<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 97.4%
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
------------------------------------------------------------------------
Assisted Living -- 1.0%
------------------------------------------------------------------------
$ 825 New Jersey EDA, (Chelsea at East
Brunswick), (AMT), 8.00%, 10/1/07 $ 852,175
------------------------------------------------------------------------
$ 852,175
------------------------------------------------------------------------
Cogeneration -- 8.3%
------------------------------------------------------------------------
$ 250 Eastern Connecticut Resources Recovery
Authority, (Wheelabrator Lisbon), (AMT),
5.00%, 1/1/03 $ 243,647
955 New Jersey EDA, (Trigen-Trenton), (AMT),
6.10%, 12/1/05 961,007
1,225 New Jersey EDA, (Vineland Cogeneration),
(AMT), 7.875%, 6/1/19 1,262,387
500 Palm Beach County, FL, (Okeelanta
Power), (AMT), 6.85%, 2/15/21(1) 285,500
500 Palm Beach County, FL, (Osceola Power),
(AMT), 6.95%, 1/1/22(1) 285,500
1,800 Pennsylvania EDA, (Resource
Recovery-Northampton), (AMT),
6.75%, 1/1/07 1,827,198
2,000 Pennsylvania EDA, (Resource
Recovery-Colver), (AMT), 7.05%, 12/1/10 2,047,820
56 Robbins, IL, Resource Recovery, (AMT),
0.00%, 10/15/09 26,166
28 Robbins, IL, Resource Recovery, (AMT),
7.25%, 10/15/09 26,489
121 Robbins, IL, Resource Recovery, (AMT),
7.25%, 10/15/24 110,608
180 Robbins, IL, Resource Recovery, (AMT),
8.375%, 10/15/16 46,719
70 Robbins, IL, Resource Recovery, (AMT),
8.375%, 10/15/16 18,281
------------------------------------------------------------------------
$ 7,141,322
------------------------------------------------------------------------
Education -- 4.0%
------------------------------------------------------------------------
$1,000 Arkansas State Student Loan Authority,
(AMT), 6.25%, 6/1/10 $ 1,037,260
200 Connecticut HEFA, (Quinnipiac College),
6.00%, 7/1/13 200,920
140 Connecticut HEFA, (Sacred Heart
University), 6.00%, 7/1/08 151,320
850 New Hampshire HEFA, (Colby-Sawyer
College), 7.20%, 6/1/12 894,659
1,700 University of Illinois, 0.00%, 4/1/15 752,301
1,000 University of Illinois, 0.00%, 4/1/16 414,580
------------------------------------------------------------------------
$ 3,451,040
------------------------------------------------------------------------
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
------------------------------------------------------------------------
Electric Utilities -- 2.2%
------------------------------------------------------------------------
$1,000 Clark County, NV, (Nevada Power), (AMT),
5.90%, 10/1/30 $ 891,250
1,000 North Carolina Municipal Power Agency,
(Catawba Electric Revenue),
6.375%, 1/1/13 1,033,710
------------------------------------------------------------------------
$ 1,924,960
------------------------------------------------------------------------
Escrowed / Prerefunded -- 17.7%
------------------------------------------------------------------------
$ 410 Connecticut HEFA, (New Britain
Hospital), Prerefunded to 7/1/02,
7.50%, 7/1/06 $ 426,584
300 Connecticut HEFA, (Quinnipiac College),
Prerefunded to 07/01/03, 6.00%, 7/1/13 316,143
850 Florence, KY, Housing Facilities,
(Bluegrass Housing), Escrowed to
Maturity, 7.25%, 5/1/07 903,839
1,500 Grand Ledge, MI, Public School District,
(MBIA), Prerefunded to 5/1/04,
7.875%, 5/1/11 1,688,865
4,185 Illinois Development Finance Authority,
(Regency Park), Escrowed to Maturity,
0.00%, 7/15/25 880,859
3,500 Maricopa County, AZ, IDA, Multifamily,
Escrowed to Maturity, 6.45%, 1/1/17 3,740,975
895 Maricopa County, AZ, IDA, Multifamily,
Escrowed to Maturity, 7.876%, 1/1/11 1,015,789
583 Massachusetts HEFA,
