<PAGE>
CALIFORNIA LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 98.8%
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
------------------------------------------------------------------------
Escrowed / Prerefunded -- 19.5%
------------------------------------------------------------------------
$1,500 ABAG Finance Authority Certificates of
Participation, (Stanford University
Hospital), (MBIA), Escrowed to Maturity,
4.90%, 11/1/03(1) $ 1,532,460
1,000 ABAG Finance Authority Certificates of
Participation, (Stanford University
Hospital), (MBIA), Escrowed to Maturity,
5.125%, 11/1/05 1,039,860
500 California Statewide Communities
Development Corp., (Pacific Homes),
Prerefunded to 4/1/03, 5.90%, 4/1/09 527,735
1,000 Sacramento Cogeneration Authority,
(Procter & Gamble), Prerefunded to
7/1/05, 6.50%, 7/1/21 1,110,190
------------------------------------------------------------------------
$ 4,210,245
------------------------------------------------------------------------
General Obligations -- 1.4%
------------------------------------------------------------------------
$ 300 Capistrano Unified School District,
5.65%, 9/1/15 $ 293,337
------------------------------------------------------------------------
$ 293,337
------------------------------------------------------------------------
Hospital -- 5.9%
------------------------------------------------------------------------
$ 325 Eastern Plumas Health Care, (District),
7.50%, 8/1/07 $ 327,691
300 San Benito Health Care District,
5.375%, 10/1/12 263,061
350 San Gorgonio Memorial Health Care
District, 5.80%, 5/1/14 306,568
400 Stockton Health Facilities, (Dameron
Hospital), 5.70%, 12/1/14 365,768
------------------------------------------------------------------------
$ 1,263,088
------------------------------------------------------------------------
Housing -- 2.1%
------------------------------------------------------------------------
$ 450 Corona SFMR, 6.05%, 5/1/27 $ 451,111
------------------------------------------------------------------------
$ 451,111
------------------------------------------------------------------------
Industrial Development Revenue -- 3.1%
------------------------------------------------------------------------
$ 750 California Pollution Control Financing
Authority, (Browning Ferris Industries),
(AMT), 5.80%, 12/1/16 $ 665,595
------------------------------------------------------------------------
$ 665,595
------------------------------------------------------------------------
Insured-Certificates of Participation -- 2.0%
------------------------------------------------------------------------
$ 400 California Statewide Communities
Development Authority, (FSA),
6.00%, 8/15/13 $ 437,120
------------------------------------------------------------------------
$ 437,120
------------------------------------------------------------------------
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
------------------------------------------------------------------------
Insured-Education -- 1.0%
------------------------------------------------------------------------
$ 475 California Educational Facilities
Authority, (San Diego University),
(AMBAC), 0.00%, 10/1/15 $ 214,937
------------------------------------------------------------------------
$ 214,937
------------------------------------------------------------------------
Insured-Electric Utilities -- 9.6%
------------------------------------------------------------------------
$1,000 California Pollution Control Financing
Authority, (San Diego Gas and Electric),
(MBIA), 5.90%, 6/1/14 $ 1,094,010
1,000 Southern California Public Power
Authority, (AMBAC), 5.00%, 7/1/17 975,000
------------------------------------------------------------------------
$ 2,069,010
------------------------------------------------------------------------
Insured-General Obligations -- 9.2%
------------------------------------------------------------------------
$1,080 Fillmore Unified School District,
(FGIC), 0.00%, 7/1/15 $ 495,191
1,000 Mt. Diablo School District, (AMBAC),
5.70%, 8/1/14 1,049,310
705 Ukiah Unified School District, (FGIC),
0.00%, 8/1/10 439,335
------------------------------------------------------------------------
$ 1,983,836
------------------------------------------------------------------------
Insured-Hospital -- 7.4%
------------------------------------------------------------------------
$1,900 Riverside County, (Riverside County
Hospital), (MBIA), 0.00%, 6/1/21 $ 576,308
1,000 Tri City Hospital District, (MBIA),
