<PAGE>
For the Limited Maturity Municipals Portfolio
[LOGO]
Semi-annual Shareholder Report
September 30, 1997
Limited Maturity Municipals Portfolios
Officers Independent Trustees
THOMAS J. FETTER DONALD R. DWIGHT
President President, Dwight Partners, Inc.
Chairman, Newspapers of
New England, Inc.
JAMES B. HAWKES
Vice President and Trustee
SAMUEL L. HAYES, III
Jacob H. Schiff Professor of Investment
ROBERT B. MACINTOSH Banking, Harvard University Graduate School of
Vice President Business Administration
WILLIAM H. AHERN, JR. NORTON H. REAMER
Vice President and Portfolio President and Director, United Asset
Manager of Connecticut, Management Corporation
Florida, Massachusetts,
Michigan, New Jersey, and
Ohio Limited Maturity JOHN L. THORNDIKE
Municipals Portfolios Director, Fiduciary Company Incorporated
NICOLE ANDERES JACK L. TREYNOR
Vice President and Portfolio Investment Adviser and Consultant
Manager of New York Limited
Maturity Municipals Portfolio
TIMOTHY T. BROWSE
Vice President and Portfolio
Manager of Pennsylvania Limited
Maturity Municipals Portfolio
CYNTHIA J. CLEMSON
Vice President and Portfolio
Manager of California Limited
Maturity Municipals Portfolio
JAMES L. O'CONNOR
Treasurer
ALAN R. DYNNER
Secretary
<PAGE>
Pennsylvania Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
<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 -- 5.5%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 1,200 Pennsylvania Economic Development Financing
Authority, (Resource Recovery for
Northampton), 6.75%, 1/1/07 $ 1,267,404
NR BBB- 2,000 Pennsylvania Economic Development Financing
Authority, (Resources Recovery - Culver
Project), (AMT), 7.05%, 12/1/10(1) 2,197,020
- ------------------------------------------------------------------------------------------------------------
$ 3,464,424
- ------------------------------------------------------------------------------------------------------------
Education -- 1.2%
- ------------------------------------------------------------------------------------------------------------
NR AAA $ 700 Montgomery County, PA, Higher Education and
Health Authority, (Saint Joseph's
University), (CLEE), 6.00%, 12/15/02 $ 749,049
- ------------------------------------------------------------------------------------------------------------
$ 749,049
- ------------------------------------------------------------------------------------------------------------
Electric Utilities -- 1.6%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 960 Virgin Islands Water and Power Authority,
7.40%, 7/1/11 $ 1,038,000
- ------------------------------------------------------------------------------------------------------------
$ 1,038,000
- ------------------------------------------------------------------------------------------------------------
Escrowed / Prerefunded -- 9.5%
- ------------------------------------------------------------------------------------------------------------
Baa AAA $ 500 Pennsylvania State Higher Education, (Medical
College of Pennsylvania), Prefunded to
3/1/01, 7.25%, 3/1/05 $ 556,890
Aaa N/R 1,500 Philadelphia, PA, Hospital and Higher
Education, (Children's Hospital), Prerefunded
to 2/15/02, 6.50%, 2/15/21 1,656,090
Aaa AAA 1,500 Somerset County, PA, General Authority,
(FGIC) Escrowed to Maturity, 6.50%, 10/15/01 1,627,860
Aaa AAA 7,000 Westmoreland County, PA, Municipal Authority,
(FGIC), 0.00%, 8/15/19 2,147,600
- ------------------------------------------------------------------------------------------------------------
$ 5,988,440
- ------------------------------------------------------------------------------------------------------------
Hospitals -- 15.2%
- ------------------------------------------------------------------------------------------------------------
NR BBB $ 1,000 Allentown, PA, (Sacred Heart Hospital),
6.50%, 11/15/08 $ 1,068,310
Baa3 BBB+ 650 Hazleton, PA, Health Services Authority,
5.85%, 7/1/06 669,942
NR AAA 1,030 Indiana County, PA, Hospital Authority,
(Indiana Hospital), (CLEE), 5.75%, 7/1/00 1,071,561
NR AAA 825 Indiana County, PA, Hospital Authority,
(Indiana Hospital), (CLEE), 5.875%, 7/1/01 870,697
A3 A 1,200 Lehigh County, PA, General Purpose Authority,
(Muhlenberg Hospital), 5.75%, 7/15/10 1,213,836
NR BBB- 200 Mckean County, PA, (Bradford Hospital),
5.375%, 10/1/03 205,098
Baa2 NR 1,030 Montgomery County, PA, Higher Education and
Health Authority, (Montgomery Hospital),
6.25%, 7/1/06 1,076,515
Baa2 NR 1,100 Montgomery County, PA, Higher Education and
Health Authority, (Montgomery Hospital),
6.375%, 7/1/07 1,144,077
A NR 500 New Castle Area Hospital Authority, (St.
