<PAGE>
Government Obligations Portfolio as of June 30, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
Mortgage Pass-Throughs -- 93.5%
<TABLE>
<CAPTION>
Principal
Amount
(000's omitted) Value
- ---------------------------------------------------------------------------
<S> <C> <C>
Federal Home Loan Mortgage Corp.:
4.50%, with maturity at 2000 $ 13 $ 12,637
4.75%, with various maturities to 2002 32 31,193
5.00%, with various maturities to 2003 425 414,446
5.25%, with various maturities to 2005 224 217,465
5.50%, with various maturities to 2011 852 831,565
5.75%, with maturity at 1998 10 10,265
6.00%, with various maturities to 2022 2,651 2,607,163
6.25%, with various maturities to 2013 690 679,971
6.50%, with various maturities to 2022 8,482 8,423,678
6.75%, with various maturities to 2011 7,017 6,997,732
7.00%, with various maturities to 2019 11,467 11,489,469
7.25%, with maturity at 2003 1,261 1,267,671
7.50%, with various maturities to 2020 15,747 15,943,168
7.75%, with various maturities to 2018 3,286 3,339,433
8.00%, with various maturities to 2026 20,836 21,379,026
8.25%, with various maturities to 2011 11,701 12,073,907
8.50%, with various maturities to 2024 22,729 23,650,174
8.75%, with various maturities to 2014 2,905 3,022,764
9.00%, with various maturities to 2020 9,003 9,528,889
9.25%, with various maturities to 2010 2,891 3,053,102
9.50%, with various maturities to 2016 1,046 1,109,069
10.00%, with various maturities to 2017 241 261,242
11.00%, with various maturities to 2019 2,078 2,328,397
12.00%, with various maturities to 2019 1,717 1,972,192
12.25%, with various maturities to 2019 3,176 3,667,119
12.50%, with various maturities to 2019 9,400 10,917,804
12.75%, with various maturities to 2015 1,312 1,528,041
13.00%, with various maturities to 2019 3,730 4,392,538
13.25%, with various maturities to 2019 371 439,958
13.50%, with various maturities to 2015 4,501 5,282,284
13.75%, with various maturities to 2014 50 58,662
14.00%, with various maturities to 2016 2,316 2,754,748
14.50%, with various maturities to 2014 224 268,284
14.75%, with maturity at 2010 779 929,820
15.00%, with various maturities to 2013 912 1,117,911
15.25%, with maturity at 2012 145 180,007
15.50%, with various maturities to 2012 190 232,340
16.00%, with various maturities to 2012 138 172,277
16.25%, with various maturities to 2012 217 271,629
- ---------------------------------------------------------------------------
$ 162,858,040
- ---------------------------------------------------------------------------
Federal National Mortgage Assn.:
0.25%, with maturity at 2014 $ 182 $ 153,729
3.50%, with maturity at 2007 121 112,133
4.50%, with maturity at 1999 4 4,405
5.00%, with various maturities to 2017 718 691,166
5.25%, with various maturities to 2006 $ 167 $ 159,961
5.50%, with various maturities to 2006 436 425,991
5.75%, with maturity at 2003 115 113,016
6.00%, with various maturities to 2010 16,274 15,982,596
6.25%, with various maturities to 2007 466 459,021
6.50%, with various maturities to 2017 1,232 1,217,448
6.75%, with various maturities to 2007 919 915,038
7.00%, with various maturities to 2018 5,989 5,992,597
7.25%, with various maturities to 2017 1,733 1,746,985
7.50%, with various maturities to 2020 11,358 11,518,152
7.75%, with various maturities to 2008 1,276 1,300,410
8.00%, with various maturities to 2019 32,032 32,932,507
8.25%, with various maturities to 2020 11,056 11,414,451
8.50%, with various maturities to 2020 17,199 17,887,057
8.75%, with various maturities to 2017 1,262 1,316,904
9.00%, with various maturities to 2020 8,111 8,576,712
9.25%, with various maturities to 2016 3,911 4,150,968
9.50%, with maturity at 2009 229 245,909
9.75%, with maturity at 2019 352 384,853
11.00%, with maturity at 2010 37 41,086
11.75%, with various maturities to 2015 1,939 2,228,340
12.00%, with various maturities to 2020 7,159 8,236,538
12.25%, with various maturities to 2015 3,234 3,770,118
12.50%, with various maturities to 2021 11,793 13,764,056
12.75%, with various maturities to 2014 1,585 1,861,132
13.00%, with various maturities to 2019 11,533 13,748,527
13.25%, with various maturities to 2015 2,014 2,386,684
13.50%, with various maturities to 2015 4,416 5,292,205