5.625%, 2/15/17 1,024,780
------------------------------------------------------------------------
$ 1,601,088
------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of Participation -- 5.7%
------------------------------------------------------------------------
$2,000 Anaheim Public Financing Authority,
(Public Improvements), (FSA),
0.00%, 9/1/19 $ 694,960
505 California State Public Works Board,
(Department of Corrections), (AMBAC),
5.25%, 12/1/13 528,725
------------------------------------------------------------------------
$ 1,223,685
------------------------------------------------------------------------
Insured-Special Tax Revenue -- 9.4%
------------------------------------------------------------------------
$2,000 San Mateo County Transportation
District, (MBIA), 5.25%, 6/1/17 $ 2,029,900
------------------------------------------------------------------------
$ 2,029,900
------------------------------------------------------------------------
Insured-Transportation -- 2.6%
------------------------------------------------------------------------
$1,000 San Joaquin Hills, Transportation
Corridor Agency Bridge & Toll Road,
(MBIA), 0.00%, 1/15/12 $ 565,270
------------------------------------------------------------------------
$ 565,270
------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
42
<PAGE>
CALIFORNIA 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>
------------------------------------------------------------------------
Lease Revenue / Certificates of Participation -- 2.5%
------------------------------------------------------------------------
$ 520 California Statewide Communities
Development Authority, (San Gabriel
Valley), 5.50%, 9/1/14 $ 542,641
------------------------------------------------------------------------
$ 542,641
------------------------------------------------------------------------
Nursing Home -- 2.0%
------------------------------------------------------------------------
$ 500 ABAG Finance Authority, (American
Baptist Homes), 5.75%, 10/1/17 $ 435,285
------------------------------------------------------------------------
$ 435,285
------------------------------------------------------------------------
Special Tax Revenue -- 13.0%
------------------------------------------------------------------------
$ 300 Alameda Public Financing Authority,
5.45%, 9/2/14 $ 294,678
300 Brentwood Infrastructure Financing
Authority, 5.50%, 9/2/12 293,955
300 Corona Public Financing Authority,
5.70%, 9/1/13 297,201
200 Fontana Redevelopment Agency, (Jurupa
Hills), 5.50%, 10/1/17 192,626
360 Irvine, Improvement Bond Act 1915,
(Assessment District North 97-16, Group
Two), 5.40%, 9/2/10 360,788
390 Pomona Redevelopment Agency, (West Holt
Avenue Redevelopment), 5.50%, 5/1/13 388,752
295 Rancho Cucamonga Public Finance
Authority, 5.75%, 9/2/12 298,685
300 Roseville Special Tax, 6.00%, 9/1/11 311,802
365 Torrance Redevelopment Agency,
5.50%, 9/1/12 363,879
------------------------------------------------------------------------
$ 2,802,366
------------------------------------------------------------------------
Transportation -- 1.2%
------------------------------------------------------------------------
$ 290 Port Redwood City, (AMT), 5.40%, 6/1/19 $ 269,944
------------------------------------------------------------------------
$ 269,944
------------------------------------------------------------------------
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
------------------------------------------------------------------------
Water and Sewer -- 1.2%
------------------------------------------------------------------------
$ 250 Santa Margarita Water District,
6.10%, 9/1/14 $ 254,273
------------------------------------------------------------------------
$ 254,273
------------------------------------------------------------------------
Total Tax-Exempt Investments -- 98.8%
(identified cost $21,182,964) $21,312,731
------------------------------------------------------------------------
Other Assets, Less Liabilities -- 1.2% $ 261,942
------------------------------------------------------------------------
Net Assets -- 100.0% $21,574,673
------------------------------------------------------------------------
</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 California
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with such
economic developments, at September 30, 2000, 59.6% 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 4.4% to 36.9% of
total investments.