Francis Hospital of New Castle), 5.90%, 11/15/00 520,685
NR BBB 380 Northhampton County Hospital Authority,
(Easton Hospital), 6.90%, 1/1/02 399,874
NR A- 1,350 South Fork, PA, Municipal Authority, (Lee
Hospital), 5.50%, 7/1/11 1,349,879
- ------------------------------------------------------------------------------------------------------------
$ 9,590,474
- ------------------------------------------------------------------------------------------------------------
Industrial Development Revenue / Pollution
Control Revenue -- 5.1%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 885 Chester County, PA, Industrial Development
Authority, 8.00%, 9/1/05 $ 927,038
NR BB- 1,005 Clearfield, PA, (Kmart Corp.), 6.80%, 5/15/07 1,060,757
A3 A- 1,200 Erie, PA, Industrial Development Authority,
5.85%, 12/1/20 1,233,048
- ------------------------------------------------------------------------------------------------------------
$ 3,220,843
- ------------------------------------------------------------------------------------------------------------
Insured - Colleges and Universities -- 5.3%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 3,450 Allegheny County, PA, Higher Education
Building Authority, (Dusquesne University),
(AMBAC), 5.00%, 3/1/16 $ 3,344,843
- ------------------------------------------------------------------------------------------------------------
$ 3,344,843
- ------------------------------------------------------------------------------------------------------------
Insured - Electric Utilities -- 7.5%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,000 Cambria County, PA, Industrial Development
Pollution Control, (MBIA), 5.35%, 11/1/10 $ 2,095,960
Aaa AAA 2,500 Indiana County, PA, Industrial Development
Authority Pollution Control, (MBIA), 5.35%,
11/1/10 2,619,950
- ------------------------------------------------------------------------------------------------------------
$ 4,715,910
- ------------------------------------------------------------------------------------------------------------
Insured - General Obligations -- 4.2%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,355 McKeesport, PA, (FGIC), 0.00%, 10/1/11 $ 660,319
Aaa AAA 2,000 State of Pennsylvania, (AMBAC), 5.00%, 11/15/15 1,960,180
- ------------------------------------------------------------------------------------------------------------
$ 2,620,499
- ------------------------------------------------------------------------------------------------------------
Insured - Hospitals -- 6.8%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Allegheny County, PA, Hospital Development
Authority, (South Hills Health), (MBIA),
5.50%, 5/1/08 $ 1,058,370
Aaa AAA 1,000 Erie County, PA, Hospital Authority, (Hamot
Health System), (AMBAC), 7.10%, 2/15/10 1,095,700
Aaa AAA 2,050 Sayre Health Care Facilities Authority,
(Guthrie Medical Center), (AMBAC), 6.50%, 3/1/00 2,158,281
- ------------------------------------------------------------------------------------------------------------
$ 4,312,351
- ------------------------------------------------------------------------------------------------------------
Insured-Lease Revenue / Certificates of
Participation -- 2.6%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 1,000 Northumberland County Authority, PA, Lease
Revenue Bonds, (MBIA), 6.50%, 10/15/01 $ 1,085,240
Aaa AAA 500 The Harrisburg Authority (Dauphin County, PA)
Lease Revenue Bonds, (CGIC), 6.25%, 6/1/01 534,750
- ------------------------------------------------------------------------------------------------------------
$ 1,619,990
- ------------------------------------------------------------------------------------------------------------
Insured - School District -- 4.0%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 2,500 Pleasant Valley, PA, School District, (FGIC),
5.00%, 9/1/10 $ 2,501,875
- ------------------------------------------------------------------------------------------------------------
$ 2,501,875
- ------------------------------------------------------------------------------------------------------------
Insured - Transportation -- 6.5%
- ------------------------------------------------------------------------------------------------------------
Aaa AAA $ 3,000 Philadelphia Airport Revenue, (FGIC), (AMT),
5.25%, 6/15/09(2) $ 3,059,549
Aaa AAA 1,000 Southeastern Pennsylvania Transportation
Authority, (FGIC), 5.55%, 3/1/14 1,027,730
