<PAGE>
The Eaton Vance Mutual Funds Trust
For the Government Obligations Portfolio
[LOGO]
Annual Shareholder Report
December 31, 1996
INVESTMENT ADVISER OF
GOVERNMENT OBLIGATIONS PORTFOLIO
Boston Management and Research
24 Federal Street
Boston, MA 02110
ADMINISTRATOR OF EV
GOVERNMENT OBLIGATIONS FUND
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
89 South Street
P.O. Box 1537
Boston, MA 02205-1537
TRANSFER AGENT
First Data Investor Services Group
Attn: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
(800) 262-1122
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, MA 02109
<PAGE>
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GOVERNMENT OBLIGATIONS PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
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MORTGAGE PASS-THROUGHS - 94.6%
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PRINCIPAL AMOUNT VALUE
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<C> <C> <C>
FEDERAL HOME LOAN MORTGAGE CORP. PARTICIPATION CERTIFICATES:
4.5s, with maturity at 2000 $ 35,225 $ 34,816
4.75s, with various maturities to 2002 39,531 38,213
5s, with various maturities to 2003 547,008 532,289
5.25s, with various maturities to 2005 280,440 273,764
5.5s, with various maturities to 2011 1,116,871 1,095,819
5.75s, with maturity at 1998 30,394 30,073
6s, with various maturities to 2022 3,266,400 3,215,535
6.25s, with various maturities to 2013 784,719 774,897
6.5s, with various maturities to 2022 9,774,620 9,731,201
6.75s, with various maturities to 2011 8,194,090 8,215,112
7s, with various maturities to 2019 13,231,084 13,318,106
7.25s, with maturity at 2003 1,436,984 1,459,947
7.5s, with various maturities to 2019 16,610,037 16,930,917
7.75s, with various maturities to 2018 3,644,609 3,728,701
8s, with various maturities to 2026 23,387,702 24,127,801
8.25s, with various maturities to 2011 12,739,769 13,248,009
8.5s, with various maturities to 2024 25,553,426 26,697,207
8.75s, with various maturities to 2014 3,198,806 3,355,347
9s, with various maturities to 2020 9,971,101 10,567,262
9.25s, with various maturities to 2010 3,226,416 3,421,127
9.5s, with various maturities to 2016 1,093,634 1,164,516
10s, with various maturities to 2017 247,677 266,754
11s, with various maturities to 2019 2,283,131 2,546,899
12s, with various maturities to 2019 1,849,311 2,114,257
12.25s, with various maturities to 2019 3,546,507 4,089,878
12.5, with various maturities to 2019 10,553,673 12,181,759
12.75s, with various maturities to 2015 1,481,400 1,710,764
13s, with various maturities to 2019 4,194,140 4,902,034
13.25s, with various maturities to 2019 433,304 511,765
13.5s, with various maturities to 2015 5,138,048 6,015,469
13.75s, with various maturities to 2014 77,914 91,992
14s, with various maturities to 2016 2,601,177 3,097,983
14.5s, with various maturities to 2014 251,426 302,092
14.75s, with maturity at 2010 869,896 1,041,387
15s, with various maturities to 2013 1,011,363 1,243,920
15.25s, with maturity at 2012 146,326 182,021
15.5s, with various maturities to 2012 221,729 272,442
16s, with various maturities to 2012 193,676 243,438
16.25s, with various maturities to 2012 246,354 309,693
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$183,085,206
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FEDERAL NATIONAL MORTGAGE ASSOCIATION MORTGAGE BACKED SECURITIES:
0.25s, with maturity at 2014 $ 215,021 $ 177,975
3.5s, with maturity at 2007 135,951 124,573
4.5s, with maturity at 1999 6,754 6,608
5s, with various maturities to 2017 918,091 881,079
5.25s, with various maturities to 2006 223,879 216,518
5.5s, with various maturities to 2006 641,584 631,116
5.75s, with maturity at 2003 150,934 148,870
6s, with various maturities to 2010 18,589,538 18,320,436
6.25s, with various maturities to 2007 531,751 526,670
6.5s, with various maturities to 2017 1,489,920 1,475,444
6.75s, with various maturities to 2007 1,036,908 1,037,932
7s, with various maturities to 2018 6,678,466 6,723,125
7.25s, with various maturities to 2017 1,954,005 1,978,161
7.5s, with various maturities to 2020 10,968,264 11,159,894
7.75s, with various maturities to 2008 1,457,637 1,496,350
8s, with various maturities to 2019 30,533,382 31,514,234
8.25s, with various maturities to 2020 12,223,103 12,709,460
8.5s, with various maturities to 2020 19,216,638 20,096,336
