<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
PORTFOLIO OF INVESTMENTS
TAX-EXEMPT INVESTMENTS -- 98.8%
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
Assisted Living -- 1.0%
- ------------------------------------------------------------------------
$ 915 New Jersey EDA, (Chelsea at East
Brunswick), (AMT), 8.00%, 10/1/07 $ 939,833
- ------------------------------------------------------------------------
$ 939,833
- ------------------------------------------------------------------------
Cogeneration -- 8.0%
- ------------------------------------------------------------------------
$ 250 Eastern Connecticut Resources Recovery
Authority, (Wheelabrator Lisbon), (AMT),
5.00%, 1/1/03 $ 239,700
955 New Jersey EDA, (Trigen-Trenton), (AMT),
6.10%, 12/1/05 960,090
1,250 New Jersey EDA, (Vineland Cogeneration),
(AMT), 7.875%, 6/1/19 1,292,625
500 Palm Beach County, FL, (Okeelanta
Power), (AMT), 6.85%, 2/15/21(1) 271,250
500 Palm Beach County, FL, (Osceola Power),
(AMT), 6.95%, 1/1/22(1) 266,250
1,800 Pennsylvania EDA, (Resource Recovery-
Northampton), 6.75%, 1/1/07 1,837,512
2,000 Pennsylvania EDA, (Resource
Recovery-Colver), (AMT), 7.05%, 12/1/10 2,065,800
56 Robbins, IL, Resource Recovery, (AMT),
0.00%, 10/15/09 26,303
28 Robbins, IL, Resource Recovery, (AMT),
7.25%, 10/15/09 26,768
121 Robbins, IL, Resource Recovery, (AMT),
7.25%, 10/15/24 113,321
180 Robbins, IL, Resource Recovery, (AMT),
8.375%, 10/15/16(1) 80,859
70 Robbins, IL, Resource Recovery, (AMT),
8.375%, 10/15/16(1) 31,641
- ------------------------------------------------------------------------
$ 7,212,119
- ------------------------------------------------------------------------
Education -- 7.3%
- ------------------------------------------------------------------------
$1,900 Arizona Educational Loan Marketing
Corp., (AMT), 6.25%, 6/1/06 $ 1,999,332
1,000 Arizona Student Loan Acquisition
Authority, (AMT), 7.625%, 5/1/10 1,073,080
1,000 Arkansas State Student Loan Authority,
(AMT), 6.25%, 6/1/10 1,026,340
200 Connecticut HEFA, (Quinnipiac College),
6.00%, 7/1/13 198,088
140 Connecticut HEFA, (Sacred Heart
University), 6.00%, 7/1/08 149,355
1,000 New Hampshire HEFA, (Colby-Sawyer
College), 7.20%, 6/1/12 1,038,120
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
Education (continued)
- ------------------------------------------------------------------------
$1,700 University of Illinois, 0.00%, 4/1/15 $ 722,143
1,000 University of Illinois, 0.00%, 4/1/16 398,110
- ------------------------------------------------------------------------
$ 6,604,568
- ------------------------------------------------------------------------
Electric Utilities -- 1.1%
- ------------------------------------------------------------------------
$1,000 North Carolina Municipal Power Agency,
(Catawba Electric Revenue),
6.375%, 1/1/13 $ 1,022,910
- ------------------------------------------------------------------------
$ 1,022,910
- ------------------------------------------------------------------------
Escrowed / Prerefunded -- 17.1%
- ------------------------------------------------------------------------
$ 460 Connecticut HEFA, (New Britain
Hospital), Prerefunded to 7/1/02,
7.50%, 7/1/06 $ 483,570
300 Connecticut HEFA, (Quinnipiac College),
Prerefunded to 07/01/03, 6.00%, 7/1/13 315,321
850 Florence, KY, Housing Facilities,
(Bluegrass Housing), Escrowed to
Maturity, 7.25%, 5/1/07 905,148
1,500 Grand Ledge, MI, Public School District,
(MBIA), Prerefunded to 5/1/04,
7.875%, 5/1/11 1,690,245
4,185 Illinois Development Finance Authority,
(Regency Park), Escrowed to Maturity,
0.00%, 7/15/25 795,359
3,500 Maricopa County, AZ, IDA, Multifamily,
Escrowed to Maturity, 6.45%, 1/1/17(2) 3,687,250
895 Maricopa County, AZ, IDA, Multifamily,
