
deferred sales charge (CDSC). (2)A portion of the Fund's income could be
subject to federal income tax and/or alternative minimum tax.(3) The Fund's
distribution rate represents actual distributions paid to shareholders and
is calculated daily by dividing the last distribution per share (annualized)
by the net asset value. (4) The Fund's SEC yield is calculated by dividing
the net investment income per share for the 30-day period by the net asset
value at the end of the period and annualizing the result. (5)Returns are
calculated by determining the percentage change in net asset value (NAV)
with all distributions reinvested. SEC returns for Class I reflect
applicable CDSC based on the following schedule: 3%-1st year; 2.5%-2nd year;
2%-3rd year; 1%-4th year. (6) Sector weightings and Portfolio Overview are
as of 9/30/97 only and may not be representative of the Portfolio's current
or future investments.
* Private insurance does not decrease the risk of loss of principal associated
with this investment.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost.
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Fund Information
as of September 30, 1997
Performance(5)
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Average Annual Total Returns (at net asset value)
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Class I Class II
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One Year 4.6% 5.4%
Five Years 4.5 4.7
Life of Fund (5/29/92) 4.7 4.9
SEC Average Annual Total Returns (including applicable CDSC)
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Class I Class II
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One Year 1.6% 5.4%
Five Years 4.5 4.7
Life of Fund (5/29/92) 4.7 4.9
5 Largest Sectors(6)
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By total investments
General Obligations (GO) 30.2%
Insured - Hospitals* 12.7%
Electric Utilities 11.8%
Escrowed/prerefunded 8.0%
Insured - Water & Sewer* 6.6%
Portfolio Overview(6)
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Number of Issues 43
Average Rating AA
Average Coupon 5.73%
Average Effective Maturity 9.9 Yrs.
Average Maturity 12.9 Yrs.
Average Duration 6.9 Yrs.
<PAGE>
EV Marathon Massachusetts Limited Maturity Municipals Fund as of
September 30,1997
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INVESTMENT UPDATE
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[Photo of William H. Ahern]
- ---------------------------
William H. Ahern,
Portfolio Manager
The Economy
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o The Massachusetts economy mirrored the strong growth at the national level.
Unemployment measured only 4.0% in September, again below that of the nation
as a whole. Technology, health care and financial services continued to
register the strongest job growth among industry sectors.
o The Massachusetts construction industry is likely to be among the state's
fastest-growing segments in coming years, according to DRI/McGraw-Hill.
Boston's Central Artery Project, expected to reach its employment peak in
1999, should provide a major boost, with 6,600 people employed on the project.
o Massachusetts remains one of the nation's leading purveyors of
technology-based products and services, including software, computer, and
Internet-based services. That strength should mitigate the continuing effects
of defense cutbacks, health care restructuring and banking consolidations.
The Fund
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o During the six months ended September 30, 1997, the Fund's Class I and Class
II shares had total returns of 4.3% and 4.7%, respectively.(1) These returns
resulted from an increase in net asset value per share for both Classes to
$10.23 on September 30, 1997 from $9.99 on March 31, 1997, and the
reinvestment of $0.191 per share in tax-free income for Class I, and $0.227
per share for Class II.(2)
o Based on the Fund's most recent dividend and a net asset value of $10.23 per
share on September 30, 1997, the distribution rate was 3.74% for Class I
shares and 4.46% for Class II shares.(3)
o The SEC yields at September 30 were 3.43% and 4.18%, respectively.(4)
Management Update
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o In an increasingly generic market, quality spreads - the yield difference
between bonds of varying quality - narrowed appreciably. Therefore, we
redoubled our efforts to find special situations that would provide attractive
yield opportunities for the Fund.
o The Portfolio had a fairly large exposure to housing bonds. Amid relatively
large supply, the Massachusetts housing sector offered attractive
opportunities to add yield to the Portfolio.
o We added to the Portfolio's non-rated and lower-rated investment-grade bonds.
Eaton Vance's research resources provide us a valuable advantage in that
segment of the market.
Your Investment at Work
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Massachusetts Health & Educational Finance Authority
Milford-Whitinsville Hospital [Graphic Omitted]
o Milford-Whitinsville Regional Hospital is a teaching hospital that operates
facilities in three locations in central Massachusetts.
o The hospital provides a broad range of community health care services,
including surgery, obstetrics, gynecology, orthopedics and pediatrics.
o This 7.12% bond, rated Baa3/BB by Moody's and S&P, is representative of the
Portfolio's efforts to find value in lower-rated bonds in the growing life
care sector, which is playing an increasingly important role in the nation's
health care picture.
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(1) This return does not include the Fund's Class I applicable contingent
deferred sales charge (CDSC). (2) A portion of the Fund's income could be
subject to federal income tax and/or alternative minimum tax.(3) The Fund's
distribution rate represents actual distributions paid to shareholders and
is calculated daily by dividing the last distribution per share (annualized)
by the net asset value. (4) The Fund's SEC yield is calculated by dividing
the net investment income per share for the 30-day period by the net asset
value at the end of the period and annualizing the result. (5) Returns are
calculated by determining the percentage change in net asset value (NAV)
with all distributions reinvested. SEC returns for Class I reflect
applicable CDSC based on the following schedule: 3%-1st year; 2.5%-2nd year;
2%-3rd year; 1%-4th year. (6) Sector weightings and Portfolio Overview are
as of 9/30/97 only and may not be representative of the Portfolio's current
or future investments. *Private insurance does not decrease the risk of loss
of principal associated with this investment. Past performance is no
guarantee of future results. Investment return and principal value will
fluctuate so that shares, when redeemed, may be worth more or less than
their original cost.
- --------------------------------------------------------------------------------
Fund Information
as of September 30, 1997
Performance(5)
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Average Annual Total Returns (at net asset value)
- --------------------------------------------------------------------------------
Class I Class II
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One Year 5.7% 6.5%
Five Years 4.7 4.9
Life of Fund (6/1/92) 4.8 5.0
SEC Average Annual Total Returns (including applicable CDSC)
- --------------------------------------------------------------------------------
Class I Class II
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One Year 2.7% 6.5%
Five Years 4.7 4.9
Life of Fund (6/1/92) 4.8 5.0
5 Largest Sectors(6)
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By total investments
Insured - Housing* 20.0%
Hospitals 9.3%
Insured - Water & Sewer* 8.8%
Insured - GOs* 8.5%
General Obligations (GO) 7.4%
Portfolio Overview(6)
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Number of Issues 37
Average Rating AA-
Average Coupon 5.88%
Average Effective Maturity 10.7 Yrs.
Average Maturity 12.6 Yrs.
Average Duration 7.4 Yrs.
<PAGE>
EV Marathon Michigan Limited Maturity Municipals Fund as of September 30, 1997
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INVESTMENT UPDATE
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- ---------------------------
[Photo of William H. Ahern]
- ---------------------------
William H. Ahern,
Portfolio Manager
The Economy
- --------------------------------------------------------------------------------
o Michigan's economy rose in concert with the national trends, with employment
reaching new record highs. Once again, the service, trade and construction
sectors led the way in job creation. Meanwhile, Big Three auto makers, a
critical source of manufacturing employment, enjoyed strong sales of pickup
trucks and sport utility vehicles.
o Detroit continued its success story, aided by the strong auto sector and sharp
rise in commercial construction, boosted by the prospect of new downtown
stadiums for football and baseball, as well as pending casino developments.
Reflecting that growth, the city's residential property values have risen 13%
in the past year alone.
o The state remains in sound fiscal health. With its Budget Stabilization Fund
at more than 7.8% of general revenues, the state has a good measure of
financial flexibility. Through sound management and an improving economic
picture, Michigan continues to merit a Aa-rating from Moody's.
The Fund
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o During the six months ended September 30, 1997, the Fund's Class I and Class
II shares had total returns of 4.1% and 4.4%, respectively.(1) These returns
resulted from an increase in net asset value per share for both Classes to
$9.94 on September 30, 1997 from $9.74 on March 31, 1997, and the reinvestment
of $0.192 per share in tax-free income for Class I, and $0.229 per share for
Class II.(2)
o Based on the Fund's most recent dividend and a net asset value of $9.94 per
share on September 30, 1997, the distribution rate was 3.88% for Class I
shares and 4.62% for Class II shares. (3)
o The SEC yields at September 30 were 3.40% and 4.15%, respectively.(4)
Management Update
- --------------------------------------------------------------------------------
o There were relatively few changes to the Portfolio during the period. General
obligations and hospital revenue bonds were among the Portfolio's largest
sector weightings.
o The Portfolio had several bonds with exposure to the City of Detroit. The city
has made strides economically in recent years and its general obligations have
been among the Michigan market's stellar performers.
o We continued our efforts to upgrade the Fund's call protection. By improving
call protection, we are able to avoid untimely bond redemptions that would
require investment at unfavorable interest rate levels. In addition, ample
call protection increases the Fund's capital appreciation potential.
Your Investment at Work
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Pittsfield Township MIEcon.
Development Corp.
Arbor Hospice {Graphic Omitted]
o These bonds were issued to finance the purchase and construction costs of
Arbor Hospice, a facility near Ann Arbor dedicated to the continuing care of
critically ill patients.
o The Arbor Hospice bond is a good example of a municipal bond investment used
to fund a novel solution to a major health care challenge.
o This 7.875% bond is representative of the Portfolio's efforts, in a market
dominated by local school district bonds, to find opportunities in smaller,
non-rated health care issues.
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(1) This return does not include the Fund's Class I applicable contingent
deferred sales charge (CDSC). (2) A portion of the Fund's income could be
subject to federal income tax and/or alternative minimum tax.(3) The Fund's
distribution rate represents actual distributions paid to shareholders and
is calcaulated daily by dividing the last distribution per share
(annualized) by the net asset value. (4) The Fund's SEC yield is calculated
by dividing the net investment income per share for the 30-day period by the
net asset value at the end of the period and annualizing the result. (5)
Returns are calculated by determining the percentage change in net asset
value (NAV) with all distributions reinvested. SEC returns for Class I
reflect applicable CDSC based on the following schedule: 3%-1st year;
2.5%-2nd year; 2%-3rd year; 1%-4th year. (6) Sector weightings and Portfolio
Overview are as of 9/30/97 only and may not be representative of the
Portfolio's current or future investments. *Private insurance does not
decrease the risk of loss of principal associated with this investment. Past
performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost.
- --------------------------------------------------------------------------------
Fund Information
as of September 30, 1997
Performance(5)
- --------------------------------------------------------------------------------
Average Annual Total Returns (at net asset value)
- --------------------------------------------------------------------------------
Class I Class II
------- --------
One Year 6.3% 7.0%
Life of Fund (4/16/93) 4.0 4.1
SEC Average Annual Total Returns (including applicable CDSC)
- --------------------------------------------------------------------------------
Class I Class II
------- --------
One Year 3.3% 7.0%
Life of Fund (4/16/93) 4.0 4.1
5 Largest Sectors(6)
- --------------------------------------------------------------------------------
By total investments
Insured - General Obligations* 16.2%
Hospitals 16.0%
Special Tax Revenue 12.7%
General Obligations 10.0%
Escrowed/prerefunded 9.7%
Portfolio Overview(6)
- --------------------------------------------------------------------------------
Number of Issues 26
Average Rating A+
Average Coupon 6.0%
Average Effective Maturity 10.1 Yrs.
Average Maturity 11.8 Yrs.
Average Duration 7.4 Yrs.
<PAGE>
EV Marathon New Jersey Limited Maturity Municipals Fund as of September 30, 1997
- --------------------------------------------------------------------------------
INVESTMENT UPDATE
- --------------------------------------------------------------------------------
- ---------------------------
[Photo of William H. Ahern]
- ---------------------------
William H. Ahern,
Portfolio Manager
The Economy
- --------------------------------------------------------------------------------
New Jersey's unemployment rate fell to 5.4% in August. The state's jobless
picture has improved significantly in the past year, having stood at 6.1% a
year ago. Nonetheless, the state measure remains somewhat higher than the
national rate.
o New Jersey's shore tourism industry set new records in 1997. Hot, sunny
weather produced strong demand for rental properties and increased activity
for water sport-related businesses. Areas such as Cape May and Atlantic City
were especially strong. Gaming revenues ran significantly higher than a year
ago.
o Trade and services continued to pace job creation in New Jersey, with health
and recreation services especially robust. The construction sector was also
very strong, paced by a 29% increase in highway and infrastructure spending.
The Fund
- --------------------------------------------------------------------------------
o During the six months ended September 30, 1997, the Fund's Class I and Class
II shares had total returns of 4.1% and 4.5%, respectively.(1) These returns
resulted from an increase in net asset value per share for both Classes to
$10.29 on September 30, 1997 from $10.07 on March 31, 1997, and the
reinvestment of $0.194 per share in tax-free income for Class I, and $0.231
per share for Class II.(2)
o Based on the Fund's most recent dividend and a net asset value of $10.29 per
share on September 30, 1997, the distribution rate was 3.79% for Class I
shares and 4.50% for Class II shares. (3)
o The SEC yields at September 30 were 3.35% and 4.08%, respectively.(4)
Management Update
- --------------------------------------------------------------------------------
o There were relatively few changes made to the Portfolio during the period.
General obligations were the Portfolio's largest weightings.
o In a market characterized by narrow spreads and large insured issuance, we
increased our efforts to find undervalued, non-rated bonds that can improve
the Fund's yield. The growing life-care sector has presented an increasing
number of opportunities.
o The Portfolio continued to monitor closely the solid waste sector. Adverse
court rulings have cast doubt about the viability of some projects. The
Portfolio focused solely on those projects such as Union County that are
clearly financially feasible.
Your Investment at Work
- --------------------------------------------------------------------------------
New Jersey Economic
Development Authority
Vineland Cogeneration [Graphic Omitted]
o In 1988, the City of Vineland negotiated a power purchase agreement to provide
additional generating capacity for the City's future energy needs.
o These bonds financed the construction of a cogeneration facility to provide
thermal power for the cooking and canning operations of Progresso Foods
Company.
o In addition to providing an excellent example of municipal bonds benefiting
both corporate and community development, the bonds provide an attractive
7.88% coupon for the Portfolio.
- --------------------------------------------------------------------------------
(1) This return does not include the Fund's Class I applicable contingent
deferred sales charge (CDSC). (2) A portion of the Fund's income could be
subject to federal income tax and/or alternative minimum tax.(3) The Fund's
distribution rate represents actual distributions paid to shareholders and
is calculated daily by dividing the last distribution per share (annualized)
by the net asset value. (4) The Fund's SEC yield is calculated by dividing
the net investment income per share for the 30-day period by the net asset
value at the end of the period and annualizing the result. (5) Returns are
calculated by determining the percentage change in net asset value (NAV)
with all distributions reinvested. SEC returns for Class I reflect
applicable CDSC based on the following schedule: 3%-1st year; 2.5%-2nd year;
2%-3rd year; 1%-4th year. (6) Sector weightings and Portfolio Overview are
as of 9/30/97 only and may not be representative of the Portfolio's current
or future investments. *Private insurance does not decrease the risk of loss
of principal associated with this investment. Past performance is no
guarantee of future results. Investment return and principal value will
fluctuate so that shares, when redeemed, may be worth more or less than
their original cost.
Fund Information
as of September 30, 1997
Performance(5)
- --------------------------------------------------------------------------------
Average Annual Total Returns (at net asset value)
- --------------------------------------------------------------------------------
Class I Class II
------- --------
One Year 5.9% 6.7%
Five Years 4.6 4.8
Life of Fund (6/1/92) 4.9 5.1
SEC Average Annual Total Returns (including applicable CDSC)
- --------------------------------------------------------------------------------
Class I Class II
------- --------
One Year 2.9% 6.7%
Five Years 4.6 4.8
Life of Fund (6/1/92) 4.9 5.1
5 Largest Sectors(6)
- --------------------------------------------------------------------------------
By total investments
Insured - General Obligations* 25.8%
General Obligations 14.9%
Cogeneration 8.3%
Insured - Transportation* 7.9%
Insured - Hospitals* 7.1%
Portfolio Overview(6)
- --------------------------------------------------------------------------------
Number of Issues 48
Average Rating AA-
Average Coupon 5.96%
Average Effective Maturity 8.9 Yrs.
Average Maturity 10.9 Yrs.
Average Duration 6.6 Yrs.
<PAGE>
EV Marathon New York Limited Maturity Municipals Fund as of September 30, 1997
- --------------------------------------------------------------------------------
INVESTMENT UPDATE
- --------------------------------------------------------------------------------
- ----------------------------
[Photo of Nicole Anderes]
- ----------------------------
Nicole Anderes,
Portfolio Manager
The Economy
- --------------------------------------------------------------------------------
o New York has entered its fifth consecutive year of marginal growth, although
the state's 0.2% job growth continues to lag that of the nation as a whole,
ranking 38th among the states. New York has been especially affected by the
loss of manufacturing jobs. Despite lackluster overall growth, the single
engine of the securities industry has been able to improve the state's
financial health.
o Income growth in New York again outpaced the nation, boosted by the twin
effects of strong profits and increasing bonuses within the financial sector.
Four of the state's highest-paying sectors are in the financial services
sector, which benefited from a slow-growth economy and a low interest-rate
climate.
o New York ended fiscal 1997 with a surplus in excess of $1 billion, thanks to
the securities industry tax windfall and cost containments implemented by the
Pataki administration.
The Fund
- --------------------------------------------------------------------------------
o During the six months ended September 30, 1997, the Fund's Class I and Class
II shares had total returns of 5.6% and 5.9%, respectively.(1) These returns
resulted from an increase in net asset value per share for both Classes to
$10.40 on September 30, 1997 from $10.04 on March 31, 1997, and the
reinvestment of $0.193 per share in tax-free income for Class I, and $0.230
per share for Class II.(2)
o Based on the Fund's most recent dividend and a net asset value of $10.40 per
share on September 30, 1997, the distribution rate was 3.73% for Class I
shares and 4.43% for Class II shares.(3)
o The SEC yields at September 30 were 3.55% and 4.28%, respectively.(4)
Management Update
- --------------------------------------------------------------------------------
o We restructured the Portfolio in late Spring, reducing holdings insured issues
while increasing our exposure to state-appropriated debt. State debt was
subsequently upgraded by S&P and has since outperformed.
o From the standpoint of maturity structure, we've followed a "barbell"
approach, while keeping portfolio maturities the same. At one end, we have
moved out of the 12-to-17 year maturity range and into longer-maturity,
performance-oriented bonds.
o At the other end of the barbell, we have emphasized shorter-maturity,
higher-yielding bonds with less price-sensitivity. This barbell approach has
provided upside potential as well as a measure of protection against a
possible market reversal.
Your Investment at Work
- --------------------------------------------------------------------------------
New York State Housing Finance Agency
Health Facilities Revenue Bonds [Graphic Omitted]
o These bonds were issued in 1995 to refund outstanding bonds that financed the
construction of health facilities throughout New York City.
o The bonds are subject to annual appropriations by the New York State
legislature, and are therefore a "tried and true" debt financing structure
within the state.
o With its 6.38% coupon, the bond provides a significant advantage over
higher-quality New York municipals. However, given New York State's
involvement in the income stream, the issue provides better underlying credit
quality than its Baa/BBB+ ratings imply.
- --------------------------------------------------------------------------------
(1) This return does not include the Fund's Class I applicable contingent
deferred sales charge (CDSC). (2) A portion of the Fund's income could be
subject to federal income tax and/or alternative minimum tax.(3) The Fund's
distribution rate represents actual distributions paid to shareholders and
is calculated daily by dividing the last distribution per share (annualized)
by the net asset value. (4) The Fund's SEC yield is calculated by dividing
the net investment income per share for the 30-day period by the net asset
value at the end of the period and annualizing the result. (5) Returns are
calculated by determining the percentage change in net asset value (NAV)
with all distributions reinvested. SEC returns for Class I reflect
applicable CDSC based on the following schedule: 3%-1st year; 2.5%-2nd year;
2%-3rd year; 1%-4th year. (6) Sector weightings and Portfolio Overview are
as of 9/30/97 only and may not be representative of the Portfolio's current
or future investments. *Private insurance does not decrease the risk of loss
of principal associated with this investment. Past performance is no
guarantee of future results. Investment return and principal value will
fluctuate so that shares, when redeemed, may be worth more or less than
their original cost.
- --------------------------------------------------------------------------------
Fund Information
as of September 30, 1997
Performance(5)
- --------------------------------------------------------------------------------
Average Annual Total Returns (at net asset value)
- --------------------------------------------------------------------------------
Class I Class II
------- --------
One Year 6.9% 7.7%
Five Years 4.9 5.1
Life of Fund (5/29/92) 5.1 5.3
SEC Average Annual Total Returns (including applicable CDSC)
- --------------------------------------------------------------------------------
Class I Class II
------- --------
One Year 3.9% 7.7%
Five Years 4.9 5.1
Life of Fund (5/29/92) 5.1 5.3
5 Largest Sectors(6)
- --------------------------------------------------------------------------------
By total investments
Transportation 14.3%
Lease Revenue/COP 14.0%
Housing 11.1%
Insured - Hospitals* 8.7%
Water & Sewer 7.7%
Portfolio Overview(6)
- --------------------------------------------------------------------------------
Number of Issues 38
Average Rating AA-
Average Coupon 5.9%
Average Effective Maturity 9.6 Yrs.
Average Maturity 13.2 Yrs.
Average Duration 6.7 Yrs.
<PAGE>
EV Marathon Ohio Limited Maturity Municipals Fund as of September 30, 1997
- --------------------------------------------------------------------------------
INVESTMENT UPDATE
- --------------------------------------------------------------------------------
- ---------------------------
[Photo of William H. Ahern]
- ---------------------------
William H. Ahern,
Portfolio Manager
The Economy
- --------------------------------------------------------------------------------
o Ohio's unemployment rate of 4.1% remained well below that of the U.S., as the
labor market remained strong. The state has enjoyed an increase of 127,000
jobs in the past 12 months, with continuing employment growth in the service
sector. The manufacturing area experienced some weakness. The UPS strike also
had a modestly negative impact.
o Ohio-based companies have benefited from a willingness to embrace innovative
approaches to new markets. Ohio has become the leading exporter of
manufactured goods in the U.S. More than two-thirds of all Ohio companies with
more than 100 employees now sell their products abroad.
o Tax revenues of $1.8 billion for fiscal year 1997 ran slightly ahead of
estimates. Income revenues and sales tax receipts were especially strong
income sources.
The Fund
- --------------------------------------------------------------------------------
o During the six months ended September 30, 1997, the Fund's Class I and Class
II shares had total returns of 4.7% and 5.1%, respectively.(1) These returns
resulted from an increase in net asset value per share for both Classes to
$10.08 on September 30, 1997 from $9.82 on March 31, 1997, and the
reinvestment of $0.199 per share in tax-free income for Class I, and $0.235
per share for Class II.(2)
o Based on the Fund's most recent dividend and a net asset value of $10.08 per
share on September 30, 1997, the distribution rate was 3.97% for Class I
shares and 4.68% for Class II shares.(3)
o The SEC yields at September 30 were 3.55% and 4.26%, respectively.(4)
Management Update
- --------------------------------------------------------------------------------
o In light of a continuing narrowing of quality spreads, we have pursued a
relative-value approach, targeting sectors that have cheapened relative to the
overall Ohio market.
o The Portfolio was able to find some attractive, higher- yielding opportunities
in smaller issues, including some nursing homes and life care bonds.
o We continued to emphasize upgrading the Portfolio's call protection. That
helps to protect the Portfolio from untimely bond redemptions while also
preserving the Fund's capital appreciation potential.
Your Investment at Work
- --------------------------------------------------------------------------------
Wauseon, OH,
School District Bonds [Graphic Omitted]
o The Wauseon Exempted School District, located in Fulton County, serves
approximately 2000 students and offers a wide range of courses in college
preparatory, vocational, and physical education.
o The proceeds of the bonds were used to retire earlier bond issues that
financed projects to furnish, equip and remodel school facilities, as well as
to enlarge and renovate the Wauseon Public Library.
o This bond, rated A3 by Moody's, carries an attractive 7.25% coupon and is a
good example of the Port-folio's efforts to find yield and value in smaller
issues.
- --------------------------------------------------------------------------------
(1) This return does not include the Fund's Class I applicable contingent
deferred sales charge (CDSC). (2) A portion of the Fund's income could be
subject to federal income tax and/or alternative minimum tax.(3) The Fund's
distribution rate represents actual distributions paid to shareholders and
is calculated daily by dividing the last distribution per share (annualized)
by the net asset value. (4) The Fund's SEC yield is calculated by dividing
the net investment income per share for the 30-day period by the net asset
value at the end of the period and annualizing the result. (5) Returns are
calculated by determining the percentage change in net asset value (NAV)
with all distributions reinvested. SEC returns for Class I reflect
applicable CDSC based on the following schedule: 3%-1st year; 2.5%-2nd year;
2%-3rd year; 1%-4th year. (6) Sector weightings and Portfolio Overview are
as of 9/30/97 only and may not be representative of the Portfolio's current
or future investments. *Private insurance does not decrease the risk of loss
of principal associated with this investment.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost.
Fund Information
as of September 30, 1997
Performance(5)
- --------------------------------------------------------------------------------
Average Annual Total Returns (at net asset value)
- --------------------------------------------------------------------------------
Class I Class II
------- --------
One Year 6.4% 7.0%
Life of Fund (4/16/93) 4.3 4.5
SEC Average Annual Total Returns (including applicable CDSC)
- --------------------------------------------------------------------------------
Class I Class II
------- --------
One Year 3.4% 7.0%
Life of Fund (4/16/93) 4.3 4.5
5 Largest Sectors(6)
- --------------------------------------------------------------------------------
By total investments
Insured - General Obligations* 30.6%
Hospitals 13.3%
Industrial Devel./pollution cont. 10.3%
General Obligations 10.2%
Escrowed/prerefunded 7.8%
Portfolio Overview(6)
- --------------------------------------------------------------------------------
Number of Issues 42
Average Rating A+
Average Coupon 6.5%
Average Effective Maturity 9.1 Yrs.