8.75s, with various maturities to 2017 1,376,416 1,451,580
9s, with various maturities to 2020 8,904,329 9,447,509
9.25s, with maturity to 2016 4,229,220 4,499,458
9.5s, with maturity at 2009 281,865 303,415
9.75s, with maturity at 2019 383,565 416,656
11s, with maturity at 2010 37,491 41,723
11.75s, with various maturities to 2015 2,188,895 2,504,862
12s, with various maturities to 2020 5,636,192 6,444,271
12.25s, with maturity at 2015 3,641,106 4,219,800
12.5s, with various maturities to 2021 9,134,110 10,567,797
12.75s, with various maturities to 2014 1,664,462 1,943,091
13s, with various maturities to 2019 9,229,912 10,819,747
13.25s, with various maturities to 2015 2,182,297 2,585,350
13.5s, with various maturities to 2015 3,699,675 4,408,069
13.75s, with various maturities to 2014 179,000 214,745
14s, with various maturities to 2014 758,379 912,472
14.25s, with various maturities to 2014 296,106 360,647
14.5s, with various maturities to 2014 231,794 281,183
14.75s, with maturity at 2012 4,111,887 5,002,898
15s, with various maturities to 2013 3,311,144 4,063,568
15.5s, with maturity at 2012 999,905 1,247,024
15.75s, with maturity at 2011 31,307 39,074
16s, with maturity at 2012 378,790 477,810
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$181,477,530
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GOVERNMENT NATIONAL MORTGAGE ASSOCIATION MORTGAGE BACKED SECURITIES:
5.5s, with maturity at 1999 $ 30,221 $ 29,949
6.5s, with various maturities to 2002 524,161 523,776
7.25s, with various maturities to 2022 4,237,361 4,285,295
7.5s, with maturity at 2017 1,038,880 1,063,014
8s, with various maturities to 2017 21,249,564 22,055,520
8.25s, with various maturities to 2008 547,870 572,399
8.5s, with various maturities to 2018 4,546,019 4,813,879
9s, with various maturities to 2016 5,524,433 5,880,891
11.5s, with maturity at 2013 409,896 465,957
12s, with various maturities to 2015 3,673,527 4,243,592
12.5s, with various maturities to 2015 2,072,039 2,429,837
13s, with various maturities to 2014 1,286,371 1,526,110
13.5s, with various maturities to 2013 350,251 417,217
14s, with various maturities to 2015 208,747 252,203
14.5s, with various maturities to 2014 509,854 623,099
15s, with various maturities to 2013 827,445 1,022,294
16s, with various maturities to 2012 412,808 522,846
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$ 50,727,878
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COLLATERALIZED MORTGAGE OBLIGATIONS:
Federal Home Loan Mtg. Corp.
Series 1188-GC, 7.5%, due 2019, Collateral 100% FHLMC PC $10,000,000 $ 10,120,310
Federal Home Loan Mtg. Corp.
Series B Class 3, 12.5%, due 2013,
Collateral 100% FHLMC PC 195,131 225,620
Federal National Mtg. Association
Series 93-73E, 6.35%, due 2019
Collateral 100% FNMA MBS 3,000,000 2,936,250
Guaranteed Mtg. Corp. III Series H2, 9% due 2015, Collateral
100% FNMA MBS 562,561 559,397
Salomon Brothers Mortgage Securities II,
Inc. Series III, Class Z, 11.50%, due 2015 Collateral 100%
GNMA/FNMA MBS 1,583,123 1,728,572
------------
$ 15,570,149
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TOTAL MORTGAGE PASS-THROUGHS
(identified cost, $426,094,126) $430,860,763
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<CAPTION>
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UNITED STATES TREASURY BONDS - 17.1%
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PRINCIPAL AMOUNT VALUE
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<S> <C> <C>
U.S. Treasury Bond, 12s, 8/15/13++ $50,000,000 $ 71,546,900
U.S. Treasury Bond, 7.125s, 2/15/23+ 6,000,000 6,264,378
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TOTAL UNITED STATES TREASURY BONDS
(identified cost, $67,368,569) $ 77,811,278
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<CAPTION>
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SHORT-TERM INVESTMENTS - 0.1%
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
Banque National de Paris Cayman Time-Deposit, 5.625%, 1/2/97
at value $ 400,000 $ 400,000
------------
TOTAL INVESTMENTS - 111.8%
(identified cost, $493,862,695) $509,072,041
OTHER ASSETS, LESS LIABILITIES - (11.8%) (53,549,493)
------------
NET ASSETS - 100% $455,522,548
============
+Collateral for financial futures contracts held at December 31, 1996 (See Note 7).