Escrowed to Maturity, 7.876%, 1/1/11 1,010,706
874 Massachusetts HEFA,
(Milford-Whitinsville Hospital),
Escrowed to Maturity, 7.125%, 7/15/02 899,842
3,000 Massachusetts Turnpike Authority,
Escrowed to Maturity, 5.00%, 1/1/20(2) 2,774,490
500 Michigan Municipal Bond Authority,
Escrowed to Maturity, 7.00%, 10/1/02 526,830
630 Richardson, TX, Hospital Authority
(Baylor/Richardson Medical Center),
Prerefunded to 12/01/03, 6.50%, 12/1/12 671,435
1,255 Saint Tammany, LA, Public Trust Finance
Authority, (Christwood), Escrowed to
Maturity, 8.75%, 11/15/05 1,397,844
250 South Central Connecticut Regional Water
Authority, (AMBAC), Prerefunded to
8/1/01, 6.50%, 8/1/07 261,342
- ------------------------------------------------------------------------
$15,419,382
- ------------------------------------------------------------------------
General Obligations -- 7.6%
- ------------------------------------------------------------------------
$ 190 Connecticut State, 0.00%, 11/15/10 $ 108,441
150 Connecticut State, 5.125%, 8/15/11 150,313
100 Danbury, CT, 5.00%, 8/1/17 93,761
495 Detroit, MI, 6.40%, 4/1/05 519,062
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
16
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
General Obligations (continued)
- ------------------------------------------------------------------------
$2,000 Detroit, MI, 6.50%, 4/1/02 $ 2,056,620
265 New Fairfield, CT, 4.90%, 8/1/13 258,648
750 New York City, NY, 0.00%, 8/1/07 509,407
750 Ohio State, 0.00%, 8/1/08 486,975
115 Puerto Rico, 0.00%, 7/1/08 75,356
1,000 Puerto Rico Aqueduct and Sewer
Authority, 5.00%, 7/1/15 937,460
750 Wisconsin State, (AMT), 5.10%, 5/1/15 703,177
910 Youngstown, OH, County School District,
6.40%, 7/1/00 912,038
- ------------------------------------------------------------------------
$ 6,811,258
- ------------------------------------------------------------------------
Health Care-Miscellaneous -- 0.6%
- ------------------------------------------------------------------------
$ 590 Tax Revenue Exempt Securities Trust,
Community Health Provider, (Pooled Loan
Program Various States Trust
Certificates), 6.00%, 12/1/36 $ 542,249
- ------------------------------------------------------------------------
$ 542,249
- ------------------------------------------------------------------------
Hospital -- 7.3%
- ------------------------------------------------------------------------
$1,700 Colorado Health Facilities Authority,
(Steamboat Springs Health),
5.00%, 9/15/03 $ 1,668,312
350 Colorado Health Facilities Authority,
(Steamboat Springs Health),
5.70%, 9/15/23 287,882
125 Connecticut HEFA, (Griffin Hospital),
6.00%, 7/1/13 115,622
500 Cuyahoga County, OH, Hospital Authority,
(Cleveland Health Clinic),
5.25%, 1/1/12 488,610
750 Forsyth County, GA, Hospital Authority,
(Georgia Baptist Health Care System),
6.00%, 10/1/08 696,210
100 Mecosta County, MI, (Michigan General
Hospital), 5.75%, 5/15/09 93,501
100 Michigan Hospital Finance Authority,
(Community Hospital), 6.00%, 10/1/05 100,898
100 Michigan Hospital Finance Authority,
(Community Hospital), 6.10%, 10/1/06 101,094
225 Michigan Hospital Finance Authority,
(Community Hospital), 6.20%, 10/1/07 227,929
1,000 Michigan Hospital Finance Authority,
(Gratiot Community Hospital),
6.10%, 10/1/07 985,210
500 New Hampshire HEFA, (Littleton Hospital
Association), 5.45%, 5/1/08 448,460
1,010 Richardson, TX, Hospital Authority
(Baylor/Richardson Medical Center),
6.50%, 12/1/12 975,711
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
Hospital (continued)
- ------------------------------------------------------------------------
$ 465 San Gorgonio, CA, Memorial Health Care
District, 5.60%, 5/1/11 $ 412,818