13.75%, with various maturities to 2014 161 192,954
14.00%, with various maturities to 2014 684 821,469
14.25%, with various maturities to 2014 293 357,819
14.50%, with various maturities to 2014 224 271,903
14.75%, with various maturities to 2012 3,729 4,605,602
15.00%, with various maturities to 2013 2,954 3,669,819
15.50%, with various maturities to 2012 894 1,112,763
15.75%, with maturity at 2011 27 34,511
16.00%, with various maturities to 2012 330 414,700
- ---------------------------------------------------------------------------
$ 180,512,235
- ---------------------------------------------------------------------------
Government National Mortgage Assn.:
5.50%, with maturity at 1999 $ 13 $ 13,299
6.50%, with various maturities to 2002 463 461,298
7.25%, with various maturities to 2022 3,839 3,889,390
7.50%, with maturity at 2017 973 998,937
8.00%, with various maturities to 2017 19,812 20,477,595
8.25%, with various maturities to 2008 479 497,455
8.50%, with various maturities to 2018 1,598 1,685,909
9.00%, with various maturities to 2016 5,099 5,423,565
11.50%, with maturity at 2013 339 387,665
12.00%, with various maturities to 2015 3,360 3,896,870
</TABLE>
See notes of financial statement
8
<PAGE>
Government Obligations Portfolio as of June 30, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Principal
Amount
(000's omitted) Value
- --------------------------------------------------------------------------------
<S> <C> <C>
12.50%, with various maturities to 2015 $1,797 $ 2,118,173
13.00%, with various maturities to 2014 1,134 1,351,592
13.50%, with various maturities to 2013 278 332,915
14.00%, with various maturities to 2015 161 196,731
14.50%, with various maturities to 2014 451 556,711
15.00%, with various maturities to 2013 632 790,796
16.00%, with various maturities to 2012 367 470,240
- --------------------------------------------------------------------------------
$43,549,141
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations:
Federal Home Loan Mtg. Corp.
Series 1188-GC, 7.5%, due 2019
Collateral 100% FHLMC PC $10,000 $10,110,930
Federal Home Loan Mtg. Corp.
Series B Class 3, 12.5%, due 2013
Collateral 100% FHLMC PC 180 206,138
Federal National Mtg. Association
Series 93-73E, 6.35%, due 2019
Collateral 100% FNMA MBS 3,000 2,933,904
Salomon Brothers Mortgage Securities II, Inc.:
11.50%, with maturity at 2015 1,404 1,542,031
- --------------------------------------------------------------------------------
$14,793,003
- --------------------------------------------------------------------------------
Total Mortgage Pass-Throughs
(identified cost, $398,405,795) $401,712,419
- --------------------------------------------------------------------------------
U.S. Treasury Obligations -- 17.8%
Principal
Amount
(000's omitted) Value
- --------------------------------------------------------------------------------
U.S. Treasury Bond, 7.125%, 2/15/23+ $ 6,000 $ 6,192,186
U.S. Treasury Bond, 12.000%, 8/15/13++ 50,000 70,445,300
- --------------------------------------------------------------------------------
Total U.S. Treasury Obligations
(identified cost, $67,368,568) $76,637,486
- --------------------------------------------------------------------------------
Short-Term Investments-- 1.0%
Principal
Amount
(000's omitted) Value
- --------------------------------------------------------------------------------
Banque National de Paris Euro Time-deposit
Cayman Island, 5.750%, 7/01/97 $ 4,200 $ 4,200,000
- --------------------------------------------------------------------------------
Total Short-Term Investments
(identified cost, $4,200,000) $ 4,200,000
- --------------------------------------------------------------------------------
Total Investments -- 112.3%
(identified cost $469,974,363) $482,549,905
- --------------------------------------------------------------------------------
Other Assets, Less Liabilities -- (12.3)% $(52,784,637)
- --------------------------------------------------------------------------------
Net Assets -- 100% $429,765,268
- --------------------------------------------------------------------------------
</TABLE>
+ Security has been pledged as collateral for futures contracts.