- ------------------------------------------------------------------------------------------------------------
$ 4,087,279
- ------------------------------------------------------------------------------------------------------------
Life Care -- 13.1%
- ------------------------------------------------------------------------------------------------------------
NR BBB $ 2,355 Clearfield, PA, Hospital Authority,
(Clearfield Hospital), 6.875%, 6/1/16 $ 2,501,175
NR NR 245 Delaware County, PA, Authority, (White Horse
Village), 6.30%, 7/1/03 256,001
NR NR 505 Delaware County, PA, Authority, (White Horse
Village), 6.40%, 7/1/04 531,169
NR NR 1,120 Delaware County, PA, Industrial Development
Authority, (Glen Riddle), (AMT), 8.125%,
9/1/05(1) 1,197,616
Aa AA 2,000 Geisinger, PA, Health System, 7.375%, 7/1/02 2,148,000
Baa2 BBB+ 590 Hazleton, PA, Health Services Authority,
(Hazleton General Hospital), 5.50%, 7/1/07 601,092
A3 BBB+ 1,000 Monroeville, PA, Hospital Authority, 5.75%,
10/1/05 1,044,610
- ------------------------------------------------------------------------------------------------------------
$ 8,279,663
- ------------------------------------------------------------------------------------------------------------
Nursing Homes -- 1.0%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 500 Wilkins Area, PA, IDA, (Fairview Extended
Care), 10.25%, 1/1/21 $ 603,005
- ------------------------------------------------------------------------------------------------------------
$ 603,005
- ------------------------------------------------------------------------------------------------------------
Solid Waste -- 3.0%
- ------------------------------------------------------------------------------------------------------------
Baa A- $ 500 Greater Lebanon Refuse Authority of Lebanon
County, PA, 6.20%, 5/15/99 $ 514,965
Baa A- 500 Greater Lebanon Refuse Authority of Lebanon
County, PA, 6.20%, 11/15/99 519,065
Baa A- 300 Greater Lebanon Refuse Authority of Lebanon
County, PA, 6.40%, 5/15/00 314,247
Baa A- $ 500 Greater Lebanon Refuse Authority of Lebanon
County, PA, 6.40%, 11/15/00 $ 527,970
- ------------------------------------------------------------------------------------------------------------
$ 1,876,247
- ------------------------------------------------------------------------------------------------------------
Special Tax Revenue -- 0.4%
- ------------------------------------------------------------------------------------------------------------
NR NR $ 250 Virgin Islands Public Finance Authority,
(V.I. General Obligations/Matching Loan Fund
Notes), 6.70%, 10/1/99 $ 260,908
- ------------------------------------------------------------------------------------------------------------
$ 260,908
- ------------------------------------------------------------------------------------------------------------
Transportation -- 7.5%
- ------------------------------------------------------------------------------------------------------------
A1 A $ 1,000 Pennsylvania State Turnpike Commission,
6.00%, 12/1/17 $ 1,000,370
Aa3 AA- 2,550 Southeastern Pennsylvania Transportation
Authority, LOC: Canadian Imperial Bank of
Commerce, 6.00%, 6/1/99(3) 2,631,395
Aa3 AA- 1,000 Southeastern Pennsylvania Transportation
Authority, LOC: Canadian Imperial Bank of
Commerce, 6.00%, 6/1/01 1,059,510
- ------------------------------------------------------------------------------------------------------------
$ 4,691,275
- ------------------------------------------------------------------------------------------------------------
Total Tax Exempt Investments -- 100.0%
(identified cost $60,582,610) $ 62,965,075
- ------------------------------------------------------------------------------------------------------------
AMT -- Interest earned from these securities may be considered a tax preference item for purposes of the
Federal Alternative Minimum Tax.
(1) Security has been segregated to cover when-issued securities.
(2) When-issued security.
(3) Security (or a portion thereof) has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Pennsylvania 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, 1997, 36.9% of the securities in the portfolio of investments are backed by bond issuance of
various financial institutions and financial guaranty assurance agencies. The aggregate percentage by
financial institution range from 0.8% to 17.5% of total investments.