(Milford-Whitinsville Hospital),
Escrowed to Maturity, 7.125%, 7/15/02 599,796
3,000 Massachusetts Turnpike Authority,
Escrowed to Maturity, 5.00%, 1/1/20 2,821,260
500 Michigan Municipal Bond Authority,
Escrowed to Maturity, 7.00%, 10/1/02 524,255
630 Richardson, TX, Hospital Authority
(Baylor/Richardson Medical Center),
Prerefunded to 12/01/03, 6.50%, 12/1/12 672,626
1,255 Saint Tammany, LA, Public Trust Finance
Authority, (Christwood), Escrowed to
Maturity, 8.75%, 11/15/05 1,386,938
250 South Central Connecticut Regional Water
Authority, (AMBAC), Prerefunded to
8/1/01, 6.50%, 8/1/07 259,300
------------------------------------------------------------------------
$15,237,229
------------------------------------------------------------------------
General Obligations -- 6.4%
------------------------------------------------------------------------
$ 190 Connecticut, 0.00%, 11/15/10 $ 114,882
150 Connecticut, 5.125%, 8/15/11 151,659
100 Danbury, CT, 5.00%, 8/1/17 95,659
495 Detroit, MI, 6.40%, 4/1/05 522,710
2,000 Detroit, MI, 6.50%, 4/1/02 2,048,960
500 Kershaw County, SC, School District,
5.00%, 2/1/18 470,385
265 New Fairfield, CT, 4.90%, 8/1/13 260,034
750 New York City, NY, 0.00%, 8/1/07 537,360
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
12
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
------------------------------------------------------------------------
General Obligations (continued)
------------------------------------------------------------------------
$ 750 Ohio, 0.00%, 8/1/08 $ 509,647
115 Puerto Rico, 0.00%, 7/1/08 79,424
750 Wisconsin, (AMT), 5.10%, 5/1/15 709,267
------------------------------------------------------------------------
$ 5,499,987
------------------------------------------------------------------------
Health Care-Miscellaneous -- 0.6%
------------------------------------------------------------------------
$ 581 Tax Revenue Exempt Securities Trust,
Community Health Provider, (Pooled Loan
Program Various States Trust
Certificates), 6.00%, 12/1/36 $ 533,903
------------------------------------------------------------------------
$ 533,903
------------------------------------------------------------------------
Hospital -- 7.7%
------------------------------------------------------------------------
$ 500 Colorado Health Facilities Authority,
(Parkview Memorial Hospital),
6.125%, 9/1/25 $ 462,520
1,700 Colorado Health Facilities Authority,
(Steamboat Springs Health),
5.00%, 9/15/03 1,683,867
350 Colorado Health Facilities Authority,
(Steamboat Springs Health),
5.70%, 9/15/23 285,565
125 Connecticut HEFA, (Griffin Hospital),
6.00%, 7/1/13 115,843
750 Forsyth County, GA, Hospital Authority,
(Georgia Baptist Health Care System),
6.00%, 10/1/08 715,643
100 Mecosta County, MI, (Michigan General
Hospital), 5.75%, 5/15/09 94,385
100 Michigan Hospital Finance Authority,
(Community Hospital), 6.00%, 10/1/05 102,000
100 Michigan Hospital Finance Authority,
(Community Hospital), 6.10%, 10/1/06 102,413
225 Michigan Hospital Finance Authority,
(Community Hospital), 6.20%, 10/1/07 231,435
1,000 Michigan Hospital Finance Authority,
(Gratiot Community Hospital),
6.10%, 10/1/07 992,040
500 New Hampshire HEFA, (Littleton Hospital
Association), 5.45%, 5/1/08 458,545
1,010 Richardson, TX, Hospital Authority
(Baylor/Richardson Medical Center),
6.50%, 12/1/12 981,811
465 San Gorgonio, CA, Memorial Health Care
District, 5.60%, 5/1/11 419,235
------------------------------------------------------------------------
$ 6,645,302
------------------------------------------------------------------------
Housing -- 4.0%
------------------------------------------------------------------------