(1) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
SEE NOTES TO FINANCIAL STATEMENTS
43
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENTS OF ASSETS AND LIABILITIES
AS OF SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS
LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO
<S> <C> <C> <C>
-------------------------------------------------------------------------------------------------
Assets
-------------------------------------------------------------------------------------------------
Investments --
Identified cost $21,182,964 $40,552,968 $38,776,832
Unrealized appreciation
(depreciation) 129,767 (238,261) (352,595)
-------------------------------------------------------------------------------------------------
INVESTMENTS, AT VALUE $21,312,731 $40,314,707 $38,424,237
-------------------------------------------------------------------------------------------------
Cash $ -- $ 105,072 $ 117,612
Interest receivable 282,041 830,232 537,244
-------------------------------------------------------------------------------------------------
TOTAL ASSETS $21,594,772 $41,250,011 $39,079,093
-------------------------------------------------------------------------------------------------
Liabilities
-------------------------------------------------------------------------------------------------
Payable for daily variation margin on
open financial futures contracts $ 1,562 $ -- $ --
Due to bank 16,180 -- --
Payable to affiliate for Trustees' fees 37 211 137
Accrued expenses 2,320 2,734 1,191
-------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 20,099 $ 2,945 $ 1,328
-------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $21,574,673 $41,247,066 $39,077,765
-------------------------------------------------------------------------------------------------
Sources of Net Assets
-------------------------------------------------------------------------------------------------
Net proceeds from capital contributions
and withdrawals $21,434,179 $41,485,327 $39,430,360
Net unrealized appreciation
(depreciation) (computed on the basis
of identified cost) 140,494 (238,261) (352,595)
-------------------------------------------------------------------------------------------------
TOTAL $21,574,673 $41,247,066 $39,077,765
-------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
56
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS (UNAUDITED) CONT'D
STATEMENTS OF ASSETS AND LIABILITIES
AS OF SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
NEW JERSEY NEW YORK OHIO PENNSYLVANIA
LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO
<S> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------
Assets
--------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $32,490,520 $49,338,137 $17,032,367 $35,472,935
Unrealized appreciation
(depreciation) 511,963 515,796 (96,482) (207,875)
--------------------------------------------------------------------------------------------------------------------
INVESTMENTS, AT VALUE $33,002,483 $49,853,933 $16,935,885 $35,265,060
--------------------------------------------------------------------------------------------------------------------
Cash $ -- $ 563,062 $ 33,802 $ 232,917
Receivable for investments sold 245,000 315,000 -- --
Interest receivable 481,870 890,850 271,960 562,197
--------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $33,729,353 $51,622,845 $17,241,647 $36,060,174
--------------------------------------------------------------------------------------------------------------------
Liabilities
--------------------------------------------------------------------------------------------------------------------
Payable for investments purchased $ -- $ 1,063,761 $ -- $ --
Payable for when-issued securities -- 528,820 -- --
Due to bank 34,699 -- -- --
Payable to affiliate for Trustees' fees 46 193 -- 136
Accrued expenses 3,478 3,263 1,502 66
--------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 38,223 $ 1,596,037 $ 1,502 $ 202
--------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $33,691,130 $50,026,808 $17,240,145 $36,059,972
--------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
--------------------------------------------------------------------------------------------------------------------
Net proceeds from capital contributions
and withdrawals $33,179,167 $49,511,012 $17,336,627 $36,267,847
Net unrealized appreciation
(depreciation) (computed on the basis
of identified cost) 511,963 515,796 (96,482) (207,875)
--------------------------------------------------------------------------------------------------------------------
TOTAL $33,691,130 $50,026,808 $17,240,145 $36,059,972
--------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
57
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS (UNAUDITED) CONT'D
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS
LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO
<S> <C> <C> <C>
-------------------------------------------------------------------------------------------------
Investment Income
-------------------------------------------------------------------------------------------------
