<PAGE>
For the Limited Maturity Municipals Portfolio
[LOGO]
Annual Report
March 31, 1998
Limited Maturity Municipals Portfolios
Officers Independent Trustees
THOMAS J. FETTER DONALD R. DWIGHT
President President, Dwight Partners, Inc.
SAMUEL L. HAYES, III
JAMES B. HAWKES Jacob H. Schiff Professor of Investment
Vice President and Trustee Banking, Harvard University Graduate School of
Business Administration
ROBERT B. MACINTOSH NORTON H. REAMER
Vice President President and Director, United Asset
Management Corporation
WILLIAM H. AHERN, JR.
Vice President and Portfolio JOHN L. THORNDIKE
Manager of Connecticut, Formerly Director, Fiduciary Company
Florida, Massachusetts, Incorporated
Michigan, New Jersey, New York
and Ohio Limited Maturity JACK L. TREYNOR
Municipals Portfolios Investment Adviser and Consultant
CYNTHIA J. CLEMSON
Vice President and Portfolio
Manager of California Limited
Maturity Municipals Portfolio
TIMOTHY T. BROWSE
Vice President and Portfolio
Manager of Pennsylvania Limited
Maturity Municipals Portfolio
JAMES L. O'CONNOR
Treasurer
ALAN R. DYNNER
Secretary
<PAGE>
Florida Limited Maturity Municipals Portfolio as of March 31, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
Tax-Exempt Investments -- 100.0%
Ratings (Unaudited)
- ---------------------------------- Principal
Standard Amount
Moody's & Poor's (000 omitted) Security Value
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration -- 1.1%
- --------------------------------------------------------------------------------------------------------------
NR NR $ 500 Palm Beach County, Okeelanta
Power Project, (AMT),
6.85%, 2/15/21 $ 400,000
NR NR 500 Palm Beach County, Osceola
Power Project, (AMT),
6.95%, 1/1/22 395,000
- --------------------------------------------------------------------------------------------------------------
$ 795,000
- --------------------------------------------------------------------------------------------------------------
Electric Utilities -- 12.1%
- --------------------------------------------------------------------------------------------------------------
Aa AA $ 3,000 Gainesville, Utility System
Revenue, 5.00%, 10/1/15 $ 2,965,529
Aa1 AA 1,000 Jacksonville Electric Authority,
(St. Johns River Power Park), 5.25%, 10/1/20 993,470
Aa1 AA 2,500 Jacksonville, Electric Authority,
(St. Johns River Power Park),
5.375%, 10/1/16 2,556,375
Aa AA- 2,000 Tallahassee, Electric Refunding Bonds,
5.90%, 10/1/05 2,160,980
- --------------------------------------------------------------------------------------------------------------
$ 8,676,354
- --------------------------------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 17.7%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,015 Dade County, Educational Facilities
Authority, (MBIA) Prerefunded to 10/1/01,
7.00%, 10/1/08 $ 1,128,558
Aaa AAA 1,500 Dade County Local School District, (FGIC),
Prerefunded to 8/1/01, 6.00%, 8/1/06 1,590,015
Aaa AAA 1,500 Florida Department of Natural Resources,
Preservation 2000, (MBIA), Prerefunded to
7/1/98, 7.25%, 7/1/08 1,543,185
Aaa AAA 1,450 Hillsborough County, Aviation Authority,
(Tampa International Airport), (FGIC),
Prerefunded to 10/01/99, 6.85%, 10/1/06 1,544,323
Aaa AAA 4,000 Jacksonville Health Facilities Authority,
(Baptist Medical Center), (MBIA), 7.25%,
6/1/05(1)(2) 4,239,679
Aa2 AA- 1,250 Orlando Utility Community Water and
Electric, Prerefunded to
10/1/01, 6.50%, 10/1/20 1,370,513
Baa1 AAA 1,250 Puerto Rico Aqueduct and Sewer Authority,
Prerefunded to 7/1/98, 7.875%, 7/1/17 1,287,850
- --------------------------------------------------------------------------------------------------------------
$ 12,704,123
- --------------------------------------------------------------------------------------------------------------
General Obligations -- 18.5%
- --------------------------------------------------------------------------------------------------------------
Aa2 AA $ 1,000 Florida Department of Transportation,
5.00%, 7/1/18 $ 986,140
Aa2 AA+ 2,750 Florida State Board of Education,
5.00%, 6/1/14 2,749,808
Aa2 AA+ 1,000 Florida State Board of Education,
5.00%, 6/1/15 989,710
Aa2 AA+ 3,000 Florida State Board of Education,
5.55%, 6/1/11 3,185,189
Baa1 A 1,050 Puerto Rico Commonwealth,
0.00%, 7/1/08 662,750
Baa1 A- 2,000 Puerto Rico Municipal Finance Agency,
5.50%, 7/1/01 2,085,180
Baa1 A 1,000 Puerto Rico Public Building Authority,
6.50%, 7/1/03 1,097,260
NR NR 1,500 Virgin Islands Public Finance Authority,
(Matching Loan Fund Notes), 6.80%, 10/1/00 1,589,970
- --------------------------------------------------------------------------------------------------------------
$ 13,346,007
- --------------------------------------------------------------------------------------------------------------
Hospitals -- 4.9%
- --------------------------------------------------------------------------------------------------------------
NR BBB+ $ 1,250 Escambia County, Health
Facilities Authority, (Baptist Hospital,
Inc. and Baptist Manor, Inc.), 6.00%, 10/1/14 $ 1,318,588
Baa1 NR 425 Jacksonville Health Facilities Authority,
(National Benevolent Association - Cypress
Village), 6.00%, 12/1/98 430,899
Baa1 NR 450 Jacksonville Health Facilities Authority,
(National Benevolent Association - Cypress
Village), 6.25%, 12/1/99 466,029
Baa1 NR 480 Jacksonville Health Facilities Authority,
(National Benevolent Association - Cypress
Village), 6.50%, 12/1/00 507,048
NR BBB 355 Valley, AL Special Care Facilities Financing
Authority, (Lanier Memorial HospItal),
5.00%, 11/1/03 357,648
NR BBB 455 Valley, AL Special Care Facilities Financing
Authority, (Lanier Memorial Hospital),
5.00%, 11/1/04 457,389
- --------------------------------------------------------------------------------------------------------------
$ 3,537,601
- --------------------------------------------------------------------------------------------------------------
Housing -- 0.9%
- --------------------------------------------------------------------------------------------------------------
NR A $ 425 Clearwater, Housing Authority, (Hamptons at
Clearwater), 5.40%, 5/1/13 $ 434,686
Baa BBB 200 Puerto Rico Housing Bank and Finance Agency,
5.10%, 12/1/03 204,956
- --------------------------------------------------------------------------------------------------------------
$ 639,642
- --------------------------------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution Control Revenue -- 3.0%
- --------------------------------------------------------------------------------------------------------------