$1,005 Illinois Development Finance Authority,
Elderly Housing, (Mattoon Tower),
(Section 8), 6.35%, 7/1/10 $ 1,014,296
560 Illinois Development Finance Authority,
Elderly Housing, (Rome Meadows),
6.40%, 2/1/03 562,464
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
------------------------------------------------------------------------
Housing (continued)
------------------------------------------------------------------------
$1,145 Illinois Development Finance Authority,
Elderly Housing, (Rome Meadows),
6.65%, 2/1/06 $ 1,150,977
715 Sandaval County, NM, Multifamily,
6.00%, 5/1/32 693,314
------------------------------------------------------------------------
$ 3,421,051
------------------------------------------------------------------------
Industrial Development Revenue -- 11.4%
------------------------------------------------------------------------
$ 580 Austin, TX, (Cargoport Development LLC),
(AMT), 7.50%, 10/1/07 $ 582,401
445 Austin, TX, (Cargoport Development LLC),
(AMT), 8.30%, 10/1/21 460,183
500 Carbon County, PA, IDA (Panther Creek
Partners), 6.65%, 5/1/10 509,535
1,000 Columbus, NC, (International Paper),
5.80%, 12/1/16 962,380
625 Connecticut Development Authority,
(Frito Lay), 6.375%, 7/1/04 625,881
800 Eagle County, CO, Airport Terminal
Corp., (American Airlines), (AMT),
6.75%, 5/1/06 802,736
900 Iowa Finance Authority, (Southbridge
Mall), 6.375%, 12/1/13 897,912
500 Jones County, MS, (International Paper),
5.80%, 10/1/21 472,210
490 Kimball, NE, EDA, (Clean Harbors),
(AMT), 10.75%, 9/1/26 506,356
1,100 Michigan State Strategic Fund, (Crown
Paper), 6.25%, 8/1/12 847,000
500 Missouri Development Finance Authority,
Solid Waste Disposal, (Proctor and
Gamble Paper Products), (AMT),
5.20%, 3/15/29 459,660
1,000 New Jersey EDA, (Holt Hauling), (AMT),
7.90%, 3/1/27 970,620
750 Ohio Solid Waste Revenue, (Republic
Engineered Steels), (AMT),
9.00%, 6/1/21 148,230
500 Peru, IL, (Freightways Corp.),
5.25%, 11/1/03 488,235
970 Santa Fe, NM, (Crow Hobbs),
8.25%, 9/1/05 965,043
100 Sprague, CT, Environmental Improvement,
(International Paper), (AMT),
5.70%, 10/1/21 93,174
------------------------------------------------------------------------
$ 9,791,556
------------------------------------------------------------------------
Insured-Education -- 0.2%
------------------------------------------------------------------------
$ 500 Southern Illinois University, Housing
and Auxiliary Facilities, (MBIA),
0.00%, 4/1/17 $ 196,160
------------------------------------------------------------------------
$ 196,160
------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
------------------------------------------------------------------------
Insured-Electric Utilities -- 1.3%
------------------------------------------------------------------------
$ 500 Monroe County, MI, (Detroit Edison Co.),
(AMBAC), (AMT), 6.35%, 12/1/04 $ 528,465
400 Piedmont, SC, Municipal Power Agency,
(Electric Revenue), (MBIA),
5.00%, 1/1/15 377,924
250 Puerto Rico Electric Power Authority,
(FSA), 4.75%, 7/1/24 220,905
------------------------------------------------------------------------
$ 1,127,294
------------------------------------------------------------------------
Insured-General Obligations -- 3.1%
------------------------------------------------------------------------
$ 250 Fowlerville, MI, Community Schools
District, (FSA), 4.50%, 5/1/15 $ 220,425
500 Hartland, MI, School District, (FGIC),
5.125%, 5/1/17 476,450
500 Old Saybrook, CT, (AMBAC),
4.10%, 8/15/01 499,130
100 Parchment, MI, School District, (MBIA),
5.00%, 5/1/25 91,973
1,225 Paw Paw, MI, Public School District,
(FGIC), 5.00%, 5/1/21 1,135,085
250 Portage, MI, Public Schools, (FSA),
4.50%, 5/1/14 223,738