Interest $ 614,127 $1,186,677 $1,162,746
-------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 614,127 $1,186,677 $1,162,746
-------------------------------------------------------------------------------------------------
Expenses
-------------------------------------------------------------------------------------------------
Investment adviser fee $ 51,561 $ 99,312 $ 96,000
Trustees fees and expenses 276 1,392 1,350
Legal and accounting services 18,365 20,533 20,532
Custodian fee 8,491 13,492 11,797
Miscellaneous 4,210 5,783 6,619
-------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 82,903 $ 140,512 $ 136,298
-------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 2,203 $ 3,000 $ 7,228
-------------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 2,203 $ 3,000 $ 7,228
-------------------------------------------------------------------------------------------------
NET EXPENSES $ 80,700 $ 137,512 $ 129,070
-------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 533,427 $1,049,165 $1,033,676
-------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
-------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 29,140 $ (62,921) $ (55,868)
Financial futures contracts (46,397) (18,235) (7,817)
-------------------------------------------------------------------------------------------------
NET REALIZED LOSS $ (17,257) $ (81,156) $ (63,685)
-------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $ 465,876 $ 488,650 $ 425,436
Financial futures contracts 36,021 -- 16,566
-------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) $ 501,897 $ 488,650 $ 442,002
-------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 484,640 $ 407,494 $ 378,317
-------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $1,018,067 $1,456,659 $1,411,993
-------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
58
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS (UNAUDITED) CONT'D
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
NEW JERSEY NEW YORK OHIO PENNSYLVANIA
LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO
<S> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------
Investment Income
--------------------------------------------------------------------------------------------------------------------
Interest $ 986,382 $1,414,708 $ 511,794 $1,072,715
--------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 986,382 $1,414,708 $ 511,794 $1,072,715
--------------------------------------------------------------------------------------------------------------------
Expenses
--------------------------------------------------------------------------------------------------------------------
Investment adviser fee $ 80,944 $ 118,041 $ 42,198 $ 87,906
Trustees fees and expenses 1,290 4,563 251 1,381
Legal and accounting services 18,618 20,566 16,460 20,514
Custodian fee 9,035 12,545 7,413 11,774
Miscellaneous 7,052 7,975 5,186 6,708
--------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 116,939 $ 163,690 $ 71,508 $ 128,283
--------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ -- $ -- $ 3,348 $ 2,826
--------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ -- $ -- $ 3,348 $ 2,826
--------------------------------------------------------------------------------------------------------------------
NET EXPENSES $ 116,939 $ 163,690 $ 68,160 $ 125,457
--------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 869,443 $1,251,018 $ 443,634 $ 947,258
--------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
--------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 48,295 $ 56,956 $(143,450) $ (15,624)
Financial futures contracts (250) (44) (1,786) (16,411)
--------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS) $ 48,045 $ 56,912 $(145,236) $ (32,035)
--------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $ 226,834 $ 488,519 $ 337,752 $ 373,256
Financial futures contracts 12,048 19,578 6,024 --
--------------------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) $ 238,882 $ 508,097 $ 343,776 $ 373,256
--------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 286,927 $ 565,009 $ 198,540 $ 341,221
--------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $1,156,370 $1,816,027 $ 642,174 $1,288,479
--------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
59
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS (UNAUDITED) CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS
INCREASE (DECREASE) IN NET ASSETS LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO
<S> <C> <C> <C>
-------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 533,427 $ 1,049,165 $ 1,033,676
Net realized loss (17,257) (81,156) (63,685)
Net change in unrealized
appreciation (depreciation) 501,897 488,650 442,002
-------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 1,018,067 $ 1,456,659 $ 1,411,993
-------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 369,399 $ 569,609 $ 662,492
Withdrawals (2,416,555) (5,801,911) (7,186,152)
-------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM CAPITAL
TRANSACTIONS $(2,047,156) $(5,232,302) $(6,523,660)