- ------------------------------------------------------------------------
$ 6,602,257
- ------------------------------------------------------------------------
Housing -- 3.9%
- ------------------------------------------------------------------------
$1,005 Illinois Development Finance Authority,
Elderly Housing, (Mattoon Tower),
(Section 8), 6.35%, 7/1/10 $ 1,012,889
660 Illinois Development Finance Authority,
Elderly Housing, (Rome Meadows),
6.40%, 2/1/03 662,633
1,145 Illinois Development Finance Authority,
Elderly Housing, (Rome Meadows),
6.65%, 2/1/06 1,148,698
715 Sandaval County, NM, Multifamily,
6.00%, 5/1/32 688,409
- ------------------------------------------------------------------------
$ 3,512,629
- ------------------------------------------------------------------------
Industrial Development Revenue -- 12.0%
- ------------------------------------------------------------------------
$ 635 Austin, TX (Cargoport Development LLC)
(AMT), 7.50%, 10/1/07 $ 637,413
450 Austin, TX, (Cargoport Development LLC),
(AMT), 8.30%, 10/1/21 465,260
1,000 Clark County, NV, (Nevada Power Co.),
(AMT), 5.90%, 10/1/30 876,800
1,000 Columbus, NC, (International Paper Co.),
5.80%, 12/1/16 937,010
625 Connecticut Development Authority,
(Frito Lay), 6.375%, 7/1/04 632,256
900 Eagle County, CO, Airport Terminal
Corp., (American Airlines), (AMT),
6.75%, 5/1/06 903,753
900 Iowa Finance Authority, (Southbridge
Mall), 6.375%, 12/1/13 880,263
500 Jones County, MS, (International Paper
Co.), 5.80%, 10/1/21 458,685
495 Kimball, NE, EDA, (Clean Harbors),
10.75%, 9/1/26 511,201
315 Los Angeles, CA, Regional Airport
Improvement Corporate Lease, (TransWorld
Airlines), 6.125%, 5/15/00 314,836
1,100 Michigan State Strategic Fund, (Crown
Paper), 6.25%, 8/1/12 825,165
500 Missouri Development Finance Authority,
Solid Waste Disposal, (Proctor and
Gamble Paper Products), (AMT),
5.20%, 3/15/29 447,175
1,000 New Jersey EDA, (Holt Hauling), (AMT),
7.90%, 3/1/27 1,001,250
750 Ohio Solid Waste Revenue, (Republic
Engineered Steels), (AMT),
9.00%, 6/1/21 247,778
500 Peru, IL, (Freightways Corp.),
5.25%, 11/1/03 480,815
1,050 Santa Fe, NM, (Crow Hobbs),
8.25%, 9/1/05 1,042,640
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
17
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
Industrial Development Revenue (continued)
- ------------------------------------------------------------------------
$ 100 Sprague, CT, Environmental Improvement,
(International Paper Co.), (AMT),
5.70%, 10/1/21 $ 91,126
- ------------------------------------------------------------------------
$10,753,426
- ------------------------------------------------------------------------
Insured-Education -- 1.1%
- ------------------------------------------------------------------------
$ 200 Connecticut HEFA, (Choate Rosemary
Hall), (MBIA), 5.00%, 7/1/14 $ 191,622
620 Golden West Schools Financing Authority,
CA, (MBIA), 5.80%, 2/1/16 656,654
500 Southern Illinois University, Housing
and Auxiliary Facilities, (MBIA),
0.00%, 4/1/17 187,920
- ------------------------------------------------------------------------
$ 1,036,196
- ------------------------------------------------------------------------
Insured-Electric Utilities -- 3.0%
- ------------------------------------------------------------------------
$ 500 Monroe County, MI, (The Detroit Edison
Co.), (AMBAC), (AMT), 6.35%, 12/1/04 $ 523,615
1,500 North Carolina Municipal Power Agency,
(Catawba Electric Revenue), (MBIA),
6.00%, 1/1/11 1,588,215
400 Piedmont Municipal Power Agency, SC,
(Electric Revenue), (MBIA),
5.00%, 1/1/15 371,716
250 Puerto Rico Electric Power Authority,
(FSA), 4.75%, 7/1/24 217,055
- ------------------------------------------------------------------------
$ 2,700,601