Average Maturity 12.7 Yrs.
Average Duration 6.3 Yrs.
<PAGE>
EV Marathon Pennsylvania Limited Maturity Municipals Fund as of
September 30, 1997
- --------------------------------------------------------------------------------
INVESTMENT UPDATE
- --------------------------------------------------------------------------------
- ---------------------------
[Photo of Timothy T. Browse]
- ---------------------------
Timothy T. Browse,
Portfolio Manager
The Economy
- --------------------------------------------------------------------------------
o The Pennsylvania economy generated further momentum during the past year,
keeping its growth trend intact, as job creation continued. While the
commonwealth's unemployment rate still hovered slightly above the national
rate, the economy was aided by a surge in construction, which rose about 5%
over the past year.
o The service sector was responsible for seven of every eight new jobs in
Pennsylvania. According to the Pennsylvania Department of Labor and Industry,
more than 70,000 new service jobs were created in the past year, led by
business services and health care.
o Pennsylvania is making fast progress in its transition from a
manufacturing-based economy. The commonwealth ranks 5th in the nation in
biotechnology firms, 4th in environmental technology, and 2nd in
biopharmaceutical companies.
The Fund
- --------------------------------------------------------------------------------
o During the six months ended September 30, 1997, the Fund's Class I and Class
II shares had total returns of 5.2% and 5.6%, respectively.(1) These returns
resulted from an increase in net asset value per share for both Classes to
$10.42 on September 30, 1997 from $10.10 on March 31, 1997, and the
reinvestment of $0.200 per share in tax-free income for Class I, and $0.237
per share for Class II.(2)
o Based on the Fund's most recent dividend and a net asset value of $10.42 per
share on September 30, 1997, the distribution rate was 3.86% for Class I
shares and 4.56% for Class II shares.(3)
o The SEC yields at September 30 were 3.39% and 4.12%, respectively.(4)
Management Update
- --------------------------------------------------------------------------------
o In this volatile period, the Portfolio made relatively few changes, continuing
a relative-value approach and focusing on research-intensive, non-rated issues
to add yield to the Fund.
o The Portfolio maintained its fairly large exposure to hospitals. Although the
field is increasingly competitive, we were able to add yield to the Fund with
BBB rated hospital bonds.
o We were able to reduce the impact of market volatility on the Portfolio by
balancing higher-yielding bonds with higher-quality insured bonds. The
higher-yielding bonds possess defensive characteristics that provided a
measure of protection against a market reversal, while the lower-yielding
bonds provided upside protection.
Your Investment At Work
- --------------------------------------------------------------------------------
Pennsylvania EDA
Resource Recovery - Colver Project [Graphic Omitted]
o These bonds were issued to finance the development of a 102-megawatt,
waste-coal-fired, power production facility.
o The project will generate electricity through the use of 552,000 tons per year
of bituminous coal refuse left over from decades of coal mining in the region.
The project is popular because it uses waste products to provide energy for
the surrounding populations.
o This bond, rated BBB- by S&P, represents the efforts of the Portfolio to add
value through lower-rated, investment-grade bonds that may have further
upgrade potential.
- --------------------------------------------------------------------------------
(1) This return does not include the Fund's Class I applicable contingent
deferred sales charge (CDSC). (2) A portion of the Fund's income could be
subject to federal income tax and/or alternative minimum tax.(3) The Fund's
distribution rate represents actual distributions paid to shareholders and
is calcaulated daily by dividing the last distribution per share
(annualized) by the net asset value. (4) The Fund's SEC yield is calculated
by dividing the net investment income per share for the 30-day period by the
net asset value at the end of the period and annualizing the result. (5)
Returns are calculated by determining the percentage change in net asset
value (NAV) with all distributions reinvested. SEC returns for Class I
reflect applicable CDSC based on the following schedule: 3%-1st year;
2.5%-2nd year; 2%-3rd year; 1%-4th year. (6) Sector weightings and Portfolio
Overview are as of 9/30/97 only and may not be representative of the
Portfolio's current or future investments. *Private insurance does not
decrease the risk of loss of principal associated with this investment. Past
performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost.
- --------------------------------------------------------------------------------
Fund Information
as of September 30, 1997
Performance(5)
- --------------------------------------------------------------------------------
Average Annual Total Returns (at net asset value)
- --------------------------------------------------------------------------------
Class I Class II
------- --------
One Year 6.9% 7.6%
Five Years 4.8 5.0
Life of Fund (6/1/92) 5.2 5.4
SEC Average Annual Total Returns (including applicable CDSC)
- --------------------------------------------------------------------------------
Class I Class II
------- --------
One Year 3.9% 7.6%
Five Years 4.8 5.0
Life of Fund (6/1/92) 5.2 5.4
5 Largest Sectors(6)
- --------------------------------------------------------------------------------
By total investments
Hospitals 15.2%
Life Care 13.1%
Escrowed/prerefunded 9.5%
Insured - Electric Utilities** 7.5%
Transportation 7.5%
Portfolio Overview(6)
- --------------------------------------------------------------------------------
Number of Issues 51
Average Rating AA-
Average Coupon 5.87%
Average Effective Maturity 8.8 Yrs.
Average Maturity 11.2 Yrs.
Average Duration 6.7 Yrs.
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Assets and Liabilities
As of September 30, 1997
Marathon Marathon Marathon Marathon Marathon
California Connecticut Florida Massachusetts Michigan
Limited Fund Limited Fund Limited Fund Limited Fund Limited Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
- ------------------------------------------------------------------------------------------------------------------------------
Investment in Limited
Maturity Municipals
Portfolio --
Identified cost $34,198,224 $ 9,116,499 $69,128,713 $55,658,295 $11,165,088
Unrealized appreciation 1,624,530 381,923 2,983,835 2,482,927 703,221
- ------------------------------------------------------------------------------------------------------------------------------
Total investment in
Portfolio, at value
(Note 1A) $35,822,754 $ 9,498,422 $72,112,548 $58,141,222 $11,868,309
- ------------------------------------------------------------------------------------------------------------------------------
Receivable for Fund shares
sold $ -- $ 20,000 $ 500 $ 645 $ --
Other assets -- -- -- -- 1,270
Deferred organization
expenses (Note 1D) -- 2,297 -- -- 3,272
- ------------------------------------------------------------------------------------------------------------------------------
Total assets $35,822,754 $ 9,520,719 $72,113,048 $58,141,867 $11,872,851
- ------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------
Payable for Fund shares
redeemed $ 565,727 $ 21,349 $ 748,261 $ 183,324 $ 69,580
Dividends payable 62,987 15,232 126,415 99,715 20,673
Payable to affiliate for
Trustees' fees (Note 4) 50 43 409 426 45
Accrued expenses 17,840 3,852 44,906 26,579 5,455
- ------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 646,604 $ 40,476 $ 919,991 $ 310,044 $ 95,753
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets $35,176,150 $ 9,480,243 $71,193,057 $57,831,823 $11,777,098
- ------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------------------------------------------------------
Paid-in capital $35,959,700 $ 9,520,125 $71,872,153 $57,717,274 $12,177,006
Accumulated net realized
loss on investments
from Portfolio (computed
on basis of identified
cost) (2,317,160) (483,354) (3,534,687) (2,353,724) (1,099,292)
Accumulated undistributed
(distributions in excess
of) net investment
income (90,920) 61,549 (128,244) (14,654) (3,837)
Net unrealized appreciation
of investments from
Portfolio (computed on
basis of identified
cost) 1,624,530 381,923 2,983,835 2,482,927 703,221
- ------------------------------------------------------------------------------------------------------------------------------
Total $35,176,150 $ 9,480,243 $71,193,057 $57,831,823 $11,777,098
- ------------------------------------------------------------------------------------------------------------------------------
Class I
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets $15,028,984 $ 6,065,684 $25,458,510 $20,790,775 $ 5,936,007
Shares of beneficial
interest outstanding 1,468,070 605,412 2,501,552 2,032,268 597,067
Net Asset Value, Offering
Price and Redemption
Price Per Share
(Note 6) $ 10.24 $ 10.02 $ 10.18 $ 10.23 $ 9.94
- ------------------------------------------------------------------------------------------------------------------------------
Class II
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets $20,147,166 $ 3,414,559 $45,734,547 $37,041,048 $ 5,841,091
Shares of beneficial
interest outstanding 1,967,692 340,850 4,490,499 3,620,081 587,354
Net Asset Value and
Redemption Price Per
Share $ 10.24 $ 10.02 $ 10.18 $ 10.23 $ 9.94
- ------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Assets and Liabilities
As of September 30, 1997
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Limited Fund Limited Fund Limited Fund Limited Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
- ------------------------------------------------------------------------------------------------------------------------------
Investment in Limited Maturity
Municipals Portfolio --
Identified cost $47,621,378 $80,758,674 $23,259,326 $53,766,639
Unrealized appreciation 2,485,144 2,958,781 1,023,601 2,148,720
- ------------------------------------------------------------------------------------------------------------------------------
Total investment in Portfolio, at
value (Note 1A) $50,106,522 $83,717,455 $24,282,927 $55,915,359
- ------------------------------------------------------------------------------------------------------------------------------
Receivable for Fund shares sold $ -- $ -- $ 184 $ 52,237
Other assets -- -- 668 --
Deferred organization expenses
(Note 1D) -- -- 1,930 --
- ------------------------------------------------------------------------------------------------------------------------------
Total assets $50,106,522 $83,717,455 $24,285,709 $55,967,596
- ------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------
Distributions payable $ 86,372 $ 149,391 $ 42,188 $ 99,216
Payable for Fund shares redeemed 265,786 640,809 3,553 227,769
Payable to affiliate for Trustees'
fees (Note 4) 426 418 43 410
Accrued expenses 24,158 24,995 11,466 34,041
- ------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 376,742 $ 815,613 $ 57,250 $ 361,436
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets $49,729,780 $82,901,842 $24,228,459 $55,606,160
- ------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------------------------------------------------------
Paid-in capital $49,689,840 $82,195,807 $24,351,482 $54,591,343
Accumulated net realized loss on
investments from Portfolio
(computed on basis of identified
cost) (2,372,583) (2,127,008) (1,265,297) (1,084,352)
Accumulated undistributed
(distribution in excess of) net
investment income (72,621) (125,738) 118,673 (49,551)
Net unrealized appreciation of
investments from Portfolio
(computed on basis of identified
cost) 2,485,144 2,958,781 1,023,601 2,148,720
- ------------------------------------------------------------------------------------------------------------------------------
Total $49,729,780 $82,901,842 $24,228,459 $55,606,160
- ------------------------------------------------------------------------------------------------------------------------------
Class I
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets $19,029,960 $32,021,449 $12,956,330 $19,256,727
Shares of beneficial interest
outstanding 1,848,592 3,079,465 1,284,975 1,847,445
Net Asset Value, Offering Price and
Redemption Price Per Share
(Note 6) $ 10.29 $ 10.40 $ 10.08 $ 10.42
- ------------------------------------------------------------------------------------------------------------------------------
Class II
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets $30,699,820 $50,880,393 $11,272,129 $36,349,433
Shares of beneficial interest
outstanding 2,983,013 4,893,045 1,117,998 3,486,805
Net Asset Value and Redemption
Price Per Share $ 10.29 $ 10.40 $ 10.08 $ 10.42
- ------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Operations
For the Six Months Ended September 30, 1997
Marathon Marathon Marathon Marathon Marathon
California Connecticut Florida Massachusetts Michigan
Limited Fund Limited Fund Limited Fund Limited Fund Limited Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income (Note 1B)
- ------------------------------------------------------------------------------------------------------------------------------
Interest income allocated
from Portfolio $ 1,055,058 $ 279,649 $ 2,133,303 $ 1,724,873 $ 368,510
Expenses allocated from
Portfolio (120,937) (31,380) (225,087) (188,329) (49,007)
- ------------------------------------------------------------------------------------------------------------------------------
Net investment income
from Portfolio $ 934,121 $ 248,269 $ 1,908,216 $ 1,536,544 $ 319,503
- ------------------------------------------------------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------------------------------------------------------
Compensation of Trustees
not members of the
Administrator's
organization (Note 4) $ 468 $ 86 $ 1,245 $ 866 $ 88
Distribution and service
fees -- Class I (Note 5) 92,428 36,445 166,106 135,937 41,800
Service fees -- Class II
(Note 5) 13,081 1,536 30,073 22,789 2,610
Transfer and dividend
disbursing agent fees 15,128 6,628 43,682 25,095 8,390
Legal and accounting
services 11,960 9,098 1,137 11,387 8,647
Printing and postage 5,783 3,457 9,144 9,493 4,114
Custodian fee 2,509 1,503 5,468 3,574 1,721
Amortization of
organization expenses
(Note 1D) 971 2,038 1,205 1,175 2,020
Miscellaneous 1,109 533 1,792 3,639 1,737
- ------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 143,437 $ 61,324 $ 259,852 $ 213,955 $ 71,127
- ------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 790,684 $ 186,945 $ 1,648,364 $ 1,322,589 $ 248,376
- ------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) from Portfolio
- ------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions
(identified cost basis) $ 381,445 $ 68,292 $ 410,854 $ 384,177 $ 96,972
Financial futures
contracts (309,336) (100,849) (1,005,369) (665,707) (213,288)
- ------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss)
on investments $ 72,109 $ (32,557) $ (594,515) $ (281,530) $ (116,316)
- ------------------------------------------------------------------------------------------------------------------------------
Change in unrealized
appreciation
(depreciation) --
Investment
transactions $ 1,119,464 $ 279,904 $ 2,472,690 $ 1,959,571 $ 404,496
Financial futures
contracts (160,148) 164 (227,399) (232,291) (12,188)
- ------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized
appreciation of
investments $ 959,316 $ 280,068 $ 2,245,291 $ 1,727,280 $ 392,308
- ------------------------------------------------------------------------------------------------------------------------------
Net realized and
unrealized gain on
investments $ 1,031,425 $ 247,511 $ 1,650,776 $ 1,445,750 $ 275,992
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net
assets from operations $ 1,822,109 $ 434,456 $ 3,299,140 $ 2,768,339 $ 524,368
- ------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Operations
For the Six Months Ended September 30, 1997
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Limited Fund Limited Fund Limited Fund Limited Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B)
- ------------------------------------------------------------------------------------------------------------------------------
Interest income allocated from
Portfolio $ 1,500,449 $ 2,474,673 $ 721,672 $ 1,668,997
Expenses allocated from Portfolio (171,622) (274,444) (86,413) (179,300)
- ------------------------------------------------------------------------------------------------------------------------------
Net investment income from
Portfolio $ 1,328,827 $ 2,200,229 $ 635,259 $ 1,489,697
- ------------------------------------------------------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------------------------------------------------------
Compensation of Trustees not
members of the Administrator's
organization (Note 4) $ 866 $ 882 $ 86 $ 850
Custodian fee 3,165 4,995 1,749 3,978
Distribution and service fees --
Class I (Note 5) 116,132 194,075 85,475 119,507
Service fees -- Class II (Note 5) 19,514 33,147 4,229 23,964
Transfer and dividend disbursing
agent fees 21,923 38,148 14,009 26,147
Printing and postage 9,444 13,675 4,730 10,596
Legal and accounting services 11,493 12,206 9,950 11,397
Amortization of organization
expenses (Note 1D) 1,111 1,193 2,010 1,174
Miscellaneous 7,058 4,376 2,907 4,688
- ------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 190,706 $ 302,697 $ 125,145 $ 202,301
- ------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 1,138,121 $ 1,897,532 $ 510,114 $ 1,287,396
- ------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) from Portfolio
- ------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions
(identified cost basis) $ 405,337 $ 659,255 $ 111,230 $ 617,067
Financial futures contracts (619,660) (27,362) (128,417) (195,440)
- ------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on
investments $ (214,323) $ 631,893 $ (17,187) $ 421,627
- ------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investment transactions $ 1,437,072 $ 2,989,928 $ 689,212 $ 1,558,604
Financial futures contracts (33,021) (513,306) (1,584) (119,838)
- ------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized
appreciation of investments $ 1,404,051 $ 2,476,622 $ 687,628 $ 1,438,766
- ------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain
on investments $ 1,189,728 $ 3,108,515 $ 670,441 $ 1,860,393
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
operations $ 2,327,849 $ 5,006,047 $ 1,180,555 $ 3,147,789
- ------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the Six Months Ended September 30, 1997
Marathon Marathon Marathon Marathon Marathon
Increase (Decrease) in California Connecticut Florida Massachusetts Michigan
Net Assets Limited Fund Limited Fund Limited Fund Limited Fund Limited Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
From operations --
Net investment income $ 790,684 $ 186,945 $ 1,648,364 $ 1,322,589 $ 248,376
Net realized gain
(loss) on investments 72,109 (32,557) (594,515) (281,530) (116,316)
Net change in
unrealized appreciation
(depreciation) 959,316 280,068 2,245,291 1,727,280 392,308
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
from operations $ 1,822,109 $ 434,456 $ 3,299,140 $ 2,768,339 $ 524,368
- ------------------------------------------------------------------------------------------------------------------------------
Distributions to shareholders (Note 2) --
From net investment income
Class I $ (396,555) $ (149,653) $ (723,274) $ (592,509) $ (181,279)
Class II (404,392) (41,230) (919,951) (685,713) (73,573)
In excess of net investment income
Class I (11,839) -- -- -- --
Class II (2,964) (4,402) -- -- (8,032)
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions
to shareholders $ (815,750) $ (195,285) $ (1,643,225) $(1,278,222) $ (262,884)
- ------------------------------------------------------------------------------------------------------------------------------
Transactions in shares
of beneficial interest
(Note 3) --
Proceeds from sale
of shares
Class I $ 607,583 $ 235,229 $ 144,575 $ 230,313 $ 25,374
Net asset value of
shares issued to
shareholders in
payment of
distributions
declared
Class I 195,086 95,166 363,045 378,473 120,296
Class II 150,051 20,014 312,052 326,471 21,108
Cost of shares redeemed
Class I (2,658,603) (1,338,215) (4,056,855) (4,049,678) (1,588,928)
Class II (4,228,371) (583,580) (9,964,503) (5,629,202) (899,438)
Net asset value of
shares exchanged
Class I (9,084,522) (3,359,731) (20,322,211) (17,695,527) (6,259,782)
Class II 9,084,522 3,359,731 20,322,211 17,695,527 6,259,782
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in
net assets from Fund
share transactions $(5,934,254) $(1,571,386) $(13,201,686) $(8,743,623) $(2,321,588)
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in net
assets $(4,927,895) $(1,332,215) $(11,545,771) $(7,253,506) $(2,060,104)
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------
At beginning of period $40,104,045 $10,812,458 $ 82,738,828 $65,085,329 $13,837,202
- ------------------------------------------------------------------------------------------------------------------------------
At end of period $35,176,150 $ 9,480,243 $ 71,193,057 $57,831,823 $11,777,098
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(distributions in
excess of) net
investment income
included in net assets
- ------------------------------------------------------------------------------------------------------------------------------
At end of period $ (90,920) $ 61,549 $ (128,244) $ (14,654) $ (3,837)
- ------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the Six Months Ended September 30, 1997
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Increase (Decrease) in Net Assets Limited Fund Limited Fund Limited Fund Limited Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 1,138,121 $ 1,897,532 $ 510,114 $ 1,287,396
Net realized gain (loss) on
investments (214,323) 631,893 (17,187) 421,627
Net change in unrealized
appreciation (depreciation) of
investments 1,404,051 2,476,622 687,628 1,438,766
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
operations $ 2,327,849 $ 5,006,047 $ 1,180,555 $ 3,147,789
- ------------------------------------------------------------------------------------------------------------------------------
Distributions to shareholders
(Note 2) --
From net investment income
Class I $ (526,596) $ (867,460) $ (389,019) $ (525,093)
Class II (593,595) (997,712) (134,446) (742,384)
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders $ (1,120,191) $ (1,865,172) $ (523,465) $ (1,267,477)
- ------------------------------------------------------------------------------------------------------------------------------
Transactions in shares of beneficial
interest (Note 3) --
Proceeds from sale of shares
Class I $ 844,300 $ 663,060 $ 280,504 $ 386,595
Net asset value of shares issued
to shareholders in payment
of distributions declared
Class I 375,718 538,833 259,109 301,484
Class II 293,176 480,961 62,211 277,171
Cost of shares redeemed
Class I (3,673,372) (6,793,413) (1,639,760) (2,893,779)
Class II (6,238,637) (11,157,494) (929,714) (6,223,601)
Net asset value of shares exchanged
Class I (13,875,907) (24,186,616) (11,085,887) (13,402,357)
Class II 13,875,907 24,186,616 11,085,887 13,402,357
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from
Fund share transactions $ (8,398,815) $(16,268,053) $ (1,967,650) $ (8,152,130)
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (7,191,157) $(13,127,178) $ (1,310,560) $ (6,271,818)
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------
At beginning of period $ 56,920,937 $ 96,029,020 $ 25,539,019 $ 61,877,978
- ------------------------------------------------------------------------------------------------------------------------------
At end of period $ 49,729,780 $ 82,901,842 $ 24,228,459 $ 55,606,160
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (distributions in excess of) net
investment income included in net assets
- ------------------------------------------------------------------------------------------------------------------------------
At end of period $ (72,621) $ (125,738) $ 118,673 $ (49,551)
- ------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the Year Ended March 31, 1997
Marathon Marathon Marathon Marathon Marathon
Increase (Decrease) in California Connecticut Florida Massachusetts Michigan
Net Assets Limited Fund Limited Fund Limited Fund Limited Fund Limited Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
From operations --
Net investment income $ 1,912,887 $ 476,306 $ 3,944,752 $ 3,124,380 $ 620,932
Net realized gain
(loss) on
investments (105,297) 15,444 (144,894) (65,830) 145,365
Change in unrealized
appreciation
(depreciation) of
investments (326,939) (105,957) (1,668,719) (861,229) (132,365)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net
assets from operations $ 1,480,651 $ 385,793 $ 2,131,139 $ 2,197,321 $ 633,932
- ------------------------------------------------------------------------------------------------------------------------------
Distributions to
shareholders
(Note 2) --
From net investment
income
Class I $ (1,607,095) $ (455,112) $ (3,242,562) $ (2,495,404) $ (627,157)
Class II (301,808) (1,617) (702,190) (539,280) (1,475)
In excess of net
investment income
Class I (13,847) -- (42,727) -- --
Class II -- -- (1,139) -- (43)
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders $ (1,922,750) $ (456,729) $ (3,988,618) $ (3,034,684) $ (628,675)
- ------------------------------------------------------------------------------------------------------------------------------
Transactions in shares of
beneficial interest
(Note 3) --
Proceeds from sale of
shares
Class I $ 444,769 $ 536,742 $ 2,000,615 $ 1,019,225 $ 383,540
Net asset value of
shares issued to
shareholders in
payment of
distributions
declared
Class I 765,892 292,883 1,568,006 1,508,179 343,787
Class II 103,810 16 233,744 249,269 --
Cost of shares
redeemed
Class I (11,840,189) (2,960,328) (26,233,067) (22,084,352) (5,590,014)
Class II (3,169,620) -- (9,754,340) (6,578,267) (10,723)
Net asset value of
shares exchanged
Class I (17,897,266) (590,112) (44,307,093) (30,459,860) (418,152)
Class II 17,897,266 590,112 44,307,093 30,459,860 418,152
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in net
assets from Fund
share transactions $(13,695,338) $(2,130,687) $(32,185,042) $(25,885,946) $(4,873,410)
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in net
assets $(14,137,437) $(2,201,623) $(34,042,521) $(26,723,309) $(4,868,153)
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 54,241,482 $13,014,081 $116,781,349 $ 91,808,638 $18,705,355
- ------------------------------------------------------------------------------------------------------------------------------
At end of year $ 40,104,045 $10,812,458 $ 82,738,828 $ 65,085,329 $13,837,202
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(distributions in
excess of) net
investment income
included in net assets
- ------------------------------------------------------------------------------------------------------------------------------
At end of year $ (65,854) $ 69,889 $ (133,383) $ (59,021) $ 10,671
- ------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the Year Ended March 31, 1997
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Increase (Decrease) in Net Assets Limited Fund Limited Fund Limited Fund Limited Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
From operations --
Net investment income $ 2,731,894 $ 4,559,947 $ 1,121,809 $ 3,061,799
Net realized gain (loss) on
investments and financial
futures contracts 71,248 (233,150) 202,571 493,781
Change in unrealized appreciation
(depreciation) (364,451) (911,843) (254,502) (1,235,168)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in
net assets from operations $ 2,438,691 $ 3,414,954 $ 1,069,878 $ 2,320,412
- ------------------------------------------------------------------------------------------------------------------------------
Distributions to shareholders
(Note 2) --
From net investment income
Class I $ (2,193,735) $ (3,852,507) $ (1,105,384) $ 2,334,113
Class II (497,596) (692,360) (4,852) (652,722)
In excess of net investment income
Class I -- (8,086) -- --
Class II -- -- (66) --
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders $ (2,691,331) $ (4,552,953) $ (1,110,302) $ (2,986,835)
- ------------------------------------------------------------------------------------------------------------------------------
Transactions in shares of beneficial
interest (Note 3) --
Proceeds from sale of shares
Class I $ 1,528,851 $ 1,602,059 $ 978,772 $ 1,379,651
Net asset value of shares issued
to shareholders in payment
of distributions declared
Class I 1,475,486 2,412,846 721,660 1,340,237
Class II 229,798 335,280 -- 187,093
Cost of shares redeemed
Class I (17,296,193) (31,149,203) (5,861,554) (18,401,069)
Class II (6,803,386) (9,880,126) (18,208) (6,368,306)
Net asset value of shares exchanged
Class I (28,857,585) (45,738,630) (976,757) (34,187,865)
Class II 28,857,585 45,738,630 976,757 34,187,865
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from
Fund share transactions $(20,865,444) $(36,679,144) $ (4,179,330) $(21,862,394)
- ------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $(21,118,084) $(37,817,143) $ (4,219,754) $(22,528,817)
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 78,039,021 $133,846,163 $ 29,758,773 $ 84,406,795
- ------------------------------------------------------------------------------------------------------------------------------
At end of year $ 56,920,937 $ 96,029,020 $ 25,539,019 $ 61,877,978
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (distributions in excess of) net
investment income included in net assets
- ------------------------------------------------------------------------------------------------------------------------------
At end of year $ (90,551) $ (158,098) $ 132,024 $ (69,470)
- ------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Financial Highlights
Marathon California Limited Fund
-----------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1997 ----------------------------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993*
------------------------ ----------------------------------------------------------------------------------
Class I Class II Class I Class II**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value
-- Beginning of
period $ 9.980 $ 9.980 $ 10.080 $ 9.940 $ 9.950 $ 10.050 $ 10.340 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from
operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment
income $ 0.170 $ 0.228 $ 0.393 $ 0.363 $ 0.385 $ 0.367 $ 0.380 $ 0.333
Net realized and
unrealized
gain (loss) on
investments 0.290 0.268 (0.097) 0.037++ 0.134 (0.027) (0.180) 0.443
- ------------------------------------------------------------------------------------------------------------------------------------
Total income
from operations $ 0.460 $ 0.496 $ 0.296 $ 0.400 $ 0.519 $ 0.340 $ 0.200 $ 0.776
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment
income $ (0.194) $ (0.234) $ (0.393) $ (0.360) $ (0.385) $ (0.367) $ (0.380) $ (0.333)
In excess of net
investment
income (0.006) (0.002) (0.003) -- (0.004) (0.066) (0.096) --
From net
realized gain on
investments -- -- -- -- -- (0.007) (0.014) --
From paid-in
capital -- -- -- -- -- -- -- (0.103)
- ------------------------------------------------------------------------------------------------------------------------------------
Total
distributions $ (0.200) $ (0.236) $ (0.396) $ (0.360) $ (0.389) $ (0.440) $ (0.490) $ (0.436)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value --
End of period $ 10.240 $ 10.240 $ 9.980 $ 9.980 $ 10.080 $ 9.950 $ 10.050 $ 10.340
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return(1) 4.63% 5.00% 2.99% 3.84% 5.27% 3.53% 1.86% 7.67%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end
of period (000
omitted) $ 15,029 $ 20,147 $ 25,386 $ 14,718 $ 54,241 $ 73,857 $ 82,451 $ 37,124
Ratio of net
expenses to
average daily
net assets(2)(3) 1.73%+ 1.02%+ 1.71% 0.90%+ 1.63% 1.55% 1.40% 1.33%+
Ratio of net
expenses to
average daily
net assets,
after
custodian fee
reduction(2) 1.71%+ 1.00%+ 1.70% 0.89%+ 1.59% -- -- --
Ratio of net
investment
income to
average daily
net assets 3.82%+ 4.51%+ 3.91% 4.76%+ 3.81% 3.72% 3.55% 3.77%+
Portfolio
Turnover(4) -- -- -- -- -- -- 0% 24%
- ------------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the Investment Adviser fee, an allocation of
expenses to the Administrator, or both. 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) 1.48% 1.72%+
Net investment income 3.47% 3.38%+
Net investment
income per share $0.377 $0.299
- ------------------------------------------------------------------------------------------------------------------------------------
+ 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 the per share realized and unrealized gains and losses at such time.
