The Eaton Vance Investment Trust
For the National Limited Maturity Tax Free Portfolio
[LOGO]
Semi-Annual Shareholder Report
March 31, 1996
Investment Adviser of National Limited Maturity Municipals Portfolio
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator
Eaton Vance Management
24 Federal Street
Boston, MA 02110
(617) 482-8260
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
89 South Street
PO Box 1537
Boston, MA 02205-1537
Transfer Agent
First Data Investor Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
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National Limited Maturity Municipals Portfolio
Portfolio of Investments
March 31, 1996
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Tax-Exempt Investments--100%
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Ratings (unaudited)
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Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
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<S> <C> <C> <C> <C>
Education Revenue--11.1%
Aa NR $1,500 Arizona Educational Loan Marketing Corporation, (AMT), 6.00%,
9/1/01 $ 1,550,175
NR NR 1,885 Arizona Educational Loan Marketing Corporation, (AMT), 6.25%,
6/1/06 1,894,651
A NR 1,000 Arizona Student Loan Acquisition Authority, (AMT), 7.625%,
5/1/10 1,083,000
A NR 1,970 Louisiana Public Facilities Authority Student Loan Revenue Bonds,
(AMT), 7.00%, 9/1/06 2,071,928
A NR 1,500 Maine Educational Loan Marketing Corporation, (AMT), 6.90%,
11/1/03 1,583,940
A A- 1,275 Massachusetts Industrial Financing Agency, Clark University, 6.80%,
7/1/06 1,347,076
A1 A+ 1,730 Massachusetts Health and Educational Facilities Authority, Tufts
University Issue, 7.40%, 8/1/18 1,870,338
A NR 1,495 The State of Texas, Texas College Student Loan Senior Lien, 7.45%,
10/1/06 1,549,538
Aa1 AA 2,000 University of Texas Financing System, 7.00%, 8/15/07 2,224,780
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$15,175,426
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Escrowed--4.4%
Aaa AAA $1,720 Corpus Christi TX, (FGIC), Prerefunded to 3/1/02, 6.70%, 3/1/08 $ 1,891,002
Aaa AAA 1,500 Grand Ledge, Michigan, Public School District, (MBIA),
Prerefunded to 5/1/04, 7.875%, 5/1/11 1,820,565
Aaa A+ 2,000 The Commonwealth of Massachusetts, Prerefunded to 8/1/01,
6.75%, 8/1/06 2,232,360
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$ 5,943,927
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General Obligations--15.9%
Aa AA $1,295 Arkansas State Capital Appreciation Bonds, 0.00%, 6/1/06 $ 755,076
Aa AA 595 Arkansas State Capital Appreciation Bonds, 0.00%, 6/1/07 325,429
Aa AA 660 Arkansas State Capital Appreciation Bonds, 0.00%, 6/1/08 339,966
Aa AA 1,035 Arkansas State Capital Appreciation Bonds, 0.00%, 6/1/11 433,065
Aaa AA+ 1,500 Baltimore County, Maryland, 6.00%, 7/1/05 1,611,555
NR NR 1,000 Cleveland, Ohio, City School District, 6.50%, 6/15/97 1,002,840
Aaa AAA 1,000 Dallas County, Texas, Unlimited Tax (Road Improvement), 6.50%,
8/15/08 1,065,410
Aa1 AAA 2,750 City of Dallas, Texas, 5.00%, 2/15/15 2,541,000
Ba1 BBB 5,000 City of Detroit, Michigan, 6.50%, 4/1/02 (2) 5,226,450
Ba1 BBB 460 City of Detroit, Michigan, 6.75%, 4/1/03 487,540
Aaa AA+ 1,000 State of Georgia, 6.00%, 3/1/04 1,082,270
14
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Tax-Exempt Investments (Continued)
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Ratings (unaudited)
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Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
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<S> <C> <C> <C> <C>
General Obligations--(Continued)
Aa AA 2,225 Harris County, Texas, 0.00%, 10/1/08 1,125,450
Aaa AAA 4,170 Katy, Texas, Independent School District, (PSFG), 0.00%, 8/15/11 1,724,337
NR NR 3,950 Youngstown, Ohio County School District, 6.40%, 7/1/00 4,079,481
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$21,799,869
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Health Care--3.9%
NR BBB $1,250 Alexander City, Alabama, Special Care Facilities Financing
Authority, (Russell Hospital Corp.), 5.75%, 12/1/08 $ 1,180,100
NR BBB 1,250 Alexander City, Alabama, Special Care Facilities Financing
Authority, (Russell Hospital Corp.), 6.00%, 12/1/14 1,172,600
Baa BBB 1,500 Colorado Health Facilities Authority, (Rocky Mountain Adventist
Project), 6.00%, 2/1/98 1,512,210
NR BBB- 1,000 Lufkin, Texas, Health Facilities Development Corporation,