Baa2 BBB $ 2,000 Polk County, Industrial Development
Authority, (IMC Fertilizer), (AMT),
7.525%, 1/1/15 $ 2,164,180
- --------------------------------------------------------------------------------------------------------------
$ 2,164,180
- --------------------------------------------------------------------------------------------------------------
Insured - Cogeneration -- 2.9%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Dade County, Resource Recovery Facilities,
(AMBAC) (AMT), 5.30%, 10/1/07 $ 2,117,820
- --------------------------------------------------------------------------------------------------------------
$ 2,117,820
- --------------------------------------------------------------------------------------------------------------
Insured - Electric Utilities -- 2.4%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,750 Dade County, Water and Sewer System, (FGIC),
5.25%, 10/1/21 $ 1,756,003
- --------------------------------------------------------------------------------------------------------------
$ 1,756,003
- --------------------------------------------------------------------------------------------------------------
Insured - General Obligations -- 3.5%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Dade County Local School District, (MBIA),
5.00%, 2/15/15 $ 1,981,900
Aaa AAA 520 Dade County, FL, (MBIA),
0.00%, 10/1/06 352,399
Aaa AAA 330 Dade County, FL, (MBIA),
0.00%, 10/1/08 201,785
- --------------------------------------------------------------------------------------------------------------
$ 2,536,084
- --------------------------------------------------------------------------------------------------------------
Insured - Hospitals -- 8.5%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,500 Naples, FL, (Naples Community Hospital
Inc.), (MBIA),
5.50%, 10/1/16 $ 2,580,525
Aaa AAA 2,450 North Broward, Hospital District, (MBIA),
5.25%, 1/15/17 2,463,843
Aaa AAA $ 1,000 Orange County Health Facilities Authority,
(Adventist Health System/Sunbelt Inc,),
(FSA), 5.50%, 11/15/02 1,056,200
- --------------------------------------------------------------------------------------------------------------
$ 6,100,568
- --------------------------------------------------------------------------------------------------------------
Insured - Housing -- 3.5%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,240 Florida Housing Finance Agency, (Leigh
Meadows Apartments), (AMBAC), 5.85%, 9/1/10 $ 1,318,492
Aaa AAA 1,140 Florida Housing Finance Agency, (Stottert
Arms Apartments), (AMBAC), 5.90%, 9/1/10 1,211,045
- --------------------------------------------------------------------------------------------------------------
$ 2,529,537
- --------------------------------------------------------------------------------------------------------------
Insured - Industrial Development Revenue -- 2.2%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,500 Pinellas County Resource Recovery, (MBIA),
5.125%, 10/1/04 $ 1,563,915
- --------------------------------------------------------------------------------------------------------------
$ 1,563,915
- --------------------------------------------------------------------------------------------------------------
Insured - Lease Revenue / Certificates of Participation -- 1.5%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Palm Beach County, Criminal
Justice Facilities, (FGIC),
5.375%, 6/1/10 $ 1,070,080
- --------------------------------------------------------------------------------------------------------------
$ 1,070,080
- --------------------------------------------------------------------------------------------------------------
Insured - Special Tax Revenue -- 2.1%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,500 Orange County, Tourist Development Tax,
(MBIA), 5.00%, 10/1/14 $ 1,500,000
- --------------------------------------------------------------------------------------------------------------
$ 1,500,000
- --------------------------------------------------------------------------------------------------------------
Insured - Transportation -- 5.2%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Dade County, Seaport Revenue, (MBIA),
5.125%, 10/1/16 $ 2,002,420
Aaa AAA 1,670 Hillsborough County, Aviation Authority,
(Tampa International Airport), (FGIC),
6.85%, 10/1/06 1,774,909
- --------------------------------------------------------------------------------------------------------------
$ 3,777,329
- --------------------------------------------------------------------------------------------------------------
Insured - Water and Sewer -- 7.5%
- --------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Dade County, Water and Sewer Revenue,
(FGIC), 5.25%, 10/1/11 $ 2,082,420
Aaa AAA 2,000 Manatee County, Public Utilities, (MBIA),
6.75%, 10/1/04 2,287,480
Aaa AAA 1,000 Pasco County, Water and Sewer
Revenue, (FGIC),
5.40%, 10/1/03 1,061,410
- --------------------------------------------------------------------------------------------------------------
$ 5,431,310
- --------------------------------------------------------------------------------------------------------------
Nursing Homes -- 1.9%
- --------------------------------------------------------------------------------------------------------------
NR NR $ 350 Citrus County, Industrial Development
Authority, (Beverly Enterprises),
5.00%, 4/1/03(3) $ 350,308
NR NR 1,000 Volusia County, (Beverly Enterprises),
5.875%, 7/1/07 1,010,040
- --------------------------------------------------------------------------------------------------------------
$ 1,360,348
- --------------------------------------------------------------------------------------------------------------
Solid Waste -- 0.6%
- --------------------------------------------------------------------------------------------------------------
NR A- $ 405 Union County, Utilities Authority, (AMT),
7.20%, 6/15/14 $ 405,757
- --------------------------------------------------------------------------------------------------------------
$ 405,757
- --------------------------------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $68,566,219) $ 72,011,658
- --------------------------------------------------------------------------------------------------------------
</TABLE>
AMT - Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Florida
municipalities. The ability of 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, 1998, 53.4% 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 by financial
institution range from 1.5% to 30.3% of total investments.