* For the period from the start of business, May 29, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to March 31, 1997.
(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 year ended March 31, 1996 and periods 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.
(4) Portfolio Turnover represents the rate of portfolio activity for the period while the Fund was making investments directly in
securities. The portfolio turnover rate for the period since the Fund transferred substantially all of its investable assets to
the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Financial Highlights
Marathon Connecticut Limited Fund
------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1997 -------------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994*
-------------------------------- ---------------------------------------------------------------------
Class I Class II Class I Class II**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
Beginning of period $ 9.790 $ 9.790 $ 9.850 $ 9.870 $ 9.690 $ 9.690 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 0.228 $ 0.207 $ 0.398 $ 0.087 $ 0.379 $ 0.373 $ 0.343
Net realized and
unrealized gain (loss)
on investments 0.188 0.245 (0.089) (0.082) 0.150 0.026 (0.243)
- ------------------------------------------------------------------------------------------------------------------------------------
Total income from
operations $ 0.416 $ 0.452 $ 0.309 $ 0.005 $ 0.529 $ 0.399 $ 0.100
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------------
From net investment
income $ (0.186) $ (0.201) $ (0.369) $ (0.085) $ (0.369) $ (0.373) $ (0.343)
In excess of net
investment income -- (0.021) -- -- -- (0.026) (0.056)
From net realized gain on
investments -- -- -- -- -- -- (0.011)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions $ (0.186) $ (0.222) $ (0.369) $ (0.085) $ (0.369) $ (0.399) $ (0.410)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value -- End of
period $ 10.020 $ 10.020 $ 9.790 $ 9.790 $ 9.850 $ 9.690 $ 9.690
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return(1) 4.26% 4.64% 3.21% (0.13)% 5.50% 4.27% 0.73%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(000 omitted) $ 6,066 $ 3,415 $ 10,227 $ 586 $ 13,014 $ 15,613 $ 14,752
Ratio of net expenses to
average daily net
assets(2)(3) 1.95%+ 1.53%+ 1.72% 0.70%+ 1.53% 1.23% 0.86%+
Ratio of net expenses to
average daily net
assets, after custodian
fee reduction(2) 1.93%+ 1.51%+ 1.68% 0.66%+ 1.49% -- --
Ratio of net investment
income to average daily
net assets 3.64%+ 3.98%+ 3.93% 5.06%+ 3.78% 3.89% 3.50%+
- ------------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the Investment Adviser fee, an allocation of
expenses to the Administrator, or both. 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) 2.18%+ 1.72%+ 1.96% 0.94%+ 1.86% 1.81% 2.02%+
Expenses after
custodian fee reduction 2.16%+ 1.70%+ 1.92% 0.90%+ -- -- --
Net investment income 3.41%+ 3.79%+ 3.69% 4.82%+ 3.45% 3.31% 2.34%+
Net investment income per
share $ 0.214 $ 0.197 $ 0.374 $ 0.083 $ 0.346 $ 0.317 $ 0.229
- ------------------------------------------------------------------------------------------------------------------------------------
+ Annualized.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
** For the period from the start of business, January 21, 1997, to March 31, 1997.
(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 year ended March 31, 1996 and periods 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
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Financial Highlights
Marathon Florida Limited Fund
--------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1997 -------------------------------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993*
------------------------ -------------------------------------------------------------------------------------
Class I Class II Class I Class II**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
Beginning of
period $ 9.980 $ 9.980 $ 10.170 $ 10.030 $ 10.080 $ 10.060 $ 10.360 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net
investment
income $ 0.168 $ 0.231 $ 0.388 $ 0.357 $ 0.383 $ 0.375 $ 0.387 $ 0.333
Net realized
and
unrealized
gain (loss)
on
investments 0.227 0.201 (0.185) (0.049) 0.096 0.090 (0.200) 0.469
- ------------------------------------------------------------------------------------------------------------------------------------
Total income
from
operations $ 0.395 $ 0.432 $ 0.203 $ 0.308 $ 0.479 $ 0.465 $ 0.187 $ 0.802
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment
income $ (0.195) $ (0.232) $ (0.388) $ (0.357) $ (0.383) $ (0.375) $ (0.387) $ (0.333)
In excess of
net
investment
income -- -- (0.005) (0.001) (0.006) (0.058) (0.092) --
From net
realized gain on
investments -- -- -- -- -- (0.012) (0.008) --
From paid-in
capital -- -- -- -- -- -- -- (0.109)
- ------------------------------------------------------------------------------------------------------------------------------------
Total
distributions $ (0.195) $ (0.232) $ (0.393) $ (0.358) $ (0.389) $ (0.445) $ (0.487) $ (0.442)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset
value -- End
of period $ 10.180 $ 10.180 $ 9.980 $ 9.980 $ 10.170 $ 10.080 $ 10.060 $ 10.360
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return (1) 3.96% 4.34% 2.05% 2.88% 4.78% 4.79% 1.68% 7.94%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets,
end of period
(000 omitted) $ 25,459 $ 45,735 $ 48,418 $ 34,321 $ 116,781 $ 149,581 $ 162,999 $ 90,210
Ratio of net
expenses to
average
daily net
assets(2)(3) 1.64%+ 0.92%+ 1.65% 0.89%+ 1.57% 1.50% 1.42% 1.24%+
Ratio of net
expenses to
average
daily net
assets,
after
custodian
fee
reduction(2) 1.62%+ 0.90%+ 1.63% 0.87%+ 1.56% -- -- --
Ratio of net
investment
income to
average
daily net
assets 3.87%+ 4.58%+ 3.86% 4.65%+ 3.74% 3.77% 3.57% 3.73%+
Portfolio
Turnover(4) -- -- -- -- -- -- 0% 11%
- ------------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the Investment Adviser fee, an allocation of
expenses to the Administrator, or both. 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) 1.49%+
Net investment
income 3.48%+
Net investment
income per share $0.311
- ------------------------------------------------------------------------------------------------------------------------------------
+ Annualized.
* For the period from the start of business, May 29, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to March 31, 1997.
(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 year ended March 31, 1996 and periods 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.
(4) Portfolio Turnover represents the rate of portfolio activity for the period while the Fund was making investments directly in
securities. The portfolio turnover rate for the period since the Fund transferred substantially all of its investable assets to
the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Financial Highlights
Marathon Massachusetts Limited Fund
--------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1997 -------------------------------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993*
------------------------ -------------------------------------------------------------------------------------
Class I Class II Class I Class II**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
Beginning of
period $ 9.990 $ 9.990 $ 10.100 $ 9.940 $ 9.980 $ 9.960 $ 10.270 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss)
from operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment
income $ 0.184 $ 0.230 $ 0.378 $ 0.359 $ 0.383 $ 0.383 $ 0.385 $ 0.334
Net realized and
unrealized
gain (loss) on
investments 0.248 0.239 (0.106) 0.040++ 0.126 0.082 (0.197) 0.368
- ------------------------------------------------------------------------------------------------------------------------------------
Total income
from
operations $ 0.432 $ 0.469 $ 0.272 $ 0.399 $ 0.509 $ 0.465 $ 0.188 $ 0.702
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment
income $ (0.192) $ (0.229) $ (0.382) $ (0.349) $ (0.383) $ (0.383) $ (0.385) $ (0.334)
In excess of net
investment
income -- -- -- -- (0.006) (0.055) (0.095) --
From net
realized gain
on investments -- -- -- -- -- (0.007) (0.018) --
From paid-in
capital -- -- -- -- -- -- -- (0.098)
- ------------------------------------------------------------------------------------------------------------------------------------
Total
distributions $ (0.192) $ (0.229) $ (0.382) $ (0.349) $ (0.389) $ (0.445) $ (0.498) $ (0.432)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset
value -- End
of period $ 10.230 $ 10.230 $ 9.990 $ 9.990 $ 10.100 $ 9.980 $ 9.960 $ 10.270
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return (1) 4.34% 4.72% 2.74% 3.83% 5.08% 4.84% 1.75% 6.95%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental
Data+
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets,
end of period
(000 omitted) $ 20,791 $ 37,041 $ 41,090 $ 23,995 $ 91,809 $113,338 $ 115,121 $ 55,737
Ratio of net
expenses to
average
daily net
assets(2)(3) 1.66%+ 0.98%+ 1.68% 0.91%+ 1.60% 1.57% 1.46% 1.24%+
Ratio of net
expenses to
average
daily net
assets,
after
custodian
fee
reduction(2) 1.64%+ 0.96%+ 1.66% 0.89%+ 1.58% -- -- --
Ratio of net
investment
income to
average
daily net
assets 3.95%+ 4.62%+ 3.90% 4.76%+ 3.71% 3.89% 3.61% 3.88%+
Portfolio
Turnover(4) -- -- -- -- -- -- 2% 21%
- ------------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the Investment Adviser fee, an allocation of
expenses to the Administrator, or both. 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) 1.55%+
Net investment
income 3.57%+
Net investment
income per share $0.307
- ------------------------------------------------------------------------------------------------------------------------------------
+ Annualized.
++ Per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of timing of sales of
Fund shares and the amount of per share realized and unrealized gains and losses at such time.
* For the period from the start of business, June 1, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to March 31, 1997.
(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 year ended March 31, 1996 and periods thereafter, have been adjusted to reflect a change in reporting
guidelines. The new reporting guidelines require each Fund to increase its expense ratio by the effect of any expense offset
arrangements with its service providers or those of its corresponding Portfolio. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
(4) Portfolio Turnover represents the rate of portfolio activity for the period while the Fund was making investments directly in
securities. The portfolio turnover rate for the period since the Fund transferred substantially all of its investable assets to
the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
</TABLE>
See notes to financial statements
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Financial Highlights
Marathon Michigan Limited Fund
------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1997 -------------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994*
-------------------------------- ---------------------------------------------------------------------
Class I Class II Class I Class II**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
Beginning of period $ 9.740 $ 9.740 $ 9.730 $ 9.740 $ 9.630 $ 9.650 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 0.193 $ 0.217 $ 0.382 $ 0.201 $ 0.383 $ 0.364 $ 0.345
Net realized and
unrealized gain on
investments 0.201 0.213 0.012 0.001 0.090 0.030 (0.279)
- ------------------------------------------------------------------------------------------------------------------------------------
Total income from
operations $ 0.394 $ 0.430 $ 0.394 $ 0.202 $ 0.473 $ 0.394 $ 0.066
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------------
From net investment
income $ (0.194) $ (0.207) $ (0.384) $ (0.201) $ (0.373) $ (0.364) $ (0.345)
In excess of net
investment income -- (0.023) -- (0.001) -- (0.050) (0.071)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions $ (0.194) $ (0.230) $ (0.384) $ (0.202) $ (0.373) $ (0.414) $ (0.416)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value -- End of
period $ 9.940 $ 9.940 $ 9.740 $ 9.740 $ 9.730 $ 9.630 $ 9.650
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return(1) 4.06% 4.44% 4.14% 1.89% 4.95% 4.24% 0.37%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(000 omitted) $ 5,936 $ 5,841 $ 13,431 $ 406 $ 18,705 $ 26,048 $ 26,788
Ratio of net expenses to
average daily net
assets(2)(3) 2.04%+ 1.59%+ 1.99% 1.18%+ 1.78% 1.55% 0.91%+
Ratio of net expenses to
average daily net
assets, after custodian
fee reduction(2) 2.01%+ 1.56%+ 1.96% 1.15%+ 1.75% -- --
Ratio of net investment
income to average daily
net assets 3.78%+ 4.19%+ 3.91% 4.56%+ 3.92% 3.82% 3.56%+
- ------------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the Investment Adviser fee, an allocation of
expenses to the Administrator, or both. 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) 1.66% 1.63%+
Net investment income 3.71% 2.84%+
Net investment income per
share $ 0.354 $ 0.275
- ------------------------------------------------------------------------------------------------------------------------------------
+ Annualized.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
** For the period from the start of business, October 22, 1996, to March 31, 1997.
(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 year ended March 31, 1996 and periods 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
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Financial Highlights
Marathon New Jersey Limited Fund
-----------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1997 ----------------------------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993*
------------------------ ----------------------------------------------------------------------------------
Class I Class II Class I Class II**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value
-- Beginning of
period $ 10.070 $ 10.070 $ 10.110 $9.960 $ 10.020 $ 10.030 $ 10.350 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from
operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment
income $ 0.177 $ 0.231 $ 0.375 $ 0.362 $ 0.383 $ 0.370 $ 0.374 $ 0.325
Net realized and
unrealized
gain (loss) on
investments 0.239 0.221 (0.026) (0.102)++ 0.093 0.068 (0.216)++ 0.453
- ------------------------------------------------------------------------------------------------------------------------------------
Total income
from operations $ 0.416 $ 0.452 $ 0.349 $ 0.464 $ 0.476 $ 0.438 $ 0.158 $ 0.778
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment
income $ (0.196) $ (0.232) $ (0.389) $ (0.354) $ (0.383) $ (0.370) $ (0.374) $ (0.325)
In excess of net
investment
income -- -- -- -- (0.003) (0.060) (0.092) --
From net
realized gain on
investments -- -- -- -- -- (0.018) (0.012) --
From paid-in
capital -- -- -- -- -- -- -- (0.103)
- ------------------------------------------------------------------------------------------------------------------------------------
Total
distributions $ (0.196) $ (0.232) $ (0.389) $ (0.354) $ (0.386) $ (0.448) $ (0.478) $ (0.428)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value
-- End of period $ 10.290 $ 10.290 $ 10.070 $ 10.070 $ 10.110 $ 10.020 $ 10.030 $ 10.350
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return(1) 4.14% 4.52% 3.53% 4.48% 4.79% 4.53% 1.44% 7.71%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end
of period (000
omitted) $ 19,030 $ 30,700 $ 34,691 $ 22,230 $ 78,039 $ 93,361 $ 99,743 $ 58,527
Ratio of net
expenses to
average daily
net assets(2)(3) 1.66%+ 1.03%+ 1.69% 0.88%+ 1.60% 1.56% 1.51% 1.25%+
Ratio of net
expenses to
average daily
net assets,
after
custodian fee
reduction(2) 1.66%+ 1.03%+ 1.66% 0.85%+ 1.58% -- -- --
Ratio of net
investment
income to
average daily
net assets 3.94%+ 4.58%+ 3.90% 4.75%+ 3.77% 3.73% 3.50% 3.71%+
Portfolio
Turnover(4) -- -- -- -- -- -- 0% 9%
- ------------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the Investment Adviser fee, an allocation of
expenses to the Investment Adviser or Administrator, or both. 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) 1.55%+
Net investment
income 3.41%+
Net investment
income per share $0.299
- ------------------------------------------------------------------------------------------------------------------------------------
+ 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 the per share realized and unrealized gains and losses at such time.
* For the period from the start of business, June 1, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to March 31, 1997.
(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 year ended March 31, 1996 and periods 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.
(4) Portfolio Turnover represents the rate of portfolio activity for the period while the Fund was making investments directly in
securities. The portfolio turnover rate for the period since the Fund transferred substantially all of its investable assets to
the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Financial Highlights
Marathon New York Limited Fund
--------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1997 -------------------------------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993**
------------------------ -------------------------------------------------------------------------------------
Class I Class II Class I Class II*
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
Beginning of
period $ 10.040 $ 10.040 $ 10.150 $ 10.000 $ 10.030 $ 10.040 $ 10.360 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment
income $ 0.173 $ 0.232 $ 0.387 $ 0.357 $ 0.374 $ 0.378 $ 0.387 $ 0.327
Net realized and
unrealized
gain (loss) on
investments 0.382 0.359 (0.109) 0.035++ 0.135 0.049 (0.219) 0.475
- ------------------------------------------------------------------------------------------------------------------------------------
Total income from
operations $ 0.555 $ 0.591 $ 0.278 $ 0.392 $ 0.509 $ 0.427 $ 0.168 $ 0.802
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment
income $ (0.195) $ (0.231) $ (0.387) $ (0.352) $ (0.374) $ (0.378) $ (0.387) $ (0.327)
In excess of net
investment
income -- -- (0.001) -- (0.015) (0.055) (0.093) --
From net
realized gain on
investments -- -- -- -- -- (0.004) (0.008) --
From paid-in
capital -- -- -- -- -- -- -- (0.115)
- ------------------------------------------------------------------------------------------------------------------------------------
Total
distributions $ (0.195) $ (0.231) $ (0.388) $ (0.352) $ (0.389) $ (0.437) $ (0.488) $ (0.442)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset
value -- End
of period $ 10.400 $ 10.400 $ 10.040 $ 10.040 $ 10.150 $ 10.030 $ 10.040 $ 10.360
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return(1) 5.55% 5.93% 2.79% 3.74% 5.12% 4.41% 1.46% 7.95%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets,
end of period
(000 omitted) $ 32,021 $ 50,880 $ 60,097 $ 35,932 $ 133,846 $ 166,691 $ 178,251 $ 93,819
Ratio of net
expenses to
average
daily net
assets(2)(3) 1.61%+ 0.95%+ 1.63% 0.88%+ 1.57% 1.51% 1.40% 1.21%+
Ratio of net
expenses to
average
daily net
assets, after
custodian fee
reduction(2) 1.61%+ 0.95% 1.61% 0.86%+ 1.55% -- -- --
Ratio of net
investment
income to
average
daily net
assets 3.89%+ 4.56%+ 3.84% 4.67%+ 3.66% 3.81% 3.56% 3.69%+
Portfolio
Turnover(4) -- -- -- -- -- -- -- 11%
- ------------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an allocation of
expenses to the Investment Adviser or Administrator, or both. 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) 1.47%+
Net investment
income 3.43%+
Net investment
income per share $0.305
- ------------------------------------------------------------------------------------------------------------------------------------
+ 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 the per share realized and unrealized gains and losses at such time.
* For the period from the start of business, June 27, 1996, to March 31, 1997.
** For the period from the start of business, May 29, 1992, to March 31, 1993.
(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 year ended March 31, 1996 and periods 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.
(4) Portfolio Turnover represents the rate of portfolio activity for the period while the Fund was making investments directly in
securities. The portfolio turnover rate for the period since the Fund transferred substantially all of its investable assets to
the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
</TABLE>
See notes to financial statements
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Financial Highlights
Marathon Ohio Limited Fund
-------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1997 ---------------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994*
-------------------------- ---------------------------------------------------------------------
Class I Class II Class I Class II**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
Beginning of period $ 9.820 $ 9.820 $ 9.840 $ 9.860 $ 9.730 $ 9.730 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 0.245 $ 0.232 $ 0.408 $ 0.205 $ 0.398 $ 0.382 $ 0.354
Net realized and
unrealized gain (loss)
on investments 0.215 0.265 (0.033) (0.037) 0.085 0.032 (0.194)
- ------------------------------------------------------------------------------------------------------------------------------------
Total income from
operations $ 0.460 $ 0.497 $ 0.375 $ 0.168 $ 0.483 $ 0.414 $ 0.160
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------------
From net investment income $ (0.200) $ (0.237) $ (0.395) $ (0.205) $ (0.373) $ (0.382) $ (0.354)
In excess of net
investment income -- -- -- (0.003) -- (0.032) (0.076)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions $ (0.200) $ (0.237) $ (0.395) $ (0.208) $ (0.373) $ (0.414) $ (0.430)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value -- End of
period $ 10.080 $ 10.080 $ 9.820 $ 9.820 $ 9.840 $ 9.730 $ 9.730
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return(1) 4.72% 5.09% 3.89% 1.51% 5.07% 4.41% 1.23%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(000 omitted) $ 12,956 $ 11,272 $ 24,587 $ 952 $ 29,759 $ 34,279 $ 32,002
Ratio of net expenses to
average daily net assets
(2)(3) 1.81%+ 1.28%+ 1.84% 1.08%+ 1.67% 1.49% 1.03%+
Ratio of net expenses to
average daily net
assets, after custodian
fee reduction(2) 1.81%+ 1.28%+ 1.81% 1.05%+ 1.65% -- --
Ratio of net investment
income to average daily
net assets 3.95%+ 4.48%+ 4.06% 4.75%+ 4.04% 3.95% 3.53%+
- ------------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an allocation of
expenses to the Investment Adviser or Administrator, or both. 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) 1.60% 1.63%+
Net investment income 3.84% 2.93%+
Net investment income per
share $ 0.371 $ 0.293
- ------------------------------------------------------------------------------------------------------------------------------------
+ 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 the per share realized and unrealized gains and losses at such time.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
** For the period from the start of business, October 22, 1996, to March 31, 1997.
(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 year ended March 31, 1996 and periods 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 its corresponding Portfolio. The expense ratios for each of the prior
periods have not been adjusted to reflect this change.
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Financial Highlights
Marathon Pennsylvania Limited Fund
-------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1997 ------------------------------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993*
----------------------- ------------------------------------------------------------------------------------
Class I Class II Class I Class II**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
Beginning of
period $ 10.100 $ 10.100 $ 10.190 $ 10.030 $ 10.090 $ 10.100 $ 10.390 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from
operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment
income $ 0.186 $ 0.240 $ 0.392 $ 0.371 $ 0.388 $ 0.374 $ 0.399 $ 0.336
Net realized and
unrealized
gain (loss) on
investments 0.336 0.319 (0.081) 0.063++ 0.110 0.065 (0.195) 0.490
- ------------------------------------------------------------------------------------------------------------------------------------
Total income
(loss) from
operations $ 0.522 $ 0.559 $ (0.311) $ 0.434 $ 0.498 $ 0.439 $ 0.204 $ 0.826
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment
income $ (0.202) $ (0.239) $ (0.401) $ (0.364) $ (0.388) $ (0.374) $ (0.399) $ (0.336)
In excess of
net investment
income -- -- -- -- (0.010) (0.069) (0.083) --
From net
realized gain
on investments -- -- -- -- -- (0.006) (0.012) --
In excess of
net realized
gain on
investments -- -- -- -- -- -- -- (0.100)
- ------------------------------------------------------------------------------------------------------------------------------------
Total
distributions $ (0.202) $ (0.239) $ (0.401) $ (0.364) $ (0.398) $ (0.449) $ (0.494) $ (0.436)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset
value -- End
of period $ 10.420 $ 10.420 $ 10.100 $ 10.100 $ 10.190 $ 10.090 $ 10.100 $ 10.390
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return(1) 5.19% 5.57% 3.12% 4.15% 4.98% 4.50% 1.89% 8.19%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental
Data+
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets,
end of period
(000 omitted) $ 19,257 $ 36,349 $ 33,971 $ 27,907 $ 84,407 $103,553 $109,515 $ 65,005
Ratio of net
expenses to
average
daily net
assets(2)(3) 1.70%+ 1.00%+ 1.69% 0.90%+ 1.62% 1.57% 1.45% 1.29%+
Ratio of net
expenses to
average
daily net
assets,
after
custodian fee
reduction(2) 1.68%+ 0.98%+ 1.67% 0.88%+ 1.60% -- -- --
Ratio of net
investment
income to
average
daily net
assets 4.00%+ 4.70%+ 4.05% 4.83%+ 3.79% 3.75% 3.63% 3.88%+
Portfolio
Turnover(4) -- -- -- -- -- -- 0% 18%
- ------------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an allocation of
expenses to the Investment Adviser or Administrator, or both. 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) 1.53%+
Net investment
income 3.64%+
Net investment
income per share $0.315
- ------------------------------------------------------------------------------------------------------------------------------------
+ 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 the per share realized and unrealized gains and losses at such time.