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
Statements of Assets and Liabilities
As of September 30, 1997
<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 $37,438,471 $10,272,445 $77,729,712 $57,783,860 $11,663,301
Unrealized appreciation 1,804,958 425,211 3,191,396 2,680,345 832,998
- --------------------------------------------------------------------------------------------------------------------------------
Investments, at value
(Note 1A) $39,243,429 $10,697,656 $80,921,108 $60,464,205 $12,496,299
- --------------------------------------------------------------------------------------------------------------------------------
Cash $ 93 $ 106,895 $ 572 $ 247 $ 215
Receivable for investments
sold -- -- -- 1,923,062 495,092
Interest receivable 605,665 144,037 1,693,674 974,678 275,605
Receivable for daily
variation margin on open
financial futures contracts
(Note 1E) 8,250 -- 8,938 14,094 2,750
Deferred organization
expenses (Note 1D) 890 462 2,474 2,392 --
- --------------------------------------------------------------------------------------------------------------------------------
Total assets $39,858,327 $10,949,050 $82,626,766 $63,378,678 $13,269,961
- --------------------------------------------------------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------------------------------------------------------
Payable for when-issued
securities (Note 1F) $ 1,213,685 $ 292,542 $ -- $ 499,323 $ --
Demand note payable (Note 5) 167,000 -- 418,000 409,000 313,000
Payable to affiliate for
Trustees' fees (Note 2) 416 -- 1,683 1,716 41
Accrued expenses 2,854 931 5,395 3,719 2,145
- --------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 1,383,955 $ 293,473 $ 425,078 $ 913,758 $ 315,186
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to
investors' interest in
Portfolio $ 38,474,372 $10,655,577 $82,201,688 $62,464,920 $12,954,775
- --------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital
contributions and
withdrawals $ 36,743,049 $10,230,366 $79,051,573 $59,850,872 $12,134,703
Net unrealized appreciation
of investments and
financial futures contracts
(computed on the basis of
identified cost) 1,731,323 425,211 3,150,115 2,614,048 820,072
- --------------------------------------------------------------------------------------------------------------------------------
Total $38,474,372 $10,655,577 $82,201,688 $62,464,920 $12,954,775
- --------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
Statements of Assets and Liabilities
As of September 30, 1997
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Investments --
Identified cost $48,296,307 $84,164,940 $26,423,054 $60,582,610
Unrealized appreciation 2,571,999 3,213,007 1,152,603 2,382,465
- ----------------------------------------------------------------------------------------------------------------------------------
Investments, at value (Note
1A) $50,868,306 $87,377,947 $27,575,657 $62,965,075
- ----------------------------------------------------------------------------------------------------------------------------------
Cash $ 511 $ 633 $ 234 $ 207,683
Interest receivable 780,351 1,620,729 498,299 912,055
Receivable for daily
variation margin on open
financial futures
contracts (Note 1E) 5,500 17,531 688 17,188
Deferred organization
expenses (Note 1D) 996 1,501 -- 1,572
- ----------------------------------------------------------------------------------------------------------------------------------
Total assets $51,655,664 $ 89,018,341 $28,074,878 $64,103,573
- ----------------------------------------------------------------------------------------------------------------------------------
Liabilities
- ----------------------------------------------------------------------------------------------------------------------------------
Payable for when-issued
securities (Note 1F) $ -- $ -- $ 516,285 $ 2,927,610
Demand note payable (Note 5) 479,000 1,763,000 463,000 --
Payable to affiliate for
Trustees' fees (Note 2) 1,632 2,206 474 1,691
Accrued expenses 4,386 7,622 4,141 3,875
- ----------------------------------------------------------------------------------------------------------------------------------
Total liabilities $ 485,018 $ 1,772,828 $ 983,900 $ 2,933,176
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets applicable to
investors' interest in
Portfolio $51,170,646 $ 87,245,513 $27,090,978 $61,170,397
- ----------------------------------------------------------------------------------------------------------------------------------
Sources of Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Net proceeds from capital
contributions and
withdrawals $48,631,778 $84,188,980 $25,940,262 $58,918,726
Net unrealized appreciation
of investments and
financial futures
contracts (computed on the
basis of identified cost) 2,538,868 3,056,533 1,150,716 2,251,671
- ----------------------------------------------------------------------------------------------------------------------------------
Total $51,170,646 $87,245,513 $27,090,978 $61,170,397
- ----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
Statements of Operations
For the Six Months Ended September 30, 1997
<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 $1,124,251 $316,081 $2,383,675 $1,845,464 $400,654
- ----------------------------------------------------------------------------------------------------------------------------------
Total income $1,124,251 $316,081 $2,383,675 $1,845,464 $400,654
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses
- ----------------------------------------------------------------------------------------------------------------------------------
Investment Adviser fee (Note 2) $ 94,735 $ 26,589 $ 201,818 $ 154,370 $ 32,856
Compensation of Trustees not members
of the Investment Adviser's
organization (Note 2) 834 25 5,582 3,331 84