(1) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
(2) Security has been segregated to cover when-issued securities.
(3) When-issued security.
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS
- ------------------------------------------------------------------------------------------------------------------------------------
Statements of Assets and Liabilities
As of March 31, 1998
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $31,771,731 $ 9,154,495 $68,566,219 $53,095,573 $11,228,522
Unrealized appreciation 1,715,752 482,375 3,445,439 2,866,750 959,633
- -----------------------------------------------------------------------------------------------------------------------------------
Investments, at value (Note 1A) $33,487,483 $ 9,636,870 $72,011,658 $55,962,323 $12,188,155
- -----------------------------------------------------------------------------------------------------------------------------------
Cash $ 267,134 $ 59,553 $ 934 $ 61 $ 111
Interest receivable 553,301 142,277 1,517,101 833,304 266,054
Deferred organization expenses (Note 1D) 136 -- 378 354 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total assets $34,308,054 $ 9,838,700 $73,530,071 $56,796,042 $12,454,320
- -----------------------------------------------------------------------------------------------------------------------------------
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Payable for when-issued securities (Note 1F) $ -- $ -- $ 350,632 $ -- $ --
Demand note payable (Note 5) -- -- 916,000 198,000 354,000
Payable for daily variation margin on open financial
futures contracts (Note 1E) 6,094 2,812 16,406 12,656 2,344
Payable to affiliate for Trustees' fees (Note 2) 950 100 3,900 1,945 100
Accrued expenses 3,591 1,296 1,953 290 662
- -----------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 10,635 $ 4,208 $ 1,288,891 $ 212,891 $ 357,106
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest
in Portfolio $34,297,419 $ 9,834,492 $72,241,180 $56,583,151 $12,097,214
- -----------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions
and withdrawals $32,581,458 $ 9,355,747 $68,807,579 $53,732,349 $11,140,017
Net unrealized appreciation of investments
(computed on the basis of identified cost) 1,715,961 478,745 3,433,601 2,850,802 957,197
- -----------------------------------------------------------------------------------------------------------------------------------
Total $34,297,419 $ 9,834,492 $72,241,180 $56,583,151 $12,097,214
- -----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- ------------------------------------------------------------------------------------------------------------------------------------
Statements of Assets and Liabilities
As of March 31, 1998
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $42,060,899 $71,325,400 $22,897,549 $53,360,058
Unrealized appreciation 2,797,057 3,457,734 1,162,360 2,939,977
- ------------------------------------------------------------------------------------------------------------------------------------
Investments, at value (Note 1A) $44,857,956 $74,783,134 $24,059,909 $56,300,035
- ------------------------------------------------------------------------------------------------------------------------------------
Cash $ 36,018 $ 724,279 $ 298 $ 569,540
Receivable for when-issued securities sold (Note 1F) -- 4,035,939 -- --
Interest receivable 663,429 1,345,875 421,130 856,099
Deferred organization expenses (Note 1D) 105 219 -- 240
- ------------------------------------------------------------------------------------------------------------------------------------
Total assets $45,557,508 $80,889,446 $24,481,337 $57,725,914
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Payable for when-issued securities (Note 1F) $ -- $ 6,169,619 $ -- $ --
Demand note payable (Note 5) -- -- 256,000 --
Payable for daily variation margin on open financial
futures contracts (Note 1E) 11,250 19,219 5,625 9,844
Payable to affiliate for Trustees' fees (Note 2) 473 1,945 473 1,945
Accrued expenses 5,922 7,224 3,581 6,512
- ------------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 17,645 $ 6,198,007 $ 265,679 $ 18,301
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to investors' interest in Portfolio $45,539,863 $74,691,439 $24,215,658 $57,707,613
- ------------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $42,753,263 $71,251,139 $23,056,755 $54,764,267
Net unrealized appreciation of investments (computed
on the basis of identified cost) 2,786,600 3,440,300 1,158,903 2,943,346
- ------------------------------------------------------------------------------------------------------------------------------------
Total $45,539,863 $74,691,439 $24,215,658 $57,707,613
- ------------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- ------------------------------------------------------------------------------------------------------------------------------------
Statements of Operations
For the Year Ended March 31, 1998
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income (Note 1B)
- ------------------------------------------------------------------------------------------------------------------------------------
Interest income $2,097,447 $ 592,217 $4,488,367 $3,418,767 $ 749,490
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment income $2,097,447 $ 592,217 $4,488,367 $3,418,767 $ 749,490
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 178,448 $ 50,322 $ 381,588 $ 290,512 $ 62,245
Compensation of Trustees not members of the
Investment adviser's organization (Note 2) 2,201 219 8,863 6,495 219
Custodian fee (Note 1G) 26,528 13,226 43,702 37,474 13,539
Legal and accounting services 19,314 14,914 20,214 19,213 14,214
Amortization of organization expenses (Note 1D) 1,511 1,743 4,204 4,088 259
Miscellaneous 5,806 3,243 17,414 16,691 2,750