------------------------------------------------------------------------
$ 2,646,801
------------------------------------------------------------------------
Insured-Hospital -- 2.4%
------------------------------------------------------------------------
$ 300 Connecticut HEFA, (Middlesex Health
Services), (MBIA), 5.125%, 7/1/17 $ 282,282
250 Connecticut HEFA, (Stamford Hospital),
(MBIA), 6.50%, 7/1/06 258,763
2,000 El Paso County, TX, Hospital District,
(MBIA), 0.00%, 8/15/06 1,495,260
------------------------------------------------------------------------
$ 2,036,305
------------------------------------------------------------------------
Insured-Special Tax Revenue -- 0.6%
------------------------------------------------------------------------
$ 500 George L. Smith, (Georgia World Congress
Center-Domed Stadium), (MBIA), (AMT),
6.00%, 7/1/06 $ 531,755
------------------------------------------------------------------------
$ 531,755
------------------------------------------------------------------------
Insured-Transportation -- 3.7%
------------------------------------------------------------------------
$ 600 Connecticut Airport, (Bradley
International Airport), (FGIC),
7.40%, 10/1/04 $ 647,130
2,500 E-470 Public Highway Authority, CO,
(MBIA), 0.00%, 9/1/17 957,900
1,000 Metropolitan Transportation Authority,
NY, Commuter Facilities Revenue,
(AMBAC), 5.00%, 7/1/20 918,120
500 Metropolitan Transportation Authority,
NY, Transportation Facility Revenue,
(MBIA), 5.00%, 7/1/17 472,030
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
------------------------------------------------------------------------
Insured-Transportation (continued)
------------------------------------------------------------------------
$ 500 Puerto Rico Highway and Transportation
Authority, (AMBAC), 0.00%, 7/1/16 $ 217,625
------------------------------------------------------------------------
$ 3,212,805
------------------------------------------------------------------------
Miscellaneous -- 1.7%
------------------------------------------------------------------------
$ 890 Barona, CA, (Band of Mission Indians),
8.25%, 1/1/20 $ 884,215
150 Pittsfield Township, MI, EDC, (Arbor
Hospice), 7.875%, 8/15/27 142,929
500 San Juan, NM, Pueblo Development
Authority, Variable Rate, 10/15/06 477,200
------------------------------------------------------------------------
$ 1,504,344
------------------------------------------------------------------------
Nursing Home -- 6.0%
------------------------------------------------------------------------
$1,105 Arizona Health Facilities Authority,
(Care Institute, Inc.-Mesa),
7.625%, 1/1/06 $ 1,059,761
500 Citrus County, FL, IDA, (Beverly
Enterprises), 5.00%, 4/1/03 486,280
945 Clovis, NM, IDR, (Retirement Ranches,
Inc.), 7.75%, 4/1/19 949,224
510 Fairfield, OH, EDA, (Beverly
Enterprises), 8.50%, 1/1/03 520,664
1,285 Massachusetts IFA, (Age Institute of
Massachusetts), 7.60%, 11/1/05 1,307,269
395 Michigan Hospital Finance Authority,
(Presbyterian Villages), 6.20%, 1/1/06 399,357
500 Wisconsin HEFA, (Wisconsin Illinois
Senior Housing), 7.00%, 8/1/29 463,135
------------------------------------------------------------------------
$ 5,185,690
------------------------------------------------------------------------
Pooled Loans -- 3.6%
------------------------------------------------------------------------
$1,900 Arizona Educational Loan Marketing
Corp., (AMT), 6.25%, 6/1/06 $ 2,026,008
1,000 Arizona Student Loan Acquisition
Authority, (AMT), 7.625%, 5/1/10 1,076,440
------------------------------------------------------------------------
$ 3,102,448
------------------------------------------------------------------------