- ------------------------------------------------------------------------
Insured-General Obligations -- 3.6%
- ------------------------------------------------------------------------
$ 250 Bradford, CT, (FGIC), 5.40%, 2/15/14 $ 250,445
400 Bridgeport, CT, (AMBAC), 6.00%, 9/1/06 422,268
250 Fowlerville, MI, Community Schools
District, (FSA), 4.50%, 5/1/15 219,788
500 Hartland, MI, School District, (FGIC),
5.125%, 5/1/17 471,295
500 Old Saybrook, CT, (AMBAC),
4.10%, 8/15/01 497,465
100 Parchment, MI, School District, (MBIA),
5.00%, 5/1/25 90,282
1,225 Paw Paw, MI, Public School District,
(FGIC), 5.00%, 5/1/21(2) 1,111,430
250 Portage, MI, Public Schools, (FSA),
4.50%, 5/1/14 222,210
- ------------------------------------------------------------------------
$ 3,285,183
- ------------------------------------------------------------------------
Insured-Hospital -- 2.2%
- ------------------------------------------------------------------------
$ 300 Connecticut HEFA, (Middlesex Health
Services), (MBIA), 5.125%, 7/1/17 $ 279,162
250 Connecticut HEFA, (Stamford Hospital),
(MBIA), 6.50%, 7/1/06 260,953
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
Insured-Hospital (continued)
- ------------------------------------------------------------------------
$2,000 El Paso County, TX, Hospital District,
(MBIA), 0.00%, 8/15/06 $ 1,433,060
- ------------------------------------------------------------------------
$ 1,973,175
- ------------------------------------------------------------------------
Insured-Special Tax Revenue -- 0.8%
- ------------------------------------------------------------------------
$ 500 George L. Smith, (Georgia World Congress
Center-Domed Stadium), (MBIA), (AMT),
6.00%, 7/1/06(3) $ 523,370
150 Woodstock, CT, Special Obligation Bonds,
(AMBAC), 7.00%, 3/1/07 154,823
- ------------------------------------------------------------------------
$ 678,193
- ------------------------------------------------------------------------
Insured-Transportation -- 4.3%
- ------------------------------------------------------------------------
$ 500 Cleveland, OH Airport, (FSA), (AMT),
5.50%, 1/1/07 $ 508,830
600 Connecticut Airport, (Bradley
International Airport), (FGIC),
7.40%, 10/1/04 652,110
2,500 E-470 Public Highway Authority, CO,
(MBIA), 0.00%, 9/1/17 915,800
1,000 Metropolitan Transportation Authority,
NY, Commuter Facility Revenue, (AMBAC),
5.00%, 7/1/20 902,560
500 Metropolitan Transportation Authority,
NY, Transportation Facility Revenue,
(MBIA), 5.00%, 7/1/17 464,695
500 Puerto Rico Highway and Transportation
Authority, (AMBAC), 0.00%, 7/1/16 207,370
200 Wayne Charter County, MI, Airport,
(Detroit Metropolitan Wayne County),
(MBIA), (AMT), 5.25%, 12/1/13 194,010
- ------------------------------------------------------------------------
$ 3,845,375
- ------------------------------------------------------------------------
Miscellaneous -- 1.7%
- ------------------------------------------------------------------------
$ 890 Barona, CA, (Band of Mission Indians),
8.25%, 1/1/20 $ 873,847
150 Pittsfield Township, MI, EDC, (Arbor
Hospice), 7.875%, 8/15/27 144,534
500 San Juan, NM, Pueblo Development
Authority, 7.097%, 10/15/06 477,725
- ------------------------------------------------------------------------
$ 1,496,106
- ------------------------------------------------------------------------
Nursing Home -- 5.3%
- ------------------------------------------------------------------------
$1,105 Arizona HFA, Assisted Living Facilites,
(mesa/care Institute, Inc.),
7.625%, 1/1/06 $ 1,071,706
500 Citrus County, FL, IDA, (Beverly
Enterprises), 5.00%, 4/1/03 483,685
945 Clovis, NM, IDR, (Retirement Ranches,
Inc.), 7.75%, 4/1/19 956,491
510 Fairfield, OH, EDA, (Beverly