++A portion of this security is on loan at December 31, 1996 (See Note 5).
</TABLE>
The accompanying notes are an integral part of the financial statements
<PAGE>
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FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
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December 31, 1996
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ASSETS:
Investments, at value (Note 1A) (identified cost,
$493,862,695) $509,072,041
Cash 47,120
Receivable for daily variation margin on open
financial futures contracts (Note 1G) 296,089
Receivable for investments sold 869,574
Interest receivable 5,903,903
Deferred organization expenses (Note 1H) 6,952
------------
Total assets $516,195,679
LIABILITIES:
Liability for collateral received for securities
loaned (Note 5) $60,639,200
Payable to affiliate --
Trustees' fees 4,796
Accrued expenses 29,135
-----------
Total liabilities 60,673,131
------------
NET ASSETS applicable to investors' interest
in Portfolio $455,522,548
============
SOURCES OF NET ASSETS:
Net proceeds from capital contributions and
withdrawals $439,437,993
Unrealized appreciation of investments and
financial futures contracts (computed on
the basis of identified cost) 16,084,555
------------
Total net assets $455,522,548
============
The accompanying notes are an integral part of the financial statements
<PAGE>
STATEMENT OF OPERATIONS
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For the Year Ended December 31, 1996
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INVESTMENT INCOME:
Interest income - $ 45,154,049
Expenses --
Investment adviser fee (Note 3) $ 3,603,385
Compensation of Trustees not members of the
Administrator's organization (Note 3) 19,573
Custodian fee 225,407
Interest (Note 5) 3,363,924
Legal and accounting services 45,052
Amortization of organization expenses
(Note 1H) 3,821
Miscellaneous 34,518
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Total expenses 7,295,680
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Net investment income $ 37,858,369
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REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized loss (identified cost basis) --
Investment transactions $(4,975,414)
Financial futures contracts (428,853)
-----------
Net realized loss on investments $(5,404,267)
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $(12,261,683)
Financial futures contracts 1,449,278
-----------
Net unrealized appreciation of investments $(10,812,405)
------------
Net realized and unrealized loss on
investments $(16,216,672)
------------
Net increase in net assets from operations $ 21,641,697
============
The accompanying notes are an integral part of the financial statements
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
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YEAR ENDED DECEMBER 31,
--------------------------------
1996 1995
---- ----
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
From operations --
Net investment income $ 37,858,369 $ 41,114,428
Net realized loss on investments (5,404,267) (15,704,668)
Change in unrealized appreciation (depreciation) of investments (10,812,405) 44,867,799
------------ --------------
Net increase in net assets from operations $ 21,641,697 $ 70,277,559
------------ --------------
Capital transactions --
Contributions $ 66,333,513 $ 95,964,004
Withdrawals (154,241,567) (160,122,171)
------------ --------------
Decrease in net assets resulting from capital transactions $(87,908,054) $ (64,158,167)
------------ --------------
Total increase (decrease) in net assets $(66,266,357) $ 6,119,392
NET ASSETS:
At beginning of year 521,788,905 515,669,513
------------ --------------
At end of year $455,522,548 $ 521,788,905
============ ==============
<CAPTION>
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SUPPLEMENTARY DATA
- ---------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------
1996 1995 1994 1993*
------ ------ ------ ------
<S> <C> <C> <C> <C>
RATIOS (As a percentage of net assets):
Interest expense 0.70% 0.71% 0.56% 0.63%+
Other expenses 0.82% 0.82% 0.80% 0.86%+
Net investment income 7.88% 7.82% 8.03% 8.46%+
PORTFOLIO TURNOVER 11% 19% 35% 42%
LEVERAGE ANALYSIS:
Amount of debt outstanding at end of year (000 omitted) $ -- $3,835 $3,924 $ --
Average daily balance of debt outstanding during period
(000 omitted) $ 550 $1,067 $ 982 $1,660
+Computed on an annualized basis.
*For the period from the start of business, October 28, 1993, to December 31, 1993.
