<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 99.3%
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------
Assisted Living -- 1.2%
- ----------------------------------------------------------------------------
$ 915 New Jersey EDA, (Chelsea at East
Brunswick), (AMT), 8.00%, 10/1/07 $ 966,615
- ----------------------------------------------------------------------------
$ 966,615
- ----------------------------------------------------------------------------
Cogeneration -- 8.8%
- ----------------------------------------------------------------------------
$1,075 New Jersey EDA, (Trigen-Trenton), (AMT),
6.10%, 12/1/05 $ 1,105,283
1,250 New Jersey EDA, (Vineland Cogeneration),
(AMT), 7.875%, 6/1/19 1,316,962
500 Palm Beach County, FL, (Okeelanta
Power), (AMT), 6.85%, 2/15/21(1) 307,500
500 Palm Beach County, FL, (Osceola Power),
(AMT), 6.95%, 1/1/22(1) 302,500
1,800 Pennsylvania EDA, (Resource Recovery-
Northampton), 6.75%, 1/1/07 1,890,090
2,000 Pennsylvania EDA, (Resource
Recovery-Colver), (AMT), 7.05%, 12/1/10 2,155,200
500 Robbins, Cook County, IL, (Robbins
Resource Recovery Partners, L.P.),
8.375%, 10/15/10 268,750
- ----------------------------------------------------------------------------
$ 7,346,285
- ----------------------------------------------------------------------------
Education -- 2.6%
- ----------------------------------------------------------------------------
$1,000 New Hampshire HEFA, (Colby-Sawyer
College), 7.20%, 6/1/12 $ 1,047,940
1,700 University of Illinois, 0.00%, 4/1/15 697,493
1,000 University of Illinois, 0.00%, 4/1/16 384,280
- ----------------------------------------------------------------------------
$ 2,129,713
- ----------------------------------------------------------------------------
Escrowed / Prerefunded -- 20.5%
- ----------------------------------------------------------------------------
$3,500 California Statewide Communities
Development Corp., (Pacific Homes),
Prerefunded to 4/1/03, 5.90%, 4/1/09 $ 3,755,430
940 Florence, KY, Housing Facilities,
(Bluegrass Housing), Escrowed to
Maturity, 7.25%, 5/1/07 1,021,592
500 Grand Ledge, MI, Public School District,
(MBIA), Prerefunded to 5/1/04,
7.875%, 5/1/11 576,970
4,185 Illinois Development Finance Authority,
(Regency Park), Escrowed to Maturity,
0.00%, 7/15/25 761,879
3,500 Maricopa County, AZ, IDA, Multifamily,
Escrowed to Maturity, 6.45%, 1/1/17 3,837,015
945 Maricopa County, AZ, IDA, Multifamily,
Escrowed to Maturity, 7.876%, 1/1/11 1,088,423
874 Massachusetts HEFA,
(Milford-Whitinsville Hospital),
Escrowed to Maturity, 7.125%, 7/15/02 914,288
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------
Escrowed / Prerefunded (continued)
- ----------------------------------------------------------------------------
$3,000 Massachusetts Turnpike Authority,
Escrowed to Maturity, 5.00%, 1/1/20 $ 2,771,370
670 Richardson, TX, Hospital Authority
(Baylor/ Richardson Medical Center),
Prerefunded to 12/01/03, 6.50%, 12/1/12 727,687
1,410 Saint Tammany Public Trust Finance
Authority, LA (Christwood), Escrowed to
Maturity, 8.75%, 11/15/05 1,592,059
- ----------------------------------------------------------------------------
$17,046,713
- ----------------------------------------------------------------------------
General Obligations -- 9.3%
- ----------------------------------------------------------------------------
$4,000 Detroit, MI, 6.50%, 4/1/02(2) $ 4,175,320
750 New York City, NY, 0.00%, 8/1/07 505,447
750 Ohio State, 0.00%, 8/1/08 481,035
1,000 Puerto Rico Aqueduct and Sewer
Authority, 5.00%, 7/1/15 927,280
750 Wisconsin, (AMT), 5.10%, 5/1/15 693,892
910 Youngstown, OH, County School District,
6.40%, 7/1/00 918,572
- ----------------------------------------------------------------------------
$ 7,701,546
- ----------------------------------------------------------------------------
Health Care-Miscellaneous -- 0.7%
- ----------------------------------------------------------------------------
$ 590 Tax Revenue Exempt Securities Trust,
Community Health Provider, (Pooled Loan
Program Various States Trust
Certificates), 6.00%, 12/1/36 $ 571,646
- ----------------------------------------------------------------------------
$ 571,646
- ----------------------------------------------------------------------------
Hospital -- 7.7%
- ----------------------------------------------------------------------------
$1,900 Colorado HFA, (Steamboat Springs
Health), 5.00%, 9/15/03 $ 1,877,637
500 Cuyahoga County, OH, Hospital Authority,
(Cleveland Health Clinic),
5.25%, 1/1/12 489,135
750 Forsyth County, GA, Hospital Authority,
(Georgia Baptist Health Care System),
6.00%, 10/1/08 718,837
750 Massachusetts HEFA, (Partners Healthcare
System), 5.00%, 7/1/09 727,147
600 Michigan Hospital Finance Authority,
(Gratiot Community Hospital),
6.10%, 10/1/07 613,050
500 New Hampshire HEFA, (Littleton Hospital
Association), 5.45%, 5/1/08 478,820
1,070 Richardson, TX, Hospital Authority
(Baylor/ Richardson Medical Center),