Senior Living / Life Care -- 5.3%
------------------------------------------------------------------------
$ 785 Albuquerque, NM, Retirement Facilities,
(La Vida Liena Retirement Center),
6.60%, 12/15/28 $ 674,511
2,000 Illinois HFA, (Lutheran Social
Services), 6.125%, 8/15/10 1,879,220
300 Kalamazoo, MI, (Friendship Village),
6.125%, 5/15/17 269,262
500 Kansas City, MO, IDR, (Kingswood Manor),
5.80%, 11/15/17 415,995
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
------------------------------------------------------------------------
Senior Living / Life Care (continued)
------------------------------------------------------------------------
$ 250 Massachusetts IFA, (Forge Hill), (AMT),
6.75%, 4/1/30 $ 213,805
360 Mesquite, TX, Health Facilities
Development, (Christian Care Centers),
7.00%, 2/15/10 358,592
500 North Miami, FL, Health Facilities
Authority, (Imperial Club),
6.75%, 1/1/33 427,760
305 Okaloosa County, FL, Retirement Rental
Housing, (Encore Retirement Partners),
5.25%, 2/1/04 284,135
------------------------------------------------------------------------
$ 4,523,280
------------------------------------------------------------------------
Special Tax Revenue -- 4.6%
------------------------------------------------------------------------
$ 500 Battle Creek, MI, Downtown Development
Authority, 6.65%, 5/1/02 $ 513,370
2,000 Detroit, MI, Downtown Development
Authority Tax Increment, 0.00%, 7/1/21 570,020
250 Frederick County, MD, Urbana Community
Development Authority, 6.625%, 7/1/25 240,003
500 Heritage Palms Community Development
District, FL, Capital Improvements,
6.25%, 11/1/04 499,465
1,000 Laredo, TX, 4.50%, 2/15/17 861,290
510 Longleaf, FL, Community Development
District, 6.20%, 5/1/09 487,907
500 Michigan Building Authority,
6.10%, 10/1/01 508,295
250 Stoneybrook, FL, West Community
Development District, 6.45%, 5/1/10 248,660
------------------------------------------------------------------------
$ 3,929,010
------------------------------------------------------------------------
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
------------------------------------------------------------------------
Transportation -- 1.4%
------------------------------------------------------------------------
$ 240 Memphis-Shelby County, TN, Airport
Authority, 6.12%, 12/1/16 $ 222,235
1,000 Northwest Arkansas Regional Airport
Authority, (AMT), 7.625%, 2/1/27 1,019,220
------------------------------------------------------------------------
$ 1,241,455
------------------------------------------------------------------------
Water and Sewer -- 0.2%
------------------------------------------------------------------------
$ 150 Connecticut Clean Water Fund,
4.875%, 5/1/09 $ 151,256
------------------------------------------------------------------------
$ 151,256
------------------------------------------------------------------------
Total Tax-Exempt Investments -- 97.4%
(identified cost $84,685,304) $83,887,128
------------------------------------------------------------------------
Other Assets, Less Liabilities -- 2.6% $ 2,200,822
------------------------------------------------------------------------
Net Assets -- 100.0% $86,087,950
------------------------------------------------------------------------
</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, 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>
Arizona 10.4%
Michigan 14.2%
Others, representing less than 10% individually 72.8%
</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 September 30, 2000, 13.9% 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 0.8% to 7.6% of total investments.
(1) Non-income producing security.