* For the period from the start of business, June 1, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to March 31, 1997.
(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 year ended March 31, 1996 and periods 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.
(4) Portfolio Turnover represents the rate of portfolio activity for the period while the Fund was making investments directly in
securities. The portfolio turnover rate for the period since the Fund transferred substantially all of its investable assets to
the Portfolio is shown in the Portfolio's financial statements which are included elsewhere in this report.
See notes to financial statements
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
1 Significant Accounting Policies
- -------------------------------------------------------------------------------
Eaton Vance Investment Trust (the Trust) is an entity of the type commonly
known as a Massachusetts business trust and is registered under the Investment
Company Act of 1940, as amended, as an open-end investment management company.
The Trust presently consists of twenty-three Funds, nine of which are included
in these financial statements. They include EV Marathon California Limited
Maturity Municipals Fund ("Marathon California Limited Fund"), EV Marathon
Connecticut Limited Maturity Municipals Fund ("Marathon Connecticut Limited
Fund"), EV Marathon Florida Limited Maturity Municipals Fund ("Marathon
Florida Limited Fund"), EV Marathon Massachusetts Limited Maturity Municipals
Fund ("Marathon Massachusetts Limited Fund"), EV Marathon Michigan Limited
Maturity Municipals Fund ("Marathon Michigan Limited Fund"), EV Marathon New
Jersey Limited Maturity Municipals Fund ("Marathon New Jersey Limited Fund"),
EV Marathon New York Limited Maturity Municipals Fund ("Marathon New York
Limited Fund"), EV Marathon Ohio Limited Maturity Municipals Fund ("Marathon
Ohio Limited Fund"), and EV Marathon Pennsylvania Limited Maturity Municipals
Fund ("Marathon Pennsylvania Limited Fund"). The Funds have two classes of
shares. Class I shares are sold at net asset value and are subject to a
contingent deferred sales charge (See Note 6). Class I shares held longer then
(i) four years or (ii) the time at which the contingent deferred sales charge
applicable to such shares expires will automatically convert to Class II
shares. All classes of shares have equal rights to assets and voting
privileges. Realized and unrealized gains and losses and net investment
income, other than class specific expenses, are allocated daily to each class
of shares based on the relative net assets of each class to the total net
assets of the Fund. Each class of shares differs in its distribution plan and
certain other class specific expenses. Each Fund invests all of its investable
assets in interests in a separate corresponding open-end management investment
company (a "Portfolio"), a New York Trust, having the same investment
objective as its corresponding Fund. The Marathon California Limited Fund
invests its assets in the California Limited Maturity Municipals Portfolio,
the Marathon Connecticut Limited Fund invests its assets in the Connecticut
Limited Maturity Municipals Portfolio, the Marathon Florida Limited Fund
invests its assets in the Florida Limited Maturity Municipals Portfolio, the
Marathon Massachusetts Limited Fund invests its assets in the Massachusetts
Limited Maturity Municipals Portfolio, the Marathon Michigan Limited Fund
invests its assets in the Michigan Limited Maturity Municipals Portfolio, the
Marathon New Jersey Limited Fund invests its assets in the New Jersey Limited
Maturity Municipals Portfolio, the Marathon New York Limited Fund invests its
assets in the New York Limited Maturity Municipals Portfolio, the Marathon
Ohio Limited Fund invests its assets in the Ohio Limited Maturity Municipals
Portfolio, and the Marathon Pennsylvania Limited Fund invests its assets in
the Pennsylvania Limited Maturity Municipals Portfolio. The value of each
Fund's investment in its corresponding Portfolio reflects the Fund's
proportionate interest in the net assets of that Portfolio (93.1%, 89.1%,
87.7%, 93.1%, 91.6%, 97.9%, 96.0%, 89.6% and 91.4%) at September 30, 1997 for
the Marathon California Limited Fund, Marathon Connecticut Limited Fund,
Marathon Florida Limited Fund, Marathon Massachusetts Limited Fund, Marathon
Michigan Limited Fund, Marathon New Jersey Limited Fund, Marathon New York
Limited Fund, Marathon Ohio Limited Fund and Marathon Pennsylvania Limited
Fund, respectively). The performance of each Fund is directly affected by the
performance of its corresponding Portfolio. The financial statements of each
Portfolio, including the portfolio of investments, are included elsewhere in
this report and should be read in conjunction with each Fund's financial
statements. The following is a summary of significant accounting policies
consistently followed by the Trust in the preparation of its financial
statements. The policies are in conformity with generally accepted accounting
principles.
A Investment Valuation -- Valuation of securities by the Portfolio is
discussed in Note 1A of the Portfolio's Notes to Financial Statements, which
are included elsewhere in this report.
B Income -- Each Fund's net investment income consists of each 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 following
Funds, for federal income tax purposes, had capital loss carryovers, which
will reduce each Fund's 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 taxes. The amounts and expiration dates of the capital loss carryovers
are as follows:
Fund Amount Expires
---------------------------------------------------------------------------
Marathon California Limited Fund $ 29,906 March 31, 2005
1,636,789 March 31, 2004
723,340 March 31, 2003
Marathon Connecticut Limited Fund 248,769 March 31, 2004
215,439 March 31, 2003
Marathon Florida Limited Fund 53,705 March 31, 2005
2,395,400 March 31, 2004
645,654 March 31, 2003
Marathon Massachusetts Limited Fund 1,434,610 March 31, 2004
507,369 March 31, 2003
Marathon Michigan Limited Fund 629,966 March 31, 2004
364,378 March 31, 2003
Marathon New Jersey Limited Fund 1,685,218 March 31, 2004
481,071 March 31, 2003
Marathon New York Limited Fund 1,660,209 March 31, 2004
797,871 March 31, 2003
Marathon Ohio Limited Fund 627,563 March 31, 2004
621,935 March 31, 2003
Marathon Pennslyvania Limited Fund 1,531,994 March 31, 2004
141,151 March 31, 2003
Dividends paid by each Fund from net interest on tax-exempt municipal bonds
allocated from its corresponding Portfolio are not includable by shareholders
as gross income for federal income tax purposes because each Fund and
Portfolio intend to meet certain requirements of the Internal Revenue Code
applicable to regulated investment companies which will enable the Funds to
pay exempt-interest dividends. The portion of such interest, if any, earned on
private activity bonds issued after August 7, 1986, may be considered a tax
preference item to shareholders.
D Deferred Organization Expenses -- Costs incurred by a Fund in connection
with its organization, including registration costs, are being amortized on
the straight-line basis over five years, beginning on the date each Fund
commenced operations.
E Use of Estimates -- The preparation of 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.
F Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian to the Funds and the Portfolios. Pursuant to the respective
custodian agreements, IBT receives a fee reduced by credits which are
determined based on the average 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.
G Other -- Investment transactions are accounted for on a trade date basis.
H Interim Financial Information -- The interim financial statements relating
to September 30, 1997 and for the six months then ended have not been audited
by independent certified public accountants, but in the opinion of the Fund's
management reflect all adjustments, consisting only of normal recurring
adjustments, necessary for the fair presentation of the financial statements.
2 Distributions to Shareholders
- -------------------------------------------------------------------------------
The net income of each Fund is determined daily and substantially all of the
net income so determined is declared as a dividend to shareholders of record
at the time of declaration. Dividends are declared separately for each class
of shares. Distributions are paid monthly. Distributions of allocated realized
capital gains, if any, are made at least annually. Shareholders may reinvest
income and capital gain distributions in additional shares of the same class
of a Fund at the net asset value as of the ex-dividend date. Distributions are
paid in the form of additional shares of the same class or, at the election of
the shareholder, in cash. The Funds distinguish between distributions on a tax
basis and a financial reporting basis. Generally accepted accounting
principals require that only distributions in excess of tax basis earnings and
profits be reported in the financial statements as a return of capital.
Differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains. Permanent differences between book and tax accounting relating to
distributions are reclassified to paid-in capital. The tax treatment of
distributions for the calendar year will be reported to shareholders prior to
February 1, 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). Such shares may be issued in a number of different classes.
Transactions in Fund shares were as follows:
Marathon California Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class I (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales 60,757 44,303
Issued to shareholders electing to receive
payment of distributions in Fund shares 19,255 76,296
Redemptions (262,963) (1,178,410)
Exchange to Class II shares (893,541) (1,779,248)
-----------------------------------------------------------------------------
Net decrease (1,076,492) (2,837,059)
-----------------------------------------------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class II (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales -- --
Issued to shareholders electing to receive
payment of distributions in Fund shares 14,777 10,290
Redemptions (415,633) (314,531)
Exchange to Class II shares 893,541 1,779,248
-----------------------------------------------------------------------------
Net increase 492,685 1,475,007
-----------------------------------------------------------------------------
Marathon Connecticut Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class I (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales 23,476 54,830
Issued to shareholders electing to receive
payment of distributions in Fund shares 9,572 29,813
Redemptions (135,314) (300,480)
Exchange to Class II shares (337,363) (59,859)
-----------------------------------------------------------------------------
Net decrease (439,629) (275,696)
-----------------------------------------------------------------------------
Marathon Connecticut Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class II (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales -- --
Issued to shareholders electing to receive
payment of distributions in Fund shares 2,044 2
Redemptions (58,378) --
Exchange to Class II shares 337,363 59,859
-----------------------------------------------------------------------------
Net increase 280,989 59,861
-----------------------------------------------------------------------------
Marathon Florida Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class I (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales 14,338 197,900
Issued to shareholders electing to receive
payment of distributions in Fund shares 35,838 155,202
Redemptions (400,071) (2,599,329)
Exchange to Class II shares (2,001,691) (4,380,777)
-----------------------------------------------------------------------------
Net decrease (2,351,586) (6,627,004)
-----------------------------------------------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class II (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales -- --
Issued to shareholders electing to receive
payment of distributions in Fund shares 30,763 23,070
Redemptions (981,910) (963,892)
Exchange to Class II shares 2,001,691 4,380,777
-----------------------------------------------------------------------------
Net increase 1,050,544 3,439,955
-----------------------------------------------------------------------------
Marathon Massachusetts Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class I (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales 23,077 101,398
Issued to shareholders electing to receive
payment of distributions in Fund shares 37,294 150,180
Redemptions (400,041) (2,198,694)
Exchange to Class II shares (1,740,575) (3,028,854)
-----------------------------------------------------------------------------
Net decrease (2,080,245) (4,975,970)
-----------------------------------------------------------------------------
Marathon Massachusetts Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class II (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales -- --
Issued to shareholders electing to receive
payment of distributions in Fund shares 32,104 24,689
Redemptions (553,835) (652,306)
Exchange to Class II shares 1,740,575 3,028,854
-----------------------------------------------------------------------------
Net increase 1,218,844 2,401,237
-----------------------------------------------------------------------------
Marathon Michigan Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class I (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales 2,588 39,358
Issued to shareholders electing to receive
payment of distributions in Fund shares 12,184 35,316
Redemptions (162,244) (575,559)
Exchange to Class II shares (634,321) (42,757)
-----------------------------------------------------------------------------
Net decrease (781,793) (543,642)
-----------------------------------------------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class II (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales -- --
Issued to shareholders electing to receive
payment of distributions in Fund shares 2,125 --
Redemptions (90,751) (1,098)
Exchange to Class II shares 634,321 42,757
-----------------------------------------------------------------------------
Net increase 545,695 41,659
-----------------------------------------------------------------------------
Marathon New Jersey Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class I (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales 83,065 151,146
Issued to shareholders electing to receive
payment of distributions in Fund shares 36,821 146,399
Redemptions (360,780) (1,717,413)
Exchange to Class II shares (1,356,790) (2,856,136)
-----------------------------------------------------------------------------
Net decrease (1,597,684) (4,276,004)
-----------------------------------------------------------------------------
Marathon New Jersey Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class II (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales -- --
Issued to shareholders electing to receive
payment of distributions in Fund shares 28,681 22,628
Redemptions (610,495) (670,727)
Exchange to Class II shares 1,356,790 2,856,136
-----------------------------------------------------------------------------
Net increase 774,976 2,208,037
-----------------------------------------------------------------------------
Marathon New York Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class I (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales 64,815 158,358
Issued to shareholders electing to receive
payment of distributions in Fund shares 52,601 239,015
Redemptions (664,029) (3,084,350)
Exchange to Class II shares (2,357,133) (4,520,073)
-----------------------------------------------------------------------------
Net decrease (2,903,746) (7,207,050)
-----------------------------------------------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class II (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales -- --
Issued to shareholders electing to receive
payment of distributions in Fund shares 46,800 33,049
Redemptions (1,088,196) (975,814)
Exchange to Class II shares 2,357,133 4,520,073
-----------------------------------------------------------------------------
Net increase 1,315,737 3,577,308
-----------------------------------------------------------------------------
Marathon Ohio Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class I (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales 28,040 99,376
Issued to shareholders electing to receive
payment of distributions in Fund shares 25,958 73,211
Redemptions (164,820) (595,795)
Exchange to Class II shares (1,107,612) (98,805)
-----------------------------------------------------------------------------
Net decrease (1,218,434) (522,013)
-----------------------------------------------------------------------------
Marathon Ohio Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class II (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales -- --
Issued to shareholders electing to receive
payment of distributions in Fund shares 6,194 --
Redemptions (92,794) (1,819)
Exchange to Class II shares 1,107,612 98,805
-----------------------------------------------------------------------------
Net increase 1,021,012 96,986
-----------------------------------------------------------------------------
Marathon Pennslyvania Limited Fund
---------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class I (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales 37,541 136,028
Issued to shareholders electing to receive
payment of distributions in Fund shares 29,341 132,318
Redemptions (281,666) (1,815,306)
Exchange to Class II shares (1,302,000) (3,371,454)
-----------------------------------------------------------------------------
Net increase (1,516,784) (4,918,414)
-----------------------------------------------------------------------------
Six Months Ended
September 30, 1997 Year Ended
Class II (Unaudited) March 31, 1997
-----------------------------------------------------------------------------
Sales -- --
Issued to shareholders electing to receive
payment of distributions in Fund shares 26,905 18,350
Redemptions (606,013) (625,891)
Exchange to Class II shares 1,302,000 3,371,454
-----------------------------------------------------------------------------
Net increase 722,892 2,763,913
-----------------------------------------------------------------------------
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. Certain of the officers and
Trustees of the Funds and Portfolios are officers and directors/trustees of
the above organizations (Note 5). Except as to Trustees of the Funds and
Portfolios who are not members of EVM's or BMR's organization, officers and
Trustees receive remuneration for their services to each Fund out of the
investment adviser fee earned by BMR.
5 Distribution Plan
- --------------------------------------------------------------------------------
Each Fund has adopted a distribution plan (the "Plans") pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plans require the Funds to pay
the principal underwriter, Eaton Vance Distributors, Inc. (EVD) amounts equal
to 1/365 of 0.75% of each Fund's Class I daily net assets, for providing
ongoing distribution services and facilities to the respective Fund. A Fund
will automatically discontinue payments to EVD during any period in which
there are no outstanding Uncovered Distribution Charges, which are equivalent
to the sum of (i) 3% (3-1/2% for Marathon Connecticut Limited Fund, Marathon
Michigan Limited Fund and Marathon Ohio Limited Fund) of the aggregate amount
received by the Fund for Class I shares sold plus, (ii) distribution fees
calculated by applying the rate of 1% over the prevailing prime rate to the
outstanding balance of Uncovered Distribution Charges of EVD reduced by the
aggregate amount of contingent deferred sales charges (see Note 6) and amounts
theretofore paid to EVD. The amount payable to EVD with respect to each day is
accrued on such day as a liability of each Fund and, accordingly, reduces each
Fund's net assets. For the six months ended September 30, 1997, Marathon
California Limited Fund, Marathon Connecticut Limited Fund, Marathon Florida
Limited Fund, Marathon Massachusetts Limited Fund, Marathon Michigan Limited
Fund, Marathon New Jersey Limited Fund, Marathon New York Limited Fund,
Marathon Ohio Limited Fund, and Marathon Pennsylvania Limited Fund paid or
accrued $78,037, $30,145, $141,568, $117,808, $34,833, $103,355, $171,711,
$72,848, and $100,708, respectively, to or payable to EVD representing 0.75%
(annualized) of average daily net assets. At September 30, 1997, the amount of
Uncovered Distribution Charges of EVD calculated under the Plans for Marathon
California Limited Fund, Marathon Connecticut Limited Fund, Marathon Florida
Limited Fund, Marathon Massachusetts Limited Fund, Marathon Michigan Limited
Fund, Marathon New Jersey Limited Fund, Marathon New York Limited Fund,
Marathon Ohio Limited Fund, and Marathon Pennsylvania Limited Fund were
approximately $268,000, $211,000, $567,000, $350,000, $340,000, $346,000,
$487,000, $448,000, and $246,000, respectively.
In addition, the Plan permits the Fund to make monthly payments of service
fees to the Principal Underwriter in amounts not expected to exceed 0.25% of
each Fund's average daily net assets for any fiscal year. The Trustees have
initially implemented the Plans by authorizing the Funds to make quarterly
service fee payments to the Principal Underwriter and Authorized Firms in
amounts not expected to exceed 0.15% of each Fund's average daily net assets
attributable to both Class I and Class II shares based on the value of Fund
shares sold by such persons and remaining outstanding for at least one year.
For the six months ended September 30, 1997, Marathon California Limited Fund,
Marathon Connecticut Limited Fund, Marathon Florida Limited Fund, Marathon
Massachusetts Limited Fund, Marathon Michigan Limited Fund, Marathon New
Jersey Limited Fund, Marathon New York Limited Fund, Marathon Ohio Limited
Fund and Marathon Pennsylvania Limited Fund paid or accrued service fees to or
payable to EVD in the amount of $27,472, $7,836, $54,611, $40,918, $9,577,
$32,291, $55,511, $16,856, and $42,763, respectively. Service fee payments are
made for personal services and/or maintenance of shareholder accounts.
Service fees paid to EVD and Authorized Firms are separate and distinct from
the sales commissions and distribution fees payable by the Fund to EVD, and as
such are not subject to automatic discontinuance when there are no outstanding
Uncovered Distribution Charges of EVD.
Certain officers and Trustees of the Fund are officers or directors of EVD.
6 Contingent Deferred Sales Charge
- --------------------------------------------------------------------------------
A contingent deferred sales charge (CDSC) is imposed on any redemption of
Class I shares made within four years of purchase. Generally, the CDSC is
based upon the lower of the net asset value at date of redemption or date of
purchase. No charge is levied on Class I shares acquired by reinvestment of
dividends or capital gains distributions. The CDSC is imposed at declining
rates that begin at 3% in the case of redemptions in the first year of
purchase. No CDSC is levied on shares which have been sold to EVM or its
affiliates or to their respective employees or clients. CDSC charges are paid
to EVD to reduce the amount of Uncovered Distribution Charges calculated under
each Fund's Distribution Plan. CDSC charges received when no Uncovered
Distribution Charges exist will be credited to the Fund. EVD received
approximately $17,000, $10,000, $37,000, $31,000, $7,000, $31,000, $65,000,
$14,000 and $25,000, respectively, of CDSC paid by shareholders of Marathon
California Limited Fund, Marathon Connecticut Limited Fund, Marathon Florida
Limited Fund, Marathon Massachusetts Limited Fund, Marathon Michigan Limited
Fund, Marathon New Jersey Limited Fund, Marathon New York Limited Fund,
Marathon Ohio Limited Fund, and Marathon Pennsylvania Limited Fund for the six
months ended September 30, 1997.
7 Investment Transactions
- --------------------------------------------------------------------------------
Increases and decreases in each Fund's investment in its corresponding
Portfolio for the six months ended September 30, 1997 were as follows:
Marathon California Limited Fund
---------------------------------------------------------------------------
Increases $ 9,748,247
Decreases 16,259,819
Marathon Connecticut Limited Fund
---------------------------------------------------------------------------
Increases $ 3,613,116
Decreases 5,438,221
Marathon Florida Limited Fund
---------------------------------------------------------------------------
Increases $20,548,858
Decreases 35,339,745
Marathon Massachusetts Limited Fund
---------------------------------------------------------------------------
Increases $17,986,083
Decreases 28,194,947
Marathon Michigan Limited Fund
---------------------------------------------------------------------------
Increases $ 6,314,674
Decreases 8,898,987
Marathon New Jersey Limited Fund
---------------------------------------------------------------------------
Increases $14,775,883
Decreases 24,417,408
Marathon New York Limited Fund
---------------------------------------------------------------------------
Increases $24,964,733
Decreases 43,015,372
Marathon New York Limited Fund
---------------------------------------------------------------------------
Increases $24,964,733
Decreases 43,015,372
Marathon Ohio Limited Fund
---------------------------------------------------------------------------
Increases $11,393,898
Decreases 14,018,365
Marathon Pennsylvania Limited Fund
---------------------------------------------------------------------------
Increases $13,810,575
Decreases 23,397,953
<PAGE>
California Limited Maturity Municipals Portfolio as of September 30, 1997
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (Unaudited)
- -------------------------------------------------------------------------------
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------------- Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 3.9%
- --------------------------------------------------------------------------------------------------------------
NR BBB $ 1,500 Central Valley Financing Authority,
Cogeneration, 5.20%, 7/1/99 $ 1,527,795
- --------------------------------------------------------------------------------------------------------------
$ 1,527,795
- --------------------------------------------------------------------------------------------------------------
Electric Utilities -- 4.6%
- --------------------------------------------------------------------------------------------------------------
A2 A+ $ 1,000 California Pollution Control Financing
Authority, (Southern California Edison Co.),
Series D, 6.85%,
12/1/08 $ 1,061,250
Baa1 BBB+ 750 Puerto Rico Electric Power Authority, 5.50%,
7/1/14 759,533
- --------------------------------------------------------------------------------------------------------------
$ 1,820,783
- --------------------------------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 8.3%
- --------------------------------------------------------------------------------------------------------------
NR NR $ 1,400 California Health Facilities, (Sisters of
Providence), Prerefunded to
10/1/00, 7.50%, 10/1/10 $ 1,559,040
NR AAA 1,500 San Bernadino, CA, Certificates of
Participation Prerefunded to
8/1/01, 7.00%, 8/1/28 1,685,085
- --------------------------------------------------------------------------------------------------------------
$ 3,244,125
- --------------------------------------------------------------------------------------------------------------
General Obligations -- 0.6%
- --------------------------------------------------------------------------------------------------------------
NR NR $ 225 Eastern Plumas, CA, Health Care, (District
Hospital), 7.50%, 8/1/07 $ 226,006
- --------------------------------------------------------------------------------------------------------------
$ 226,006
- --------------------------------------------------------------------------------------------------------------
Hospitals -- 1.0%
- --------------------------------------------------------------------------------------------------------------
NR BBB+ $ 400 Stockton, CA, Health Facilities, (Dameron
Hospital), 5.70%,
12/1/14 $ 402,232
- --------------------------------------------------------------------------------------------------------------
$ 402,232
- --------------------------------------------------------------------------------------------------------------
Housing -- 4.0%
- --------------------------------------------------------------------------------------------------------------
Aaa NR $ 1,500 Corona, CA, Single Family Mortgage, 6.05%, 5/
1/27 $ 1,558,875
- --------------------------------------------------------------------------------------------------------------
$ 1,558,875
- --------------------------------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 5.2%
- --------------------------------------------------------------------------------------------------------------
A3 A $ 2,000 California Pollution Control Financing
Authority, (Browning Ferris Industry, Inc.),
Series A, 5.80%, 12/1/16 $ 2,040,200
- --------------------------------------------------------------------------------------------------------------
$ 2,040,200
- --------------------------------------------------------------------------------------------------------------
Insured - Electric Utilities -- 6.4%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,500 Sacramento Municipal Utility District,
(AMBAC), 5.60%, 8/15/16 $ 1,543,485
Aaa AAA 1,000 Southern California Public Power Authority
Project, (AMBAC), 5.00%, 7/1/17 963,460
- --------------------------------------------------------------------------------------------------------------
$ 2,506,945
- --------------------------------------------------------------------------------------------------------------
Insured - General Obligations -- 12.5%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,080 Fillmore, CA, Unified School District,
(FGIC), 0.00%, 7/1/15 $ 423,025
Aaa AAA 2,000 Mt. Diablo, CA, School District (AMBAC),
5.70%, 8/1/14 2,094,599
Aaa AAA 2,000 San Mateo County, CA, Transportation
District, (MBIA), 5.00%, 6/1/13 2,011,760
Aaa AAA 705 Ukiah, CA, Unified School District, (FGIC),
0.00%, 8/1/10 369,357
- --------------------------------------------------------------------------------------------------------------
$ 4,898,741
- --------------------------------------------------------------------------------------------------------------
Insured - Hospitals -- 19.9%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,000 ABAG Finance Authority Certificate of
Participation, (Stanford University
Hospital), (MBIA), 5.13%,
11/1/05 $ 1,046,760
Aaa AAA 1,500 ABAG Finance Authority Certificates of
Participation, (Stanford University
Hospital), (MBIA), 4.90%,
11/1/03 1,551,750
Aaa AAA 1,250 California Health Facilities Financing
Authority, (Catholic Health West), (AMBAC),
5.00%, 7/1/14 1,223,538
Aaa AAA 1,500 Loma Linda, CA, Hospital Revenue, (MBIA),
5.00%, 12/1/13 1,478,640
Aaa AAA 1,900 Riverside County, CA, (Riverside County
Hospital Project), (MBIA), 0.00%, 6/1/21 523,013
Aaa AAA 1,000 Riverside County, CA, (Riverside County
Hospital Project), (MBIA], 5.00%, 6/1/19 955,340
Aaa AAA 1,000 Tri City, CA, Hospital District, (MBIA),
5.63%, 2/15/17 1,022,410
- --------------------------------------------------------------------------------------------------------------
$ 7,801,451
- --------------------------------------------------------------------------------------------------------------
Insured - Lease Revenue / Certificates of
Participation -- 6.1%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,355 California State Public Works Board -
Department of Corrections (AMBAC), 5.25%, 12/
1/13 $ 1,395,962
Aaa AAA 1,000 San Francisco, CA, State Building Authority,
Civic Center Complex, Lease Revenue Bonds,
(AMBAC), 5.25%, 12/1/16 998,730
- --------------------------------------------------------------------------------------------------------------
$ 2,394,692
- --------------------------------------------------------------------------------------------------------------
Insured - Special Tax Revenue -- 3.4%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,250 Los Angeles Metropolitan Transportation
Authority Sales Tax, (AMBAC), 5.70%, 7/1/12 $ 1,316,975
- --------------------------------------------------------------------------------------------------------------
$ 1,316,975
- --------------------------------------------------------------------------------------------------------------
Insured - Transportation -- 7.0%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 750 San Francisco, CA, City and County Airports,
(AMBAC), (AMT), 5.00%, 1/1/12(1) $ 737,565
Aaa AAA 1,500 San Francisco, CA, City and County Airports,
(MBIA), 5.60%, 5/1/13 1,545,345
Aaa AAA 1,000 San Joaquin Hills, CA, Transportation
Corridor Agency Bridge & Toll Road, (MBIA),
0.00%, 1/15/12(1) 476,810
- --------------------------------------------------------------------------------------------------------------
$ 2,759,720
- --------------------------------------------------------------------------------------------------------------
Insured - Water and Sewer -- 2.5%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Central Coast Water Authority, (AMBAC),
5.00%, 10/1/13 $ 990,230
- --------------------------------------------------------------------------------------------------------------
$ 990,230
- --------------------------------------------------------------------------------------------------------------
Lease Revenue / Certificates of
Participation -- 3.9%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,500 California State Public Works, (California
Community College), (AMBAC), 5.63%, 3/1/16 $ 1,545,840
- --------------------------------------------------------------------------------------------------------------
$ 1,545,840
- --------------------------------------------------------------------------------------------------------------
Nursing Homes -- 5.3%
- --------------------------------------------------------------------------------------------------------------
NR A $ 2,000 California Statewide Communities Development
Corporation, (Pacific Homes), 5.90%, 4/1/09 $ 2,084,800
- --------------------------------------------------------------------------------------------------------------
$ 2,084,800
- --------------------------------------------------------------------------------------------------------------
Water and Sewer -- 5.4%
- --------------------------------------------------------------------------------------------------------------
A1 A $ 2,000 The City of Los Angeles Wastewater System,
6.90%, 6/1/08(2)(3) $ 2,124,019
- --------------------------------------------------------------------------------------------------------------
$ 2,124,019
- --------------------------------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $37,438,471) $ 39,243,429
- --------------------------------------------------------------------------------------------------------------
AMT -- Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
(1) When-issued security.