Legal and accounting services 19,515 15,066 20,570 19,410 14,413
Custodian fee (Note 1G) 13,936 5,285 27,474 19,915 6,827
Amortization of organization expenses
(Note 1D) 757 1,281 2,108 2,050 259
Miscellaneous 3,538 1,190 852 10,599 1,181
- ----------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 133,315 $ 49,436 $ 258,404 $ 209,675 $ 55,620
- ----------------------------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee (Note 1G) $ 4,370 $ 859 $ 6,717 $ 8,100 $ 2,303
Preliminary reduction of investment
adviser fee (Note 2) -- 13,203 -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total expense reductions $ 4,370 $ 14,062 $ 6,717 $ 8,100 $ 2,303
- ----------------------------------------------------------------------------------------------------------------------------------
Net expenses $ 128,945 $ 35,374 $ 251,687 $ 201,575 $ 53,317
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 995,306 $280,707 $2,131,988 $1,643,889 $347,337
- ----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) on Investments
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 406,166 $ 76,554 $ 459,743 $ 411,976 $105,373
Financial futures contracts (329,542) (113,393) (1,126,670) (713,733) (232,398)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments $ 76,624 $(36,839) $ (666,927) $ (301,757) $(127,025)
- ----------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $1,190,079 $316,332 $2,750,326 $2,091,851 $439,774
Financial futures contracts (170,770) -- (249,425) (246,688) (12,926)
- ----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
of investments $1,019,309 $316,332 $2,500,901 $1,845,163 $426,848
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on
investments $1,095,933 $279,493 $1,833,974 $1,543,406 $299,823
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
operations $2,091,239 $560,200 $3,965,962 $3,187,295 $647,160
- ----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Statements of Operations
For the Six Months Ended September 30, 1997
<TABLE>
<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 $1,529,782 $2,569,317 $ 803,077 $1,821,218
- -----------------------------------------------------------------------------------------------------------------------------------
Total income $1,529,782 $2,569,317 $ 803,077 $1,821,218
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 127,697 $ 215,715 $ 65,786 $ 150,665
Compensation of Trustees not members of the Investment Adviser's
organization (Note 2) 3,246 4,348 914 3,305
Custodian fee (Note 1G) 12,425 19,466 9,055 12,407
Legal and accounting services 18,800 21,907 17,864 19,411
Amortization of organization expenses (Note 1D) 897 1,288 -- 1,340
Miscellaneous 11,933 22,301 2,232 8,577
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses $ 174,998 $ 285,025 $ 95,851 $ 195,705
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income $1,354,784 $2,284,292 $ 707,226 $1,625,513
- -----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 413,119 $ 684,604 $ 123,726 $ 673,906
Financial futures contracts (632,175) (29,537) (143,002) (213,153)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments $ (219,056) $ 655,067 $ (19,276) $ 460,753
- -----------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $1,464,797 $3,100,308 $ 767,315 $1,697,940
Financial futures contracts (33,131) (531,133) (1,887) (130,794)
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation)
of investments $1,431,666 $2,569,175 $ 765,428 $1,567,146
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments $1,212,610 $3,224,242 $ 746,152 $2,027,899
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $2,567,394 $5,508,534 $1,453,378 $3,653,412
- -----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the Six Months Ended September 30, 1997
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
From operations --
Net investment income $ 995,306 $ 280,707 $ 2,131,988 $ 1,643,889 $ 347,337
Net realized gain (loss) on investments 76,624 (36,839) (666,927) (301,757) (127,025)
Net change in unrealized appreciation of
investments 1,019,309 316,332 2,500,901 1,845,163 426,848
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 2,091,239 $ 560,200 $ 3,965,962 $ 3,187,295 $ 647,160
- ----------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $10,035,694 $ 3,806,131 $ 21,958,853 $ 18,608,886 $ 6,338,402
Withdrawals (16,847,002) (5,984,721) (36,632,319) (29,301,197) (9,027,219)
- ----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from capital
transactions $(6,811,308) $(2,178,590) $(14,673,466) $(10,692,311) $ (2,688,817)
- ----------------------------------------------------------------------------------------------------------------------------------
Net decreas in net assets $(4,720,069) $(1,618,390) $(10,707,504) $ (7,505,016) $ (2,041,657)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
At beginning of period $43,194,441 $12,273,967 $ 92,909,192 $ 69,969,936 $ 14,996,432
- ----------------------------------------------------------------------------------------------------------------------------------
At end of period $38,474,372 $10,655,577 $ 82,201,688 $ 62,464,920 $12,954,775
- ----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the Six Months Ended September 30, 1997
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------------------
From operations --
<S> <C> <C> <C> <C>
Net investment income $ 1,354,784 $ 2,284,292 $ 707,226 $ 1,625,513
Net realized gain (loss) on
investments (219,056) 655,067 (19,276) 460,753
Net change in unrealized
appreciation of investments 1,431,666 2,569,175 765,428 1,567,146
- ---------------------------------------------------------------------------------------------------
Net increase in net assets from
operations $ 2,567,394 $ 5,508,534 $ 1,453,378 $ 3,653,412
- ---------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 14,795,412 $ 25,537,949 $ 11,400,618 $ 13,928,412