SEE NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF SEPTEMBER 30, 2000
<S> <C>
Assets
-----------------------------------------------------
Investments, at value
(identified cost, $84,685,304) $83,887,128
Cash 477,537
Receivable for investments sold 150,000
Interest receivable 1,582,412
-----------------------------------------------------
TOTAL ASSETS $86,097,077
-----------------------------------------------------
Liabilities
-----------------------------------------------------
Payable to affiliate for Trustees' fees $ 207
Accrued expenses 8,920
-----------------------------------------------------
TOTAL LIABILITIES $ 9,127
-----------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $86,087,950
-----------------------------------------------------
Sources of Net Assets
-----------------------------------------------------
Net proceeds from capital contributions
and withdrawals $86,886,126
Net unrealized depreciation (computed on
the basis of identified cost) (798,176)
-----------------------------------------------------
TOTAL $86,087,950
-----------------------------------------------------
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED
SEPTEMBER 30, 2000
<S> <C>
Investment Income
----------------------------------------------------
Interest $2,757,462
----------------------------------------------------
TOTAL INVESTMENT INCOME $2,757,462
----------------------------------------------------
Expenses
----------------------------------------------------
Investment adviser fee $ 212,785
Trustees fees and expenses 4,576
Custodian fee 18,597
Legal and accounting services 22,568
Miscellaneous 17,933
----------------------------------------------------
TOTAL EXPENSES $ 276,459
----------------------------------------------------
NET INVESTMENT INCOME $2,481,003
----------------------------------------------------
Realized and Unrealized Gain (Loss)
----------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 44,064
Financial futures contracts (835)
----------------------------------------------------
NET REALIZED GAIN $ 43,229
----------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $ 443,994
Financial futures contracts 33,132
----------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) $ 477,126
----------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 520,355
----------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $3,001,358
----------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
16
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
INCREASE (DECREASE) SEPTEMBER 30, 2000 YEAR ENDED
IN NET ASSETS (UNAUDITED) MARCH 31, 2000
<S> <C> <C>
----------------------------------------------------------------------------
From operations --
Net investment income $ 2,481,003 $ 4,880,282
Net realized gain (loss) 43,229 (11,006)
Net change in unrealized
appreciation (depreciation) 477,126 (5,908,048)
----------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 3,001,358 $ (1,038,772)
----------------------------------------------------------------------------
Capital transactions --
Net Assets contributed by Connecticut
and Michigan Limited Maturity
Municipals Funds $ -- $ 16,239,145
Contributions 4,240,420 13,115,025
Withdrawals (11,090,381) (28,345,239)
----------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL TRANSACTIONS $ (6,849,961) $ 1,008,931
----------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $ (3,848,603) $ (29,841)
----------------------------------------------------------------------------
Net Assets
----------------------------------------------------------------------------
At beginning of period $ 89,936,553 $ 89,966,394
----------------------------------------------------------------------------
AT END OF PERIOD $ 86,087,950 $ 89,936,553
----------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
17
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED MARCH 31,
SEPTEMBER 30, 2000 ----------------------------------------------------------
(UNAUDITED) 2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
------------------------------------------------------------------------------------------------------------------
Ratios (As a percentage of
average daily net assets):
Expenses 0.63%(1) 0.65% 0.61% 0.60% 0.60% 0.57%
Expenses after custodian
fee reduction 0.63%(1) 0.63% 0.60% 0.59% 0.58% 0.56%
Net investment income 5.69%(1) 5.49% 5.32% 5.53% 5.45% 5.08%
Portfolio Turnover 2% 27% 26% 41% 68% 68%
------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $86,088 $89,937 $89,966 $93,127 $102,504 $134,776
------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
18
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
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 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
19
<PAGE>
NATIONAL LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
statements and the reported amounts of income 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.
Realized gains and losses are computed based on the specific identification
of the securities sold.
J Interim Financial Statements -- The interim financial statements relating to
September 30, 2000 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, 2000, the fee was
equivalent to 0.49% (annualized) of the Portfolio's average net assets for
such period and amounted to $212,785. 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, 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 six months ended September 30, 2000.
4 Investments
-------------------------------------------
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, aggregated $1,991,092 and $7,631,679 respectively,
for the six months ended September 30, 2000.
5 Federal Income Tax Basis of Investments
-------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned at September 30, 2000, as computed on a federal income tax
basis, were as follows:
<TABLE>
<S> <C>
AGGREGATE COST $84,685,304
-----------------------------------------------------
Gross unrealized appreciation $ 1,885,426
Gross unrealized depreciation (2,683,602)
-----------------------------------------------------
NET UNREALIZED DEPRECIATION $ (798,176)
-----------------------------------------------------
</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, 2000, there were no outstanding obligations under these
financial instruments.
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.
20
<PAGE>
EATON VANCE NATIONAL LIMITED MATURITY MUNICIPALS FUND AS OF SEPTEMBER 30, 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
President, Unicorn
Lynn A. Stout
Professor of Law,
Georgetown University Law Center
Jack L. Treynor
Investment Adviser and Consultant
21