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 233,808 $ 83,667 $ 475,985 $ 374,473 $ 93,226
- ------------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee (Note 1G) $ 8,191 $ 2,432 $ 19,574 $ 22,949 $ 4,925
Reduction of invetment adviser fee (Note 2) -- 25,094 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 8,191 $ 27,526 $ 19,574 $ 22,949 $ 4,925
- ------------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 225,617 $ 56,141 $ 456,411 $ 351,524 $ 88,301
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $1,871,830 $ 536,076 $4,031,956 $3,067,243 $ 661,189
- ------------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) on Investments
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) -
Investment transactions (identified
cost basis) $ 958,114 $ 129,667 $1,257,589 $ 994,185 $ 149,369
Financial futures contracts (496,566) (125,981) (1,388,455) (995,822) (276,838)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investment
transactions $ 461,548 $ 3,686 $ (130,866) $ (1,637) $ (127,469)
- ------------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) -
Investments (identified cost basis) $1,100,873 $ 373,496 $3,004,369 $2,278,256 $ 566,409
Financial futures contracts (96,926) (3,630) (219,982) (196,339) (2,436)
- ------------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) of investments $1,003,947 $ 369,866 $2,784,387 $2,081,917 $ 563,973
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments $1,465,495 $ 373,552 $2,653,521 $2,080,280 $ 436,504
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $3,337,325 $ 909,628 $6,685,477 $5,147,523 $1,097,693
- ------------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- ------------------------------------------------------------------------------------------------------------------------------------
Statements of Operations
For the Year Ended March 31, 1998
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B)
- ------------------------------------------------------------------------------------------------------------------------------------
Interest income $2,841,563 $4,702,633 $1,537,712 $3,461,184
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment income $2,841,563 $4,702,633 $1,537,712 $3,461,184
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses
- ------------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 239,715 $ 402,164 $ 127,254 $ 289,154
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 5,332 7,332 1,746 6,804
Custodian fee (Note 1G) 31,841 53,547 18,182 35,199
Legal and accounting services 18,615 21,715 17,614 19,213
Amortization of organization expenses (Note 1D) 1,788 2,570 -- 2,672
Interest expense (Note 5) -- 34,599 -- --
Miscellaneous 20,500 4,539 7,796 14,706
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 317,791 $ 526,466 $ 172,592 $ 367,748
- ------------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee (Note 1G) $ 5,970 $ 13,608 $ -- $ 11,665
- ------------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 5,970 $ 13,608 $ -- $ 11,665
- ------------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 311,821 $ 512,858 $ 172,592 $ 356,083
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income $2,529,742 $4,189,775 $1,365,120 $3,105,101
- ------------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) on Investments
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) -
Investment transactions (identified cost basis) $ 604,994 $1,498,902 $ 342,719 $1,006,723
Financial futures contracts (796,382) (372,410) (194,243) (576,338)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investment transactions $ (191,388) $1,126,492 $ 148,476 $ 430,385
- ------------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) -
Investments (identified cost basis) $1,689,855 $3,345,035 $ 777,072 $2,255,452
Financial futures contracts (10,457) (392,093) (3,457) 3,369
- ------------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation)
of investments $1,679,398 $2,952,942 $ 773,615 $2,258,821
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments $1,488,010 $4,079,434 $ 922,091 $2,689,206
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $4,017,752 $8,269,209 $2,287,211 $5,794,307
- ------------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- ------------------------------------------------------------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended March 31, 1998
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
From operations -
Net investment income $ 1,871,830 $ 536,076 $ 4,031,956 $ 3,067,243 $ 661,189
Net realized gain (loss) on investment
transactions 461,548 3,686 (130,866) (1,637) (127,469)
Net change in unrealized appreciation
(depreciation) of investments 1,003,947 369,866 2,784,387 2,081,917 563,973
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 3,337,325 $ 909,628 $ 6,685,477 $ 5,147,523 $ 1,097,693
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions -
Contributions $ 1,661,073 $ 1,135,100 $ 7,486,705 $ 4,381,569 $ 1,024,096
Withdrawals (13,895,420) (4,484,203) (34,840,194) (22,915,877) (5,021,007)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from
capital transactions $(12,234,347) $(3,349,103) $(27,353,489) $(18,534,308) $(3,996,911)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $ (8,897,022) $(2,439,475) $(20,668,012) $(13,386,785) $(2,899,218)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 43,194,441 $12,273,967 $ 92,909,192 $ 69,969,936 $14,996,432
- ------------------------------------------------------------------------------------------------------------------------------------
At end of year $ 34,297,419 $ 9,834,492 $ 72,241,180 $ 56,583,151 $12,097,214
- ------------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- ------------------------------------------------------------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended March 31, 1998