6.50%, 12/1/12 1,085,034
465 San Gorgonio, CA, Memorial Health Care
District, 5.60%, 5/1/11 433,059
- ----------------------------------------------------------------------------
$ 6,422,719
- ----------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
12
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------
Housing -- 6.8%
- ----------------------------------------------------------------------------
$1,005 Illinois Development Finance Authority,
Elderly Housing, (Mattoon Tower),
(Section 8), 6.35%, 7/1/10 $ 1,022,758
760 Illinois Development Finance Authority,
Elderly Housing, (Rome Meadows),
6.40%, 2/1/03 770,131
1,145 Illinois Development Finance Authority,
Elderly Housing, (Rome Meadows),
6.65%, 2/1/06 1,165,541
715 Sandaval County, NM, Multifamily,
6.00%, 5/1/32 678,807
2,000 Wisconsin Housing and Economic
Development Authority, (Home Ownership),
(AMT), 6.45%, 9/1/27 2,057,180
- ----------------------------------------------------------------------------
$ 5,694,417
- ----------------------------------------------------------------------------
Industrial Development Revenue -- 13.9%
- ----------------------------------------------------------------------------
$ 635 Austin, TX (Cargoport Development LLC)
(AMT), 7.50%, 10/1/07 $ 647,865
450 Austin, TX, (Cargoport Development LLC),
(AMT), 8.30%, 10/1/21 472,833
1,000 Clark County, NV, (Nevada Power Co.),
(AMT), 5.90%, 10/1/30 945,530
1,000 Columbus, NC, (International Paper Co.),
5.80%, 12/1/16 979,170
900 Eagle County, CO, Airport Terminal
Corp., (American Airlines), (AMT),
6.75%, 5/1/06 922,761
500 Gulf Coast, TX, Waste Disposal,
(Champion International Corp.), (AMT),
6.875%, 12/1/28 529,295
900 Iowa Finance Authority, (Southbridge
Mall), 6.375%, 12/1/13 874,035
500 Jones County, MS, (International Paper
Co.), 5.80%, 10/1/21 480,795
495 Kimball, NE, EDA, (Clean Harbors, Inc.),
10.75%, 9/1/26 522,641
315 Los Angeles, CA, Regional Airport
Improvement Corporate Lease, (TransWorld
Airlines), 6.125%, 5/15/00 314,975
950 Michigan State Strategic Fund, (Crown
Paper), 6.25%, 8/1/12 813,561
500 Missouri Development Finance Authority,
Solid Waste Disposal, (Proctor and
Gamble Paper Products), (AMT),
5.20%, 3/15/29 449,120
1,000 New Jersey EDA, (Holt Hauling), (AMT),
7.90%, 3/1/27 1,083,710
750 Ohio Solid Waste Revenue, (Republic
Engineered Steels, Inc.), (AMT),
9.00%, 6/1/21 790,268
500 Peru, IL, (Freightways Corp.),
5.25%, 11/1/03 486,650
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------
Industrial Development Revenue (continued)
- ----------------------------------------------------------------------------
$1,195 Santa Fe, NM, (Crow Hobbs),
8.25%, 9/1/05 $ 1,207,177
- ----------------------------------------------------------------------------
$11,520,386
- ----------------------------------------------------------------------------
Insured-Education -- 1.0%
- ----------------------------------------------------------------------------
$ 620 Golden West Schools Financing Authority,
(MBIA), 5.80%, 2/1/16 $ 647,671
500 Southern Illinois University, Housing
and Auxiliary Facilities, (MBIA),
0.00%, 4/1/17 179,180
- ----------------------------------------------------------------------------
$ 826,851
- ----------------------------------------------------------------------------
Insured-Electric Utilities -- 1.1%
- ----------------------------------------------------------------------------
$1,000 Intermountain Power Agency, UT, (MBIA),
5.00%, 7/1/19 $ 899,510
- ----------------------------------------------------------------------------
$ 899,510
- ----------------------------------------------------------------------------
Insured-General Obligations -- 1.1%
- ----------------------------------------------------------------------------
$1,000 Paw Paw, MI, Public School District,
(FGIC), 5.00%, 5/1/21(2) $ 907,310
- ----------------------------------------------------------------------------
$ 907,310
- ----------------------------------------------------------------------------
Insured-Hospital -- 2.9%
- ----------------------------------------------------------------------------
$2,000 El Paso County, TX, Hospital District,
(MBIA), 0.00%, 8/15/06 $ 1,418,500
1,000 New Jersey Health Care Facilities
Financing Authority, (St. Barnabas
Health), (MBIA), 5.25%, 7/1/13 985,010
- ----------------------------------------------------------------------------
$ 2,403,510
- ----------------------------------------------------------------------------
Insured-Special Tax Revenue -- 0.6%
- ----------------------------------------------------------------------------
$ 500 George L. Smith, (Georgia World Congress
Center-Domed Stadium), (MBIA), (AMT),
6.00%, 7/1/06(3) $ 522,890
- ----------------------------------------------------------------------------
$ 522,890
- ----------------------------------------------------------------------------
Insured-Transportation -- 1.7%
- ----------------------------------------------------------------------------
$ 500 Cleveland Airport, OH, (FSA), (AMT),