Withdrawals (24,458,099) (43,814,718) (14,232,870) (24,287,034)
- ---------------------------------------------------------------------------------------------------
Net decrease in net assets from
captial transactions $ (9,662,687) $(18,276,769) $ (2,832,252) $(10,358,622)
- ---------------------------------------------------------------------------------------------------
Net decrease in net assets $ (7,095,293) $(12,768,235) $ (1,378,874) $ (6,705,210)
- ---------------------------------------------------------------------------------------------------
Net Assets
- ---------------------------------------------------------------------------------------------------
At beginning of period $ 58,265,939 $100,013,748 $ 28,469,852 $ 67,875,607
- ---------------------------------------------------------------------------------------------------
At end of period $ 51,170,646 $ 87,245,513 $ 27,090,978 $ 61,170,397
- ---------------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the Year Ended March 31, 1997
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------
From operations --
<S> <C> <C> <C> <C> <C>
Net investment income $ 2,546,209 $ 701,646 $ 5,368,154 $ 4,105,048 $ 895,654
Net realized gain (loss)
on investments (146,427) 11,718 (345,920) (122,731) 196,256
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>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended March 31, 1997
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Increase (Decrease) in Net Assets Portfolio Portfolio Portfolio Portfolio
- -------------------------------------------------------------------------------------------------------
From operations --
<S> <C> <C> <C> <C>
Net investment income $ 3,451,147 $ 5,864,808 $ 1,601,381 $ 4,070,122
Net realized gain (loss) on
investments 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
- -------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Supplementary Data
California Limited Portfolio Connecticut Limited Portfolio
---------------------------------------------------- ------------------------------------------------------
Six Months Six Months
Ended Ended
September 30, Year Ended March 31, September 30 Year Ended March 31,
1997 ------------------------------------- 1997 ---------------------------------------
(Unaudited) 1997 1996 1995 1994* (Unaudited) 1997 1996 1995 1994**
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Expenses(1) 0.65%+ 0.63% 0.58% 0.53% 0.46%+ 0.64%+ 0.54% 0.39% 0.17% 0.00%+
Net expenses, after
custodian fee
reduction 0.63%+ 0.61% 0.55% -- -- 0.62%+ 0.50% 0.35% -- --
Net investment income 4.87%+ 4.98% 4.82% 4.72% 4.50%+ 4.91%+ 5.09% 4.91% 4.95% 4.53%+
Portfolio Turnover 28% 57% 36% 56% 6% 16% 46% 52% 73% 39%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000s omitted) $38,474 $43,194 $59,216 $82,344 $95,704 $10,656 $12,274 $14,862 $17,316 $16,767
- ----------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee and/or an allocation of expenses
to the Investment Adviser. Had such actions not been taken, the ratios would have been as follows:
Expenses(1) 0.52%+ 0.87%+ 0.78% 0.72% 0.67% 0.62%+
Expenses after custodian fee
reduction 0.85%+ 0.74% 0.68% -- --
Net investment income 4.44%+ 4.68%+ 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 ratio 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.
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Supplementary Data
Florida Limited Portfolio Massachusetts Limited Portfolio
------------------------------------------------------- -----------------------------------------------------
Six Months Six Months
Ended Ended
September 30, Year Ended March 31. September 30, Year Ended March 31,
1997 ---------------------------------------- 1997 --------------------------------------
(Unaudited) 1997 1996 1995 1994* (Unaudited) 1997 1996 1995 1994*
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Expenses(1) 0.60%+ 0.59% 0.55% 0.52% 0.49%+ 0.63%+ 0.60% 0.57% 0.54% 0.52%+
Net expenses, after
custodian fee
reduction 0.58%+ 0.57% 0.54% -- -- 0.61%+ 0.58% 0.55% -- --
Net investment income 4.88%+ 4.90% 4.73% 4.73% 4.53%+ 4.95%+ 4.97% 4.72% 4.90% 4.57%+
Portfolio Turnover 24% 66% 20% 44% 8% 26% 60% 27% 46% 8%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000s omitted) $82,202 $92,909 $127,835 $164,579 $185,977 $62,465 $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 ratio 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.
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Supplementary Data
Michigan Limited Portfolio New Jersey Limited Portfolio
---------------------------------------------------- -------------------------------------------------------
Six Months Six Months
Ended Year Ended March 31, Ended
September 30, Year Ended March 31, September 30, Year Ended March 31,
1997 ------------------------------------- 1997 ----------------------------------------
(Unaudited) 1997 1996 1995 1994* (Unaudited) 1997 1996 1995 1994**
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Expenses(1) 0.80%+ 0.79% 0.68% 0.48% 0.00%+ 0.65%+ 0.61% 0.57% 0.54% 0.54%+
Net expenses, after
custodian fee
reduction 0.77%+ 0.76% 0.64% -- -- 0.64%+ 0.58% 0.55% -- --
Net investment income 4.99%+ 5.09% 5.00% 4.88% 4.62%+ 4.94%+ 4.96% 4.78% 4.73% 4.53%+
Portfolio Turnover 12% 28% 40% 111% 30% 15% 37% 42% 44% 10%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000s omitted) $12,955 $14,996 $21,191 $33,198 $35,608 $51,171 $58,266 $80,173 $97,280 $102,948
- ----------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolios may reflect a reduction of the
investment adviser fee and/or an allocation of expenses to the Investment
Adviser. Had such actions not been taken, the ratios (as a percentage of
average daily net assets) 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 ratio 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.