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
From operations -
Net investment income $ 2,529,742 $ 4,189,775 $ 1,365,120 $ 3,105,101
Net realized gain (loss) on investment transactions (191,388) 1,126,492 148,476 430,385
Net change in unrealized appreciation
(depreciation) of investments 1,679,398 2,952,942 773,615 2,258,821
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 4,017,752 $ 8,269,209 $ 2,287,211 $ 5,794,307
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions -
Contributions $ 2,886,225 $ 3,255,202 $ 1,303,141 $ 2,758,619
Withdrawals (19,630,053) (36,846,720) (7,844,546) (18,720,920)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital transactions $(16,743,828) $(33,591,518) $(6,541,405) $(15,962,301)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $(12,726,076) $(25,322,309) $(4,254,194) $(10,167,994)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 58,265,939 $100,013,748 $28,469,852 $ 67,875,607
- ------------------------------------------------------------------------------------------------------------------------------------
At end of year $ 45,539,863 $ 74,691,439 $24,215,658 $ 57,707,613
- ------------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- ------------------------------------------------------------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended March 31, 1997
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
From operations -
Net investment income $ 2,546,209 $ 701,646 $ 5,368,154 $ 4,105,048 $ 895,654
Net realized gain (loss) on investment
transactions (146,427) 11,718 (345,920) (122,731) 196,256
Net change in unrealized appreciation
(depreciation) of investments (326,414) (114,671) (1,654,724) (861,173) (180,447)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 2,073,368 $ 598,693 $ 3,367,510 $ 3,121,144 $ 911,463
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions -
Contributions $ 890,101 $ 868,089 $ 4,859,506 $ 1,754,803 $ 727,519
Withdrawals (18,985,108) (4,054,341) (43,152,835) (32,041,287) (7,833,956)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from
capital transactions $(18,095,007) $(3,186,252) $(38,293,329) $(30,286,484) $(7,106,437)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $(16,021,639) $(2,587,559) $(34,925,819) $(27,165,340) $(6,194,974)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 59,216,080 $14,861,526 $127,835,011 $ 97,135,276 $21,191,406
- ------------------------------------------------------------------------------------------------------------------------------------
At end of year $ 43,194,441 $12,273,967 $ 92,909,192 $ 69,969,936 $14,996,432
- ------------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- ------------------------------------------------------------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended March 31, 1997
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
From operations -
Net investment income $ 3,451,147 $ 5,864,808 $ 1,601,381 $ 4,070,122
Net realized gain (loss) on investment
transactions 72,466 (287,142) 226,637 407,499
Net change in unrealized appreciation
(depreciation) of investments (370,049) (895,080) (288,513) (1,218,041)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 3,153,564 $ 4,682,586 $ 1,539,505 $ 3,259,580
- ------------------------------------------------------------------------------------------------------------------------------------
Capital transactions -
Contributions $ 1,862,282 $ 3,989,610 $ 1,294,856 $ 2,538,420
Withdrawals (26,922,483) (47,386,927) (7,893,884) (30,116,393)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital transactions $(25,060,201) $(43,397,317) $(6,599,028) $(27,577,973)
- ------------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets $(21,906,637) $(38,714,731) $(5,059,523) $(24,318,393)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
At beginning of year $ 80,172,576 $138,728,479 $33,529,375 $ 92,194,000
- ------------------------------------------------------------------------------------------------------------------------------------
At end of year $ 58,265,939 $100,013,748 $28,469,852 $ 67,875,607
- ------------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- ------------------------------------------------------------------------------------------------------------------------------------
Supplementary Data
<CAPTION>
California Limited Portfolio Connecticut Limited Portfolio
-------------------------------------------------- -----------------------------------------------
Year Ended March 31, Year Ended March 31,
-------------------------------------------------- -----------------------------------------------
1998 1997 1996 1995 1994* 1998 1997 1996 1995 1994**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets+
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.61% 0.63% 0.58% 0.53% 0.46%+ 0.54% 0.54% 0.39% 0.17% 0.00%+
Net expenses after custodian
fee reduction 0.59% 0.61% 0.55% -- -- 0.52% 0.50% 0.35% -- --
Net investment income 4.86% 4.98% 4.82% 4.72% 4.50%+ 4.96% 5.09% 4.91% 4.95% 4.53%+
Portfolio Turnover 40% 57% 36% 56% 6% 23% 46% 52% 73% 39%
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year
(000s omitted) $34,297 $43,194 $59,216 $82,344 $95,704 $ 9,834 $12,274 $14,862 $17,316 $16,767
- ------------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio may reflect a reduction of the
Investment Adviser fee, an allocation of expenses to the Investment Adviser,
or both. Had such actions not been taken, the ratios would have been as
follows:
Expenses(1) 0.52%+ 0.77% 0.78% 0.72% 0.67% 0.62%+
Expenses after custodian fee
reduction -- 0.75% 0.74% 0.68% -- --
Net investment income 4.44%+ 4.73% 4.85% 4.58% 4.45% 3.92%+
- ------------------------------------------------------------------------------------------------------------------------------------