(Memorial Health System of East Texas), 6.50%, 2/15/06 974,380
NR NR 475 Vermont State Industrial Development Authority, (Wake Robins
Project), 8.00%, 4/1/09 486,661
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$ 5,325,951
----------
Hospitals--5.3%
A1 AA- $1,500 Anchorage, Alaska, Hospital Revenue Bonds, (Sisters of Providence
Project), 6.75%, 10/1/00 $ 1,617,615
A1 AA- 1,400 California Health Facilities Financing Authority, (Sisters of
Providence), 7.50%, 10/1/10 1,533,266
Baa NR 1,355 Flint, Michigan, Hospital Authority, (Hurley Medical Center),
5.75%, 7/1/03 1,325,854
Aa AA- 2,500 Greenville, South Carolina, Hospital System, (Board of Trustees),
5.25%, 5/1/17 2,288,400
Baa1 BBB 500 Massachusetts Health and Educational Facilities Authority,
(Sisters of Providence Health System), 6.00%, 11/15/00 506,785
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$ 7,271,920
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Housing--5.4%
Baa NR $1,125 Illinois Development Finance Authority, Elderly Housing, (Rome
Meadows Project), 6.40%, 2/1/03 $ 1,125,484
Baa NR 1,005 Illinois Development Finance Authority, Elderly Housing, (Mattoon
Tower Project--Section 8), 6.35%, 7/1/10 988,257
Baa NR 1,145 Illinois Development Finance Authority, Elderly Housing, (Rome
Meadows Project), 6.65%, 2/1/06 1,145,676
NR A+ 1,000 New Jersey Housing and Mortgage Finance Agency, 6.40%, 11/1/02 1,054,690
Aa AA 2,895 Wyoming Community Development Agency, (Single Family Mortgage
Bonds), (FHA/VA Mortgages), (AMT), 7.20%, 6/1/10 3,105,032
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$ 7,419,139
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15
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<CAPTION>
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Tax-Exempt Investments (Continued)
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Ratings (unaudited)
- --------------------
Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
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<S> <C> <C> <C> <C>
Industrial Development Revenue--10.2%
Ba2 BB $1,500 Farmington, New Mexico, Pollution Control Revenue, (Public
Service of New Mexico--San Juan Project), 6.00%, 3/1/08 $ 1,447,995
Baa2 BBB 1,750 Indianapolis, Indiana, Airport Facilities, (Federal Express),
6.85%, 4/1/17 1,835,400
NR NR 5,300 Jackson, Tennessee, Industrial Development Board, Solid Waste
Disposal (Owens-Corning Fiberglass), (AMT), 6.25%, 3/31/04 (2) 5,339,379
Baa2 BBB 2,000 Memphis-Shelby County, Tennessee, Airport, (Federal Express),
6.75%, 9/1/12 2,079,060
B1 BB+ 2,075 Polk County, Florida, Industrial Development Authority, (IMC
Fertilizer), (AMT), 7.525%, 1/1/15 2,162,939
A1 A- 1,000 Richland County, South Carolina, Pollution Control Revenue (Union
Camp Corporation Project), 5.875%, 11/1/02 1,053,060
-----------
$13,917,833
-----------
Insured General Obligations--9.0%
Aaa AAA $4,800 Clark County, Nevada, School District, (FGIC), 0.00%, 3/1/09 $ 2,352,576
Aaa NR 4,410 Cook & Dupage Counties Combined School District, (#113-- Lemont),
(FGIC), 0.00%, 12/1/14 1,455,300
Aaa AAA 1,280 Corpus Christi, Texas, (FGIC), 6.70%, 3/1/08 1,385,344
Aaa AAA 1,300 El Paso, Texas, (AMBAC), 5.00%, 8/15/12 1,218,347
Aaa Florida Board of Education Capital Outlay, (FGIC), 4.75%,
AAA 2,500 6/1/18 2,166,275
Aaa Iron Mountain, Michigan, City School District, (AMBAC), 5.125%,
AAA 2,000 5/1/16 1,845,440
Aaa LaPorte County, Indiana, Multi School Building Corporation, (MBIA),
AAA 2,835 0.00%, 7/1/13 1,020,487
Aaa LaPorte County, Indiana, Multi School Building Corporation, (MBIA),
AAA 2,500 0.00%, 1/15/14 873,700
-----------
$12,317,469
-----------
Insured Hospitals--1.6%
Aaa AAA $1,000 Kentucky Development Finance Authority, (St. Luke's Hospital)
(MBIA), 7.30%, 10/1/03 $ 1,098,530
Aaa AAA 1,000 Massachusetts Health & Education Facilities Authority, (Metro West
1,000 Health Inc.), (AMBAC), 5.70%, 11/15/01 1,053,340
-----------
$ 2,151,870
-----------
Insured Housing--2.3%
Aaa AAA $2,115 Massachusetts State Housing Finance Authority, (Harborpoint $ 2,121,937
Project), (AMBAC), (AMT), 6.20%, 12/1/10 (1)
16
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Tax-Exempt Investments (Continued)
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Ratings (unaudited)
- --------------------
Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
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<S> <C> <C> <C> <C>
Insured Housing--(Continued)