-------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $(1,029,089) $(3,775,643) $(5,111,667)
-------------------------------------------------------------------------------------------------
Net Assets
-------------------------------------------------------------------------------------------------
At beginning of period $22,603,762 $45,022,709 $44,189,432
-------------------------------------------------------------------------------------------------
AT END OF PERIOD $21,574,673 $41,247,066 $39,077,765
-------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
60
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS (UNAUDITED) CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
NEW JERSEY NEW YORK OHIO PENNSYLVANIA
INCREASE (DECREASE) IN NET ASSETS LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO
<S> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 869,443 $ 1,251,018 $ 443,634 $ 947,258
Net realized gain (loss) 48,045 56,912 (145,236) (32,035)
Net change in unrealized
appreciation (depreciation) 238,882 508,097 343,776 373,256
--------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 1,156,370 $ 1,816,027 $ 642,174 $ 1,288,479
--------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 569,846 $ 1,040,486 $ 91,141 $ 284,300
Withdrawals (3,156,002) (4,504,876) (2,498,224) (4,147,825)
--------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM CAPITAL
TRANSACTIONS $(2,586,156) $(3,464,390) $(2,407,083) $(3,863,525)
--------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $(1,429,786) $(1,648,363) $(1,764,909) $(2,575,046)
--------------------------------------------------------------------------------------------------------------------
Net Assets
--------------------------------------------------------------------------------------------------------------------
At beginning of period $35,120,916 $51,675,171 $19,005,054 $38,635,018
--------------------------------------------------------------------------------------------------------------------
AT END OF PERIOD $33,691,130 $50,026,808 $17,240,145 $36,059,972
--------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
61
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED MARCH 31, 2000
<TABLE>
<CAPTION>
CALIFORNIA FLORIDA MASSACHUSETTS
INCREASE (DECREASE) IN NET ASSETS LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO
<S> <C> <C> <C>
-------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 1,233,021 $ 2,513,979 $ 2,336,447
Net realized gain 74,516 156,957 55,649
Net change in unrealized
appreciation (depreciation) (1,813,400) (3,456,340) (3,187,738)
-------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
OPERATIONS $ (505,863) $ (785,404) $ (795,642)
-------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 1,647,497 $ 6,349,671 $ 7,777,378
Withdrawals (7,215,977) (20,489,768) (14,335,749)
-------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM CAPITAL
TRANSACTIONS $(5,568,480) $(14,140,097) $ (6,558,371)
-------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $(6,074,343) $(14,925,501) $ (7,354,013)
-------------------------------------------------------------------------------------------------
Net Assets
-------------------------------------------------------------------------------------------------
At beginning of year $28,678,105 $ 59,948,210 $ 51,543,445
-------------------------------------------------------------------------------------------------
AT END OF YEAR $22,603,762 $ 45,022,709 $ 44,189,432
-------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
62
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED MARCH 31, 2000
<TABLE>
<CAPTION>
NEW JERSEY NEW YORK OHIO PENNSYLVANIA
INCREASE (DECREASE) IN NET ASSETS LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO LIMITED PORTFOLIO
<S> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 1,867,367 $ 2,857,046 $ 1,051,721 $ 2,232,351
Net realized gain (loss) 167,593 231,736 34,583 (216,586)
Net change in unrealized
appreciation (depreciation) (2,210,368) (3,419,072) (1,517,327) (2,749,901)
--------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
OPERATIONS $ (175,408) $ (330,290) $ (431,023) $ (734,136)
--------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 3,960,119 $ 6,571,148 $ 1,287,987 $ 2,854,798
Withdrawals (8,444,486) (20,438,440) (4,652,763) (14,256,336)
--------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM CAPITAL
TRANSACTIONS $(4,484,367) $(13,867,292) $(3,364,776) $(11,401,538)
--------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $(4,659,775) $(14,197,582) $(3,795,799) $(12,135,674)
--------------------------------------------------------------------------------------------------------------------
Net Assets
--------------------------------------------------------------------------------------------------------------------
At beginning of year $39,780,691 $ 65,872,753 $22,800,853 $ 50,770,692
--------------------------------------------------------------------------------------------------------------------
AT END OF YEAR $35,120,916 $ 51,675,171 $19,005,054 $ 38,635,018
--------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