</TABLE>
The accompanying notes are an integral part of the financial statements
<PAGE>
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NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
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(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 VALUATIONS -- 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 the Portfolio
exercises a put option, it will realize a gain or loss from the sale of the
underlying 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 1C, 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 1C, 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 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 expenses 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.
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(2) PURCHASES AND SALES OF INVESTMENTS
Purchases, sales and paydowns of investments, other than short-term obligations,
aggregrated $54,853,826, $16,095,500, and $96,080,407, respectively.
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(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 year ended December 31, 1996, the
fee was equivalent to 0.75% of the Portfolio's average net assets for such
period and amounted to $3,603,385. 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 service 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 year ended December 31, 1996, no
significant amounts have been deferred.
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(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 banks' 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 for the year ended December 31, 1996 was $549,560 and the average
interest rate was 6.79%. The maximum borrowing outstanding at any time during
the year ended December 31, 1996, was $6,289,000.
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(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 year ended December 31, 1996, but did
incur $3,326,488 of loan rebate fees which have been included in interest
expense. The income received on the investments related to the cash collateral
is included in interest income. The maximum and average liability for cash
collateral received for securities loaned at any month end during the year ended
December 31, 1996, were $72,636,000 and $61,900,000, respectively.
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(6) FEDERAL INCOME TAX BASIS OF INVESTMENT
The cost and unrealized appreciation/depreciation in the value of investment
securities owned at December 31, 1996, as computed on a federal income tax
basis, were as follows:
Aggregate cost $505,872,878
============
Gross unrealized appreciation $ 7,721,490
Gross unrealized depreciation 4,522,202
------------
Net unrealized appreciation $ 3,199,288
============
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(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 December 31,
1996 is as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACT NET UNREALIZED
EXPIRATION DATE CONTRACTS POSITION APPRECIATION
--------------- --------- -------- ------------
<S> <C> <C> <C> <C>
3/97 425 U.S. Treasury Five Year Note Futures Short $615,134
3/97 50 U.S. Treasury Long Bond Futures Short 162,213
4/97 100 U.S. Treasury Two Year Note Futures Short 97,862
--------
$875,209
========
</TABLE>
At December 31, 1996, the Portfolio had sufficient cash and/or securities to
cover margin requirements on any open futures contracts.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
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TO THE BOARD OF TRUSTEES AND INVESTORS OF
GOVERNMENT OBLIGATIONS PORTFOLIO:
We have audited the accompanying statement of assets and liabilities of
Government Obligations Portfolio, including the portfolio of investments, as
of December 31, 1996, and the related statement of operations for the year
then ended, the statements of changes in net assets for the two years then
ended, and the supplementary data for the three years then ended and for the
period from October 28, 1993 (start of business), to December 31, 1993. These
financial statements and supplementary data are the responsibility of the
Portfolio's management. Our responsibility is to express an opinion on these
financial statements and supplementary data based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
supplementary data are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned as of December 31, 1996 by correspondence with the custodian and
brokers. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and supplementary data referred to
above present fairly, in all material respects, the financial position of
Government Obligations Portfolio as of December 31, 1996, the results of its
operations for the year then ended, the changes in its net assets for the two
years then ended, and the supplementary data for the three years then ended
and for the period from October 28, 1993 (start of business) to December 31,
1993, in conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
BOSTON, MASSACHUSETTS
JANUARY 31, 1997
<PAGE>
INVESTMENT MANAGEMENT FOR GOVERNMENT OBLIGATIONS PORTFOLIO
-----------------------------------------------------------
GOVERNMENT OFFICERS
OBLIGATIONS TRUSTEES
PORTFOLIO M. DOZIER GARDNER
24 Federal Street President, Trustee DONALD R. DWIGHT
Boston, MA 02110 President, Dwight Partners, Inc.
JAMES B. HAWKES Chairman, Newspapers of
Vice President, Trustee New England, Inc.
SUSAN SCHIFF SAMUEL L. HAYES, III
Vice President and Jacob H. Schiff Professor of
Portfolio Manager Investment Banking, Harvard
University Graduate School of
MARK S. VENEZIA Business Administration
Vice President
NORTON H. REAMER
JAMES L. O'CONNOR President and Director,
Treasurer United Asset Management
Corporation
THOMAS OTIS
Secretary JOHN L. THORNDIKE
Director, Fiduciary Company
Incorporated
JACK L. TREYNOR
Investment Adviser and
Consultant
