The Eaton Vance Investment Trust
for the National Limited Maturity Municipals Portfolio
[LOGO]
Semi-Annual Shareholder Report
September 30, 1996
Investment Adviser of National
Limited Maturity Municipals Portfolio
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator of
EV Marathon National
Limited Maturity Municipals Fund
Eaton Vance Management
24 Federal Street
Boston, MA 02110
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
89 South Street
P.O. Box 1537
Boston, MA 02205-1537
Transfer Agent
First Data Investor Services Group
Attn: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
<PAGE>
National Limited Maturity Municipals Portfolio
Portfolio of Investments
September 30, 1996
(Unaudited)
Tax-Exempt Investments--100%
<TABLE>
<CAPTION>
Ratings (unaudited)
Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living--0.9%
NR NR $1,105 Arizona Health Facilities Authority Assisted
Living Facilities, (Mesa Project), 7.625%,
1/1/06 $ 1,105,155
-----------
Cogeneration--4.2%
NR BBB- $1,120 New Jersey Economic Development Authority
Heating & Cooling, (Trigen-Trenton Project),
(AMT), 6.10%, 12/1/04 $ 1,127,034
NR NR 1,800 Pennsylvania Economic Development Authority,
Resource Recovery, (Northampton), (AMT),
6.75%, 1/1/07 1,831,680
NR BBB- 2,000 Pennsylvania Economic Development Authority,
Resource Recovery, (AMT), (Culver Project),
6.75%, 1/1/07 2,094,260
-----------
$ 5,052,974
-----------
Education Revenue--9.6%
Aa NR $1,500 Arizona Educational Loan Marketing Corporation,
(AMT), 6.00%, 9/1/01 $ 1,550,025
NR NR 1,900 Arizona Educational Loan Marketing Corporation,
(AMT), 6.25%, 6/1/06 1,953,884
A NR 1,000 Arizona Student Loan Acquisition Authority,
(AMT), 7.625%, 5/1/10 1,083,720
A NR 1,000 Arkansas Student Loan Authority, (AMT), 6.25%,
6/1/10 999,890
A NR 1,500 Maine Educational Loan Marketing Corporation,
(AMT), 6.90%, 11/1/03 1,584,780
A1 A+ 1,730 Massachusetts Health and Educational Facilities
Authority, Tufts University Issue, 7.40%,
8/1/18 1,849,145
Ba1 NR 1,000 New Hampshire Higher Education & Health
Facilities Authority, Colby Sawyer College,
7.20%, 6/1/12 1,006,910
A NR 1,415 The State of Texas, Texas College Student Loan
Senior Lien, 7.45%, 10/1/06 1,452,865
-----------
$11,481,219
-----------
Escrowed--3.1%
Aaa AAA $1,720 Corpus Christi TX, (FGIC), Prerefunded to 3/1/02,
6.70%, 3/1/08 $ 1,878,292
Aaa AAA 1,500 Grand Ledge, Michigan, Public School District,
(MBIA), Prerefunded to 5/1/04, 7.875%, 5/1/11 1,805,655
-----------
$ 3,683,947
-----------
General Obligations--13.3%
Aaa AA+ $1,500 Baltimore County, Maryland, 6.00%, 7/1/05 $ 1,609,800
NR NR 1,000 Cleveland, Ohio, City School District, 6.50%,
6/15/97 1,001,360
Aaa AAA 1,000 Dallas County, Texas, Unlimited Tax (Road
Improvement), 6.50%, 8/15/08 1,057,380
12
<PAGE>
Tax-Exempt Investments (Continued)
Ratings (unaudited)
Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
- -----------------------------------------------------------------------------------------------------
General Obligations--(Continued)
Aa1 AAA 2,750 City of Dallas, Texas, 5.00%, 2/15/15 (3) 2,550,103
Ba1 BBB 5,000 City of Detroit, Michigan, 6.50%, 4/1/02 (2) 5,215,050
Aaa AA+ 1,000 State of Georgia, 6.00%, 3/1/04 1,073,400
NR NR 3,270 Youngstown, Ohio County School District, 6.40%,
7/1/00 3,352,469