Aaa AAA 1,460 Massachusetts State Housing Finance Authority, (AMBAC),
(AMT), 6.00%, 1/1/04 1,043,890
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$3,165,827
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Insured Industrial Development Revenue--2.0%
Aaa AAA $1,500 Alabama Water Pollution Control Authority, Revolving Fund
(AMBAC), 6.50%, 8/15/04 $1,562,670
Aaa AAA 1,000 Illinois Development Finance Authority, Pollution Control
Revenue, (Commonwealth Edison), (MBIA), 7.25%, 6/1/11 1,110,840
----------
$2,673,510
----------
Insured Lease Revenue/Certificate of Participation--1.1%
Aaa AAA $1,500 Texas State Public Finance Authority, (AMBAC), 5.60%, 2/1/00 $1,555,710
----------
Insured Transportation--3.7%
Aaa AAA $1,100 Metropolitan Washington D.C. Airport Authority, (MBIA),
7.60%, 10/1/14 $1,209,043
Aaa AAA 1,500 Port of Houston Authority of Harris County, Texas, (MBIA)
5.75%, 5/1/02 1,538,280
Aaa AAA 2,270 Texas Turnpike Authority, (FGIC), 6.00%, 1/1/03 (1) 2,320,190
----------
$5,067,513
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Insured Utility--1.3%
Aaa AAA $3,460 Austin, Texas, Utility System, (MBIA), 0.00%, 11/15/08 $1,734,256
----------
Insured Water & Sewer--0.9%
Aaa AAA $1,170 City of Vallejo, California, (Water Improvement Project),
(FGIC), 6.00%, 11/1/00 $1,242,821
----------
Lease Revenue/Certificate of Participation--1.0%
NR NR $1,405 Los Angeles, California, Regional Airports Improvement
Corporation, (Trans World Airlines Inc.), 6.125%, 5/15/00 $1,398,031
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Miscellaneous--0.8%
Aa AA $1,000 Virginia State Public School Authority, 6.00%, 8/1/01 $1,070,770
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Nursing Homes--5.9%
NR NR $1,105 Arizona Health Facilities Authority, Assisted Living,
(Mesa Project), 7.625%, 1/1/06 $1,085,508
NR A+ 4,000 California Statewide Nursing Homes, (Pacific Homes),
5.90%, 4/1/09 4,005,480
NR NR 1,500 Massachusetts State Industrial Finance Agency, Health Care
Facilities, (Age Institute of MA Project), 7.60%, 11/1/05 1,501,875
NR NR 1,550 St. Tammany Public Trust Finance Authority, Louisiana,
(Christwood Project), 8.75%, 11/15/05 1,527,076
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$8,119,939
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17
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Tax-Exempt Investments (Continued)
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Ratings (unaudited)
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Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
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<S> <C> <C> <C> <C>
Solid Waste--3.0%
NR BBB- $1,120 New Jersey Economic Development Authority Heating & Cooling,
(Trigen-Trenton Project), (AMT), 6.10%, 12/1/05 $ 1,119,283
NR NR 1,800 Pennsylvania Economic Development Authority, Resource Recovery,
(Northampton), 6.75%, 1/1/07 1,814,778
NR NR 1,225 Pima County, Arizona, Industrial Development Authority, Solid
Waste Disposal, (Browning Ferris Industries), (AMT), 5.00%,
2/1/06 1,169,924
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$ 4,103,985
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Transportation--2.6%
Baa BBB $2,000 Denver, Colorado, City & County Airport, (AMT), 7.00%, 11/15/09 $ 2,107,040
Baa BBB 1,500 Tulsa, Oklahoma, Municipal Airport, (American Airlines Project),
6.25%, 6/1/20 1,496,130
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$ 3,603,170
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Utility Revenue--7.8%
Aa AA $1,545 Conservation and Renewable Energy System, Washington
Conservation Project, 5.55%, 10/1/02 $ 1,606,367
Aa3 AA- 1,000 Chicago, Illinois, Gas Supply Revenue Bonds, (The Peoples Gas
Light and Coke Company Project), 7.50%, 3/1/15 1,101,980
Aa1 AA 1,000 Jacksonville Electric Authority, St. John's River Power System,
6.75%, 10/1/05 1,099,050
Aa2 AA 2,500 Jefferson County, Kentucky, Louisville Gas and Electric Company
Project, 7.75%, 2/1/19 2,680,925
Aa AA- 1,500 Southern California Public Power Authority, 5.50%, 7/1/12 1,442,235
Aa AA 1,000 Washington Public Power Supply System, Nuclear Project No. 3,
7.375%, 7/1/04 1,102,690
Aa AA 1,500 Washington Public Power Supply System, Nuclear Project No. 1,
7.50%, 7/1/15 1,623,255
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$10,656,502
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18
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<CAPTION>