++ Security has been pledged as collateral for securities lending.
See notes to financial statements
9
<PAGE>
Government Obligations Portfolio as of June 30, 1997
FINANCIAL STATEMENTS (Unaudited)
Statement of Assets and Liabilities
As of June 30, 1997
<TABLE>
<CAPTION>
Assets
- -------------------------------------------------------------------------------
<S> <C>
Investments, at value (Note 1A)
(identified cost, $469,974,363) $482,549,905
Cash 71,452
Receivable for Investments sold 927,067
Interest receivable 5,625,320
Receivable for variation margin on open
financial futures contracts (Note 1G) 249,996
Deferred organization expenses (Note 1H) 5,062
- -------------------------------------------------------------------------------
Total assets $489,428,802
- -------------------------------------------------------------------------------
Liabilities
- -------------------------------------------------------------------------------
Liability for collateral received for
securities loaned (Note 5) $ 59,619,200
Payable to affiliate -
Trustees' fees 4,948
Accrued expenses 39,386
- -------------------------------------------------------------------------------
Total liabilities $ 59,663,534
- -------------------------------------------------------------------------------
Net Assets applicable to investors' interest $429,765,268
in Portfolio
- -------------------------------------------------------------------------------
Sources of Net Assets
- -------------------------------------------------------------------------------
Net proceeds from capital contributions and
withdrawals $418,203,460
Net unrealized appreciation of investments
(computed on the basis of identified cost) 11,561,808
- -------------------------------------------------------------------------------
Total $429,765,268
- -------------------------------------------------------------------------------
Statement of Operations
For the Six Months Ended
June 30, 1997
Investment Income
- -------------------------------------------------------------------------------
Interest Income $ 19,517,411
- -------------------------------------------------------------------------------
Total income $ 19,517,411
- -------------------------------------------------------------------------------
Expenses
- -------------------------------------------------------------------------------
Investment adviser fee (Note 3) $ 1,658,818
Compensation of Trustees not members of the
Investment Adviser's organization (Note 3) 9,818
Custodian fee 103,395
Legal and accounting services 18,674
Amortization of organization expenses (Note 1H) 1,890
Miscellaneous 34,028
- -------------------------------------------------------------------------------
Total expenses $ 1,826,623
- -------------------------------------------------------------------------------
Net investment income $ 17,690,788
- -------------------------------------------------------------------------------
Realized and Unrealized
Gain (Loss) on Investments
- -------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (2,125,932)
Financial futures contracts 1,938,263
- -------------------------------------------------------------------------------
Net realized loss on investments $ (187,669)
- -------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ (2,633,804)
Financial futures contracts (1,888,943)
- -------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $ (4,522,747)
- -------------------------------------------------------------------------------
Net realized and unrealized loss on investments $ (4,710,416)
- -------------------------------------------------------------------------------
Net increase in net assets from operations $ 12,980,372
- -------------------------------------------------------------------------------
</TABLE>
See Notes to financial statements
10
<PAGE>
Government Obligations Portfolio as of June 30, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Six Months Ended
Increase (Decrease) June 30, 1997 Year Ended
in Net Assets (Unaudited) December 31, 1996
- ------------------------------------------------------------------------------
<S> <C> <C>
From operations --
Net investment income $ 17,690,788 $ 37,858,369
Net realized loss on investments (187,669) (5,404,267)
Net change in unrealized
appreciation (depreciation) (4,522,747) (10,812,405)
- -------------------------------------------------------------------------------
Net increase in net assets
from operations $ 12,980,372 $ 21,641,697
- -------------------------------------------------------------------------------
Capital transactions --
Contributions $ 77,668,092 $ 66,333,513
Withdrawals (116,405,744) (154,241,567)
- -------------------------------------------------------------------------------
Net decrease in net assets from
capital transactions $ (38,737,652) $ (87,908,054)
- -------------------------------------------------------------------------------
Net decrease in net assets $ (25,757,280) $ (66,266,357)
- -------------------------------------------------------------------------------
Net Assets
- -------------------------------------------------------------------------------
At beginning of period $455,522,548 $521,788,905
- -------------------------------------------------------------------------------
At end of period $429,765,268 $455,522,548
- -------------------------------------------------------------------------------
</TABLE>
See notes for Financial statements
11
<PAGE>
Government Obligations Portfolio as of June 30, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 1997 YEAR ENDED DECEMBER 31,
---------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993*
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average daily net assets
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses 0.83%+ 0.83% 0.84% 0.81% 0.87%+
Net investment income 8.07%+ 7.88% 7.82% 8.03% 8.46%+
Portfolio Turnover 4% 11% 19% 35% 42%
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000s omitted) $429,765 $455,523 $521,789 $515,670 $537,297
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* For the period from the start of business, October 28, 1993, to December 31,
1993.