(2) Security has been segregated to cover when-issued securities.
(3) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
The Portfolio invests primarily in debt securities issued by California
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1997, 57.8% 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 2.0% to 30.8% of total investments.
</TABLE>
<PAGE>
Connecticut Limited Maturity Municipals Portfolio as of September 30, 1997
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Tax-Exempt Investments -- 100.0%
Ratings (Unaudited)
- -------------------------- Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Colleges and Universities -- 1.4%
- --------------------------------------------------------------------------------------------------------------
Baa3 BBB- $140 Connecticut State Health and Educational
Facilities, (Sacred Heart University),
6.00%, 7/1/08 $ 146,945
- --------------------------------------------------------------------------------------------------------------
$ 146,945
- --------------------------------------------------------------------------------------------------------------
Education -- 12.0%
- --------------------------------------------------------------------------------------------------------------
Baa1 BBB+ $750 State of Connecticut Health and Education
Facilities Authority (HEFA), (Fairfield
University), 6.90%, 7/1/14(1) $ 778,949
NR BBB- 500 State of Connecticut HEFA, (Quinnipiac
College), 6.00%,
7/1/13 506,745
- --------------------------------------------------------------------------------------------------------------
$ 1,285,694
- --------------------------------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 2.6%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $250 South Central Connecticut Regional Water
Authority (AMBAC), Prerefunded to 8/1/01,
6.50%, 8/1/07 $ 274,563
- --------------------------------------------------------------------------------------------------------------
$ 274,563
- --------------------------------------------------------------------------------------------------------------
General Obligations -- 14.4%
- --------------------------------------------------------------------------------------------------------------
Baa1 A $500 Commonwealth of Puerto Rico Aqueduct and
Sewer Authority, 5.00%, 7/1/19 $ 472,710
Aa2 AA 250 Danbury, CT, 5.00%, 8/1/17 245,663
Aa3 NR 200 North Haven, CT, 5.00%, 9/1/16 195,682
Aa NR 190 Norwich, CT, 5.00%, 8/1/14 188,070
Aa NR 190 Norwich, CT, 5.00%, 8/1/15 187,123
Aa3 AA 190 State of Connecticut, 0.00%,
11/15/10 99,944
Aa3 AA- 150 State of Connecticut, 5.125%,
8/15/11 151,109
- --------------------------------------------------------------------------------------------------------------
$ 1,540,301
- --------------------------------------------------------------------------------------------------------------
Hospitals -- 5.7%
- --------------------------------------------------------------------------------------------------------------
NR BBB- $555 Connecticut HEFA, (New Britain Hospital),
7.50%, 7/1/06 $ 604,511
- --------------------------------------------------------------------------------------------------------------
$ 604,511
- --------------------------------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 8.4%
- --------------------------------------------------------------------------------------------------------------
A1 NR $625 Connecticut Development Authority, (Frito
Lay), 6.375%, 7/1/04 $ 635,199
Baa3 BBB- 250 Puerto Rico Port Authority (American
Airlines), 6.25%, 6/1/26 267,565
- --------------------------------------------------------------------------------------------------------------
$ 902,764
- --------------------------------------------------------------------------------------------------------------
Insured - Colleges and Universities -- 2.2%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $240 University of Connecticut, (FGIC), 5.00%,
2/1/15 $ 236,429
- --------------------------------------------------------------------------------------------------------------
$ 236,429
- --------------------------------------------------------------------------------------------------------------
Insured - Education -- 3.7%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $400 Connecticut State Health and Educational
Facilities, (Choate Rosemary Hall),
(MBIA), 5.00%,
7/1/14 $ 394,172
- --------------------------------------------------------------------------------------------------------------
$ 394,172
- --------------------------------------------------------------------------------------------------------------
Insured - Electric Utilities -- 2.6%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $250 Connecticut Municipal Electric Authority,
(MBIA), 6.00%, 1/1/07 $ 276,313
- --------------------------------------------------------------------------------------------------------------
$ 276,313
- --------------------------------------------------------------------------------------------------------------
Insured - General Obligations -- 14.9%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $250 Brandford, CT (FGIC), 5.40%,
2/15/14 $ 253,988
Aaa AAA 500 Bridgeport, CT (AMBAC), 6.00%,
9/1/06 551,490
Aaa AAA 300 Connecticut Regional School District,
(MBIA), 5.00%, 6/15/16 294,969
Aaa AAA 500 Old Saybrook, CT (AMBAC), 4.10%, 8/15/01 498,635
- --------------------------------------------------------------------------------------------------------------
$ 1,599,082
- --------------------------------------------------------------------------------------------------------------
Insured - Hospitals -- 6.6%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $150 Connecticut HEFA, (Greenwich Hospital),
(MBIA), 5.75%,
7/1/06 $ 162,527
Aaa AAA 250 Connecticut HEFA, (MBIA), 5.25%,
7/1/11 252,230
Aaa AAA 300 Connecticut State Health and Educational
Facilities, (Middlesex Health Services),
(MBIA), 5.125%, 7/1/17(2) 290,739
- --------------------------------------------------------------------------------------------------------------
$ 705,496
- --------------------------------------------------------------------------------------------------------------
Insured - Life Care -- 7.1%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $470 Connecticut HEFA, (St. Raphael Hospital),
(AMBAC), 5.10%,
7/1/07 $ 486,398
Aaa AAA 250 Connecticut HEFA, (Stamford Hospital),
(MBIA), 6.50%,
7/1/06 271,843
- --------------------------------------------------------------------------------------------------------------
$ 758,241
- --------------------------------------------------------------------------------------------------------------
Insured - Miscellaneous -- 5.1%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $500 Woodstock, CT Special Obligation Bonds,
(AMBAC), 7.00%, 3/1/07 $ 544,340
- --------------------------------------------------------------------------------------------------------------
$ 544,340
- --------------------------------------------------------------------------------------------------------------
Insured - Transportation -- 8.2%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $750 Connecticut State Airport Bonds, (Bradley
International Airport), (FGIC), 7.40%,
10/1/04 $ 878,917
- --------------------------------------------------------------------------------------------------------------
$ 878,917
- --------------------------------------------------------------------------------------------------------------
Solid Waste -- 2.3%
- --------------------------------------------------------------------------------------------------------------
NR A- $250 Eastern Connecticut Resources Recovery
Authority, (Wheelabrator Lisbon), (AMT),
5.00%, 1/1/03 $ 249,330
- --------------------------------------------------------------------------------------------------------------
$ 249,330
- --------------------------------------------------------------------------------------------------------------
Water and Sewer -- 2.8%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $300 Connecticut State Clean Water Revenue,
4.875%, 5/1/09 $ 300,558
- --------------------------------------------------------------------------------------------------------------
$ 300,558
- --------------------------------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $10,272,445) $10,697,656
- --------------------------------------------------------------------------------------------------------------
AMT -- Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
(1) Security has been segregated to cover when-issued securities.
(2) When-issued security.
The Portfolio invests primarily in debt securitites issued by Connecticut
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1997, 50.4% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 12.8% to 22.0% of total investments.
</TABLE>
<PAGE>
Florida Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- -------------------------- Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Electric Utilities -- 11.8%
- ------------------------------------------------------------------------------------------------------------
Aa AA- $ 2,000 City of Tallahassee, Electric Refunding
Bonds, 5.90%, 10/1/05 $ 2,159,940
Aa AA 1,000 Gainesville, FL, Electric Utility,
5.00%, 10/1/16 969,000
Aa AA 3,000 Gainesville, FL, Utility System Revenue,
5.00%, 10/1/15 2,920,140
Aa1 AA 1,000 Jacksonville Electric Authority,
(St. John's River Power Park), 5.25%, 10/1/20 977,800
Aa1 AA 2,500 Jacksonville, FL, Electric Authority, (Johns
River Power Park), 5.38%, 10/1/16 2,506,450
- ------------------------------------------------------------------------------------------------------------
$ 9,533,330
- ------------------------------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 8.0%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,015 Dade County, FL, Educational Facilities
Authority, (MBIA) Prerefunded to 10/1/01,
7.00%, 10/1/08 $ 1,138,099
Aaa AAA 1,500 Florida Department of Natural Resources,
Preservation 2000, (MBIA), Prerefunded to
7/1/98, 7.25%, 7/1/08 1,567,815
Aaa AA- 2,250 Orlando Utility Community Water and Electric,
Prerefunded to 10/1/01, 6.50%, 10/1/20 2,481,773
Baa1 AAA 1,250 Puerto Rico Aqueduct and Sewer Authority,
Prerefunded to 7/1/98, 7.88%, 7/1/17 1,313,363
- ------------------------------------------------------------------------------------------------------------
$ 6,501,050
- ------------------------------------------------------------------------------------------------------------
General Obligations -- 30.2%
- ------------------------------------------------------------------------------------------------------------
Aa2 AA+ $ 4,000 Florida State Board of Education, 5.00%, 6/1/14 $ 3,959,599
Aa2 AA+ 2,000 Florida State Board of Education, 5.00%, 6/1/15 1,942,740
Aa2 AA+ 3,000 Florida State Board of Education, 5.55%, 6/1/11 3,138,180
Aaa AAA 4,000 Manatee County, FL, (FGIC), 4.75%, 10/1/13 3,810,240
Aa/AA VMIG1/A1 1,000 Memphis, TN, Series 1995A, 4.15%, 8/1/07 1,002,915
Baa1 A- 2,000 Puerto Rico Municipal Finance Agency, 5.50%,
7/1/01 2,076,940
Baa1 A 1,000 Puerto Rico Public Building Authority, Gtd.
Public Education and Health Facilities,
6.50%, 7/1/03 1,088,030
Aa AA+ 3,000 State of Florida, 5.00%, 7/1/11 3,017,130
Aa2 AA+ 3,000 State of Florida Board of Education, 4.75%,
6/1/17 2,789,340
NR NR 1,500 Virgin Islands Public Finance Authority,
(V.I. General Obligations/Matching Loan Fund
Notes), 6.80%, 10/1/00 1,593,300
- ------------------------------------------------------------------------------------------------------------
$24,418,414
- ------------------------------------------------------------------------------------------------------------
Hospitals -- 3.3%
- ------------------------------------------------------------------------------------------------------------
NR BBB+ $ 1,250 Escambia County, FL, Health Facilities
Authority, (Baptist Hospital, Inc. and
Baptist Manor, Inc.), 6.00%, 10/1/14 $ 1,283,763
Baa1 NR 425 Jacksonville Health Facilities Authority
(National Benevolent Association - Cypress
Village), 6.00%, 12/1/98 431,214
Baa1 NR 450 Jacksonville Health Facilities Authority,
(National Benevolent Association - Cypress
Village), 6.25%, 12/1/99 462,321
Baa1 NR 480 Jacksonville Health Facilities Authority,
(National Benevolent Association - Cypress
Village), 6.50%, 12/1/00 499,963
- ------------------------------------------------------------------------------------------------------------
$ 2,677,261
- ------------------------------------------------------------------------------------------------------------
Housing -- 0.7%
- ------------------------------------------------------------------------------------------------------------
Baa BBB $ 600 Puerto Rico Housing Bank and Finance Agency,
5.10%, 12/1/03 $ 602,256
- ------------------------------------------------------------------------------------------------------------
$ 602,256
- ------------------------------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 2.7%
- ------------------------------------------------------------------------------------------------------------
Baa2 BBB $ 2,000 Polk County, FL, Industrial Development
Authority, (IMC Fertilizer), (AMT), 7.53%,
1/1/15 $ 2,167,860
- ------------------------------------------------------------------------------------------------------------
$ 2,167,860
- ------------------------------------------------------------------------------------------------------------
Insured - Cogeneration -- 2.6%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Dade County, FL, Resource Recovery
Facilities, (AMBAC) (AMT), 5.30%, 10/1/07 $ 2,090,020
- ------------------------------------------------------------------------------------------------------------
$ 2,090,020
- ------------------------------------------------------------------------------------------------------------
Insured - General Obligations -- 4.4%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,500 Dade County Local School District, (FGIC),
Prerefunded to 8/1/01, 6.00%, 8/1/06 $ 1,597,650
Aaa AAA 2,000 Dade County Local School District, (MBIA),
5.00%, 2/15/15 1,970,220
- ------------------------------------------------------------------------------------------------------------
$ 3,567,870
- ------------------------------------------------------------------------------------------------------------
Insured - Hospitals -- 12.7%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 4,000 Jacksonville Health Facilities Authority,
(Baptist Medical Center), (MBIA),
7.25%, 6/1/05(1) $ 4,270,359
Aaa AAA 2,500 Naples, FL, (Naples Community Hospital Inc.),
(MBIA), 5.50%, 10/1/16 2,518,475
Aaa AAA 2,450 North Broward, FL, Hospital District, (MBIA),
5.25%, 1/15/17 2,403,205
Aaa AAA 1,000 Orange County Health Facilities Authority,
(Adventist Health System/Sunbelt Inc,),
(CGIC), 5.50%, 11/15/02 1,054,150
- ------------------------------------------------------------------------------------------------------------
$10,246,189
- ------------------------------------------------------------------------------------------------------------
Insured - Housing -- 3.1%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,240 Florida Housing Finance Agency, (Leigh
Meadows Apartments), (AMBAC), 5.85%, 9/1/10 $ 1,299,074
Aaa AAA 1,140 Florida Housing Finance Agency, (Stottert
Arms Apartments), (AMBAC), 5.90%, 9/1/10 1,198,995
- ------------------------------------------------------------------------------------------------------------
$ 2,498,069
- ------------------------------------------------------------------------------------------------------------
Insured - Industrial Development Revenue -- 1.9%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,500 Pinellas County, FL, (MBIA), 5.13%, 10/1/04 $ 1,544,430
- ------------------------------------------------------------------------------------------------------------
$ 1,544,430
- ------------------------------------------------------------------------------------------------------------
Insured - Lease Revenue / Certificates of
Participation -- 1.3%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Palm Beach County, FL, Criminal Justice
Facilities, (FGIC), 5.38%, 6/1/10 $ 1,055,010
- ------------------------------------------------------------------------------------------------------------
$ 1,055,010
- ------------------------------------------------------------------------------------------------------------
Insured - Special Tax Revenue -- 2.9%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,345 Orange County, FL, Tourist Development Tax,
(MBIA), 5.00%, 10/1/14 $ 2,321,175
- ------------------------------------------------------------------------------------------------------------
$ 2,321,175
- ------------------------------------------------------------------------------------------------------------
Insured - Transportation -- 6.6%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Dade County, FL, Seaport Revenue, (MBIA),
5.13%, 10/1/16 $ 1,974,420
Aaa AAA 3,120 Hillsborough County Aviation Authority, (Tampa
International Airport), (FGIC), 6.85%, 10/1/06 3,335,904
- ------------------------------------------------------------------------------------------------------------
$ 5,310,324
- ------------------------------------------------------------------------------------------------------------
Insured - Water and Sewer -- 6.6%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Dade County, FL, Water and Sewer Revenue,
(FGIC), 5.25%, 10/1/11 $ 2,046,540
Aaa AAA 2,000 Manatee County, FL, Public Utilities, (MBIA),
6.75%, 10/1/04 2,284,500
Aaa AAA 1,000 Pasco County, FL, Water and Sewer Revenue,
(FGIC), 5.40%, 10/1/03 1,057,650
- ------------------------------------------------------------------------------------------------------------
$ 5,388,690
- ------------------------------------------------------------------------------------------------------------
Nursing Homes -- 1.2%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 1,000 Volusia County, FL, (Beverly Enterprises),
5.88%, 7/1/07 $ 999,160
- ------------------------------------------------------------------------------------------------------------
$ 999,160
- ------------------------------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $77,729,712) $80,921,108
- ------------------------------------------------------------------------------------------------------------
AMT -- Interest earned from these securities may be considered a tax preference item for purposes of the
Federal Alternative Minimum Tax.
(1) Security (or a portion thereof) has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Florida municipalities. The ability of issuers
of the debt securities to meet thier obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with such economic developments at September
30, 1997, 42.1% of the securities in the portfolio of investments are backed by bond insurance of various
financial institutions and financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 1.3% to 27.2% of total investments.
See notes to financial statements
</TABLE>
<PAGE>
Massachusetts Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Tax-Exempt Investments -- 100.0%
Ratings (Unaudited)
- -------------------------- Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education -- 4.7%
- ------------------------------------------------------------------------------------------------------------
A1 A+ $ 1,200 Massachusetts Health and Education FInance
Authority, (Tufts University), 7.40%, 8/1/18 $ 1,255,836
A3 NR 1,030 Massachusetts Industrial Finance Agency,
(Park School), 5.50%, 9/1/16 1,041,752
Baa3 BBB- 500 Massachusetts State Industrial Finance
Agency, (Dana Hall), 5.90%, 7/1/27 509,805
- ------------------------------------------------------------------------------------------------------------
$ 2,807,393
- ------------------------------------------------------------------------------------------------------------
Electric Utilities -- 1.7%
- ------------------------------------------------------------------------------------------------------------
Baa2 BBB+ $ 1,000 Massachusetts Municipal Wholesale Electric
Co., 5.70%, 7/1/01 $ 1,042,860
- ------------------------------------------------------------------------------------------------------------
$ 1,042,860
- ------------------------------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 0.9%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 500 Lynn, MA, Water and Sewer Commission, (MBIA),
Prerefunded to 12/1/00, 7.25%, 12/1/10 $ 552,990
- ------------------------------------------------------------------------------------------------------------
$ 552,990
- ------------------------------------------------------------------------------------------------------------
General Obligations -- 7.4%
- ------------------------------------------------------------------------------------------------------------
Baa1 A $ 1,000 Commonwealth of Puerto Rico Aqueduct and
Sewer Authority, 5.00%, 7/1/19 $ 945,420
A1 A+ 1,500 Massachusetts State, 5.40%, 11/1/06 1,585,950
A1 A+ 2,000 Massachusetts State, Consolidated Loan,
Series D, 5.00%, 11/1/14 1,952,780
- ------------------------------------------------------------------------------------------------------------
$ 4,484,150
- ------------------------------------------------------------------------------------------------------------
Hospitals -- 9.3%
- ------------------------------------------------------------------------------------------------------------
Aa2 AA+ $ 3,000 Massachusetts Health and Educational
Facilities Authority, (Daughters of Charity
Issue), 5.75%, 7/1/02 $ 3,163,200
NR BBB- 1,845 Massachusetts Health and Educational
Facilities Authority, (North Adams Regional
Hospital), 6.25%, 7/1/04 1,953,947
Baa2 BBB 500 Massachusetts Health and Educational
Facilities Authority, (Sisters of Providence
Hospital), 6.00%, 11/15/00 517,335
- ------------------------------------------------------------------------------------------------------------
$ 5,634,482
- ------------------------------------------------------------------------------------------------------------
Insured - Electric Utilities -- 3.7%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Massachusetts Municipal Wholesale Electric
Co., (AMBAC), 6.63%, 7/1/03(1) $ 2,222,240
- ------------------------------------------------------------------------------------------------------------
$ 2,222,240
- ------------------------------------------------------------------------------------------------------------
Insured - General Obligations -- 8.5%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Haverhill, MA, (FGIC), 5.00%, 6/15/17 $ 962,320
Aaa AAA 1,000 Massachusetts State, (AMBAC), 5.00%, 7/1/12 1,004,590
Aaa AAA 1,000 Puerto Rico Public Buildings Authority,
(MBIA), 5.00%, 7/1/16 983,200
Aaa AAA 1,000 The Commonwealth of Massachusetts, (FGIC),
6.50%, 6/1/01 1,078,450
Aaa AAA 1,000 Town of Rockport, MA, (AMBAC), 6.80%, 12/15/04 1,086,430
- ------------------------------------------------------------------------------------------------------------
$ 5,114,990
- ------------------------------------------------------------------------------------------------------------
Insured - Hospitals -- 2.4%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,500 Massachusetts State Health and Educational
Facilities Authority, (Lowell General
Hospital), Series B, (FSA), 5.25%, 6/1/16 $ 1,475,355
- ------------------------------------------------------------------------------------------------------------
$ 1,475,355
- ------------------------------------------------------------------------------------------------------------
Insured - Housing -- 20.0%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,900 Massachusetts Housing Finance Agency,
(AMBAC), (AMT), 5.90%, 1/1/03 $ 1,982,517
Aaa AAA 4,800 Massachusetts Housing Finance Agency,
(Harborpoint Development), (AMBAC), (AMT),
6.20%, 12/1/10 5,091,936
Aaa AAA 4,730 Massachusetts Housing Finance Agency, (MBIA),
6.13%, 12/1/11 5,010,347
- ------------------------------------------------------------------------------------------------------------
$12,084,800
- ------------------------------------------------------------------------------------------------------------
Insured - Industrial Development Revenue /
Pollution Control Revenue -- 2.4%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,400 Massachusetts IFA, (Nantucket Electric),
(AMBAC), (AMT), 5.30%, 7/1/04 $ 1,450,890
- ------------------------------------------------------------------------------------------------------------
$ 1,450,890
- ------------------------------------------------------------------------------------------------------------
Insured - Lease Revenue / Certificates of
Participation -- 1.7%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,015 Massachusetts Industrial Finance Agency
Revenue, (Dexter School), (MBIA), 5.40%, 5/1/13 $ 1,028,743
- ------------------------------------------------------------------------------------------------------------
$ 1,028,743
- ------------------------------------------------------------------------------------------------------------
Insured - Transportation -- 4.0%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Massachusetts Bay Transportation Authority,
Series B, (AMBAC), 5.25%, 3/1/11 $ 2,031,100
Aaa AAA 400 Massachusetts State Turnpike Authority,
(FGIC), 5.13%, 1/1/23 398,956
- ------------------------------------------------------------------------------------------------------------
$ 2,430,056
- ------------------------------------------------------------------------------------------------------------
Insured - Water and Sewer -- 8.8%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 5,480 Massachusetts Water and Sewer Authority,
(MBIA), 5.00%, 12/1/16(2) $ 5,308,859
- ------------------------------------------------------------------------------------------------------------
$ 5,308,859
- ------------------------------------------------------------------------------------------------------------
Lease Revenue / Certificates of
Participation -- 2.8%
- ------------------------------------------------------------------------------------------------------------
NR BBB $ 1,650 Puerto Rico, (ITEM & EC - Guaynabo Lease
Program), 5.38%, 7/1/06 $ 1,700,375
- ------------------------------------------------------------------------------------------------------------
$ 1,700,375
- ------------------------------------------------------------------------------------------------------------
Life Care -- 1.7%
- ------------------------------------------------------------------------------------------------------------
Baa3 BB $ 960 Massachusetts Health and Educational Finance
Authority, (Milford-Whitinsville Hospital),
Series B, 7.12%, 7/15/02 $ 1,013,376
- ------------------------------------------------------------------------------------------------------------
$ 1,013,376
- ------------------------------------------------------------------------------------------------------------
Nursing Homes -- 3.6%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 970 Massachusetts Health and Educational
Facilities Authority, (1st Mortgage -
Fairview Extended Care), 10.13%, 1/1/11 $ 1,166,183
NR NR 1,000 Massachusetts Industrial Finance Agency,
Health Care Facilities, (Age Institute of
Massachusetts), 7.60%, 11/1/05 1,030,950
- ------------------------------------------------------------------------------------------------------------
$ 2,197,133
- ------------------------------------------------------------------------------------------------------------
Special Tax Revenue -- 3.8%
- ------------------------------------------------------------------------------------------------------------
Aa3 AA $ 500 Massachusetts State, Special Tax Obligation,
5.00%, 6/1/14(3) $ 494,675
NR NR 1,750 Virgin Islands Public Finance Authority,
(V.I. General Obligations/Matching Loan Fund
Notes), 6.70%, 10/1/99 1,826,353
- ------------------------------------------------------------------------------------------------------------
$ 2,321,028
- ------------------------------------------------------------------------------------------------------------
Transportation -- 6.8%
- ------------------------------------------------------------------------------------------------------------
A1 A+ $ 1,000 Massachusetts Bay Transportation Authority,
Series A, 5.75%, 3/1/18 $ 1,026,270
A1 A+ 2,000 Massachusetts State Turnpike Authority,
5.00%, 1/1/20 1,957,780
A1 A+ 1,000 Woods Hole, (Martha's Vineyard and Nantucket
Steamship Authority), 6.60%, 3/1/03 1,104,500
- ------------------------------------------------------------------------------------------------------------
$ 4,088,550
- ------------------------------------------------------------------------------------------------------------
Water and Sewer -- 5.8%
- ------------------------------------------------------------------------------------------------------------
Aa A+ $ 500 Massachusetts State Water Pollution Abatement
Trust, 5.00%, 8/1/15 $ 486,165
Aa A+ 1,000 Massachusetts State Water Pollution Abatement
Trust, 5.25%, 8/1/14 1,013,350
Aa3 AA+ 2,000 Massachusetts State Water Pollution Abatement
Trust, 5.25%, 8/1/14 2,006,420
- ------------------------------------------------------------------------------------------------------------
$ 3,505,935
- ------------------------------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $57,783,860) $60,464,205
- ------------------------------------------------------------------------------------------------------------
AMT -- Interest earned from these securities may be considered a tax preference item for purposes of the
Federal Alternative Minimum Tax.