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
** For the period from the start of business, April 16, 1993, to March 31, 1994.
(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 each Portfolio to increase its expense ratios by the effect of any expense
offset arrangements with its service providers. The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- ------------------------------------------------------------------------------------------------------------------------------------
Supplementary Data
<CAPTION>
Florida Limited Portfolio Massachusetts Limited Portfolio
---------------------------------------------- -------------------------------------------------
Year Ended March 31, Year Ended March 31,
---------------------------------------------- -------------------------------------------------
1998 1997 1996 1995 1994* 1998 1997 1996 1995 1994*
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.58% 0.59% 0.55% 0.52% 0.49%+ 0.60% 0.60% 0.57% 0.54% 0.52%+
Expenses after custodian fee
reduction 0.55% 0.57% 0.54% -- -- 0.56% 0.58% 0.55% -- --
Net investment income 4.90% 4.90% 4.73% 4.73% 4.53%+ 4.90% 4.97% 4.72% 4.90% 4.57%+
Portfolio Turnover 38% 66% 20% 44% 8% 46% 60% 27% 46% 8%
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year
(000s omitted) $72,241 $92,909 $127,835 $164,579 $185,977 $56,583 $69,970 $97,135 $119,120 $119,772
- ------------------------------------------------------------------------------------------------------------------------------------
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
(1) The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to increase its expense ratios by the effect of any expense
offset arrangements with its service providers. The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- ------------------------------------------------------------------------------------------------------------------------------------
Supplementary Data
<CAPTION>
Michigan Limited Portfolio New Jersey Limited Portfolio
------------------------------------------------ --------------------------------------------------
Year Ended March 31, Year Ended March 31,
------------------------------------------------ --------------------------------------------------
1998 1997 1996 1995 1994* 1998 1997 1996 1995 1994**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets(+)
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.71% 0.79% 0.68% 0.48% 0.00%+ 0.62% 0.61% 0.57% 0.54% 0.54%+
Net expenses after custodian fee
reduction 0.67% 0.76% 0.64% -- -- 0.61% 0.58% 0.55% --
Net investment income 5.00% 5.09% 5.00% 4.88% 4.62%+ 4.91% 4.96% 4.78% 4.73% 4.53%+
Portfolio Turnover 21% 28% 40% 111% 30% 21% 37% 42% 44% 10%
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year
(000s omitted) $12,097 $14,996 $21,191 $33,198 $35,608 $45,540 $58,266 $80,173 $97,280 $102,948
- ------------------------------------------------------------------------------------------------------------------------------------
(+) The operating expenses of the Portfolio may reflect a reduction of the Investment Adviser fee, an allocation of expenses to
the Investment Adviser, or both. Had such actions not been taken, the ratios would have been as follows:
Expenses(1) 0.59% 0.54%+
Net investment income 4.77% 4.08%+
- ------------------------------------------------------------------------------------------------------------------------------------
+ Annualized.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
** For the period from the start of business, May 3, 1993, to March 31, 1994.
(1) The expense ratios for the year ended March 31, 1996 and periods thereafter have been adjusted to reflect a change in
reporting requirements. The new reporting guidelines require each Portfolio to increase its expense ratios by the effect of
any expense offset arrangements with its service providers. The expense ratios for each of the prior periods have not been
adjusted to reflect this change.
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- ------------------------------------------------------------------------------------------------------------------------------------
Supplementary Data
<CAPTION>
New York Limited Portfolio Ohio Limited Portfolio
-------------------------------------------------- -----------------------------------------------
Year Ended March 31, Year Ended March 31,
-------------------------------------------------- -----------------------------------------------
1998 1997 1996 1995 1994* 1998 1997 1996 1995 1994**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets+
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses(1) 0.61% 0.58% 0.55% 0.52% 0.47%+ 0.64% 0.68% 0.63% 0.46% 0.00%+
Expenses after custodian fee
reduction 0.59% 0.56% 0.53% -- -- -- 0.65% 0.61% --
Net investment income 4.81% 4.87% 4.66% 4.79% 4.50%+ 5.05% 5.20% 5.06% 4.96% 4.68%+
Portfolio Turnover 53% 58% 32% 31% 5% 29% 34% 47% 120% 33%
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year
(000s omitted) $74,691 $100,014 $138,728 $173,632 $183,768 $24,216 $28,470 $33,529 $39,435 $37,978
- ------------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio may reflect a reduction of the Investment Adviser fee, an allocation of expenses to the
Investment Adviser, or both. Had such actions not been taken, the ratios would have been as follows:
Expenses(1) 0.58% 0.54%+
Net investment income 4.84% 4.14%+
- ------------------------------------------------------------------------------------------------------------------------------------
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
** For the period from the start of business, April 16, 1993, to March 31, 1994.
(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 each Portfolio to increase its expense ratios by the effect of any expense
offset arrangements with its service providers. The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- -------------------------------------------------------------------------------
FINANCIAL STATEMENTS CONT'D
- -------------------------------------------------------------------------------
Supplementary Data
Pennsylvania Limited Portfolio
------------------------------------------------------
Year Ended March 31,
------------------------------------------------------
1998 1997 1996 1995 1994*
- --------------------------------------------------------------------------------
Ratios to average daily net assets
- --------------------------------------------------------------------------------
Expenses(1) 0.60% 0.61% 0.58% 0.53% 0.50%+
Expenses after custodian fee
reduction 0.58% 0.59% 0.56% -- --
Net investment income 5.03% 5.11% 4.81% 4.77% 4.59%+
Portfolio Turnover 36% 51% 24% 39% 12%
- --------------------------------------------------------------------------------
Net assets, end of year
(000s omitted) $57,708 $67,876 $92,194 $113,606 $123,620
- --------------------------------------------------------------------------------
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
(1) The expense ratios for the year ended March 31, 1996 and periods thereafter
have been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require the Portfolio to increase its expense ratios by
the effect of any expense offset arrangements with its service providers.
The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
<PAGE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1 Significant Accounting Policies
- --------------------------------------------------------------------------------
California Limited Maturity Municipals Portfolio (California Limited
Portfolio), Connecticut Limited Maturity Municipals Portfolio (Connecticut
Limited Portfolio), Florida Limited Maturity Municipals Portfolio (Florida
Limited Portfolio), Massachusetts Limited Maturity Municipals Portfolio
(Massachusetts Limited Portfolio), Michigan Limited Maturity Municipals
Portfolio (Michigan Limited Portfolio), New Jersey Limited Maturity
Municipals Portfolio (New Jersey Limited Portfolio), New York Limited
Maturity Municipals Portfolio (New York Limited Portfolio), Ohio Limited
Maturity Municipals Portfolio (Ohio Limited Portfolio) and Pennsylvania
Limited Maturity Municipals Portfolio (Pennsylvania Limited Portfolio),
collectively the Portfolios, are registered under the Investment Company Act
of 1940 as non-diversified open-end management investment companies which
were organized as trusts under the laws of the State of New York on May 1,
1992. The Declarations of Trust permit the Trustees to issue interests in
the Portfolios. The following is a summary of significant accounting
policies of the Portfolios. The policies are in conformity with generally
accepted accounting principles.