5.50%, 1/1/07 $ 513,635
2,500 E-470 Public Highway Authority, CO,
(MBIA), 0.00%, 9/1/17 888,075
- ----------------------------------------------------------------------------
$ 1,401,710
- ----------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------
Miscellaneous -- 0.6%
- ----------------------------------------------------------------------------
$ 500 San Juan, NM, Pueblo Development
Authority, 7.097%, 10/15/06 $ 482,555
- ----------------------------------------------------------------------------
$ 482,555
- ----------------------------------------------------------------------------
Nursing Home -- 5.8%
- ----------------------------------------------------------------------------
$1,105 Arizona HFA, Assisted Living Facilites,
(Mesa), 7.625%, 1/1/06 $ 1,108,337
500 Citrus County, FL, IDA, (Beverly
Enterprises), 5.00%, 4/1/03 488,920
965 Clovis, NM, IDR, (Retirement Ranches,
Inc.), 7.75%, 4/1/19 1,008,589
680 Fairfield, OH, EDA, (Beverly
Enterprises), 8.50%, 1/1/03 708,764
1,455 Massachusetts IFA, (Age Institute of
Massachusetts), 7.60%, 11/1/05 1,495,725
- ----------------------------------------------------------------------------
$ 4,810,335
- ----------------------------------------------------------------------------
Pooled Loans -- 4.9%
- ----------------------------------------------------------------------------
$1,900 Arizona Educational Loan Marketing
Corp., (AMT), 6.25%, 6/1/06 $ 2,008,870
1,000 Arizona Student Loan Acquisition
Authority, (AMT), 7.625%, 5/1/10 1,063,540
1,000 Arkansas Student Loan Authority, (AMT),
6.25%, 6/1/10 1,012,100
- ----------------------------------------------------------------------------
$ 4,084,510
- ----------------------------------------------------------------------------
Senior Living / Life Care -- 5.6%
- ----------------------------------------------------------------------------
$ 785 Albuquerque, NM, Retirement Facilities,
(La Vida Liena Retirement Center),
6.60%, 12/15/28 $ 724,186
2,000 Illinois HFA, (Lutheran Social
Services), 6.125%, 8/15/10 1,980,300
500 Kansas City, MO, IDR, (Kingswood Manor),
5.80%, 11/15/17 455,570
250 Massachusetts IFA, (Forge Hill), (AMT),
6.75%, 4/1/30 222,233
500 North Miami, FL, Health Facilities
Authority, (Imperial Club),
6.75%, 1/1/33 458,210
305 Okaloosa County, FL, Retirement Rental
Housing, (Encore Retirement Partners),
5.25%, 2/1/04 285,843
500 Wisconsin HEFA, (Senior Housing),
7.00%, 8/1/29 496,220
- ----------------------------------------------------------------------------
$ 4,622,562
- ----------------------------------------------------------------------------
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------
Special Tax Revenue -- 0.9%
- ----------------------------------------------------------------------------
$ 250 Frederick County, MD, Urbana Community
Development Authority, 6.625%, 7/1/25 $ 241,155
525 Longleaf, FL, Community Development
District, 6.20%, 5/1/09 503,218
- ----------------------------------------------------------------------------
$ 744,373
- ----------------------------------------------------------------------------
Transportation -- 1.6%
- ----------------------------------------------------------------------------
$ 260 Memphis-Shelby County, TN, Airport
Authority, 6.12%, 12/1/16 $ 251,800
1,000 Northwest Arkansas Regional Airport
Authority, (AMT), 7.625%, 2/1/27 1,101,850
- ----------------------------------------------------------------------------
$ 1,353,650
- ----------------------------------------------------------------------------
Total Tax-Exempt Investments -- 99.3%
(identified cost $81,894,844) $82,459,806
- ----------------------------------------------------------------------------
Other Assets, Less Liabilities -- 0.7% $ 604,070
- ----------------------------------------------------------------------------
Net Assets -- 100.0% $83,063,876
- ----------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
At September 30, 1999, the concentration of the Portfolio's investments in the
various states, determined as a percentage of total investments, is as follows:
<TABLE>
<CAPTION>
<S> <C>
Arizona 11.0%
Others, representing less than 10% 89.0%
individually
</TABLE>
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, 1999, 9.1% 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
institutions ranged from 0.6% to 7.4% of total investments.
(1) Non-income producing security.
(2) Security (or a portion thereof) has been segregated to cover when-issued
securities.
(3) When-issued security.
SEE NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 1999
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF SEPTEMBER 30, 1999
<S> <C>
Assets
- -----------------------------------------------------
Investments, at value
(identified cost, $81,894,844) $82,459,806
Receivable for investments sold 145,000
Interest receivable 1,556,877
- -----------------------------------------------------
TOTAL ASSETS $84,161,683
- -----------------------------------------------------