-----------
$15,859,562
-----------
Hospitals--11.6%
NR BBB $1,250 Alexander City, Alabama, Special Care Facilities
Financing Authority, (Russell Hospital Corp.),
5.75%, 12/1/08 $ 1,215,825
NR BBB 1,250 Alexander City, Alabama, Special Care Facilities
Financing Authority, (Russell Hospital Corp.),
6.00%, 12/1/10 1,224,225
A1 AA- 1,500 Anchorage, Alaska, Hospital Revenue Bonds,
(Sisters of Providence Project), 6.75%, 10/1/00 1,613,055
Baa BBB 1,500 Colorado Health Facilities Authority, (Rocky
Mountain Adventist Project), 6.00%, 2/1/98 1,511,235
Baa NR 1,355 Flint, Michigan, Hospital Authority, (Hurley
Medical Center), 5.75%, 7/1/03 1,340,718
Aa AA- 2,500 Greenville, South Carolina, Hospital System,
(Board of Trustees), 5.25%, 5/1/17 2,304,900
NR BBB- 1,000 Lufkin, Texas, Health Facilities Development
Corporation, (Memorial Health System of East
Texas), 6.50%, 2/15/06 997,120
Baa BB 1,570 Massachusetts Health and Educational Facilities
Authority, (Milford Whitinsville Hospital),
7.125%, 7/15/02 1,581,916
Baa BBB- 2,000 Richardson, Texas, Hospital Authority,
(Richardson Medical Center), 6.50%, 12/1/12 2,001,120
-----------
$13,790,114
-----------
Housing--5.4%
Baa NR $1,125 Illinois Development Finance Authority, Elderly
Housing, (Rome Meadows Project), 6.40%, 2/1/03 $ 1,129,500
Baa NR 1,145 Illinois Development Finance Authority, Elderly
Housing, (Rome Meadows Project), 6.65%, 2/1/06 1,151,171
Baa NR 1,005 Illinois Development Finance Authority, Elderly
Housing, (Mattoon Tower Project--Section 8),
6.35%, 7/1/10 996,698
Aa AA 2,895 Wyoming Community Development Agency, (Single
Family Mortgage Bonds), (FHA/VA Mortgages),
(AMT), 7.20%, 6/1/10 3,111,893
-----------
$ 6,389,262
-----------
13
<PAGE>
Portfolio of Investments (Continued)
Tax-Exempt Investments (Continued)
Ratings (unaudited)
Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
- -----------------------------------------------------------------------------------------------------
Industrial Development Revenue--6.5%
NR NR $ 690 Austin, Texas, Cargoport Development LLC
Project, (AMT), 7.50%, 10/1/07 $ 689,993
NR NR 455 Austin, Texas, Cargoport Development LLC
Project, (AMT), 8.30%, 10/1/21 454,995
NR NR 3,980 Jackson, Tennessee, Industrial Development
Board, Solid Waste Disposal (Owens-Corning
Fiberglass), (AMT), 6.25%, 3/31/04 (2) 3,998,268
NR NR 500 Kimball, Nebraska, Economic Development
Authority, (Clean Harbors Inc.), 10.75%, 9/1/26 502,560
Baa2 BBB 2,000 Memphis-Shelby County, Tennessee, Airport,
(Federal Express), 6.75%, 9/1/12 2,093,240
-----------
$7,739,056
-----------
Insured Cogeneration--1.2%
Aaa AAA $1,500 Dade County, Florida, Resource Recovery,
(AMBAC), (AMT), 5.35%, 10/1/08 $1,476,540
----------
Insured General Obligations--6.9%
Aaa AAA $1,280 Corpus Christi, Texas, (FGIC), 6.70%, 3/1/08 $1,381,977
Aaa AAA 1,300 El Paso, Texas, (AMBAC), 5.00%, 8/15/12 1,218,607
Aaa AAA 2,835 LaPorte County, Indiana, Multi School Building
Corporation, (MBIA), 0.00%, 7/1/13 1,071,856
Aaa AAA 2,500 LaPorte County, Indiana, Multi School Building
Corporation, (MBIA), 0.00%, 1/15/14 916,675
Aaa AAA 4,000 Commonwealth of Massachusetts, (MBIA), 4.875%,
10/1/13 3,664,160
-----------
$8,253,275
-----------
Insured Hospital--0.9%
Aaa AAA $1,000 Kentucky Development Finance Authority, (St.