(1) Security (or a portion thereof) has been segregated to cover margin requirements on open financial
futures contracts.
(2) Security has been segregated to cover when-issued securities.
(3) When-issued security.
The Portfolio invests primarily in debt securities issued by Massachusetts municipalities. The ability of
issuers of debt to meet thier obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic developments, at September 30, 1997,
51.5% of the securities in the portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate percentage by financial institution
range from 2.4% to 24.6% of total investments.
See notes to financial statements
</TABLE>
<PAGE>
Michigan Limited Maturity Municipals Portfolio as of September 30, 1997
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (Unaudited)
- -------------------------------------------------------------------------------
Tax-Exempt Investments -- 100.0%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------------- Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
<S> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Economic Development Revenue -- 1.2%
- --------------------------------------------------------------------------------------------------------------
NR BB- $ 150 Michigan State Strategic Fund, 6.25%, 8/1/12 $ 150,894
- --------------------------------------------------------------------------------------------------------------
$ 150,894
- --------------------------------------------------------------------------------------------------------------
Education -- 1.9%
- --------------------------------------------------------------------------------------------------------------
Aa2 NR $ 250 Oakland County, MI, (Cranbrook Educational
Community Project), 5.00%, 11/1/17 $ 238,115
- --------------------------------------------------------------------------------------------------------------
$ 238,115
- --------------------------------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 9.7%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $1,000 Grand Ledge, MI, Public School District,
(MBIA), Prerefunded to
5/1/04, 7.875%, 5/1/11 $ 1,211,660
- --------------------------------------------------------------------------------------------------------------
$ 1,211,660
- --------------------------------------------------------------------------------------------------------------
General Obligations -- 10.0%
- --------------------------------------------------------------------------------------------------------------
Baa2 BBB $ 650 Detroit, MI, 6.25%, 4/1/05 $ 704,964
Baa2 BBB 495 Detroit, MI, 6.40%, 4/1/05 541,476
- --------------------------------------------------------------------------------------------------------------
$ 1,246,440
- --------------------------------------------------------------------------------------------------------------
Hospitals -- 16.0%
- --------------------------------------------------------------------------------------------------------------
Baa1 NR $ 525 Flint, MI Hospital Authority, (Hurley Medical
Center), 6.00%, 7/1/05 $ 541,637
A2 A+ 470 Marquette Michigan Hospital Finance
Authority, 6.625%, 4/1/07 470,823
NR BBB 100 Michigan Hospital Finance Authority, (Central
MI Community Hospital), 6.00%, 10/1/05 106,394
NR BBB 100 Michigan Hospital Finance Authority, (Central
MI Community Hospital), 6.10%, 10/1/06 107,222
NR BBB 225 Michigan Hospital Finance Authority, (Central
MI Community Hospital), 6.20%, 10/1/07 243,106
NR BBB 500 Michigan State Hospital (Gratiot Community
Hospital), 6.10%,
10/1/07 524,650
- --------------------------------------------------------------------------------------------------------------
$ 1,993,832
- --------------------------------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 5.6%
- --------------------------------------------------------------------------------------------------------------
Baa3 BBB- $ 500 Puerto Rico Port Authority (American
Airlines), 6.25%, 6/1/26 $ 535,130
NR BB- 170 Richmond, MI Economic Development Corp., (K-
MART), 6.30%, 1/1/99 171,005
- --------------------------------------------------------------------------------------------------------------
$ 706,135
- --------------------------------------------------------------------------------------------------------------
Insured - Colleges and Universities -- 3.5%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 450 Michigan State University, Agriculture and
Applied Sciences, (AMBAC), 5.125%, 2/15/16 $ 442,769
- --------------------------------------------------------------------------------------------------------------
$ 442,769
- --------------------------------------------------------------------------------------------------------------
Insured - General Obligations -- 16.2%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 500 Detroit, MI, School District, (AMBAC), 6.50%,
5/1/10 $ 574,970
Aaa AAA 500 Hartland, MI, School District, (FGIC),
5.125%, 5/1/17 490,465
Aaa AAA 1,000 Wixom MI, (AMBAC), 4.75%,
5/1/11(1) 965,000
- --------------------------------------------------------------------------------------------------------------
$ 2,030,435
- --------------------------------------------------------------------------------------------------------------
Insured - Industrial Development Revenue /
Pollution Control Revenue -- 4.4%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 500 Monroe County, MI, (The Detroit Edison Co.),
(AMBAC), (AMT), 6.35%, 12/1/04 $ 551,120
- --------------------------------------------------------------------------------------------------------------
$ 551,120
- --------------------------------------------------------------------------------------------------------------
Lease Revenue / Certificates of
Participation -- 4.3%
- --------------------------------------------------------------------------------------------------------------
A1 AA- $ 500 State of Michigan Building Authority, 6.10%,
10/1/01 $ 533,910
- --------------------------------------------------------------------------------------------------------------
$ 533,910
- --------------------------------------------------------------------------------------------------------------
Life Care -- 2.5%
- --------------------------------------------------------------------------------------------------------------
NR BBB $ 300 Kalamazoo, MI, (Friendship Village), 6.125%,
5/15/17 $ 308,649
- --------------------------------------------------------------------------------------------------------------
$ 308,649
- --------------------------------------------------------------------------------------------------------------
Miscellaneous -- 1.2%
- --------------------------------------------------------------------------------------------------------------
NR NR $ 150 Pittsfield Township, MI, EDC, (Arbor Hospice
Project), 7.875%,
8/15/27 $ 147,459
- --------------------------------------------------------------------------------------------------------------
$ 147,459
- --------------------------------------------------------------------------------------------------------------
Nursing Homes -- 3.3%
- --------------------------------------------------------------------------------------------------------------
NR NR $ 395 Michigan Hospital Finance Authority,
(Presbyterian Villages), 6.20%,
1/1/06 $ 417,934
- --------------------------------------------------------------------------------------------------------------
$ 417,934
- --------------------------------------------------------------------------------------------------------------
Solid Waste -- 3.0%
- --------------------------------------------------------------------------------------------------------------
Ba1 BBB- $ 350 Central Wayne, MI, Sanitation Authority,
6.40%, 7/1/06 $ 369,625
- --------------------------------------------------------------------------------------------------------------
$ 369,625
- --------------------------------------------------------------------------------------------------------------
Special Tax Revenue -- 12.7%
- --------------------------------------------------------------------------------------------------------------
NR BBB+ $1,000 Battle Creek, MI Downtown Development
Authority, 6.65%,
5/1/02 $ 1,082,557
NR A- 2,000 Detroit, MI, Downtown Development Authority
Tax Increment, 0.00%,
7/1/21 503,740
- --------------------------------------------------------------------------------------------------------------
$ 1,586,297
- --------------------------------------------------------------------------------------------------------------
Water and Sewer -- 4.5%
- --------------------------------------------------------------------------------------------------------------
Aa1 AA+ $ 500 Michigan Municipal Bond Authority, 7.00%, 10/
1/02 $ 561,025
- --------------------------------------------------------------------------------------------------------------
$ 561,025
- --------------------------------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $11,663,301) $12,496,299
- --------------------------------------------------------------------------------------------------------------
AMT -- Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
(1) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
The Portfolio invests primarily in debt securities issued by Michigan
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by the economic developments in a specific industry
or municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1997, 24.1% of such securities in the portfolio
of investments are backed by bond insurance of various financial institutions
and financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 3.9% to 20.3% of total investments.
</TABLE>
<PAGE>
New Jersey Limited Maturity Municipals Portfolio as of September 30, 1997
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Tax-Exempt Investments -- 100.0%
Ratings (Unaudited)
- ------------------------- Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Assisted Living -- 1.3%
- --------------------------------------------------------------------------------------------------------------
NR NR $ 650 New Jersey Economic Development Authority,
8.00%, 10/1/07 $ 667,667
- --------------------------------------------------------------------------------------------------------------
$ 667,667
- --------------------------------------------------------------------------------------------------------------
Cogeneration -- 8.3%
- --------------------------------------------------------------------------------------------------------------
NR BBB- $2,250 New Jersey Economic Development Authority,
Heating and Cooling, (Trigen-Trenton), (AMT),
6.10%, 12/1/05 $ 2,397,398
NR BB+ 1,135 New Jersey EDA, (Vineland Cogeneration)
(AMT), 7.88%,
6/1/19 1,244,198
NR NR 550 Port Authority of New York and New Jersey,
(KIAC Project), (AMT), 6.50%, 10/1/01 583,682
- --------------------------------------------------------------------------------------------------------------
$ 4,225,278
- --------------------------------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 5.4%
- --------------------------------------------------------------------------------------------------------------
Aaa NR $2,030 New Jersey Economic Development Authority,
0.00%, 12/15/12 $ 923,711
Baa1 AAA 1,735 Puerto Rico Aqueduct and Sewer Authority,
Prerefunded to 7/1/98, 7.88%, 7/1/17 1,822,947
- --------------------------------------------------------------------------------------------------------------
$ 2,746,658
- --------------------------------------------------------------------------------------------------------------
General Obligations -- 14.9%
- --------------------------------------------------------------------------------------------------------------
A3 AA $2,195 Jersey City, NJ, School District, 6.25%,
10/1/10 $ 2,491,083
Baa1 A 3,000 Puerto Rico Public Buildings Authority,
5.25%, 7/1/21 2,924,249
Aa3 AA- 1,000 South Brunswick, NJ, 7.12%,
7/15/02 1,123,090
Aaa AA+ 1,000 Union County, NJ, 5.00%, 2/1/10 1,024,010
- --------------------------------------------------------------------------------------------------------------
$ 7,562,432
- --------------------------------------------------------------------------------------------------------------
Hospitals -- 4.4%
- --------------------------------------------------------------------------------------------------------------
A3 A- $ 340 New Jersey Health Care Facilities Financing
Authority (Atlantic City Medical Care
Center), 6.25%,
7/1/00 $ 356,878
A3 A- 1,000 New Jersey Health Care Facilities Financing
Authority, (Atlantic City Medical Care
Center), 6.45%,
7/1/02 1,079,190
A3 A- 750 New Jersey Health Care Facilities Financing
Authority, (Atlantic City Medical Care
Center), 6.55%,
7/1/03 $ 820,943
- --------------------------------------------------------------------------------------------------------------
$ 2,257,011
- --------------------------------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 2.3%
- --------------------------------------------------------------------------------------------------------------
Aa3 NR $ 610 New Jersey Economic Development Authority,
LOC: Bank of Paris, (AMT), 6.00%, 12/1/02 $ 637,298
NR NR 500 New Jersey EDA, Holt Hauling and Warehousing
System, Inc., 7.90%, 3/1/27 552,410
- --------------------------------------------------------------------------------------------------------------
$ 1,189,708
- --------------------------------------------------------------------------------------------------------------
Insured - Education -- 2.1%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $1,000 New Jersey State Educational Facilities,
(Seton Hall University) (FGIC), 6.10%, 7/1/01 $ 1,065,610
- --------------------------------------------------------------------------------------------------------------
$ 1,065,610
- --------------------------------------------------------------------------------------------------------------
Insured - Electric Utilities -- 2.1%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $1,000 Middlesex County, NJ, Utility Authority,
(FGIC), 6.10%, 12/1/01 $ 1,073,890
- --------------------------------------------------------------------------------------------------------------
$ 1,073,890
- --------------------------------------------------------------------------------------------------------------
Insured - General Obligations -- 25.8%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $1,000 Atlantic City, NJ, Board of Education,
(AMBAC), 6.00%, 12/1/02(1) $ 1,085,210
Aaa AAA 500 City of Elizabeth, Union County, NJ, (MBIA),
6.10%, 11/15/99 521,990
Aaa AAA 500 City of Elizabeth, Union County, NJ, (MBIA),
6.20%, 11/15/02 536,990
Aaa AAA 1,175 Edison, NJ, (AMBAC), 4.70%,
1/1/04 1,194,012
Aaa AAA 1,200 Kearney, NJ, (FSA), 6.50%,
2/1/04 1,318,776
Aaa AAA 725 Monroe Township, NJ, Board of Education,
(FGIC), 5.20%, 8/1/11 749,425
Aaa AAA 825 Monroe Township, NJ, Board of Education,
(FGIC), 5.20%, 8/1/14 841,970
Aaa AAA 850 Roselle, NJ, (MBIA), 4.65%,
10/15/03 865,215
Aaa AAA 1,000 South Brunswick Township, NJ, Board of
Education, (FGIC), 6.40%, 8/1/03 $ 1,106,760
Aaa AAA 1,100 South River, NJ, School District, (FGIC),
5.00%, 12/1/09 1,129,227
Aaa AAA 2,000 Washington Township, NJ, Board of Education,
5.13%, 2/1/15 2,001,620
Aaa AAA 1,585 West Deptford Township, NJ, (AMBAC), 5.90%,
3/1/09 1,750,062
- --------------------------------------------------------------------------------------------------------------
$13,101,257
- --------------------------------------------------------------------------------------------------------------
Insured - Hospitals -- 7.1%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $1,910 New Jersey Health Care Facilities Financing
Authority, (Dover General Hospital and
Medical Center), (MBIA), 7.00%, 7/1/04 $ 2,188,822
Aaa AAA 1,300 New Jersey Health Care Facilities, (AHS
Hospital Corp.), (AMBAC), 6.00%, 7/1/12 1,429,402
- --------------------------------------------------------------------------------------------------------------
$ 3,618,224
- --------------------------------------------------------------------------------------------------------------
Insured - Solid Waste -- 0.5%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 250 The Bergen County Utilities Authority, Solid
Waste System, (FGIC), 6.00%, 6/15/02 $ 268,143
- --------------------------------------------------------------------------------------------------------------
$ 268,143
- --------------------------------------------------------------------------------------------------------------
Insured - Transportation -- 7.9%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $1,000 New Jersey Turnpike Authority, (FSA), 5.90%,
1/1/03 $ 1,070,560
Aaa AAA 895 New Jersey Turnpike Authority, (FSA), 6.40%,
1/1/02 966,904
Aaa AAA 2,000 Port Authority of New York and New Jersey,
(AMBAC), 5.13%, 7/15/14 2,001,900
- --------------------------------------------------------------------------------------------------------------
$ 4,039,364
- --------------------------------------------------------------------------------------------------------------
Insured - Water and Sewer -- 1.2%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 565 Pennsville, NJ, (MBIA), 0.00%,
11/1/16 $ 209,349
Aaa AAA 565 Pennsville, NJ, (MBIA), 0.00%,
11/1/17 198,739
Aaa AAA 565 Pennsville, NJ, (MBIA), 0.00%,
11/1/18 187,507
- --------------------------------------------------------------------------------------------------------------
$ 595,595
- --------------------------------------------------------------------------------------------------------------
Life Care -- 4.5%
- --------------------------------------------------------------------------------------------------------------
Baa2 NR $ 500 Camden County, NJ, 5.60%,
2/15/07 $ 511,490
NR NR 310 New Jersey EDA, (Cadbury Corp.), 8.00%,
7/1/15 332,856
Baa2 BBB 1,380 New Jersey Health Care Facilities Financing
Authority, 5.75%,
7/1/08 1,435,448
- --------------------------------------------------------------------------------------------------------------
$ 2,279,794
- --------------------------------------------------------------------------------------------------------------
Solid Waste -- 5.7%
- --------------------------------------------------------------------------------------------------------------
A1 AA- $ 500 Gloucester County Improvement Authority of
New Jersey (Landfill), 5.40%, 9/1/00 $ 517,835
B1 NR 300 The Atlantic County Utilities Authority (New
Jersey), Solid Waste System, 7.00%, 3/1/08 306,849
A1 NR 300 The Passaic County Utilities Authority (New
Jersey), Solid Waste Disposal, 5.70%, 3/1/98 302,382
NR BB 1,700 Union County, NJ, Utilities Authority, (AMT),
7.20%, 6/15/14 1,753,771
- --------------------------------------------------------------------------------------------------------------
$ 2,880,837
- --------------------------------------------------------------------------------------------------------------
Transportation -- 6.5%
- --------------------------------------------------------------------------------------------------------------
A1 AA- $1,000 Port Authority of New York and New Jersey,
5.38%, 10/15/16 $ 994,670
A1 AA- 500 Port Authority of New York and New Jersey,
5.50%, 7/1/06 530,235
Baa3 BBB- 1,625 Port Authority of New York and New Jersey,
(Delta Airlines), 6.95%,
6/1/08 1,771,933
- --------------------------------------------------------------------------------------------------------------
$ 3,296,838
- --------------------------------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $48,296,307) $50,868,306
- --------------------------------------------------------------------------------------------------------------
AMT -- Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
(1) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
The Portfolio invests primarily in debt securities issued by New Jersey
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1997, 46.7% 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 14.7% of total investments.
</TABLE>
<PAGE>
New York Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Tax-Exempt Investments -- 100.0%
Ratings (Unaudited)
- ------------------------- Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Airlines -- 4.9%
- ------------------------------------------------------------------------------------------------------------
A A $ 4,000 New York, NY, IDA, (Terminal One Group),
6.00%, 1/1/07 $ 4,275,800
- ------------------------------------------------------------------------------------------------------------
$ 4,275,800
- ------------------------------------------------------------------------------------------------------------
Cogeneration -- 1.2%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 950 Port Authority of New York and New Jersey,
(KIAC Project), (AMT), 6.50%, 10/1/01 $ 1,008,178
- ------------------------------------------------------------------------------------------------------------
$ 1,008,178
- ------------------------------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 2.4%
- ------------------------------------------------------------------------------------------------------------
NR AA- $ 2,000 Power Authority of the State of New York,
Prerefunded to 1/1/98, 8.00%, 1/1/17 $ 2,061,080
- ------------------------------------------------------------------------------------------------------------
$ 2,061,080
- ------------------------------------------------------------------------------------------------------------
General Obligations -- 4.2%
- ------------------------------------------------------------------------------------------------------------
A2 A $ 2,000 State of New York, 5.25%,
7/15/09 $ 2,057,980
Baa1 BBB+ 1,500 The City of New York, 6.38%,
8/1/06 1,604,565
- ------------------------------------------------------------------------------------------------------------
$ 3,662,545
- ------------------------------------------------------------------------------------------------------------
Hospitals -- 4.7%
- ------------------------------------------------------------------------------------------------------------
Baa1 BBB+ $ 2,000 Dormitory Authority of New York, Department
of Health, 5.38%, 7/1/08 $ 2,051,580
Baa1 A- 1,000 New York State Dormitory Authority, (Mental
Health), 5.30%, 2/15/04 1,032,110
Baa NR 1,000 New York State Dormitory Authority, (Nyack
Hospital), 6.00%, 7/1/06 1,061,730
- ------------------------------------------------------------------------------------------------------------
$ 4,145,420
- ------------------------------------------------------------------------------------------------------------
Housing -- 11.1%
- ------------------------------------------------------------------------------------------------------------
A1 AA $ 2,500 New York City Housing Development Corp.,
6.00%, 11/1/03 $ 2,664,725
Aa AA 4,000 New York City Housing Development Corp.,
(Multi-Family), 5.625%, 5/1/12 4,097,560
Aa2 NR 1,500 New York State Mortgage Agency Revenue,
6.45%, 10/1/21 1,599,300
Aa2 NR $ 1,300 New York State Mortgage Agency, Homeowner
Mtg. Bond Ser. 65, 5.20%, 10/1/08 $ 1,314,001
- ------------------------------------------------------------------------------------------------------------
$ 9,675,586
- ------------------------------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 2.1%
- ------------------------------------------------------------------------------------------------------------
Baa3 BBB- $ 1,700 Puerto Rico Port Authority (American
Airlines), 6.25%, 6/1/26 $ 1,819,442
- ------------------------------------------------------------------------------------------------------------
$ 1,819,442
- ------------------------------------------------------------------------------------------------------------
Insured - Education -- 3.7%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,075 Dormitory Authority of the State of New York,
(Mt. Sinai School of Medicine), (MBIA),
6.75%, 7/1/09 $ 1,180,071
Aaa AAA 2,000 Dormitory Authority of the State of New York,
(State University), (AMBAC), 5.25%, 5/15/10 2,076,680
- ------------------------------------------------------------------------------------------------------------
$ 3,256,751
- ------------------------------------------------------------------------------------------------------------
Insured - Electric Utilities -- 6.2%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 5,000 New York State Energy Research and
Development Authority, (Central Hudson Gas),
(FGIC), 7.38%, 10/1/14 $ 5,431,799
- ------------------------------------------------------------------------------------------------------------
$ 5,431,799
- ------------------------------------------------------------------------------------------------------------
Insured - Health Services -- 1.2%
- ------------------------------------------------------------------------------------------------------------
NR AAA $ 1,000 New York State Dormitory Authority, (Wesley
Health Nursing Home) (FHA), 5.85%, 8/1/26 $ 1,050,510
- ------------------------------------------------------------------------------------------------------------
$ 1,050,510
- ------------------------------------------------------------------------------------------------------------
Insured - Hospitals -- 8.7%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 4,450 New York State Medical Care Facilities
Finance Agency, (New York State Hospital),
(AMBAC), 6.10%, 2/15/04 $ 4,848,231
Aaa AAA 2,500 New York State Medical Care Facilities
Finance Agency, (New York State Hospital),
(AMBAC), 6.20%, 2/15/05 2,757,475
- ------------------------------------------------------------------------------------------------------------
$ 7,605,706
- ------------------------------------------------------------------------------------------------------------
Insured - Lease Revenue / Certificates of
Participation -- 0.6%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 500 City University of New York, (John Jay
College), (AMBAC), 5.00%, 8/15/08 $ 509,215
- ------------------------------------------------------------------------------------------------------------
$ 509,215
- ------------------------------------------------------------------------------------------------------------
Insured - Transportation -- 5.5%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,240 Metropolitan Transportation Authority for the
City of New York, (FGIC), 5.70%, 7/1/10 $ 2,382,442
Aaa AAA 2,290 Triborough Bridge and Tunnel Authority,
(FGIC), 5.80%, 1/1/02 2,428,431
- ------------------------------------------------------------------------------------------------------------
$ 4,810,873
- ------------------------------------------------------------------------------------------------------------
Insured - Water and Sewer -- 1.2%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,000 New York City Municipal Water Finance
Authority, (AMBAC), 5.80%, 6/15/03 $ 1,069,400
- ------------------------------------------------------------------------------------------------------------
$ 1,069,400
- ------------------------------------------------------------------------------------------------------------
Lease Revenue / Certificates of
Participation -- 14.0%
- ------------------------------------------------------------------------------------------------------------
Baa1 BBB+ $ 2,180 New York State Energy Research Development
Authority, (Western NY Nuclear Service Center
Project), 6.00%, 4/1/06 $ 2,345,135
Baa BBB+ 5,000 New York State Housing Finance Agency, 6.38%,
11/1/03 5,416,599
NR BBB 1,485 New York State Thruway Authority, 0.00%, 1/1/04 1,098,499
Baa1 BBB+ 1,000 New York State Urban Development Corp.,
(Youth Facilities), 5.75%, 4/1/10 1,047,170
Aaa AAA 2,250 New York Urban Development Corp., 5.50%, 7/1/16 2,297,430
- ------------------------------------------------------------------------------------------------------------
$ 12,204,833
- ------------------------------------------------------------------------------------------------------------
Life Care -- 1.2%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 500 Glen Cove, IDA (Regency at Glen Cove), 9.50%,
7/1/12 $ 500,000
NR NR 560 Glen Cove, IDA (Regency at Glen Cove) NY,
9.50%, 7/1/99 560,000
- ------------------------------------------------------------------------------------------------------------
$ 1,060,000
- ------------------------------------------------------------------------------------------------------------
Special Tax Revenue -- 5.1%
- ------------------------------------------------------------------------------------------------------------
A3 A+ $ 4,500 New York Local Government Assistance Corp.,
5.25%, 4/1/16 $ 4,494,690
- ------------------------------------------------------------------------------------------------------------
$ 4,494,690
- ------------------------------------------------------------------------------------------------------------
Transportation -- 14.3%
- ------------------------------------------------------------------------------------------------------------
Baa1 BBB+ $ 3,300 New York State Thruway Authority, Local
Highway and Bridge, 5.25%, 4/1/13 $ 3,251,853
Baa1 BBB+ 1,000 New York State Thruway Authority, Local
Highway and Bridge, (AMT), 5.75%, 4/1/16 1,021,340
A1 AA- 3,000 Port Authority of New York and New Jersey,
(AMT), 6.00%, 7/1/14 3,192,450
Baa3 BBB- 2,875 Port Authority of New York and New Jersey,
(Delta Airlines), 6.95%, 6/1/08 3,134,958
Aa A+ 2,000 Triborough Bridge and Tunnel Authority,
General Purpose Bonds, 5.20%, 1/1/27(1) 1,935,620
- ------------------------------------------------------------------------------------------------------------
$ 12,536,221
- ------------------------------------------------------------------------------------------------------------
Water and Sewer -- 7.7%
- ------------------------------------------------------------------------------------------------------------
A2 A- $ 5,000 New York City Municipal Water Finance
Authority, 5.125%, 6/15/21 $ 4,771,950
A2 A- 1,825 New York City Municipal Water Finance
Authority, 5.70%, 6/15/02 1,927,948
- ------------------------------------------------------------------------------------------------------------
$ 6,699,898
- ------------------------------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $84,164,940) $ 87,377,947
- ------------------------------------------------------------------------------------------------------------
AMT -- Interest earned from these securities may be considered a tax preference item for purposes of the
Federal Alternative Minimum Tax.