+ Annualized.
See notes to financial statements
12
<PAGE>
Government Obligations Portfolio as of June 30, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
----------------------------------------------------------------------------
Government Obligations Portfolio (the Portfolio) is registered under the
Investment Company Act of 1940 as a diversified open-end investment company
which was organized as a trust under the laws of the State of New York in
1992. The Declaration of Trust permits the Trustees to issue beneficial
interests in the Portfolio. The following is a summary of significant
accounting policies of the Portfolio. The policies are in conformity with
generally accepted accounting principles.
A Investment Valuation -- Mortgage backed, "pass-through" securities are
valued using a matrix pricing system which takes into account closing bond
valuations, yield differentials, anticipated prepayments, and interest
rates. Debt securities (other than mortgage backed, "pass-through"
securities) are normally valued at the mean between the latest available bid
and asked prices for securities for which the over-the-counter market is the
primary market. Debt securities may also be valued on the basis of
valuations furnished by a pricing service. Options are valued at last sale
price on a U.S. exchange or board of trade or, in the absence of a sale, at
the mean between the last bid and asked price. Financial futures contracts
listed on commodity exchanges are valued at closing settlement prices.
Securities for which there is no such quotation or valuation are valued at
fair value using methods determined in good faith by or at the direction of
the Trustees. Short-term obligations having remaining maturities of less
than 60 days are valued at amortized cost, which approximates value.
B Income -- Interest income is determined on the basis of interest accrued
and discount earned, adjusted for amortization of discount when required for
federal income tax purposes.
C Gains and Losses From Security Transactions -- For book purposes, gains or
losses are not recognized until disposition. For federal tax purposes, the
Portfolio has elected, under Section 1092 of the Internal Revenue Code, to
utilize mixed straddle accounting for certain designated classes of
activities involving options and financial futures contracts in determining
recognized gains or losses. Under this method, Section 1256 positions
(financial futures contracts and options on investments or financial futures
contracts) and non-Section 1256 positions (bonds, etc.) are marked-to market
on a daily basis resulting in the recognition of taxable gains or losses on
a daily basis. Such gains or losses are categorized as short-term or
long-term based on aggregation rules provided in the Code.
D Income Taxes -- The Portfolio is treated as a partnership for federal tax
purposes. No provision is made by the Portfolio for federal or state taxes
on any taxable income of the Portfolio because each investor in the
Portfolio is ultimately responsible for the payment of any taxes. Since some
of the Portfolio's investors are regulated investment companies that invest
all or substantially all of their assets in the Portfolio, the Portfolio
normally must satisfy the applicable source of income and diversification
requirements (under the Code) in order for its investors to satisfy them.
The Portfolio will allocate at least annually among its investors each
investors' distributive share of the Portfolio's net investment income, net
realized capital gains, and any other items of income, gain, loss, deduction
or credit.
E Written Options -- Upon the writing of a call or a put option, an amount
equal to the premium received by the Portfolio is included in the Statement
of Assets and Liabilities as a liability. The amount of the liability is
subsequently marked-to-market to reflect the current value of the option
written in accordance with the Portfolio's policies on investment valuations
discussed above. Premiums received from writing options which expire are
treated as realized gains. Premiums received from writing options which are
exercised or are closed are added to or offset against the proceeds or
amount paid on the transaction to determine the realized gain or loss. If a
put option is exercised, the premium reduces the cost basis of the
securities purchased by the Portfolio. The Portfolio, as writer of an
option, may have no control over whether the underlying securities may be
sold (call) or purchased (put) and, as a result, bears the market risk of an
unfavorable change in the price of the securities underlying the written
option.