63
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
CALIFORNIA LIMITED PORTFOLIO
------------------------------------------------------------------------------
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 0.75%(1) 0.66% 0.62% 0.61% 0.63% 0.58%
Expenses after custodian
fee reduction 0.73%(1) 0.66% 0.61% 0.59% 0.61% 0.55%
Net investment income 4.81%(1) 4.84% 4.67% 4.86% 4.98% 4.82%
Portfolio Turnover 5% 13% 29% 40% 57% 36%
----------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $21,575 $22,604 $28,678 $34,297 $43,194 $59,216
----------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
64
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
FLORIDA LIMITED PORTFOLIO
-------------------------------------------------------------------------------
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 0.66%(1) 0.62% 0.59% 0.58% 0.59% 0.55%
Expenses after custodian
fee reduction 0.64%(1) 0.59% 0.57% 0.55% 0.57% 0.54%
Net investment income 4.92%(1) 4.87% 4.68% 4.90% 4.90% 4.73%
Portfolio Turnover 3% 16% 16% 38% 66% 20%
-----------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $41,247 $45,023 $59,948 $72,241 $92,909 $127,835
-----------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
65
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
MASSACHUSETTS LIMITED PORTFOLIO
------------------------------------------------------------------------------
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 0.67%(1) 0.61% 0.60% 0.60% 0.60% 0.57%
Expenses after custodian
fee reduction 0.63%(1) 0.58% 0.57% 0.56% 0.58% 0.55%
Net investment income 5.05%(1) 4.92% 4.67% 4.90% 4.97% 4.72%
Portfolio Turnover 4% 15% 19% 46% 60% 27%
----------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $39,078 $44,189 $51,543 $56,583 $69,670 $97,135
----------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
66
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
NEW JERSEY LIMITED PORTFOLIO
------------------------------------------------------------------------------
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 0.68%(1) 0.63% 0.62% 0.62% 0.61% 0.57%
Expenses after custodian
fee reduction 0.68%(1) 0.60% 0.62% 0.61% 0.58% 0.55%
Net investment income 5.05%(1) 5.01% 4.78% 4.91% 4.96% 4.78%
Portfolio Turnover 4% 15% 13% 21% 37% 42%
----------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $33,691 $35,121 $39,781 $45,540 $58,266 $80,173
----------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
67
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
NEW YORK LIMITED PORTFOLIO
--------------------------------------------------------------------------------
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 0.65%(1) 0.61% 0.59% 0.61% 0.58% 0.55%
Expenses after custodian
fee reduction 0.65%(1) 0.58% 0.59% 0.59% 0.56% 0.53%
Net investment income 4.94%(1) 4.95% 4.74% 4.81% 4.87% 4.66%
Portfolio Turnover 5% 18% 17% 53% 58% 32%
------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $50,027 $51,675 $65,873 $74,691 $100,014 $138,728
------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
68
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
OHIO LIMITED PORTFOLIO
------------------------------------------------------------------------------
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 0.80%(1) 0.69% 0.67% 0.64% 0.68% 0.63%
Expenses after custodian
fee reduction 0.76%(1) 0.66% 0.64% 0.64% 0.65% 0.61%
Net investment income 4.93%(1) 5.00% 4.85% 5.05% 5.20% 5.06%
Portfolio Turnover 5% 13% 19% 29% 34% 47%
----------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $17,240 $19,005 $22,801 $24,216 $28,470 $33,529
----------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
69
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIO AS OF SEPTEMBER 30, 2000
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
PENNSYLVANIA LIMITED PORTFOLIO
------------------------------------------------------------------------------
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 0.69%(1) 0.63% 0.62% 0.60% 0.61% 0.58%
Expenses after custodian
fee reduction 0.67%(1) 0.61% 0.60% 0.58% 0.59% 0.56%
Net investment income 5.07%(1) 5.03% 4.83% 5.03% 5.11% 4.81%
Portfolio Turnover 2% 11% 16% 36% 51% 24%
----------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $36,060 $38,635 $50,771 $57,708 $67,876 $92,194
----------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
70
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF SEPTEMBER 30, 2000
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1 Significant Accounting Policies
-------------------------------------------
California Limited Maturity Municipals Portfolio (California Limited
Portfolio), Florida Limited Maturity Municipals Portfolio (Florida Limited
Portfolio), Massachusetts Limited Maturity Municipals Portfolio
(Massachusetts 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
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 accretion of 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 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 for both hedging
against anticipated future changes in interest rates and investment purposes.