A Investment Valuations -- Municipal bonds are normally valued on the basis
of valuations furnished by a pricing service. Taxable obligations, if any,
for which price quotations are readily available are normally valued at the
mean between the latest bid and asked prices. Futures contracts listed on
commodity exchanges are valued at closing settlement prices. Short-term
obligations, maturing in sixty days or less, are valued at amortized cost,
which approximates value. Investments for which valuations or market
quotations are unavailable are valued at fair value using methods determined
in good faith by or at the direction of the Trustees.
B Income -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for federal
income tax purposes.
C Federal Taxes -- The Portfolios are treated as partnerships for Federal
tax purposes. No provision is made by the Portfolios for federal or state
taxes on any taxable income of the Portfolios because each investor in the
Portfolios is ultimately responsible for the payment of any taxes. Since
some of the Portfolios' investors are regulated investment companies that
invest all or substantially all of their assets in the Portfolios, the
Portfolios normally must satisfy the applicable source of income and
diversification requirements (under the Internal Revenue Code) in order for
their respective investors to satisfy them. The Portfolios will allocate at
least annually among their respective investors each investor's distributive
share of the Portfolios' 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 Portfolios 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 each Portfolio's investors. The portion of such interest, if
any, earned on private activity bonds issued after August 7, 1986, may be
considered a tax preference item for investors.
D Deferred Organization Expenses -- Costs incurred by a Portfolio in
connection with its organization, including registration costs, are being
amortized on the straight-line basis over five years, beginning on the date
each Portfolio commenced operations.
E Financial Futures Contracts -- Upon the entering of a financial futures
contract, a 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 a 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 a Portfolio. A
Portfolio's investment in financial futures contracts is designed only to
hedge against anticipated future changes in interest rates. Should interest
rates move unexpectedly, a Portfolio may not achieve the anticipated
benefits of the financial futures contracts and may realize a loss.
F When-issued and Delayed Delivery Transactions -- The Portfolios may engage
in when-issued and delayed delivery transactions. The Portfolios record
when-issued securities on trade date and maintain 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 Portfolios. Pursuant to the respective custodian
agreements, IBT receives a fee reduced by the credits which are determined
based on the average daily cash balances each Portfolio maintains with IBT.
All significant credit balances used to reduce the Portfolios' custodian
fees are reflected as a reduction of operating expense 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 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.
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
each 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, 1998, each Portfolio
paid advisory fees as follows:
Portfolio Amount Effective Rate
------------------------------------------------------------------------------
California Limited $178,448 0.46%
Connecticut Limited $ 50,322 0.47%
Florida Limited $381,588 0.46%
Massachusetts Limited $290,512 0.46%
Michigan Limited $ 62,245 0.47%
New Jersey Limited $239,715 0.47%
New York Limited $402,164 0.46%
Ohio Limited $127,254 0.47%
Pennsylvania Limited $289,154 0.47%
------------------------------------------------------------------------------
To enhance the net income of the Connecticut Limited Portfolio, BMR made a
reduction of its fee in the amount of $25,094.
Except as to Trustees of the Portfolios who are not members of EVM's or
BMR's organization, officers and Trustees receive remuneration for their
services to the Portfolios out of such investment adviser fee. Trustees of
the Portfolios 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, 1998, no significant amounts have been deferred.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations.
3 Investments
- --------------------------------------------------------------------------------
Purchases and sales of investments, other than U.S. Government securities
and short-term obligations, for the year ended March 31, 1998 were as
follows:
California Limited Portfolio Connecticut Limited Portfolio
------------------------------------------------------------------------------
Purchases $ 15,408,966 $ 2,458,450
Sales 26,424,983 5,379,983
Florida Limited Portfolio Massachusetts Limited Portfolio
------------------------------------------------------------------------------
Purchases $ 30,414,260 $ 28,056,188
Sales 53,556,319 42,929,294
Michigan Limited Portfolio New Jersey Limited Portfolio
------------------------------------------------------------------------------
Purchases $ 2,800,361 $ 10,935,753
Sales 5,849,438 25,980,671
New York Limited Portfolio Ohio Limited Portfolio
------------------------------------------------------------------------------
Purchases $ 46,482,147 $ 7,878,596
Sales 74,278,193 13,032,705
Pennsylvania Limited Portfolio
------------------------------------------------------------------------------
Purchases $ 22,489,085
Sales 35,365,179
------------------------------------------------------------------------------
4 Federal Income Tax Basis of Investments
- -------------------------------------------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at March 31, 1998, as computed on a
federal income tax basis, are as follows:
California Limited Connecticut Limited
Portfolio Portfolio
------------------------------------------------------------------------------
Aggregate Cost $31,771,731 $ 9,154,495
------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,715,752 $ 484,082
Gross unrealized depreciation -- (1,707)
------------------------------------------------------------------------------
Net unrealized appreciation $ 1,715,752 $ 482,375
------------------------------------------------------------------------------
Florida Limited Massachusetts Limited
Portfolio Portfolio
------------------------------------------------------------------------------
Aggregate Cost $68,566,219 $53,095,573
------------------------------------------------------------------------------
Gross unrealized appreciation $ 3,487,947 $ 2,871,538
Gross unrealized depreciation (42,508) (4,788)
------------------------------------------------------------------------------