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Tax-Exempt Investments (Continued)
- ------------------------------------------------------------------------------------------------------------------------
Ratings (unaudited)
- --------------------
Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
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<S> <C> <C> <C> <C>
Water & Sewer Revenue--0.8%
Aa AA+ $1,000 Harris County, Texas, Flood Control District, 7.125%, 10/1/00 $ 1,105,727
------------
Total Investments (identified cost, $135,711,069) $136,821,165
============
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(1) When-Issued Security.
(2) Security has been segregated to cover when-issued securities.
The Portfolio invests primarily in debt securities issued by municipalities.
The ability of the issuers of the debt securities to meet their obligations
may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1996, 23.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions
and financial guaranty assurance agencies. The aggregate percentage by
financial institution range from 1.3% to 9.4% of total investments.
At March 31, 1996, the concentration of the Portfolio's investments in the
various states, determined as a percentage of total investments, is as
follows:
Texas 16%
Others, representing less than 10% individually 84%
See notes to financial statements
19
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Financial Statements
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
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March 31, 1996
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<S> <C> <C>
Assets:
Investments, at value (Note 1A) (identified cost, $135,711,069) $136,821,165
Cash 223
Receivable for investments sold 1,684,395
Interest receivable 2,625,016
Deferred organization expenses (Note 1D) 5,154
------------
Total assets $141,135,953
Liabilities:
Payable for investments purchased $6,219,119
Demand note payable (Note 3) 130,000
Payable to affiliate --
Trustees' fees 2,188
Accrued expenses 8,278
----------
Total liabilities 6,359,585
------------
Net Assets applicable to investors' interest in Portfolio $134,776,368
============
Sources of Net Assets:
Net proceeds from capital contributions and withdrawals $133,666,272
Unrealized appreciation of investments (computed
on the basis of identified cost) 1,110,096
------------
Total $134,776,368
============
</TABLE>
See notes to financial statements
20
<PAGE>
Financial Statements (Continued)
<TABLE>
<CAPTION>
Statement of Operations
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Year Ended March 31, 1996
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<S> <C> <C>
Investment Income:
Interest income $8,620,881
Expenses --
Investment adviser fee (Note 2) $ 717,356
Compensation of Trustees not members of the Investment Adviser's
organization 11,064
Custodian fees (Note 2) 73,801
Legal and accounting services 25,060
Amortization of organization expenses (Note 1D) 2,474
Miscellaneous 52,396
----------
Total expenses $ 882,151
Deduct --
Reduction of custodian fee (Note 2) 20,757
----------
Net expenses 861,394
----------
Net investment income $7,759,487
----------
Realized and Unrealized Gain (Loss):
Net realized gain (loss) --
Investment transactions (identified cost basis) $2,292,919
Financial futures contracts (838,327)
----------
Net realized gain $1,454,592
Change in unrealized appreciation (depreciation) of --
Investments $ (504,444)
Financial futures contracts 144,506
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Net change in unrealized depreciation (359,938)
----------
Net realized and unrealized gain $1,094,654
----------
Net increase in net assets from operations $8,854,141
==========
</TABLE>
See notes to financial statements
21
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Financial Statements (Continued)
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Year Ended March 31,
------------------------------
1996 1995
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<S> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 7,759,487 $ 8,797,304
Net realized gain (loss) on investments 1,454,592 (4,509,177)
Change in unrealized appreciation (depreciation) of investments (359,938) 4,668,165
------------ -------------
Net increase in net assets from operations $ 8,854,141 $ 8,956,292
------------ -------------
Capital transactions --
Contributions $ 15,935,762 $ 53,163,573
Withdrawals (59,634,339) (70,340,668)