Should interest rates move unexpectedly, a Portfolio may not achieve the
anticipated benefits of the financial futures contracts and may realize a
loss.
E 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.
F 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 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 reported as a
reduction of total expenses in the Statement of Operations.
G 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
71
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS 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.
H Other -- Investment transactions are accounted for on a trade date basis.
I 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
Portfolios' 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 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 six months ended September 30, 2000, each Portfolio paid
advisory fees as follows:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT EFFECTIVE RATE*
<S> <C> <C>
-----------------------------------------------------------------------
California Limited $ 51,561 0.47%
Florida Limited 99,312 0.47%
Massachusetts Limited 96,000 0.47%
New Jersey Limited 80,944 0.47%
New York Limited 118,041 0.47%
Ohio Limited 42,198 0.47%
Pennsylvania Limited 87,906 0.47%
</TABLE>
* As a percentage of average daily net assets (annualized).
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 six months
ended September 30, 2000, no significant amounts have been deferred.
Certain of the officers and one Trustee of the Portfolios are officers of the
above organizations.
3 Investments
-------------------------------------------
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, for the six months ended September 30, 2000 were as
follows:
<TABLE>
<CAPTION>
CALIFORNIA LIMITED PORTFOLIO
<S> <C>
----------------------------------------------------
Purchases $1,107,950
Sales 2,502,157
<CAPTION>
FLORIDA LIMITED PORTFOLIO
<S> <C>
----------------------------------------------------
Purchases $1,164,061
Sales 5,546,168
<CAPTION>
MASSACHUSETTS LIMITED PORTFOLIO
<S> <C>
----------------------------------------------------
Purchases $1,502,556
Sales 6,978,695
<CAPTION>
NEW JERSEY LIMITED PORTFOLIO
<S> <C>
----------------------------------------------------
Purchases $1,183,657
Sales 3,185,347
<CAPTION>
NEW YORK LIMITED PORTFOLIO
<S> <C>
----------------------------------------------------
Purchases $2,359,630
Sales 4,872,651
<CAPTION>
OHIO LIMITED PORTFOLIO
<S> <C>
----------------------------------------------------
Purchases $ 901,736
Sales 2,335,975
<CAPTION>
PENNSYLVANIA LIMITED PORTFOLIO
<S> <C>
----------------------------------------------------
Purchases $ 850,000
Sales 3,900,668
</TABLE>
4 Federal Income Tax Basis of Investments
-------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at September 30, 2000, as computed on a
federal income tax basis, are as follows:
<TABLE>
<CAPTION>
CALIFORNIA LIMITED PORTFOLIO
<S> <C>
-----------------------------------------------------
AGGREGATE COST $21,182,964
-----------------------------------------------------
Gross unrealized appreciation $ 551,192
Gross unrealized depreciation (421,425)
-----------------------------------------------------
NET UNREALIZED APPRECIATION $ 129,767
-----------------------------------------------------
</TABLE>
72
<PAGE>
LIMITED MATURITY MUNICIPALS PORTFOLIOS AS OF SEPTEMBER 30, 2000
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
FLORIDA LIMITED PORTFOLIO
<S> <C>
-----------------------------------------------------
AGGREGATE COST $40,552,968
-----------------------------------------------------
Gross unrealized appreciation $ 767,426
Gross unrealized depreciation (1,005,687)
-----------------------------------------------------
NET UNREALIZED DEPRECIATION $ (238,261)
-----------------------------------------------------
<CAPTION>
MASSACHUSETTS LIMITED PORTFOLIO
<S> <C>
-----------------------------------------------------