Enterprises), 8.50%, 1/1/03 523,775
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
18
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
PORTFOLIO OF INVESTMENTS CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
Nursing Home (continued)
- ------------------------------------------------------------------------
$1,285 Massachusetts IFA, (Age Institute of
Massachusetts), 7.60%, 11/1/05 $ 1,292,389
395 Michigan Hospital Finance Authority,
(Presbyterian Villages), 6.20%, 1/1/06 397,453
- ------------------------------------------------------------------------
$ 4,725,499
- ------------------------------------------------------------------------
Senior Living / Life Care -- 5.2%
- ------------------------------------------------------------------------
$ 785 Albuquerque, NM, Retirement Facilities,
(La Vida Liena Retirement Center),
6.60%, 12/15/28 $ 683,939
2,000 Illinois HFA, (Lutheran Social
Services), 6.125%, 8/15/10 1,885,600
300 Kalamazoo, MI, (Friendship Village),
6.125%, 5/15/17 269,742
500 Kansas City, MO, IDR, (Kingswood Manor),
5.80%, 11/15/17 421,235
250 Massachusetts IFA, (Forge Hill), (AMT),
6.75%, 4/1/30 210,483
500 North Miami, FL, Health Facilities
Authority, (Imperial Club),
6.75%, 1/1/33 432,890
305 Okaloosa County, FL, Retirement Rental
Housing, (Encore Retirement Partners),
5.25%, 2/1/04 282,659
500 Wisconsin HEFA, (Wisconsin Illinois
Senior Housing), 7.00%, 8/1/29 468,760
- ------------------------------------------------------------------------
$ 4,655,308
- ------------------------------------------------------------------------
Special Tax Revenue -- 4.1%
- ------------------------------------------------------------------------
$ 500 Battle Creek, MI, Downtown Development
Authority, 6.65%, 5/1/02 $ 515,195
2,000 Detroit, MI, Downtown Development
Authority Tax Increment, 0.00%, 7/1/21 540,840
250 Frederick County, MD, Urbana Community
Development Authority, 6.625%, 7/1/25 236,250
500 Heritage Palms Community Development
District, FL, Capital Improvements,
6.25%, 11/1/04 497,905
1,000 Laredo, TX, 4.50%, 2/15/17 857,850
525 Longleaf, FL, Community Development
District, 6.20%, 5/1/09 495,999
500 Michigan Building Authority,
6.10%, 10/1/01 511,080
- ------------------------------------------------------------------------
$ 3,655,119
- ------------------------------------------------------------------------
Transportation -- 1.4%
- ------------------------------------------------------------------------
$ 240 Memphis-Shelby County, TN, Airport
Authority, 6.12%, 12/1/16 $ 222,166
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
Transportation (continued)
- ------------------------------------------------------------------------
$1,000 Northwest Arkansas Regional Airport
Authority, (AMT), 7.625%, 2/1/27 $ 1,018,960
- ------------------------------------------------------------------------
$ 1,241,126
- ------------------------------------------------------------------------
Water and Sewer -- 0.2%
- ------------------------------------------------------------------------
$ 150 Connecticut Clean Water Fund,
4.875%, 5/1/09 $ 149,016
- ------------------------------------------------------------------------
$ 149,016
- ------------------------------------------------------------------------
Total Tax-Exempt Investments -- 98.8%
(identified cost $90,103,698) $88,861,528
- ------------------------------------------------------------------------
Other Assets, Less Liabilities -- 1.2% $ 1,075,025
- ------------------------------------------------------------------------
Net Assets -- 100.0% $89,936,553
- ------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax
preference item for purposes of the Federal Alternative Minimum Tax.