(1) Security (or a portion thereof) has been segregated to cover margin requirements on open financial
futures contracts.
The portfolio invests primarily in debt securities issued by New York municipalities. The ability of the
issuers of the debt securities to meet their obligations may be affected by economic developments in a
specific industry or municipality. In order to reduce the risk associated with such economic developments, at
September 30, 1997, 27.1% of the securities in the portfolio of investments are backed by bond insurance of
various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by
financial institution ranged from 1.4% to 12.9% of total investments.
See notes to financial statements
</TABLE>
<PAGE>
Ohio Limited Maturity Municipals Portfolio as of September 30, 1997
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Tax-Exempt Investments -- 100.0%
Ratings (Unaudited)
- ------------------------- Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Colleges and Universities -- 1.1%
- --------------------------------------------------------------------------------------------------------------
A2 NR $ 300 Ohio State Higher Educational Facility, (John
Carroll University), 5.50%, 4/1/10 $ 311,139
- --------------------------------------------------------------------------------------------------------------
$ 311,139
- --------------------------------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 7.8%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 650 Clermont County, OH, Water Works, (AMBAC),
Prerefunded to
12/1/01, 6.625%, 12/1/16 $ 720,993
NR NR 350 Cuyahoga County, OH, (Judson Retirement
Community), 8.875%, 11/15/19 392,970
Baa1 AAA 1,000 Puerto Rico Aqueduct and Sewer Authority,
Prerefunded to 7/1/98, 7.875%, 7/1/17 1,050,690
- --------------------------------------------------------------------------------------------------------------
$ 2,164,653
- --------------------------------------------------------------------------------------------------------------
General Obligations -- 10.2%
- --------------------------------------------------------------------------------------------------------------
Aa2 NR $ 500 Hamilton County, OH, 5.00%,
12/1/16 $ 493,295
NR NR 300 Kings County, OH, Local School District,
7.60%, 12/1/10 346,488
Aa3 NR 250 Oak Hills, OH, 5.60%, 12/1/17 254,973
A3 NR 1,000 Wauseon, OH, School District, 7.25%, 12/1/10
(1) 1,111,030
NR NR 595 Youngstown, OH, County School District,
6.40%, 7/1/00 615,188
- --------------------------------------------------------------------------------------------------------------
$ 2,820,974
- --------------------------------------------------------------------------------------------------------------
Hospitals -- 13.3%
- --------------------------------------------------------------------------------------------------------------
A A $1,000 Erie County Hospital Improvement (Fireland
Community Hospital Project), 6.75%, 1/1/08 $ 1,086,830
Baa1 BBB 500 Hamilton County, OH Health System (Providence
Hospital Project), 6.00%, 7/1/01 518,430
NR NR 955 Mt. Vernon Ohio Hospital, (Knox Community
Hospital), 7.875%,
6/1/12 981,014
Aa2 NR 1,000 Warren County, OH, Hospital Facilities,
(Otterbein Homes Project), 7.20%, 7/1/11 1,092,380
- --------------------------------------------------------------------------------------------------------------
$ 3,678,654
- --------------------------------------------------------------------------------------------------------------
Housing -- 6.0%
- --------------------------------------------------------------------------------------------------------------
NR NR $ 300 Cuyahoga County, OH, (Rolling Hills Apts.),
8.00%, 1/1/28 $ 297,240
NR AAA 1,000 Cuyahoga County, OH, Multifamily Housing,
(National Terminal Apts. Project), 6.40%,
7/1/16 1,060,540
NR NR 300 Lucas County, OH, Economic Development
Multifamily Housing (County Creek Project
(AMT), 8.00%, 7/1/26 293,673
- --------------------------------------------------------------------------------------------------------------
$ 1,651,453
- --------------------------------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 10.3%
- --------------------------------------------------------------------------------------------------------------
NR NR $ 500 Cuyahoga County, OH, (Rock and Roll Hall of
Fame), 5.45%,
12/1/05 $ 515,915
NR NR 250 Cuyahoga County, OH, (Rock and Roll Hall of
Fame), 5.85%,
12/1/08 264,095
NR A- 1,020 Ohio Economic Development Commission, (ABS
Industries) (AMT), 6.00%, 6/1/04 1,100,835
NR A- 645 Ohio Economic Development Commission, (Ohio
Enterprise Bond Fund - Progress Plastics
Products), (AMT), 6.80%, 12/1/01 687,402
NR NR 250 Ohio Solid Waste Revenue, Republic Engineered
Steels Inc., (AMT), 9.00%, 6/1/21 259,938
- --------------------------------------------------------------------------------------------------------------
$ 2,828,185
- --------------------------------------------------------------------------------------------------------------
Insured - Colleges and Universities -- 1.8%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 500 University of Cincinnati, (MBIA), 5.00%,
6/1/17 $ 483,555
- --------------------------------------------------------------------------------------------------------------
$ 483,555
- --------------------------------------------------------------------------------------------------------------
Insured - Education -- 3.5%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $1,000 Ohio State Public Facilities Commission,
(Higher Educational Facilities), (AMBAC),
4.30%, 12/1/08 $ 951,450
- --------------------------------------------------------------------------------------------------------------
$ 951,450
- --------------------------------------------------------------------------------------------------------------
Insured - Electric Utilities -- 1.8%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 500 Cleveland, OH, Public Power System, (MBIA),
5.125%, 11/15/18 $ 490,170
- --------------------------------------------------------------------------------------------------------------
$ 490,170
- --------------------------------------------------------------------------------------------------------------
Insured - General Obligations -- 30.6%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $1,000 Cleveland, OH, (MBIA), 6.50%, 11/15/01(1) $ 1,086,620
Aaa AAA 500 Cleveland, OH, (MBIA), 5.00%,
8/1/18 480,570
Aaa AAA 500 Commonwealth of Puerto Rico, (MBIA), 5.375%,
7/1/21 499,620
Aaa AAA 225 Finneytown, OH, Local School District,
(FGIC), 6.15%, 12/1/11 254,707
Aaa AAA 500 Forest Hills, OH, Local School District,
(MBIA), 6.00%, 12/1/09 556,440
Aaa AAA 1,000 North Olmsted, OH (AMBAC), 5.00%, 12/1/16 978,220
Aaa AAA 1,500 Southwest Licking Ohio School Facilities
Improvement, (FGIC), 7.10%, 12/1/16 1,752,225
Aaa AAA 500 Strongsville, OH, City School District,
(MBIA), 5.375%, 12/1/12 523,810
Aaa AAA 1,500 West Clermont, OH, School District, (AMBAC),
6.90%, 12/1/12(2) 1,732,153
Aaa AAA 500 West Clermont, OH, School District, (AMBAC),
7.125%, 12/1/19 578,120
- --------------------------------------------------------------------------------------------------------------
$ 8,442,485
- --------------------------------------------------------------------------------------------------------------
Insured - Hospitals -- 1.9%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 500 Cuyahoga County, OH, (Metrohealth System),
(MBIA), 5.50%,
2/15/12(3) $ 523,030
- --------------------------------------------------------------------------------------------------------------
$ 523,030
- --------------------------------------------------------------------------------------------------------------
Insured - Lease Revenue / Certificates of
Participation -- 3.4%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 500 Cleveland, OH, (Cleveland Stadium Project),
(AMBAC), 5.25%,
11/15/17 $ 496,285
Aaa AAA 400 Cleveland, OH, (Cleveland Stadium Project),
(AMBAC), 6.00%,
11/15/08 442,796
- --------------------------------------------------------------------------------------------------------------
$ 939,081
- --------------------------------------------------------------------------------------------------------------
Life Care -- 4.3%
- --------------------------------------------------------------------------------------------------------------
VMIG-1 NR $ 500 Hamilton County, OH, Hospital Facilities
Revenue, (Retirement Homes), 5.00%, 7/1/15 $ 507,995
NR BBB- 680 Marion County, OH, Health Care Facilities,
(United Church Homes Project), 5.25%,
11/15/98 684,182
- --------------------------------------------------------------------------------------------------------------
$ 1,192,177
- --------------------------------------------------------------------------------------------------------------
Nursing Homes -- 2.5%
- --------------------------------------------------------------------------------------------------------------
NR NR $ 300 Fairfield, OH, Economic Development Revenue,
(Beverly Enterprises Project), 8.50%, 1/1/03 $ 328,221
NR NR 295 Greene County, OH, First Mortgage, (Fairview
Extended Care), 10.125%, 1/1/11 354,664
- --------------------------------------------------------------------------------------------------------------
$ 682,885
- --------------------------------------------------------------------------------------------------------------
Special Tax Revenue -- 1.5%
- --------------------------------------------------------------------------------------------------------------
NR NR $ 403 Columbus, OH, Special Assessment, 6.05%,
9/15/05 $ 415,766
- --------------------------------------------------------------------------------------------------------------
$ 415,766
- --------------------------------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $26,423,054) $27,575,657
- --------------------------------------------------------------------------------------------------------------
AMT -- Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
(1) Security has been segregated to cover when-issued securities.
(2) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
(3) When-issued security.
The Portfolio invests primarily in debt securities issued by Ohio
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1997, 43.0% 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 7.3% to 21.4% of total investments.
</TABLE>
<PAGE>
Pennsylvania Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Tax-Exempt Investments -- 100.0%
Ratings (Unaudited)
- ------------------------- Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 5.5%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 1,200 Pennsylvania Economic Development Financing
Authority, (Resource Recovery for
Northampton), 6.75%, 1/1/07 $ 1,267,404
NR BBB- 2,000 Pennsylvania Economic Development Financing
Authority, (Resources Recovery - Culver
Project), (AMT), 7.05%, 12/1/10(1) 2,197,020
- ------------------------------------------------------------------------------------------------------------
$ 3,464,424
- ------------------------------------------------------------------------------------------------------------
Education -- 1.2%
- ------------------------------------------------------------------------------------------------------------
NR AAA $ 700 Montgomery County, PA, Higher Education and
Health Authority, (Saint Joseph's
University), (CLEE), 6.00%, 12/15/02 $ 749,049
- ------------------------------------------------------------------------------------------------------------
$ 749,049
- ------------------------------------------------------------------------------------------------------------
Electric Utilities -- 1.6%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 960 Virgin Islands Water and Power Authority,
7.40%, 7/1/11 $ 1,038,000
- ------------------------------------------------------------------------------------------------------------
$ 1,038,000
- ------------------------------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 9.5%
- ------------------------------------------------------------------------------------------------------------
Baa AAA $ 500 Pennsylvania State Higher Education, (Medical
College of Pennsylvania), Prefunded to
3/1/01, 7.25%, 3/1/05 $ 556,890
Aaa N/R 1,500 Philadelphia, PA, Hospital and Higher
Education, (Children's Hospital), Prerefunded
to 2/15/02, 6.50%, 2/15/21 1,656,090
Aaa AAA 1,500 Somerset County, PA, General Authority,
(FGIC) Escrowed to Maturity, 6.50%, 10/15/01 1,627,860
Aaa AAA 7,000 Westmoreland County, PA, Municipal Authority,
(FGIC), 0.00%, 8/15/19 2,147,600
- ------------------------------------------------------------------------------------------------------------
$ 5,988,440
- ------------------------------------------------------------------------------------------------------------
Hospitals -- 15.2%
- ------------------------------------------------------------------------------------------------------------
NR BBB $ 1,000 Allentown, PA, (Sacred Heart Hospital),
6.50%, 11/15/08 $ 1,068,310
Baa3 BBB+ 650 Hazleton, PA, Health Services Authority,
5.85%, 7/1/06 669,942
NR AAA 1,030 Indiana County, PA, Hospital Authority,
(Indiana Hospital), (CLEE), 5.75%, 7/1/00 1,071,561
NR AAA 825 Indiana County, PA, Hospital Authority,
(Indiana Hospital), (CLEE), 5.875%, 7/1/01 870,697
A3 A 1,200 Lehigh County, PA, General Purpose Authority,
(Muhlenberg Hospital), 5.75%, 7/15/10 1,213,836
NR BBB- 200 Mckean County, PA, (Bradford Hospital),
5.375%, 10/1/03 205,098
Baa2 NR 1,030 Montgomery County, PA, Higher Education and
Health Authority, (Montgomery Hospital),
6.25%, 7/1/06 1,076,515
Baa2 NR 1,100 Montgomery County, PA, Higher Education and
Health Authority, (Montgomery Hospital),
6.375%, 7/1/07 1,144,077
A NR 500 New Castle Area Hospital Authority, (St.
Francis Hospital of New Castle), 5.90%, 11/15/00 520,685
NR BBB 380 Northhampton County Hospital Authority,
(Easton Hospital), 6.90%, 1/1/02 399,874
NR A- 1,350 South Fork, PA, Municipal Authority, (Lee
Hospital), 5.50%, 7/1/11 1,349,879
- ------------------------------------------------------------------------------------------------------------
$ 9,590,474
- ------------------------------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 5.1%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 885 Chester County, PA, Industrial Development
Authority, 8.00%, 9/1/05 $ 927,038
NR BB- 1,005 Clearfield, PA, (Kmart Corp.), 6.80%, 5/15/07 1,060,757
A3 A- 1,200 Erie, PA, Industrial Development Authority,
5.85%, 12/1/20 1,233,048
- ------------------------------------------------------------------------------------------------------------
$ 3,220,843
- ------------------------------------------------------------------------------------------------------------
Insured - Colleges and Universities -- 5.3%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 3,450 Allegheny County, PA, Higher Education
Building Authority, (Dusquesne University),
(AMBAC), 5.00%, 3/1/16 $ 3,344,843
- ------------------------------------------------------------------------------------------------------------
$ 3,344,843
- ------------------------------------------------------------------------------------------------------------
Insured - Electric Utilities -- 7.5%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Cambria County, PA, Industrial Development
Pollution Control, (MBIA), 5.35%, 11/1/10 $ 2,095,960
Aaa AAA 2,500 Indiana County, PA, Industrial Development
Authority Pollution Control, (MBIA), 5.35%,
11/1/10 2,619,950
- ------------------------------------------------------------------------------------------------------------
$ 4,715,910
- ------------------------------------------------------------------------------------------------------------
Insured - General Obligations -- 4.2%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,355 McKeesport, PA, (FGIC), 0.00%, 10/1/11 $ 660,319
Aaa AAA 2,000 State of Pennsylvania, (AMBAC), 5.00%, 11/15/15 1,960,180
- ------------------------------------------------------------------------------------------------------------
$ 2,620,499
- ------------------------------------------------------------------------------------------------------------
Insured - Hospitals -- 6.8%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Allegheny County, PA, Hospital Development
Authority, (South Hills Health), (MBIA),
5.50%, 5/1/08 $ 1,058,370
Aaa AAA 1,000 Erie County, PA, Hospital Authority, (Hamot
Health System), (AMBAC), 7.10%, 2/15/10 1,095,700
Aaa AAA 2,050 Sayre Health Care Facilities Authority,
(Guthrie Medical Center), (AMBAC), 6.50%, 3/1/00 2,158,281
- ------------------------------------------------------------------------------------------------------------
$ 4,312,351
- ------------------------------------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of
Participation -- 2.6%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Northumberland County Authority, PA, Lease
Revenue Bonds, (MBIA), 6.50%, 10/15/01 $ 1,085,240
Aaa AAA 500 The Harrisburg Authority (Dauphin County, PA)
Lease Revenue Bonds, (CGIC), 6.25%, 6/1/01 534,750
- ------------------------------------------------------------------------------------------------------------
$ 1,619,990
- ------------------------------------------------------------------------------------------------------------
Insured - School District -- 4.0%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,500 Pleasant Valley, PA, School District, (FGIC),
5.00%, 9/1/10 $ 2,501,875
- ------------------------------------------------------------------------------------------------------------
$ 2,501,875
- ------------------------------------------------------------------------------------------------------------
Insured - Transportation -- 6.5%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 3,000 Philadelphia Airport Revenue, (FGIC), (AMT),
5.25%, 6/15/09(2) $ 3,059,549
Aaa AAA 1,000 Southeastern Pennsylvania Transportation
Authority, (FGIC), 5.55%, 3/1/14 1,027,730
- ------------------------------------------------------------------------------------------------------------
$ 4,087,279
- ------------------------------------------------------------------------------------------------------------
Life Care -- 13.1%
- ------------------------------------------------------------------------------------------------------------
NR BBB $ 2,355 Clearfield, PA, Hospital Authority,
(Clearfield Hospital), 6.875%, 6/1/16 $ 2,501,175
NR NR 245 Delaware County, PA, Authority, (White Horse
Village), 6.30%, 7/1/03 256,001
NR NR 505 Delaware County, PA, Authority, (White Horse
Village), 6.40%, 7/1/04 531,169
NR NR 1,120 Delaware County, PA, Industrial Development
Authority, (Glen Riddle), (AMT), 8.125%,
9/1/05(1) 1,197,616
Aa AA 2,000 Geisinger, PA, Health System, 7.375%, 7/1/02 2,148,000
Baa2 BBB+ 590 Hazleton, PA, Health Services Authority,
(Hazleton General Hospital), 5.50%, 7/1/07 601,092
A3 BBB+ 1,000 Monroeville, PA, Hospital Authority, 5.75%,
10/1/05 1,044,610
- ------------------------------------------------------------------------------------------------------------
$ 8,279,663
- ------------------------------------------------------------------------------------------------------------
Nursing Homes -- 1.0%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 500 Wilkins Area, PA, IDA, (Fairview Extended
Care), 10.25%, 1/1/21 $ 603,005
- ------------------------------------------------------------------------------------------------------------
$ 603,005
- ------------------------------------------------------------------------------------------------------------
Solid Waste -- 3.0%
- ------------------------------------------------------------------------------------------------------------
Baa A- $ 500 Greater Lebanon Refuse Authority of Lebanon
County, PA, 6.20%, 5/15/99 $ 514,965
Baa A- 500 Greater Lebanon Refuse Authority of Lebanon
County, PA, 6.20%, 11/15/99 519,065
Baa A- 300 Greater Lebanon Refuse Authority of Lebanon
County, PA, 6.40%, 5/15/00 314,247
Baa A- $ 500 Greater Lebanon Refuse Authority of Lebanon
County, PA, 6.40%, 11/15/00 $ 527,970
- ------------------------------------------------------------------------------------------------------------
$ 1,876,247
- ------------------------------------------------------------------------------------------------------------
Special Tax Revenue -- 0.4%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 250 Virgin Islands Public Finance Authority,
(V.I. General Obligations/Matching Loan Fund
Notes), 6.70%, 10/1/99 $ 260,908
- ------------------------------------------------------------------------------------------------------------
$ 260,908
- ------------------------------------------------------------------------------------------------------------
Transportation -- 7.5%
- ------------------------------------------------------------------------------------------------------------
A1 A $ 1,000 Pennsylvania State Turnpike Commission,
6.00%, 12/1/17 $ 1,000,370
Aa3 AA- 2,550 Southeastern Pennsylvania Transportation
Authority, LOC: Canadian Imperial Bank of
Commerce, 6.00%, 6/1/99(3) 2,631,395
Aa3 AA- 1,000 Southeastern Pennsylvania Transportation
Authority, LOC: Canadian Imperial Bank of
Commerce, 6.00%, 6/1/01 1,059,510
- ------------------------------------------------------------------------------------------------------------
$ 4,691,275
- ------------------------------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $60,582,610) $ 62,965,075
- ------------------------------------------------------------------------------------------------------------
AMT -- Interest earned from these securities may be considered a tax preference item for purposes of the
Federal Alternative Minimum Tax.
(1) Security has been segregated to cover when-issued securities.
(2) When-issued security.
(3) Security (or a portion thereof) has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Pennsylvania municipalities. The ability of the
issuers of the debt securities to meet their obligations may be affected by economic developments in a
specific industry or municipality. In order to reduce the risk associated with such economic developments, at
September 30, 1997, 36.9% of the securities in the portfolio of investments are backed by bond issuance of
various financial institutions and financial guaranty assurance agencies. The aggregate percentage by
financial institution range from 0.8% to 17.5% of total investments.