Luke's Hospital) (MBIA), 7.30%, 10/1/03 $1,086,310
-----------
Insured Housing--6.1%
Aaa AAA $2,115 Massachusetts State Housing Finance Authority,
(Harborpoint Project), (AMBAC), (AMT), 6.20%,
12/1/10 $2,137,525
Aaa AAA 4,000 Massachusetts State Housing Finance Authority,
(MBIA), 6.10%, 7/1/15 4,081,680
Aaa AAA 1,000 Massachusetts State Housing Finance Authority,
(AMBAC), (AMT), 6.00%, 1/1/04 1,047,070
-----------
$7,266,275
-----------
Insured Lease Revenue/Certificate of
Participation--1.3%
Aaa AAA $1,500 Texas State Public Finance Authority, (AMBAC),
5.60%, 2/1/00 $1,542,420
-----------
14
<PAGE>
Tax-Exempt Investments (Continued)
Ratings (unaudited)
Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
- -----------------------------------------------------------------------------------------------------
Insured Transportation--4.3%
Aaa AAA $1,100 Metropolitan Washington D.C. Airport Authority,
(MBIA), 7.60%, 10/1/14 $1,208,691
Aaa AAA 1,500 Port of Houston Authority of Harris County, Texas,
(MBIA) 5.75%, 5/1/02 1,538,160
Aaa AAA 2,270 Texas Turnpike Authority, (FGIC), 6.00%, 1/1/03
(1) 2,381,571
-----------
$5,128,422
-----------
Insured Water & Sewer--1.6%
Aaa AAA $2,000 Burbank, California, Wastewater Treatment,
(FGIC), 5.50%, 6/1/15 $1,963,240
-----------
Life Care--0.4%
NR NR $ 475 Vermont State Industrial Development Authority,
(Wake Robins Project), 8.00%, 4/1/09 $ 483,712
-----------
Miscellaneous--2.2%
NR NR $1,515 Santa Fe, New Mexico, Industrial Revenue
Custodial Receipts, (Crow Hobbs Project),
8.25%, 9/1/05 $1,519,530
Aa AA 1,000 Virginia State Public School Authority, 6.00%,
8/1/01 1,055,930
-----------
$2,575,460
-----------
Nursing Homes--6.0%
NR A+ $4,000 California Statewide Nursing Homes, (Pacific
Homes), 5.90%, 4/1/09 $4,007,880
NR NR 1,500 Massachusetts State Industrial Finance Agency,
Health Care Facilities, (Age Institute of MA
Project), 7.60%, 11/1/05 1,506,675
NR NR 1,550 St. Tammany Public Trust Finance Authority,
Louisiana, (Christwood Project), 8.75%,
11/15/05 1,657,074
-----------
$7,171,629
-----------
Transportation--7.0%
Baa BBB $2,000 Denver, Colorado City & County Airport,
(AMT),7.00%, 11/15/99 $2,120,460
NR NR 1,225 Eagle County, Colorado, Airport Terminal
Corporation Project, (American Airlines),
(AMT), 6.75%, 5/1/06 1,257,022
Baa3 BB+ 3,500 Kenton County, Kentucky, Airport Revenue Special
Facilities, (Delta Airlines Project),
(AMT),7.50%, 2/1/20 3,745,665
NR NR 1,180 Los Angeles, California, Regional Airport
Improvement Corporate Lease Project,
(TransWorld Airlines), 6.125%, 5/15/00 1,174,017
-----------
$8,297,164
-----------
15
<PAGE>
Portfolio of Investments (Continued)
Tax-Exempt Investments (Continued)
Ratings (unaudited)
Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
- -----------------------------------------------------------------------------------------------------
Utility Revenue--6.6%
Aa1 AA- $1,545 Conservation and Renewable Energy System,
Washington Conservation Project, 5.55%,
10/1/02 $ 1,604,730
Aa3 AA- 1,000 Chicago, Illinois, Gas Supply Revenue Bonds,
(The Peoples Gas Light and Coke Company
Project), 7.50%, 3/1/15 1,102,640
Aa1 AA 1,000 Jacksonville Electric Authority, St. John's
River Power System, 6.75%, 10/1/05 1,093,210
Ba1 BB+ 1,500 Farmington, New Mexico, PCR, (Public Service
Company of New Mexico--San Juan Project),
6.00%, 3/1/08 1,470,810
Aa2 AA 2,500 Jefferson County, Kentucky, Louisville Gas
and Electric Company Project, (AMT),
7.75%, 2/1/19 2,650,475
------------
$ 7,921,865
------------
Water & Sewer Revenue--0.9%
Aa AA $1,000 Harris County, Texas, Flood Control District,
7.125%, 10/1/00 $ 1,091,942
------------
Total Tax-Exempt Investments (identified cost,
$117,307,269) $119,359,543
============
</TABLE>
(1) When-issued security.