At March 31, 2000, the concentration of the Portfolio's investments in the
various states, determined as a percentage of net assets, is as follows:
<TABLE>
<S> <C>
Michigan 13.7%
Others, representing less than 10% individually 85.1%
</TABLE>
The Portfolio invests primarily in debt securities issued by municipali-
ties. 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, 2000, 17.4% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions
and financial guaranty assurance agencies. The aggregate percentage insured
by financial institutions ranged from 1.3% to 10.0% of total investments.
(1) Non-income producing security.
(2) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
(3) When-issued security.
SEE NOTES TO FINANCIAL STATEMENTS
19
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF MARCH 31, 2000
<S> <C>
Assets
- -----------------------------------------------------
Investments, at value
(identified cost, $90,103,698) $88,861,528
Cash 766,661
Receivable for investments sold 65,000
Interest receivable 1,629,862
Prepaid expenses 18,061
- -----------------------------------------------------
TOTAL ASSETS $91,341,112
- -----------------------------------------------------
Liabilities
- -----------------------------------------------------
Payable for investments purchased $ 857,910
Payable for daily variation margin on
open financial futures contracts 11,000
Payable for when-issued securities 522,390
Accrued expenses 13,259
- -----------------------------------------------------
TOTAL LIABILITIES $ 1,404,559
- -----------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $89,936,553
- -----------------------------------------------------
Sources of Net Assets
- -----------------------------------------------------
Net proceeds from capital contributions
and withdrawals $91,211,855
Net unrealized depreciation (computed on
the basis of identified cost) (1,275,302)
- -----------------------------------------------------
TOTAL $89,936,553
- -----------------------------------------------------
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
MARCH 31, 2000
<S> <C>
Investment Income
- -----------------------------------------------------
Interest $ 5,444,661
- -----------------------------------------------------
TOTAL INVESTMENT INCOME $ 5,444,661
- -----------------------------------------------------
Expenses
- -----------------------------------------------------
Investment adviser fee $ 429,856
Trustees fees and expenses 9,451
Custodian fee 59,908
Legal and accounting services 30,776
Amortization of prepaid expenses 26,739
Miscellaneous 22,024
- -----------------------------------------------------
TOTAL EXPENSES $ 578,754
- -----------------------------------------------------
Deduct --
Reduction of custodian fee $ 14,375
- -----------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 14,375
- -----------------------------------------------------
NET EXPENSES $ 564,379
- -----------------------------------------------------
NET INVESTMENT INCOME $ 4,880,282
- -----------------------------------------------------
Realized and Unrealized Gain (Loss)
- -----------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ (125,180)
Financial futures contracts 114,174
- -----------------------------------------------------
NET REALIZED LOSS $ (11,006)
- -----------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $(5,874,916)
Financial futures contracts (33,132)
- -----------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) $(5,908,048)
- -----------------------------------------------------
NET REALIZED AND UNREALIZED LOSS $(5,919,054)
- -----------------------------------------------------
NET DECREASE IN NET ASSETS FROM
OPERATIONS $(1,038,772)
- -----------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
20
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
INCREASE (DECREASE) YEAR ENDED YEAR ENDED
IN NET ASSETS MARCH 31, 2000 MARCH 31, 1999
<S> <C> <C>
- ------------------------------------------------------------------------
From operations --
Net investment income $ 4,880,282 $ 4,830,146
Net realized gain (loss) (11,006) 372,695
Net change in unrealized
appreciation (depreciation) (5,908,048) (1,182,416)
- ------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (1,038,772) $ 4,020,425
- ------------------------------------------------------------------------
Capital transactions --
Net assets contributed by Connecticut
and Michigan Limited Maturity
Municipals Funds $ 16,239,145 $ --
Contributions 13,115,025 26,384,868
Withdrawals (28,345,239) (33,566,159)
- ------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL TRANSACTIONS $ 1,008,931 $ (7,181,291)
- ------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $ (29,841) $ (3,160,866)
- ------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------
At beginning of year $ 89,966,394 $ 93,127,260
- ------------------------------------------------------------------------
AT END OF YEAR $ 89,936,553 $ 89,966,394
- ------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
21
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31,
-------------------------------------------------------------
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
Ratios/Supplemental Data
- -----------------------------------------------------------------------------------------------
Ratios (As a percentage of
average daily net assets):
Expenses 0.65% 0.61% 0.60% 0.60% 0.57%
Expenses after custodian
fee reduction 0.63% 0.60% 0.59% 0.58% 0.56%
Net investment income 5.49% 5.32% 5.53% 5.45% 5.08%
Portfolio Turnover 27% 26% 41% 68% 68%
- -----------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S
OMITTED) $89,937 $89,966 $93,127 $102,504 $134,776
- -----------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
22
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
NOTES TO FINANCIAL STATEMENTS
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 accretion of 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
balance the Portfolio maintains with IBT. All significant credit balances
used to reduce the Portfolio's custodian fees are reported as a reduction of
total expenses in the Statement of Operations.