------------ -------------
Decrease in net assets resulting from capital transactions $(43,698,577) $(17,177,095)
------------ -------------
Total decrease in net assets $(34,844,436) $ (8,220,803)
Net Assets:
At beginning of year 169,620,804 177,841,607
------------ -------------
At end of year $134,776,368 $169,620,804
============ =============
</TABLE>
<TABLE>
<CAPTION>
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Supplementary Data
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Year Ended March 31,
------------------------------
1996 1995 1994*
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<S> <C> <C> <C>
Ratios (As a percentage of average daily net assets):
Expenses (1) 0.57% 0.53% 0.52%+
Expenses after custodian fee reduction 0.56% -- --
Net investment income 5.08% 5.02% 4.74%+
Portfolio Turnover 68% 56% 21%
Net Assets, end of period (000 omitted) $134,776 $169,621 $177,842
</TABLE>
+ 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 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 periods ended on or before March 31, 1995
have not been adjusted to reflect this change.
See notes to financial statements
22
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Notes to Financial Statements
(1) Significant Accounting Policies
National Limited Maturity Municipals Portfolio, formerly National Limited
Maturity Tax Free Portfolio, (the Portfolio) is a mutual fund seeking to
provide a high level of income exempt from regular federal income tax and
limited principal fluctuation. The Portfolio is registered under the
Investment Company Act of 1940 as a diversified open-end management
investment company which was organized as a trust under the laws of the State
of New York on May 1, 1992. The Declaration of Trust permits the Trustees to
issue interests in the Portfolio. The following is a summary of significant
accounting policies of the Portfolio. The policies are in conformity with
generally accepted accounting principles.
A. Investment Valuation--Municipal bonds are normally valued on the basis of
valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the mean
between the latest bid and asked prices. Futures contracts listed on
commodity exchanges are valued at closing settlement prices. Short-term
obligations, maturing in sixty days or less, are valued at amortized cost,
which approximates value. Investments for which valuations or market
quotations are unavailable are valued at fair value using methods determined
in good faith by or at the direction of the Trustees.
B. Income--Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for federal
income tax purposes.
C. Income Taxes--The Portfolio is treated as a partnership for federal tax
purposes. No provision is made by the Portfolio for federal or state taxes on
any taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes. Since some of the
Portfolio's investors are regulated investment companies that invest all or
substantially all of their assets in the Portfolio, the Portfolio normally
must satisfy the applicable source of income and diversification requirements
(under the Internal Revenue Code) in order for its investors to satisfy them.
The Portfolio will allocate at least annually among its investors each
investor's distributive share of the Portfolio's 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
Portfolio 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 the 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 the Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
E. Financial Futures Contracts--Upon the entering of a financial futures
contract, the 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 the 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 the Portfolio.
The Portfolio's investment in financial futures contracts is designed only to
hedge against anticipated future changes in interest rates. Should interest
rates move unexpectedly, the Portfolio may not achieve the anticipated
benefits of the financial futures contracts and may realize a loss.
F. Use of Estimates--The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts
of revenue and expense during the reporting period. Actual results could
differ from those estimates.
G. Other--Investment transactions are accounted for on a trade date basis.
23
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Notes to Financial Statements (Continued)
(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 the Portfolio.