(2) Security has been segregated to cover when-issued securities.
(3) Security has been segregated to cover margin requirements on open
financial futures contracts.
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 September 30, 1996, 22.3% of the securities in the portfolio
of investments are backed by bond insurance of various financial institutions
and financial guaranty assurance agencies. The aggregate percentage by
financial institution range from 6.2% to 12.9% of total investments.
At September 30, 1996, the concentration of the Portfolio's investments in
the various states, determined as a percentage of total investments is as
follows:
Texas 17%
Massachusetts 13%
Others, representing less than 5% individually 70%
See notes to financial statements
16
<PAGE>
Financial Statements
Statement of Assets and Liabilities
- -------------------------------------------------------------------------------
September 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
Assets:
Investments, at value (Note 1A) (identified
cost, $117,307,269) $119,359,543
Cash 234
Receivable for daily variation margin on
open financial futures contracts (Note 1F) 16,875
Receivable for investments sold 3,043,588
Interest receivable 2,408,365
Deferred organization expenses (Note 1D) 3,917
------------
Total assets $124,832,522
Liabilities:
Payable for when-issued security (Note 1F) $2,566,931
Demand note payable (Note 3) 1,460,000
Payable to affiliate --
Trustees' fees 2,044
Accrued expenses 12,731
----------
Total liabilities 4,041,706
------------
Net Assets applicable to investors' interest
in Portfolio $120,790,816
============
Sources of Net Assets:
Net proceeds from capital contributions and
withdrawals $118,810,152
Unrealized appreciation of investments and
financial futures contracts (computed on the
basis of identified cost) 1,980,664
------------
Total $120,790,816
============
</TABLE>
See notes to financial statements
17
<PAGE>
Financial Statements (Continued)
Statement of Operations
- -------------------------------------------------------------------------------
Six Months Ended September 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
Investment Income:
Interest Income $ 3,801,589
Expenses --
Investment adviser fee (Note 2) $ 303,767
Compensation of Trustees not members of
the Investment Adviser's organization 4,217
Custodian fees (Note 1G) 35,459
Legal and accounting services 20,896
Bond Pricing 5,044
Amortization of organization expenses
(Note 1D) 1,237
Miscellaneous 18,136
-----------
Total expenses $ 388,756
Deduct reduction of custodian fee (Note 1G) 9,260
-----------
Net expenses 379,496
-----------
Net investment income $ 3,422,093
-----------
Realized and Unrealized Gain (Loss):
Net realized loss--
Investment transactions (identified cost
basis) $ (697,999)
Financial futures contracts (1,014,251)
-----------
Net realized loss on investments $(1,712,250)
Change in unrealized appreciation
(depreciation) of--
Investments $ 942,178
Financial futures contracts (71,610)
-----------
Net change in unrealized appreciation 870,568
-----------
Net realized and unrealized loss $ (841,682)
-----------
Net increase in net assets from operations $ 2,580,411
===========
</TABLE>
See notes to financial statements
18
<PAGE>
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended
September 30, 1996 Year Ended
(Unaudited) March 31, 1996
------------------ --------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
From operations--
Net investment income $ 3,422,093 $ 7,759,487
Net realized gain (loss) on investments (1,712,250) 1,454,592
Change in unrealized appreciation
(depreciation) of investments 870,568 (359,938)
------------ ------------
Net increase in net assets from
operations $ 2,580,411 $ 8,854,141
------------ ------------
Capital transactions--
Contributions $ 27,705,252 $ 15,935,762
Withdrawals (44,271,215) (59,634,339)
------------ ------------
Decrease in net assets resulting from
capital transactions $(16,565,963) $(43,698,577)
------------ ------------
Total decrease in net assets $(13,985,552) $(34,844,436)
Net Assets:
At beginning of period 134,776,368 169,620,804
------------ ------------
At end of period $120,790,816 $134,776,368
============ ============
</TABLE>
- --------------------------------------------------------------------------------