Net unrealized appreciation $ 3,445,439 $ 2,866,750
------------------------------------------------------------------------------
Michigan Limited New Jersey Limited
Portfolio Portfolio
------------------------------------------------------------------------------
Aggregate Cost $11,228,522 $42,060,899
------------------------------------------------------------------------------
Gross unrealized appreciation $ 961,949 $ 2,822,748
Gross unrealized depreciation (2,316) (25,691)
------------------------------------------------------------------------------
Net unrealized appreciation $ 959,633 $ 2,797,057
------------------------------------------------------------------------------
New York Limited Ohio Limited
Portfolio Portfolio
------------------------------------------------------------------------------
Aggregate Cost $71,325,400 $22,897,549
------------------------------------------------------------------------------
Gross unrealized appreciation $ 3,514,690 $ 1,167,395
Gross unrealized depreciation (56,956) (5,035)
------------------------------------------------------------------------------
Net unrealized appreciation $ 3,457,734 $ 1,162,360
------------------------------------------------------------------------------
Pennsylvania Limited
Portfolio
------------------------------------------------------------------------------
Aggregate Cost $53,360,058
------------------------------------------------------------------------------
Gross unrealized appreciation $ 2,946,242
Gross unrealized depreciation (6,265)
------------------------------------------------------------------------------
Net realized appreciation $ 2,939,977
------------------------------------------------------------------------------
5 Line of Credit
- --------------------------------------------------------------------------------
The Portfolios participate with other portfolios and funds managed by BMR
and EVM and its affiliates in a $100 million unsecured line of credit
agreement with a group of banks. The Portfolios 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 March 31, 1998, the
Florida Limited Portfolio, Massachusetts Limited Portfolio, Michigan Limited
Portfolio and Ohio Limited Portfolio had balances outstanding pursuant to
this line of credit of $916,000, $198,000, $354,000 and $256,000,
respectively. The Portfolios did not have any significant borrowings or
allocated fees during the year ended March 31, 1998.
6 Financial Instruments
- --------------------------------------------------------------------------------
The Portfolios regularly trade in financial instruments with off-balance
sheet risk in the normal course of their investing activities to assist in
managing exposure to various market risks. These financial instruments
include 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 a Portfolio has in particular classes of financial instruments
and does not necessarily represent the amounts potentially subject to risk.
The measurement of the risks associated with these instruments is meaningful
only when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at March 31,
1998, is as follows:
<TABLE>
<CAPTION>
Net Unrealized
Limited Expiration Futures Appreciation/
Portfolio Date Contracts Position (Depreciation)
------------- ---------- ---------------------- -------- -------------
<S> <C> <C> <C>
California 6/98 13 U.S. Treasury Bonds Short $ 209
Connecticut 6/98 6 U.S. Treasury Bonds Short $ (3,630)
Florida 6/98 35 U.S. Treasury Bonds Short $(11,838)
Massachusetts 6/98 27 U.S. Treasury Bonds Short $(15,948)
Michigan 6/98 5 U.S. Treasury Bonds Short $ (2,436)
New Jersey 6/98 24 U.S. Treasury Bonds Short $(10,457)
New York 6/98 41 U.S. Treasury Bonds Short $(17,434)
Ohio 6/98 12 U.S. TreasuryBonds Short $ (3,457)
Pennsylvania 6/98 21 U.S. Treasury Bonds Short $ 3,369
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of March 31, 1998
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
- --------------------------------------------------------------------------------
To the Trustees and Shareholders of
California Limited Maturity Municipals Portfolio
Connecticut Limited Maturity Municipals Portfolio
Florida Limited Maturity Municipals Portfolio
Massachusetts Limited Maturity Municipals Portfolio
Michigan Limited Maturity Municipals Portfolio
New Jersey Limited Maturity Municipals Portfolio
New York Limited Maturity Municipals Portfolio
Ohio Limited Maturity Municipals Portfolio
Pennsylvania Limited Maturity Municipals Portfolio:
- --------------------------------------------------------------------------------
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of California Limited Maturity
Municipals Portfolio, Connecticut Limited Maturity Municipals Portfolio,
Florida Limited Maturity Municipals Portfolio, Massachusetts Limited Maturity
Municipals Portfolio, Michigan Limited Maturity Municipals Portfolio, New
Jersey Limited Maturity Municipals Portfolio, New York Limited Maturity
Municipals Portfolio, Ohio Limited Maturity Municipals Portfolio, and
Pennsylvania Limited Maturity Municipals Portfolio, (the Portfolios) as of
March 31, 1998, the related statements of operations for the year then ended,
the statements of changes in net assets for the years ended March 31, 1998,
and 1997 and the supplementary data for each of the years in the five-year
period ended March 31, 1998. These financial statements and supplementary data
are the responsibility of the Trust's management. Our responsibility is to
express an opinion on these financial statements and supplementary data based
on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
supplementary data are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned at March 31, 1998 by correspondence with the custodian and brokers;
where replies were not received from brokers, we performed other audit
procedures. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and supplementary data present
fairly, in all material respects, the financial position of the aforementioned
Portfolios, as of March 31, 1998, the results of their operations, the changes
in their net assets and their supplementary data for the respective stated
periods in conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
May 1, 1998
<PAGE>
Investment Adviser of the Limited
Maturity Municipals Portfolios
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator of Limited Maturity Municipals Funds
Eaton Vance Management
24 Federal Street
Boston, MA 02110
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
200 Clarendon Street, 16th Floor
Boston, MA 02116
Transfer Agent
First Data Investor Services Group, Inc.
Attention: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
Independent Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
Eaton Vance Investment Trust
24 Federal Street
Boston, MA 02110