F Purchased Options -- Upon the purchase of a call or put option, the
premium paid by the Portfolio is included in the Statement of Assets and
Liabilities as an investment. The amount of the investment is subsequently
marked-to-market to reflect the current market value of the option
purchased, in accordance with the Portfolio's policies on investment
valuations discussed above. If an option which the Portfolio has purchased
expires on the stipulated expiration date, the Portfolio will realize a loss
in the amount of the cost of the option. If the Portfolio enters into a
closing sale transaction, the Portfolio will realize a gain or loss,
depending on whether the sales proceeds from the closing sale transaction
are greater or less than the cost of the option. If a Portfolio exercises a
put option, it will realize a gain or loss from the sale of the underlying
13
<PAGE>
security, and the proceeds from such sale will be decreased by the premium
originally paid. If the Portfolio exercises a call option, the cost of the
security which the Portfolio purchases upon exercise will be increased by
the premium originally paid. For tax purposes, the Portfolio's options are
generally subject to the mixed straddle rules described in Note IC, and
unrealized gains or losses are recognized on a daily basis.
G Financial Futures Contracts -- Upon entering into a financial futures
contract, the Portfolio is required to deposit an amount ("initial margin")
either in cash or securities equal to a certain percentage of the purchase
price indicated in the financial futures contract. Subsequent payments are
made or received by the Portfolio ("margin maintenance") each day, dependent
on the daily fluctuations in the value of the underlying securities, and are
recorded for book purposes as unrealized gains or losses by the Portfolio.
If the Portfolio enters into a closing transaction, the Portfolio will
realize, for book purposes, a gain or loss equal to the difference between
the value of the financial futures contract to sell and the financial
futures contract to buy. The Portfolio's investment in financial futures
contracts is designed only to hedge against anticipated future changes in
interest or currency exchange rates. Should interest or currency exchange
rates move unexpectedly, the Portfolio may not achieve the anticipated
benefits of the financial futures contracts and may realize a loss. For tax
purposes, such futures contracts are generally subject to the mixed straddle
rules described in Note IC, and unrealized gains or losses are recognized on
a daily basis.
H Deferred Organization Expenses -- Costs incurred by the Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
I Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolio. Pursuant to the custodian agreement, IBT
receives a fee reduced by the credits which are determined based on the
average cash balances the Portfolio maintains with IBT. All significant
credit balances used to reduce the Portfolio's custodian fees are reflected
as a reduction of operating expense on the statement of operations.
J Other -- Investment transactions are accounted for on the date the
investments are purchased or sold.
K Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts
of income and expense during the reporting period. Actual results could
differ from those estimates.
L Interim Financial Information -- The interim financial statements relating
to June 30, 1997 and the six month period 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 Purchases and Sales of Investments
----------------------------------------------------------------------------
Purchases, sales and paydowns of investments, other than short-term
obligations, aggregated $19,589,772, $4,035,404 and $41,353,683,
respectively.
3 Investment Adviser Fee and Other Transactions with Affiliates
----------------------------------------------------------------------------
The investment adviser fee, computed at the monthly rate of 0.0625% (0.75%
per annum) of the Portfolio's average daily net assets up to $500 million
and at reduced rates as daily net assets exceed that level, is earned by
Boston Management and Research (BMR), a wholly-owned subsidiary of Eaton
Vance Management (EVM), as compensation for management and investment
advisory services rendered to the Portfolio. For the six months ended June
30, 1997, the fee was equivalent to 0.75% (annualized) of the Portfolio's
average net assets for such period and amounted to $1,658,818. Except as to
Trustees of the Portfolio who are not members of EVM's or BMR's
organization, officers and Trustees receive remuneration for their services
to the Portfolio out of such investment adviser fee. Certain of the officers
and Trustees of the Portfolio are officers and directors/trustees of the
above organizations. Trustees of the Portfolio that are not affiliated with
the Investment Adviser may elect to defer receipt of all or a percentage of
their annual fees in accordance with the terms of the Trustees Deferred
Compensation Plan. For the six months ended June 30, 1997, no significant
amounts have been deferred.