Liabilities
- -----------------------------------------------------
Demand note payable $ 500,000
Payable for when-issued securities 522,390
Due to bank 71,680
Accrued expenses 3,737
- -----------------------------------------------------
TOTAL LIABILITIES $ 1,097,807
- -----------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $83,063,876
- -----------------------------------------------------
Sources of Net Assets
- -----------------------------------------------------
Net proceeds from capital contributions
and withdrawals $82,498,914
Net unrealized appreciation (computed on
the basis of identified cost) 564,962
- -----------------------------------------------------
TOTAL $83,063,876
- -----------------------------------------------------
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED
SEPTEMBER 30, 1999
<S> <C>
Investment Income
- -----------------------------------------------------
Interest $ 2,594,402
- -----------------------------------------------------
TOTAL INVESTMENT INCOME $ 2,594,402
- -----------------------------------------------------
Expenses
- -----------------------------------------------------
Investment adviser fee $ 207,516
Trustees fees and expenses 4,524
Legal and accounting services 22,485
Custodian fee 22,921
Miscellaneous 7,665
- -----------------------------------------------------
TOTAL EXPENSES $ 265,111
- -----------------------------------------------------
Deduct:
Reduction of custodian fee $ 7,325
- -----------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 7,325
- -----------------------------------------------------
NET EXPENSES $ 257,786
- -----------------------------------------------------
NET INVESTMENT INCOME $ 2,336,616
- -----------------------------------------------------
Realized and Unrealized
Gain (Loss)
- -----------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 119,472
Financial futures contracts 118,102
- -----------------------------------------------------
NET REALIZED GAIN $ 237,574
- -----------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $(3,882,003)
- -----------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) $(3,882,003)
- -----------------------------------------------------
NET REALIZED AND UNREALIZED LOSS $(3,644,429)
- -----------------------------------------------------
NET DECREASE IN NET ASSETS FROM
OPERATIONS $(1,307,813)
- -----------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 1999
FINANCIAL STATEMENTS (UNAUDITED) CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
SEPTEMBER 30, 1999 YEAR ENDED
INCREASE (DECREASE) IN NET ASSETS (UNAUDITED) MARCH 31, 1999
<S> <C> <C>
- ------------------------------------------------------------------------------------------
From operations --
Net investment income $ 2,336,616 $ 4,830,146
Net realized gain 237,574 372,695
Net change in unrealized
appreciation (depreciation) (3,882,003) (1,182,416)
- ------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS $ (1,307,813) $ 4,020,425
- ------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 4,641,270 $ 26,384,868
Withdrawals (10,235,975) (33,566,159)
- ------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $ (5,594,705) $ (7,181,291)
- ------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $ (6,902,518) $ (3,160,866)
- ------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------
At beginning of period $ 89,966,394 $ 93,127,260
- ------------------------------------------------------------------------------------------
AT END OF PERIOD $ 83,063,876 $ 89,966,394
- ------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
16
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED MARCH 31,
SEPTEMBER 30, 1999 ---------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- -----------------------------------------------------------------------------------------------------------------
Expenses(1) 0.61%(2) 0.61% 0.60% 0.60% 0.57% 0.53%
Expenses after custodian fee reduction 0.59%(2) 0.60% 0.59% 0.58% 0.56% --
Net investment income 5.39%(2) 5.32% 5.53% 5.45% 5.08% 5.02%
Portfolio Turnover 7% 26% 41% 68% 68% 56%
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $83,064 $89,966 $93,127 $102,504 $134,776 $169,621
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
(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 ratio for the year ended March 31, 1995 has not been adjusted
to reflect this change.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
17
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1 Significant Accounting Policies
- -------------------------------------------
National Limited Maturity Municipals Portfolio (the Portfolio) seeks to
provide (1) a high level of income exempt from regular federal income tax and
(2) 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 the
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 respective 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 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.