Supplementary Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended
September 30, 1996 Year Ended March 31,
(Unaudited) 1996 1995 1994*
------------------ -------- --------- ---------
<S> <C> <C> <C> <C>
Ratios (As a percentage of average daily net
assets):
Expenses (1) 0.61%+ 0.57% 0.53% 0.52%+
Expenses after custodian fee reduction 0.60%+ 0.56% -- --
Net investment income 5.37%+ 5.08% 5.02% 4.74%+
Portfolio Turnover 28% 68% 56% 21%
Net assets, end of period (000 omitted) $120,791 134,776 $169,621 $177,842
</TABLE>
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
(1) The annualized expense ratios for the six months ended September 30, 1996
and 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
19
<PAGE>
Notes to Financial Statements
(Unaudited)
(1) Significant Accounting Policies
National Limited Maturity Municipals 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. When-issued and Delayed Delivery Transaction--The Portfolio may engage in
when-issued and delayed delivery transactions. The Portfolio records
when-issued securities on trade date and maintains 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 accruing interest on
settlement date.
G. Expense Reduction--Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolio. Pursuant to the custodian agreement, IBT receives
a fee reduced by credits which are determined based on the average daily cash
balances the Portfolio maintains with IBT. All significant credit balances
used to reduce the Portfolio's custodian fees are reported as a reduction of
expenses on the Statement of Operations.
20
<PAGE>
H. Use of Estimates--The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts
of revenue and expense during the reporting period. Actual results could
differ from those estimates.
I. Other--Investment transactions are accounted for on a trade date basis.
J. Interim Financial Information--The interim financial statements relating
to September 30, 1996 and for the six month period then ended have not been
audited by independent certified public accountants, but in the opinion of
the Portfolio'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 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 six months ended September 30, 1996, the fee was
equivalent to 0.48% of the Portfolio's average net assets for such period and
amounted to $303,767. 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. 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 six months ended September 30, 1996, no significant amounts have been
deferred.
(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, a
portion of which is discretionary. 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 daily
unused portion of the facility is allocated among the participating funds and
portfolios at the end of each quarter. At September 30, 1996, the Portfolio
had a balance outstanding pursuant to this line of credit of $1,460,000. The
Portfolio did not have any significant borrowings or allocated fees during
the period.
(4) Investments
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, aggregated $35,902,539 and $53,504,781, respectively.
21
<PAGE>
Notes to Financial Statements (Continued)
(5) Federal Income Tax Basis of Investments
The cost and unrealized appreciation/depreciation in value of the investments
owned at September 30, 1996, as computed on a federal income tax basis, were
as follows:
Aggregate cost $117,307,269
============
Gross unrealized appreciation $ 2,249,612
Gross unrealized depreciation 197,338
------------
Net unrealized appreciation $ 2,052,274
============
(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. A summary of obligations under these financial instruments at
September 30, 1996 is as follows:
Futures Contracts Net Unrealized
Expiration Date Contracts Position Depreciation
- ------------------ ---------------------- -------- ---------------
12/96 60 U.S. Treasury Bonds Short (71,610)
At September 30, 1996 the Portfolio had sufficient cash and/or securities to
cover margin requirements on open futures contracts.
22
<PAGE>
Investment Management for National Limited Maturity Municipals Fund
Officers
Thomas J. Fetter
President
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
Director, Fiduciary
Company Incorporated
Jack L. Treynor
Investment Adviser and
Consultant