The fee is based upon a percentage of average daily net assets plus a
percentage of gross income (i.e., income other than gains from the sale of
securities). For the year ended March 31, 1996, the fee was equivalent to
0.47% of the Portfolio's average net assets for such period and amounted to
$717,356. Except as to Trustees of the Portfolio who are not members of EVM's
or BMR's organization, officers and Trustees receive remuneration for their
services to the Portfolio out of such investment adviser fee. Investors Bank
& Trust Company (IBT) serves as custodian to the Portfolio. Prior to November
10, 1995, IBT was an affiliate of EVM. Pursuant to the custodian agreement,
IBT receives a fee reduced by credits which are determined based on the
average cash balances the Portfolio maintains with IBT. All significant
credit balances used to reduce the Portfolio's custody fees are reported as a
reduction of expenses in the statement of operations. Certain of the officers
and Trustees of the Portfolio are officers and directors/trustees of the
above organizations. Trustees of the Portfolio may elect to defer receipt of
all or a portion of their annual fees in accordance with the terms of the
Trustee Deferred Compensation Plan. For the year ended March 31, 1996, no
significant amounts have been deferred.
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(3) Line of Credit
The Portfolio participates with other portfolios and funds managed by BMR and
EVM in a $120 million unsecured line of credit agreement with a bank. The
line of credit consists of a $20 million committed facility and a $100
million discretionary facility. The Portfolio may temporarily borrow up to 5%
of its total assets to satisfy redemption requests or settle transactions.
Interest is charged to each portfolio or fund based on its borrowings at an
amount above either the bank's adjusted certificate of deposit rate, a
variable adjusted certificate of deposit rate, or a federal funds effective
rate. In addition, a fee computed at an annual rate of 1/4 of 1% on the $20
million committed facility and on the daily unused portion of the $100
million discretionary facility is allocated among the participating funds and
portfolios at the end of each quarter. At March 31, 1996, the Portfolio had a
balance outstanding pursuant to this line of credit of $130,000. The
Portfolio did not have any significant borrowings or allocated fees during
the year.
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(4) Investments
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, aggregated $103,068,498 and $133,743,025,
respectively.
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(5) Federal Income Tax Basis of Investments
The cost and unrealized appreciation/depreciation in value of the investments
owned at March 31, 1996, as computed on a federal income tax basis, were as
follows:
Aggregate cost $135,711,069
============
Gross unrealized appreciation $ 2,337,287
Gross unrealized depreciation 1,227,191
------------
Net unrealized appreciation $ 1,110,096
============
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(6) Financial Instruments
The Portfolio regularly trades in financial instruments with off-balance
sheet risk in the normal course of its investing activities to assist in
managing exposure to various market risks. These financial instruments
include written options and futures contracts and may involve, to a varying
degree, elements of risk in excess of the amounts recognized for financial
statement purposes. The notional or contractual amounts of these instruments
represent the investment the 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. The Portfolio had no such obligations outstanding at March
31, 1996.
24
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Independent Auditors' Report
To the Trustees and Investors of
National Limited Maturity Municipals Portfolio:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments of National Limited Maturity
Municipals Portfolio as of March 31, 1996, the related statement of
operations for the year then ended, the statements of changes in net assets
for the years ended March 31, 1996 and 1995, and the supplementary data for
the years ended March 31, 1996 and 1995, and for the period from the start of
business, May 3, 1993, to March 31, 1994. These financial statements and
supplementary data are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
supplementary data based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
supplementary data are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of the
securities owned at March 31, 1996, by correspondence with the custodian and
brokers; where replies were not received from brokers, we performed other
audit procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide
a reasonable basis for our opinion.
In our opinion, such financial statements and supplementary data present
fairly, in all material respects, the financial position of National Limited
Maturity Municipals Portfolio as of March 31, 1996, the results of its
operations, changes in its net assets and its supplementary data for the
respective stated periods, in conformity with generally accepted accounting
principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
April 26, 1996
25
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INVESTMENT MANAGEMENT FOR NATIONAL LIMITED MATURITY
MUNICIPALS PORTFOLIO
OFFICERS
M. DOZIER GARDNER
President, Trustee
JAMES B. HAWKES
Vice President, Trustee
ROBERT B. MACINTOSH
Vice President
RAYMOND E. HENDER
Vice President and
Portfolio Manager
JAMES L. O'CONNOR
Treasurer
THOMAS OTIS
Secretary
INDEPENDENT TRUSTEES
DONALD R. DWIGHT
President, Dwight Partners, Inc.
Chairman, Newspapers of New England, Inc.
SAMUEL L. HAYES, III
Jacob H. Schiff Professor of
Investment Banking,
Harvard University Graduate School
of Business Administration
NORTON H. REAMER
President and Director, United Asset
Management Corporation
John L. THORNDIKE
Vice President and Director,
Fiduciary Company Incorporated
JACK L. TREYNOR
Investment Adviser and Consultant