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
Supplementary Data
New York Limited Portfolio Ohio Limited Portfolio
-------------------------------------------------------- ----------------------------------------------------
Six Months Six Months
Ended Ended
September 30, Year Ended March 31, September 30, Year Ended March 31,
1997 ----------------------------------------- 1997 -------------------------------------
(Unaudited) 1997 1996 1995 1994* (Unaudited) 1997 1996 1995 1994**
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets+
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Expenses(1) 0.62%+ 0.58% 0.55% 0.52% 0.47%+ 0.70%+ 0.68% 0.63% 0.46% 0.00%+
Net expenses, after
custodian fee
reduction 0.61%+ 0.56% 0.53% -- -- 0.69%+ 0.65% 0.61% -- --
Net investment income 4.87%+ 4.87% 4.66% 4.79% 4.50%+ 5.06%+ 5.20% 5.06% 4.96% 4.68%+
Portfolio Turnover 31% 58% 32% 31% 5% 17% 34% 47% 120% 33%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000s omitted) $87,246 $100,014 $138,728 $173,632 $183,768 $27,091 $28,470 $33,529 $39,435 $37,978
- ----------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolios 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 (as a percentage of average net assets) and net
investment income per share 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 ratio 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.
</TABLE>
See notes to financial statements
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Supplementary Data
Pennsylvania Limited Portfolio
-----------------------------------------------------------------------------------------
Six Months Ended Year Ended March 31,
September 30, 1997 -----------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994*
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses(1) 0.63%+ 0.61% 0.58% 0.53% 0.50%+
Net expenses, after custodian fee
reduction 0.61%+ 0.59% 0.56% -- --
Net investment income 5.05%+ 5.11% 4.81% 4.77% 4.59%+
Portfolio Turnover 29% 51% 24% 39% 12%
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $61,170 $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 ratio 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.
</TABLE>
See notes to financial statements
<PAGE>
Limited Maturity Municipals Portfolio as of September 30, 1997
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
- --------------------------------------------------------------------------------
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 Fund 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.
J Interim Financial Information -- The interim financial statements relating
to September 30, 1997 and for the six months then ended have not been
audited by independent certified public accountants, but in the opinion of
the Fund's management reflect all adjustments, consisting only of normal
recurring adjustments, necessary for the fair presentation of the financial
statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
------------------------------------------------------------------------------
The investment adviser fee is earned by Boston Management and Research
(BMR), a wholly-owned subsidiary of Eaton Vance Management (EVM), as
compensation for management and investment advisory services rendered to
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, 1997, each
Portfolio paid advisory fees as follows:
Portfolio Amount Effective Rate*
----------------------------------------------------------------------
California Limited $ 94,735 0.46%
Connecticut Limited $ 26,589 0.47%
Florida $201,818 0.46%
Massachusetts Limited $154,370 0.47%
Michigan Limited $ 32,856 0.47%
New Jersey Limited $127,697 0.47%
New York Limited $215,715 0.46%
Ohio $ 65,786 0.47%
Pennsylvania Limited $150,665 0.47%
----------------------------------------------------------------------
*Annualized
To enhance the net income of the Connecticut Limited Portfolio, BMR made a
reduction of its fee in the amount of $13,203.