H Use of Estimates -- The preparation of the financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts
of income and expense during the reporting period. Actual results could
differ from those estimates.
23
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
NOTES TO FINANCIAL STATEMENTS CONT'D
I Other -- Investment transactions are accounted for on a trade date basis.
Realized gains and losses are computed based on the specific identification
of the securities sold.
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, 2000, the fee was equivalent to
0.48% of the Portfolio's average net assets for such period and amounted to
$429,856. 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 year ended March 31, 2000, 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 $150 million unsecured line of credit agreement
with a group of banks. Borrowings may be made by the Portfolio solely to
facilitate the handling of unusual and/or unanticipated short-term cash
requirements. Interest is charged to each participating 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. The National
Limited Maturity Municipals Portfolio did not have any significant borrowings
or allocated fees during the year ended March 31, 2000.
4 Investments
- -------------------------------------------
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, aggregated $29,054,227 and $23,894,787 respectively,
for the year ended March 31, 2000.
5 Federal Income Tax Basis of Investments
- -------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned at March 31, 2000, as computed on a federal income tax
basis, were as follows:
<TABLE>
<S> <C>
AGGREGATE COST $90,103,698
-----------------------------------------------------
Gross unrealized appreciation $ 1,759,928
Gross unrealized depreciation (3,002,098)
-----------------------------------------------------
NET UNREALIZED DEPRECIATION $(1,242,170)
-----------------------------------------------------
</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.
A summary of obligations under these financial instruments as of March 31,
2000, is as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS
-----------------------------------------------------------------------------------
EXPIRATION NET UNREALIZED
DATE(S) CONTRACTS POSITION DEPRECIATION
<S> <C> <C> <C>
-----------------------------------------------------------------------------------
6/00 22 US Treasury Bond Short $(33,132)
</TABLE>
7 Transfer of Net Assets
- -------------------------------------------
Prior to the opening of business on November 1, 1999, Eaton Vance Connecticut
Limited Maturity Municipals and Eaton Vance Michigan Limited Maturity
Municipals Funds, pursuant to an Agreement and Plan of Reorganization dated
November 1, 1999, contributed securities with a market value of $7,443,241
and $8,864,366, including $88,630 and $97,151 of unrealized appreciation
respectively. The transaction was structured for tax purposes to qualify as a
"tax free" reorganization under the Internal Revenue Code.
24
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF MARCH 31, 2000
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, 2000, the related statement of operations for the year then
ended, the statements of changes in net assets for the years ended March 31,
2000 and 1999 and the supplementary data for each of the years in the five-year
period ended March 31, 2000. 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 auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and supplementary data are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities held as of March 31, 2000 by correspondence with the custodian and
brokers; where replies were not received, alternative procedures were performed.
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 at March 31, 2000, the results of its operations, the
changes in its net assets and its supplementary data for the respective stated
periods in conformity with accounting principles generally accepted in the
United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
April 28, 2000
25
<PAGE>
EATON VANCE NATIONAL LIMITED MATURITY MUNICIPALS FUND AS OF MARCH 31, 2000
INVESTMENT MANAGEMENT
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 Planners
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
26