E Options on Financial Futures Contracts -- Upon the purchase of a put option
on a financial futures contract by the Portfolio, the premium paid is
recorded as an investment, the value of which is marked-to-market daily. When
a purchased option expires, the Portfolio will realize a loss in the amount
of the cost of the option. When the Portfolio enters into a closing sale
transaction, the Portfolio will realize a gain or loss depending on whether
the sales proceeds from the closing sale transaction are greater or less than
the cost of the option. When the Portfolio exercises a put option, settlement
is made in cash. The risk associated with purchasing put options is limited
to the premium originally paid.
F When-issued and Delayed Delivery Transactions -- 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 earning 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 reflected as a reduction of
operating expenses 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
18
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
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 Statements -- The interim financial statements relating to
September 30, 1999 and for the six months 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, 1999, the fee was
equivalent to 0.48% (annualized) of the Portfolio's average net assets for
such period and amounted to $207,516. 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 officers and Trustees of the Portfolio are
officers of the above organizations. Trustees of the Portfolio 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, 1999, no
significant amounts have been deferred.
3 Line of Credit
- -------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR and
EVM and its affiliates in a $130 million ($120 million effective October 12,
1999) 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 investment transactions. Interest is charged to each portfolio or
fund based on its borrowings at an amount above either the Eurodollar rate or
federal funds rate. In addition, a fee computed at an annual rate of 0.10% 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, 1999, the National Limited Maturity Municipals Portfolio had $500,000
outstanding pursuant to this line of credit.
4 Investments
- -------------------------------------------
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, aggregated $5,939,946 and $9,112,788 respectively,
for the six months ended September 30, 1999.
5 Federal Income Tax Basis of Investments
- -------------------------------------------
The cost and unrealized appreciation/depreciation in the value of the
investments owned at September 30, 1999, as computed on a federal income tax
basis, were as follows:
<TABLE>
<S> <C>
AGGREGATE COST $81,894,844
-----------------------------------------------------
Gross unrealized appreciation $ 2,418,729
Gross unrealized depreciation (1,853,767)
-----------------------------------------------------
NET UNREALIZED APPRECIATION $ 564,962
-----------------------------------------------------
</TABLE>
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.
At September 30, 1999, there were no outstanding obligations under these
financials instruments.
7 Subsequent Event
- -------------------------------------------
Prior to the opening of business on November 1,1999, the Portfolio acquired
the net assets of Eaton Vance Connecticut Limited Maturity Municipals Fund
and Eaton Vance Michigan Limited Maturity Municipals Fund, pursuant to an
Agreement and Plan of Reorganization. The transaction was structured for tax
purposes to qualify as a "tax free" reorganization under the Internal Revenue
Code.
19
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO
Officers
Thomas J. Fetter
President
James B. Hawkes
Vice President and Trustee
William H. Ahern, Jr.
Vice President and Portfolio
Manager
Robert B. MacIntosh
Vice President
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
Trustees
Jessica M. Bibliowicz
President and Chief Executive Officer,
National Financial Partners
Donald R. Dwight
President, Dwight Partners, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking
Emeritus, Harvard University Graduate School of
Business Administration
Norton H. Reamer
Chairman and Chief Executive Officer,
United Asset Management Corporation
Lynn A. Stout
Professor of Law,
Georgetown University Law Center
Jack L. Treynor
Investment Adviser and Consultant
20