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, 1997, 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 six months ended September 30, 1997 were
as follows:
<TABLE>
<CAPTION>
California Limited Portfolio Connecticut Limited Portfolio
---------------------------------------------------------------------------------------------------
<S> <C> <C>
Purchases $ 11,322,089 $ 1,833,663
Sales 16,081,768 3,588,554
<CAPTION>
Florida Limited Portfolio Massachusetts Limited Portfolio
---------------------------------------------------------------------------------------------------
<S> <C> <C>
Purchases $ 20,719,202 $ 16,563,082
Sales 34,916,974 26,189,363
<CAPTION>
Michigan Limited Portfolio New Jsersey Limited Portfolio
---------------------------------------------------------------------------------------------------
<S> <C> <C>
Purchases $ 1,598,564 $ 8,298,261
Sales 4,157,778 16,907,242
<CAPTION>
New York Limited Portfolio Ohio Limited Portfolio
---------------------------------------------------------------------------------------------------
<S> <C> <C>
Purchases $ 28,712,475 $ 4,621,017
Sales 42,802,297 5,551,996
<CAPTION>
Pennsylvania Limited Portfolio
---------------------------------------------------------------------------------------------------
<S> <C>
Purchases $ 18,408,086
Sales 23,690,089
---------------------------------------------------------------------------------------------------
</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, 1997, as computed on a
federal income tax basis, are as follows:
<TABLE>
<CAPTION>
California Limited Connecticut Limited
Portfolio Portfolio
--------------------------------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 37,438,471 $ 10,272,445
--------------------------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,813,648 $ 426,306
Gross unrealized depreciation (8,690) (1,096)
--------------------------------------------------------------------------------------------------
Net unrealized appreciation $ 1,804,958 $ 425,211
--------------------------------------------------------------------------------------------------
<CAPTION>
Florida Limited Massachusetts Limited
Portfolio Portfolio
--------------------------------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 77,729,712 $ 57,783,860
--------------------------------------------------------------------------------------------------
Gross unrealized appreciation $ 3,199,266 $ 2,682,840
Gross unrealized depreciation (7,870) (2,495)
--------------------------------------------------------------------------------------------------
Net unrealized appreciation $ 3,191,396 $ 2,680,345
--------------------------------------------------------------------------------------------------
<CAPTION>
Michigan Limited New Jersey Limited
Portfolio Portfolio
--------------------------------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 11,663,301 $ 48,296,307
--------------------------------------------------------------------------------------------------
Gross unrealized appreciation $ 832,998 $ 2,593,712
Gross unrealized depreciation -- (21,713)
--------------------------------------------------------------------------------------------------
Net unrealized appreciation $ 832,998 $ 2,571,999
--------------------------------------------------------------------------------------------------
<CAPTION>
New York Limited Ohio Limited
Portfolio Portfolio
--------------------------------------------------------------------------------------------------
<S> <C> <C>
Aggregate Cost $ 84,164,940 $ 26,423,054
--------------------------------------------------------------------------------------------------
Gross unrealized appreciation $ 3,213,007 $ 1,152,603
Gross unrealized depreciation -- --
--------------------------------------------------------------------------------------------------
Net realized appreciation $ 3,213,007 $ 1,152,603
--------------------------------------------------------------------------------------------------
<CAPTION>
Pennsylvania Limited
Portfolio
- -----------------------------------------------------------------------
<S> <C>
Aggregate Cost $ 60,582,610
- -----------------------------------------------------------------------
Gross unrealized appreciation $ 2,385,212
Gross unrealized depreciation (2,747)
- -----------------------------------------------------------------------
Net realized appreciation $ 2,382,465
- -----------------------------------------------------------------------
</TABLE>
5 Line of Credit
------------------------------------------------------------------------------
The Portfolios participate with other portfolios and funds managed by BMR
and EVM and its affiliates in a $120 million unsecured line of credit
agreement with a group of banks. The portfolio may temporarily borrow from
the line of credit to satisfy redemption requests or settle transactions.
Interest is charged to each portfolio or fund based on its borrowings at an
amount above the banks' adjusted certificate of deposit rate, Eurodollar
rate or federal funds rate. In addition, a fee computed at an annual rate of
.15% on the daily unused portion of the line of credit is allocated among
the participating portfolios and funds at the end of each quarter. At
September 30, 1997 the California Limited Portfolio, Florida Limited
Portfolio, Massachusetts Limited Portfolio, Michigan Limited Portfolio, New
Jersey Limited Portfolio, New York Limited Portfolio and Ohio Limited
Portfolio had a balance outstanding pursuant to this line of credit of
$167,000, $418,000, $409,000, $313,000, $479,000, $1,763,000 and $463,000,
respectively. The Portfolios did not have any significant borrowings or
allocated fees during the six months ended September 30, 1997.
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 September 30,
1997, were as follows:
<TABLE>
<CAPTION>
Limited Expiration Futures Net Unrealized
Portfolio Date Contracts Position Depreciation
------------------ ----------- ---------------- --------- --------------
<S> <C> <C> <C> <C>
California 12/97 24 U.S. Treasury Bonds Short $ 73,635
Florida 12/97 26 U.S. Treasury Bonds Short $ 41,281
Massachusetts 12/97 41 U.S. Treasury Bonds Short $ 66,297
Michigan 12/97 8 U.S. Treasury Bonds Short $ 12,926
New Jersey 12/97 16 U.S. Treasury Bonds Short $ 33,131
New York 12/97 51 U.S. Treasury Bonds Short $156,474
Ohio 12/97 2 U.S. Treasury Bonds Short $ 1,887
Pennsylvania 12/97 50 U.S. Treasury Bonds Short $130,794
</TABLE>
<PAGE>
Investment Advisor of the Limited
Maturity Tax Free Portfolios
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator of Limited Maturity Tax Free 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
Boston, MA 02110
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 Municipals Trust
24 Federal Street
Boston, MA 02110