AGGREGATE COST $38,776,832
-----------------------------------------------------
Gross unrealized appreciation $ 756,442
Gross unrealized depreciation (1,109,037)
-----------------------------------------------------
NET UNREALIZED DEPRECIATION $ (352,595)
-----------------------------------------------------
<CAPTION>
NEW JERSEY LIMITED PORTFOLIO
<S> <C>
-----------------------------------------------------
AGGREGATE COST $32,490,520
-----------------------------------------------------
Gross unrealized appreciation $ 838,242
Gross unrealized depreciation (326,279)
-----------------------------------------------------
NET UNREALIZED APPRECIATION $ 511,963
-----------------------------------------------------
<CAPTION>
NEW YORK LIMITED PORTFOLIO
<S> <C>
-----------------------------------------------------
AGGREGATE COST $49,338,137
-----------------------------------------------------
Gross unrealized appreciation $ 1,031,683
Gross unrealized depreciation (515,887)
-----------------------------------------------------
NET UNREALIZED APPRECIATION $ 515,796
-----------------------------------------------------
<CAPTION>
OHIO LIMITED PORTFOLIO
<S> <C>
-----------------------------------------------------
AGGREGATE COST $17,032,367
-----------------------------------------------------
Gross unrealized appreciation $ 308,655
Gross unrealized depreciation (405,137)
-----------------------------------------------------
NET UNREALIZED DEPRECIATION $ (96,482)
-----------------------------------------------------
<CAPTION>
PENNSYLVANIA LIMITED PORTFOLIO
<S> <C>
-----------------------------------------------------
AGGREGATE COST $35,472,935
-----------------------------------------------------
Gross unrealized appreciation $ 425,635
Gross unrealized depreciation (633,510)
-----------------------------------------------------
NET UNREALIZED DEPRECIATION $ (207,875)
-----------------------------------------------------
</TABLE>
5 Line of Credit
-------------------------------------------
The Portfolios participate 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 will be made by the Portfolios 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 Portfolios
did not have any significant borrowings or allocated fees during the six
months ended September 30, 2000.
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.
A summary of obligations under these financial instruments at September 30,
2000, is as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS
------------------------------------------------------------------------------------------------
EXPIRATION NET UNREALIZED
PORTFOLIO DATE CONTRACTS POSITION APPRECIATION
<S> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------
California 12/00 10 U.S. Treasury Bond Short $10,727
</TABLE>
At September 30, 2000, the Portfolio had sufficient cash and/or securities to
cover margin requirements on open future contracts.
73
<PAGE>
EATON VANCE LIMITED MATURITY MUNICIPALS FUNDS AS OF SEPTEMBER 30, 2000
INVESTMENT MANAGEMENT
LIMITED MATURITY MUNICIPALS PORTFOLIOS
Officers
Thomas J. Fetter
President
James B. Hawkes
Vice President and Trustee
Robert B. MacIntosh
Vice President
William H. Ahern, Jr.
Vice President and Portfolio Manager of
Massachusetts, New Jersey, New York
and Ohio Limited Maturity Municipals
Portfolios
Cynthia J. Clemson
Vice President and Portfolio Manager of
California, Florida and Pennsylvania
Limited Maturity Municipals Portfolios
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
Trustees
Jessica M. Bibliowicz
President and Chief Executive Officer,
National Financial Partners
Donald R. Dwight
President, Dwight Partners, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment
Banking Emeritus, Harvard University
Graduate School of Business Administration
Norton H. Reamer
President, Unicorn
Lynn A. Stout
Professor of Law,
Georgetown University Law Center
Jack L. Treynor
Investment Adviser and Consultant
74