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
Statements of Assets and Liabilities
As of September 30, 1997
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Assets
- --------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $37,438,471 $10,272,445 $77,729,712 $57,783,860 $11,663,301
Unrealized appreciation 1,804,958 425,211 3,191,396 2,680,345 832,998
- --------------------------------------------------------------------------------------------------------------------------------
Investments, at value
(Note 1A) $39,243,429 $10,697,656 $80,921,108 $60,464,205 $12,496,299
- --------------------------------------------------------------------------------------------------------------------------------
Cash $ 93 $ 106,895 $ 572 $ 247 $ 215
Receivable for investments
sold -- -- -- 1,923,062 495,092
Interest receivable 605,665 144,037 1,693,674 974,678 275,605
Receivable for daily
variation margin on open
financial futures contracts
(Note 1E) 8,250 -- 8,938 14,094 2,750
Deferred organization
expenses (Note 1D) 890 462 2,474 2,392 --
- --------------------------------------------------------------------------------------------------------------------------------
Total assets $39,858,327 $10,949,050 $82,626,766 $63,378,678 $13,269,961
- --------------------------------------------------------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------------------------------------------------------
Payable for when-issued
securities (Note 1F) $ 1,213,685 $ 292,542 $ -- $ 499,323 $ --
Demand note payable (Note 5) 167,000 -- 418,000 409,000 313,000
Payable to affiliate for
Trustees' fees (Note 2) 416 -- 1,683 1,716 41
Accrued expenses 2,854 931 5,395 3,719 2,145
- --------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 1,383,955 $ 293,473 $ 425,078 $ 913,758 $ 315,186
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to
investors' interest in
Portfolio $ 38,474,372 $10,655,577 $82,201,688 $62,464,920 $12,954,775
- --------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital
contributions and
withdrawals $ 36,743,049 $10,230,366 $79,051,573 $59,850,872 $12,134,703
Net unrealized appreciation
of investments and
financial futures contracts
(computed on the basis of
identified cost) 1,731,323 425,211 3,150,115 2,614,048 820,072
- --------------------------------------------------------------------------------------------------------------------------------
Total $38,474,372 $10,655,577 $82,201,688 $62,464,920 $12,954,775
- --------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
Statements of Assets and Liabilities
As of September 30, 1997
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $48,296,307 $84,164,940 $26,423,054 $60,582,610
Unrealized appreciation 2,571,999 3,213,007 1,152,603 2,382,465
- ----------------------------------------------------------------------------------------------------------------------------------
Investments, at value (Note
1A) $50,868,306 $87,377,947 $27,575,657 $62,965,075
- ----------------------------------------------------------------------------------------------------------------------------------
Cash $ 511 $ 633 $ 234 $ 207,683
Interest receivable 780,351 1,620,729 498,299 912,055
Receivable for daily
variation margin on open
financial futures
contracts (Note 1E) 5,500 17,531 688 17,188
Deferred organization
expenses (Note 1D) 996 1,501 -- 1,572
- ----------------------------------------------------------------------------------------------------------------------------------
Total assets $51,655,664 $ 89,018,341 $28,074,878 $64,103,573
- ----------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ----------------------------------------------------------------------------------------------------------------------------------
Payable for when-issued
securities (Note 1F) $ -- $ -- $ 516,285 $ 2,927,610
Demand note payable (Note 5) 479,000 1,763,000 463,000 --
Payable to affiliate for
Trustees' fees (Note 2) 1,632 2,206 474 1,691
Accrued expenses 4,386 7,622 4,141 3,875
- ----------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 485,018 $ 1,772,828 $ 983,900 $ 2,933,176
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to
investors' interest in
Portfolio $51,170,646 $ 87,245,513 $27,090,978 $61,170,397
- ----------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital
contributions and
withdrawals $48,631,778 $84,188,980 $25,940,262 $58,918,726
Net unrealized appreciation
of investments and
financial futures
contracts (computed on the
basis of identified cost) 2,538,868 3,056,533 1,150,716 2,251,671
- ----------------------------------------------------------------------------------------------------------------------------------
Total $51,170,646 $87,245,513 $27,090,978 $61,170,397
- ----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
Statements of Operations
For the Six Months Ended September 30, 1997
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
Investment Income (Note 1B)
- ----------------------------------------------------------------------------------------------------------------------------------
Interest income $1,124,251 $316,081 $2,383,675 $1,845,464 $400,654
- ----------------------------------------------------------------------------------------------------------------------------------
Total income $1,124,251 $316,081 $2,383,675 $1,845,464 $400,654
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses
- ----------------------------------------------------------------------------------------------------------------------------------
Investment Adviser fee (Note 2) $ 94,735 $ 26,589 $ 201,818 $ 154,370 $ 32,856
Compensation of Trustees not members
of the Investment Adviser's
organization (Note 2) 834 25 5,582 3,331 84
Legal and accounting services 19,515 15,066 20,570 19,410 14,413
Custodian fee (Note 1G) 13,936 5,285 27,474 19,915 6,827
Amortization of organization expenses
(Note 1D) 757 1,281 2,108 2,050 259
Miscellaneous 3,538 1,190 852 10,599 1,181
- ----------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 133,315 $ 49,436 $ 258,404 $ 209,675 $ 55,620
- ----------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee (Note 1G) $ 4,370 $ 859 $ 6,717 $ 8,100 $ 2,303
Preliminary reduction of investment
adviser fee (Note 2) -- 13,203 -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 4,370 $ 14,062 $ 6,717 $ 8,100 $ 2,303
- ----------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 128,945 $ 35,374 $ 251,687 $ 201,575 $ 53,317
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 995,306 $280,707 $2,131,988 $1,643,889 $347,337
- ----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) on Investments
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 406,166 $ 76,554 $ 459,743 $ 411,976 $105,373
Financial futures contracts (329,542) (113,393) (1,126,670) (713,733) (232,398)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments $ 76,624 $(36,839) $ (666,927) $ (301,757) $(127,025)
- ----------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $1,190,079 $316,332 $2,750,326 $2,091,851 $439,774
Financial futures contracts (170,770) -- (249,425) (246,688) (12,926)
- ----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
of investments $1,019,309 $316,332 $2,500,901 $1,845,163 $426,848
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on
investments $1,095,933 $279,493 $1,833,974 $1,543,406 $299,823
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
operations $2,091,239 $560,200 $3,965,962 $3,187,295 $647,160
- ----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Statements of Operations
For the Six Months Ended September 30, 1997
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
Investment Income (Note 1B)
- -----------------------------------------------------------------------------------------------------------------------------------
Interest income $1,529,782 $2,569,317 $ 803,077 $1,821,218
- -----------------------------------------------------------------------------------------------------------------------------------
Total income $1,529,782 $2,569,317 $ 803,077 $1,821,218
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 127,697 $ 215,715 $ 65,786 $ 150,665
Compensation of Trustees not members of the Investment Adviser's
organization (Note 2) 3,246 4,348 914 3,305
Custodian fee (Note 1G) 12,425 19,466 9,055 12,407
Legal and accounting services 18,800 21,907 17,864 19,411
Amortization of organization expenses (Note 1D) 897 1,288 -- 1,340
Miscellaneous 11,933 22,301 2,232 8,577
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 174,998 $ 285,025 $ 95,851 $ 195,705
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income $1,354,784 $2,284,292 $ 707,226 $1,625,513
- -----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 413,119 $ 684,604 $ 123,726 $ 673,906
Financial futures contracts (632,175) (29,537) (143,002) (213,153)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments $ (219,056) $ 655,067 $ (19,276) $ 460,753
- -----------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $1,464,797 $3,100,308 $ 767,315 $1,697,940
Financial futures contracts (33,131) (531,133) (1,887) (130,794)
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation)
of investments $1,431,666 $2,569,175 $ 765,428 $1,567,146
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments $1,212,610 $3,224,242 $ 746,152 $2,027,899
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $2,567,394 $5,508,534 $1,453,378 $3,653,412
- -----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the Six Months Ended September 30, 1997
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
From operations --
Net investment income $ 995,306 $ 280,707 $ 2,131,988 $ 1,643,889 $ 347,337
Net realized gain (loss) on investments 76,624 (36,839) (666,927) (301,757) (127,025)
Net change in unrealized appreciation of
investments 1,019,309 316,332 2,500,901 1,845,163 426,848
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 2,091,239 $ 560,200 $ 3,965,962 $ 3,187,295 $ 647,160
- ----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $10,035,694 $ 3,806,131 $ 21,958,853 $ 18,608,886 $ 6,338,402
Withdrawals (16,847,002) (5,984,721) (36,632,319) (29,301,197) (9,027,219)
- ----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $(6,811,308) $(2,178,590) $(14,673,466) $(10,692,311) $ (2,688,817)
- ----------------------------------------------------------------------------------------------------------------------------------
Net decreas in net assets $(4,720,069) $(1,618,390) $(10,707,504) $ (7,505,016) $ (2,041,657)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
At beginning of period $43,194,441 $12,273,967 $ 92,909,192 $ 69,969,936 $ 14,996,432
- ----------------------------------------------------------------------------------------------------------------------------------
At end of period $38,474,372 $10,655,577 $ 82,201,688 $ 62,464,920 $12,954,775
- ----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the Six Months Ended September 30, 1997
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------------------
From operations --
<S> <C> <C> <C> <C>
Net investment income $ 1,354,784 $ 2,284,292 $ 707,226 $ 1,625,513
Net realized gain (loss) on
investments (219,056) 655,067 (19,276) 460,753
Net change in unrealized
appreciation of investments 1,431,666 2,569,175 765,428 1,567,146
- ---------------------------------------------------------------------------------------------------
Net increase in net assets from
operations $ 2,567,394 $ 5,508,534 $ 1,453,378 $ 3,653,412
- ---------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 14,795,412 $ 25,537,949 $ 11,400,618 $ 13,928,412
Withdrawals (24,458,099) (43,814,718) (14,232,870) (24,287,034)
- ---------------------------------------------------------------------------------------------------
Net decrease in net assets from
captial transactions $ (9,662,687) $(18,276,769) $ (2,832,252) $(10,358,622)
- ---------------------------------------------------------------------------------------------------
Net decrease in net assets $ (7,095,293) $(12,768,235) $ (1,378,874) $ (6,705,210)
- ---------------------------------------------------------------------------------------------------
Net Assets
- ---------------------------------------------------------------------------------------------------
At beginning of period $ 58,265,939 $100,013,748 $ 28,469,852 $ 67,875,607
- ---------------------------------------------------------------------------------------------------
At end of period $ 51,170,646 $ 87,245,513 $ 27,090,978 $ 61,170,397
- ---------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the Year Ended March 31, 1997
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------
From operations --
<S> <C> <C> <C> <C> <C>
Net investment income $ 2,546,209 $ 701,646 $ 5,368,154 $ 4,105,048 $ 895,654
Net realized gain (loss)
on investments (146,427) 11,718 (345,920) (122,731) 196,256
Change in unrealized appreciation
(depreciation) of investments (326,414) (114,671) (1,654,724) (861,173) (180,447)
- -----------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
operations $ 2,073,368 $ 598,693 $ 3,367,510 $ 3,121,144 $ 911,463
- -----------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 890,101 $ 868,089 $ 4,859,506 $ 1,754,803 $ 727,519
Withdrawals (18,985,108) (4,054,341) (43,152,835) (32,041,287) (7,833,956)
- -----------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from
capital transactions $(18,095,007) $ (3,186,252) $(38,293,329) $(30,286,484) $ (7,106,437)
- -----------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $(16,021,639) $ (2,587,559) $(34,925,819) $(27,165,340) $ (6,194,974)
- -----------------------------------------------------------------------------------------------------------------------
Net Assets
- -----------------------------------------------------------------------------------------------------------------------
At beginning of year $ 59,216,080 $ 14,861,526 $127,835,011 $ 97,135,276 $ 21,191,406
- -----------------------------------------------------------------------------------------------------------------------
At end of year $ 43,194,441 $ 12,273,967 $ 92,909,192 $ 69,969,936 $ 14,996,432
- -----------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended March 31, 1997
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- -------------------------------------------------------------------------------------------------------
From operations --
<S> <C> <C> <C> <C>
Net investment income $ 3,451,147 $ 5,864,808 $ 1,601,381 $ 4,070,122
Net realized gain (loss) on
investments 72,466 (287,142) 226,637 407,499
Net Change in unrealized appreciation
(depreciation) of investments (370,049) (895,080) (288,513) (1,218,041)
- -------------------------------------------------------------------------------------------------------
Net increase in net assets from
operations $ 3,153,564 $ 4,682,586 $ 1,539,505 $ 3,259,580
- -------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 1,862,282 $ 3,989,610 $ 1,294,856 $ 2,538,420
Withdrawals (26,922,483) (47,386,927) (7,893,884) (30,116,393)
- -------------------------------------------------------------------------------------------------------
Net decrease in
net assets from
capital
transactions $(25,060,201) $(43,397,317) $ (6,599,028) $(27,577,973)
- -------------------------------------------------------------------------------------------------------
Net decrease in net assets $(21,906,637) $(38,714,731) $ (5,059,523) $(24,318,393)
- -------------------------------------------------------------------------------------------------------
Net Assets
- -------------------------------------------------------------------------------------------------------
At beginning of year $ 80,172,576 $138,728,479 $ 33,529,375 $ 92,194,000
- -------------------------------------------------------------------------------------------------------
At end of year $ 58,265,939 $100,013,748 $ 28,469,852 $ 67,875,607
- -------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Supplementary Data
California Limited Portfolio Connecticut Limited Portfolio
---------------------------------------------------- ------------------------------------------------------
Six Months Six Months
Ended Ended
September 30, Year Ended March 31, September 30 Year Ended March 31,
1997 ------------------------------------- 1997 ---------------------------------------
(Unaudited) 1997 1996 1995 1994* (Unaudited) 1997 1996 1995 1994**
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Expenses(1) 0.65%+ 0.63% 0.58% 0.53% 0.46%+ 0.64%+ 0.54% 0.39% 0.17% 0.00%+
Net expenses, after
custodian fee
reduction 0.63%+ 0.61% 0.55% -- -- 0.62%+ 0.50% 0.35% -- --
Net investment income 4.87%+ 4.98% 4.82% 4.72% 4.50%+ 4.91%+ 5.09% 4.91% 4.95% 4.53%+
Portfolio Turnover 28% 57% 36% 56% 6% 16% 46% 52% 73% 39%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000s omitted) $38,474 $43,194 $59,216 $82,344 $95,704 $10,656 $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 would have been as follows:
Expenses(1) 0.52%+ 0.87%+ 0.78% 0.72% 0.67% 0.62%+
Expenses after custodian fee
reduction 0.85%+ 0.74% 0.68% -- --
Net investment income 4.44%+ 4.68%+ 4.85% 4.58% 4.45% 3.92%+
- ----------------------------------------------------------------------------------------------------------------------------------
+ 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 year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require each Portfolio to increase its expense ratio by the effect of any
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>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Supplementary Data
Florida Limited Portfolio Massachusetts Limited Portfolio
------------------------------------------------------- -----------------------------------------------------
Six Months Six Months
Ended Ended
September 30, Year Ended March 31. September 30, Year Ended March 31,
1997 ---------------------------------------- 1997 --------------------------------------
(Unaudited) 1997 1996 1995 1994* (Unaudited) 1997 1996 1995 1994*
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Expenses(1) 0.60%+ 0.59% 0.55% 0.52% 0.49%+ 0.63%+ 0.60% 0.57% 0.54% 0.52%+
Net expenses, after
custodian fee
reduction 0.58%+ 0.57% 0.54% -- -- 0.61%+ 0.58% 0.55% -- --
Net investment income 4.88%+ 4.90% 4.73% 4.73% 4.53%+ 4.95%+ 4.97% 4.72% 4.90% 4.57%+
Portfolio Turnover 24% 66% 20% 44% 8% 26% 60% 27% 46% 8%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000s omitted) $82,202 $92,909 $127,835 $164,579 $185,977 $62,465 $69,970 $97,135 $119,120 $119,772
- ----------------------------------------------------------------------------------------------------------------------------------
+Annualized.
*For the period from the start of business, May 3, 1993, to March 31, 1994.
(1)The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require each Portfolio to increase its expense ratio by the effect of any
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>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Supplementary Data
Michigan Limited Portfolio New Jersey Limited Portfolio
---------------------------------------------------- -------------------------------------------------------
Six Months Six Months
Ended Year Ended March 31, Ended
September 30, Year Ended March 31, September 30, Year Ended March 31,
1997 ------------------------------------- 1997 ----------------------------------------
(Unaudited) 1997 1996 1995 1994* (Unaudited) 1997 1996 1995 1994**
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Expenses(1) 0.80%+ 0.79% 0.68% 0.48% 0.00%+ 0.65%+ 0.61% 0.57% 0.54% 0.54%+
Net expenses, after
custodian fee
reduction 0.77%+ 0.76% 0.64% -- -- 0.64%+ 0.58% 0.55% -- --
Net investment income 4.99%+ 5.09% 5.00% 4.88% 4.62%+ 4.94%+ 4.96% 4.78% 4.73% 4.53%+
Portfolio Turnover 12% 28% 40% 111% 30% 15% 37% 42% 44% 10%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000s omitted) $12,955 $14,996 $21,191 $33,198 $35,608 $51,171 $58,266 $80,173 $97,280 $102,948
- ----------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolios may reflect a reduction of the
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios (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 year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require each Portfolio to increase its expense ratio by the effect of any
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>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Supplementary Data
New York Limited Portfolio Ohio Limited Portfolio
-------------------------------------------------------- ----------------------------------------------------
Six Months Six Months
Ended Ended
September 30, Year Ended March 31, September 30, Year Ended March 31,
1997 ----------------------------------------- 1997 -------------------------------------
(Unaudited) 1997 1996 1995 1994* (Unaudited) 1997 1996 1995 1994**
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Expenses(1) 0.62%+ 0.58% 0.55% 0.52% 0.47%+ 0.70%+ 0.68% 0.63% 0.46% 0.00%+
Net expenses, after
custodian fee
reduction 0.61%+ 0.56% 0.53% -- -- 0.69%+ 0.65% 0.61% -- --
Net investment income 4.87%+ 4.87% 4.66% 4.79% 4.50%+ 5.06%+ 5.20% 5.06% 4.96% 4.68%+
Portfolio Turnover 31% 58% 32% 31% 5% 17% 34% 47% 120% 33%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000s omitted) $87,246 $100,014 $138,728 $173,632 $183,768 $27,091 $28,470 $33,529 $39,435 $37,978
- ----------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolios may reflect a reduction of the Investment Adviser fee, an allocation of expenses to the
Investment Adviser, or both. Had such actions not been taken, the ratios (as a percentage of average net assets) and net
investment income per share would have been as follows:
Expenses(1) 0.58% 0.54%+
Net investment income 4.84% 4.14%+
- ----------------------------------------------------------------------------------------------------------------------------------
+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 year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require each Portfolio to increase its expense ratio by the effect of any
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>
See notes to financial statements
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Supplementary Data
Pennsylvania Limited Portfolio
-----------------------------------------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1997 -----------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994*
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses(1) 0.63%+ 0.61% 0.58% 0.53% 0.50%+
Net expenses, after custodian fee
reduction 0.61%+ 0.59% 0.56% -- --
Net investment income 5.05%+ 5.11% 4.81% 4.77% 4.59%+
Portfolio Turnover 29% 51% 24% 39% 12%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $61,170 $67,876 $92,194 $113,606 $123,620
- ----------------------------------------------------------------------------------------------------------------------------------
+Annualized.
*For the period from the start of business, May 3, 1993, to March 31, 1994.
(1)The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require the 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>
See notes to financial statements
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
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), Massachusetts Limited Maturity Municipals Portfolio
(Massachusetts 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), Ohio Limited
Maturity Municipals Portfolio (Ohio Limited Portfolio), and Pennsylvania
Limited Maturity Municipals Portfolio (Pennsylvania 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 Fund commenced operations.
E Financial Futures Contracts -- Upon the entering of a financial futures
contract, a Portfolio is required to deposit ("initial margin") either in
cash or securities an amount equal to a certain percentage of the purchase
price indicated in the financial futures contract. Subsequent payments are
made or received by a Portfolio ("margin maintenance") each day, dependent
on the daily fluctuations in the value of the underlying security, and are
recorded for book purposes as unrealized gains or losses by a Portfolio. A
Portfolio's investment in financial futures contracts is designed only to
hedge against anticipated future changes in interest rates. Should interest
rates move unexpectedly, a Portfolio may not achieve the anticipated
benefits of the financial futures contracts and may realize a loss.
F When-issued and Delayed Delivery Transactions -- The Portfolios may engage
in when-issued and delayed delivery transactions. The Portfolios record
when-issued securities on trade date and maintain security positions such
that sufficient liquid assets will be available to make payments for the
securities purchased. Securities purchased on a when-issued or delayed
delivery basis are marked-to-market daily and begin earning interest on
settlement date.
G Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolios. Pursuant to the respective custodian
agreements, IBT receives a fee reduced by 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 operating expense on the Statement of
Operations.
H 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.
I Other -- Investment transactions are accounted for on a trade date basis.
J Interim Financial Information -- The interim financial statements relating
to September 30, 1997 and for the six months then ended have not been
audited by independent certified public accountants, but in the opinion of
the Fund's management reflect all adjustments, consisting only of normal
recurring adjustments, necessary for the fair presentation of the financial
statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
------------------------------------------------------------------------------
The investment adviser fee is earned by Boston Management and Research
(BMR), a wholly-owned subsidiary of Eaton Vance Management (EVM), as
compensation for management and investment advisory services rendered to
each Portfolio. The fee is based upon a percentage of average daily net
assets plus a percentage of gross income (i.e., income other than gains from
the sale of securities). For the six months ended September 30, 1997, each
Portfolio paid advisory fees as follows:
Portfolio Amount Effective Rate*
----------------------------------------------------------------------
California Limited $ 94,735 0.46%
Connecticut Limited $ 26,589 0.47%
Florida $201,818 0.46%
Massachusetts Limited $154,370 0.47%
Michigan Limited $ 32,856 0.47%
New Jersey Limited $127,697 0.47%
New York Limited $215,715 0.46%
Ohio $ 65,786 0.47%
Pennsylvania Limited $150,665 0.47%
----------------------------------------------------------------------
*Annualized
To enhance the net income of the Connecticut Limited Portfolio, BMR made a
reduction of its fee in the amount of $13,203.
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 six
months ended September 30, 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
and short-term obligations, for the six months ended September 30, 1997 were
as follows:
<TABLE>
<CAPTION>
California Limited Portfolio Connecticut Limited Portfolio
---------------------------------------------------------------------------------------------------
<S> <C> <C>
Purchases $ 11,322,089 $ 1,833,663
Sales 16,081,768 3,588,554
<CAPTION>
Florida Limited Portfolio Massachusetts Limited Portfolio
---------------------------------------------------------------------------------------------------
<S> <C> <C>
Purchases $ 20,719,202 $ 16,563,082
Sales 34,916,974 26,189,363
<CAPTION>
Michigan Limited Portfolio New Jsersey Limited Portfolio
---------------------------------------------------------------------------------------------------
<S> <C> <C>
Purchases $ 1,598,564 $ 8,298,261
Sales 4,157,778 16,907,242
<CAPTION>
New York Limited Portfolio Ohio Limited Portfolio
---------------------------------------------------------------------------------------------------
<S> <C> <C>
Purchases $ 28,712,475 $ 4,621,017
Sales 42,802,297 5,551,996
<CAPTION>
Pennsylvania Limited Portfolio
---------------------------------------------------------------------------------------------------
<S> <C>
Purchases $ 18,408,086
Sales 23,690,089
---------------------------------------------------------------------------------------------------
</TABLE>
4 Federal Income Tax Basis of Investments
------------------------------------------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at September 30, 1997, as computed on a
federal income tax basis, are as follows:
<TABLE>
<CAPTION>
California Limited Connecticut Limited
Portfolio Portfolio
--------------------------------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 37,438,471 $ 10,272,445
--------------------------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,813,648 $ 426,306
Gross unrealized depreciation (8,690) (1,096)
--------------------------------------------------------------------------------------------------
Net unrealized appreciation $ 1,804,958 $ 425,211
--------------------------------------------------------------------------------------------------
<CAPTION>
Florida Limited Massachusetts Limited
Portfolio Portfolio
--------------------------------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 77,729,712 $ 57,783,860
--------------------------------------------------------------------------------------------------
Gross unrealized appreciation $ 3,199,266 $ 2,682,840
Gross unrealized depreciation (7,870) (2,495)
--------------------------------------------------------------------------------------------------
Net unrealized appreciation $ 3,191,396 $ 2,680,345
--------------------------------------------------------------------------------------------------
<CAPTION>
Michigan Limited New Jersey Limited
Portfolio Portfolio
--------------------------------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 11,663,301 $ 48,296,307
--------------------------------------------------------------------------------------------------
Gross unrealized appreciation $ 832,998 $ 2,593,712
Gross unrealized depreciation -- (21,713)
--------------------------------------------------------------------------------------------------
Net unrealized appreciation $ 832,998 $ 2,571,999
--------------------------------------------------------------------------------------------------
<CAPTION>
New York Limited Ohio Limited
Portfolio Portfolio
--------------------------------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 84,164,940 $ 26,423,054
--------------------------------------------------------------------------------------------------
Gross unrealized appreciation $ 3,213,007 $ 1,152,603
Gross unrealized depreciation -- --
--------------------------------------------------------------------------------------------------
Net realized appreciation $ 3,213,007 $ 1,152,603
--------------------------------------------------------------------------------------------------
<CAPTION>
Pennsylvania Limited
Portfolio
- -----------------------------------------------------------------------
<S> <C>
Aggregate Cost $ 60,582,610
- -----------------------------------------------------------------------
Gross unrealized appreciation $ 2,385,212
Gross unrealized depreciation (2,747)
- -----------------------------------------------------------------------
Net realized appreciation $ 2,382,465
- -----------------------------------------------------------------------
</TABLE>
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
agreement with a group of banks. The portfolio may temporarily borrow from
the line of credit to satisfy redemption requests or settle transactions.
Interest is charged to each portfolio or fund based on its borrowings at an
amount above the banks' adjusted certificate of deposit rate, Eurodollar
rate or federal funds rate. In addition, a fee computed at an annual rate of
.15% on the daily unused portion of the line of credit is allocated among
the participating portfolios and funds at the end of each quarter. At
September 30, 1997 the California Limited Portfolio, Florida Limited
Portfolio, Massachusetts Limited Portfolio, Michigan Limited Portfolio, New
Jersey Limited Portfolio, New York Limited Portfolio and Ohio Limited
Portfolio had a balance outstanding pursuant to this line of credit of
$167,000, $418,000, $409,000, $313,000, $479,000, $1,763,000 and $463,000,
respectively. The Portfolios did not have any significant borrowings or
allocated fees during the six months ended September 30, 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 September 30,
1997, were as follows:
<TABLE>
<CAPTION>
Limited Expiration Futures Net Unrealized
Portfolio Date Contracts Position Depreciation
------------------ ----------- ---------------- --------- --------------
<S> <C> <C> <C> <C>
California 12/97 24 U.S. Treasury Bonds Short $ 73,635
Florida 12/97 26 U.S. Treasury Bonds Short $ 41,281
Massachusetts 12/97 41 U.S. Treasury Bonds Short $ 66,297
Michigan 12/97 8 U.S. Treasury Bonds Short $ 12,926
New Jersey 12/97 16 U.S. Treasury Bonds Short $ 33,131
New York 12/97 51 U.S. Treasury Bonds Short $156,474
Ohio 12/97 2 U.S. Treasury Bonds Short $ 1,887
Pennsylvania 12/97 50 U.S. Treasury Bonds Short $130,794
</TABLE>
<PAGE>
EV Marathon Limited Maturity Municipals Funds as of September 30, 1997
- --------------------------------------------------------------------------------
INVESTMENT MANAGEMENT
- --------------------------------------------------------------------------------
EV Marathon Limited Maturity Municipals Funds
Officers Independent Trustees
THOMAS J. FETTER DONALD R. DWIGHT
President President, Dwight Partners, Inc.
Chairman, Newspapers of New England, Inc.
JAMES B. HAWKES
Vice President and Trustee SAMUEL L. HAYES, III
Jacob H. Schiff Professor of Investment
Banking, Harvard University Graduate School of
ROBERT B. MACINTOSH Business Administration
Vice President
NORTON H. REAMER
JAMES L. O'CONNOR President and Director, United Asset
Treasurer Management Corporation
ALAN R. DYNNER JOHN L. THORNDIKE
Secretary Director, Fiduciary Company Incorporated
JACK L. TREYNOR
Investment Adviser and Consultant
Limited Maturity Municipals Portfolios
Officers Independent Trustees
THOMAS J. FETTER DONALD R. DWIGHT
President President, Dwight Partners, Inc.
Chairman, Newspapers of
New England, Inc.
JAMES B. HAWKES
Vice President and Trustee
SAMUEL L. HAYES, III
Jacob H. Schiff Professor of Investment
ROBERT B. MACINTOSH Banking, Harvard University Graduate School of
Vice President Business Administration
WILLIAM H. AHERN, JR. NORTON H. REAMER
Vice President and Portfolio President and Director, United Asset
Manager of Connecticut, Management Corporation
Florida, Massachusetts,
Michigan, New Jersey, and
Ohio Limited Maturity JOHN L. THORNDIKE
Municipals Portfolios Director, Fiduciary Company Incorporated
NICOLE ANDERES JACK L. TREYNOR
Vice President and Portfolio Investment Adviser and Consultant
Manager of New York Limited
Maturity Municipals Portfolio
TIMOTHY T. BROWSE
Vice President and Portfolio
Manager of Pennsylvania Limited
Maturity Municipals Portfolio
CYNTHIA J. CLEMSON
Vice President and Portfolio
Manager of California Limited
Maturity Municipals Portfolio
JAMES L. O'CONNOR
Treasurer
ALAN R. DYNNER
Secretary
<PAGE>
Investment Advisor of the Limited
Maturity Tax Free Portfolios
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator of EV Marathon 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
200 Clarendon Street
Boston, MA 02110
Transfer Agent
First Data Investor Services Group, Inc.
Attention: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
Independent Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
Eaton Vance Municipals Trust
24 Federal Street
Boston, MA 02110
- --------------------------------------------------------------------------------
This report must be preceded or accompanied by a current prospectus which
contains more complete information on the Fund, including its sales charges and
expenses. Please read the prospectus carefully before you invest or send money.
- --------------------------------------------------------------------------------
M-9LTFSRC-11/97