14
<PAGE>
Government Obligations Portfolio as of June 30, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) Cont'd
4 Line of Credit
----------------------------------------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR
and EVM and its affiliates in a committed $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 investment
transactions. Interest is charged to each portfolio or fund based on its
borrowings at an amount above the bank's adjusted certificate of deposit
rate, eurodollar rate or federal funds rate. In addition, a fee computed at
an annual rate of 0.15% on the daily unused portion of the line of credit is
allocated among the participating Portfolios and funds at the end of each
quarter. The average daily loan balance was $361,685 and the average
interest rate was 4.2%. The maximum borrowing outstanding at any time during
the six months ended June 30, 1997 was $3,621,000.
5 Securities Lending Agreement
----------------------------------------------------------------------------
The Portfolio has established a securities lending agreement with a broker
in which the Portfolio lends portfolio securities to the broker in exchange
for collateral consisting of either cash or U.S. government securities.
Under the agreement, the Portfolio continues to earn interest on the
securities loaned. If the collateral received is U.S. government securities,
the Portfolio will also receive from the broker an additional loan premium
fee computed as a varying percentage of the market value of the securities
loaned. If the collateral received is cash, the Portfolio may invest the
cash and receive any interest on the amount invested but it must also pay
the broker a loan rebate fee computed as a varying percentage of the
collateral received. The Portfolio did not receive any loan premium fee
during the six months ended June 30, 1997. The loan rebate fee paid by the
Fund offsets a portion of the interest income received. At June 30, 1997,
the value of the securities loaned and the value of the collateral amounted
to $56,356,240 and $59,619,200, respectively.
6 Federal Income Tax Basis of Investments
----------------------------------------------------------------------------
The cost and unrealized appreciation/depreciation in value of the investment
securities owned at June 30, 1997, as computed on a federal income tax
basis, were as follows:
<TABLE>
<CAPTION>
<S> <C>
Aggregate cost $ 480,811,297
--------------------------------------------------------------
Gross unrealized appreciation $ 6,576,758
Gross unrealized depreciation (4,838,150)
--------------------------------------------------------------
Net unrealized appreciation $ 1,738,608
--------------------------------------------------------------
</TABLE>
7 Financial Instruments
----------------------------------------------------------------------------
The Portfolio regularly trades in financial instruments with off-balance
sheet risk in the normal course of its investing activities to assist in
managing exposure to various market risks. These financial instruments
include written options, forward foreign currency exchange contracts, and
financial futures contracts and may involve, to a varying degree, elements
of risk in excess of the amounts recognized for financial statement
purposes. The notional or contractual amounts of these instruments represent
the investment the Fund 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 June 30, 1997
is as follows:
<TABLE>
<CAPTION>
Futures Contracts
----------------------------------------------------------------------------
Expiration Net Unrealized
Date Contracts Position Depreciation
----------------------------------------------------------------------------
<S> <C> <C> <C>
9/97 1000 U.S. Treasury Five
Year Note Futures Short $ (1,013,734)
----------------------------------------------------------------------------
$ (1,013,734)
----------------------------------------------------------------------------
</TABLE>
At June 30, 1997, the Portfolio had sufficient cash and/or securities to
cover margin requirements on any open futures contracts.
15
<PAGE>
EV Government Obligations Portfolio as of June 30, 1997
INVESTMENT MANAGEMENT
Government Obligations Portfolio
Officers Independent Trustees
M. Dozier Gardner Donald R. Dwight
President President, Dwight Partners, Inc.
Chairman, Newspapers of
James B. Hawkes New England, Inc.
Vice President and Trustee
Samuel L. Hayes, III
Susan Schiff Jacob H. Schiff Professor of
Vice President and Investment Banking, Harvard
Portfolio Manager University Graduate School of
Business Administration
Mark S. Venezia
Vice President Norton H. Reamer
President and Director,
James L. O'Connor United Asset
Treasurer Management Corporation
Alan R. Dynner John L. Thorndike
Secretary Formerly Director, Fiduciary
Company Incorporated
Jack L. Treynor
Investment Adviser and
Consultant
16
