<PAGE>
GOVERNMENT OBLIGATIONS PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
<TABLE>
<S> <C> <C>
MORTGAGE PASS-THROUGHS -- 95.5%
<CAPTION>
PRINCIPAL
AMOUNT
(000'S
OMITTED) VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
5.00%, with various maturities to 2003 $ 145 $ 143,699
5.25%, with various maturities to 2005 75 73,969
5.50%, with various maturities to 2011 300 296,662
6.00%, with various maturities to 2022 1,180 1,173,211
6.25%, with various maturities to 2013 300 299,234
6.50%, with various maturities to 2022 10,770 10,772,882
6.75%, with various maturities to 2008 283 283,895
7.00%, with various maturities to 2019 5,877 5,920,564
7.25%, with maturity at 2003 584 590,855
7.50%, with various maturities to 2020 9,678 9,834,517
7.75%, with various maturities to 2018 1,928 1,965,587
8.00%, with various maturities to 2026 39,767 40,864,498
8.25%, with various maturities to 2017 14,774 15,228,355
8.50%, with various maturities to 2018 17,403 18,106,586
8.75%, with various maturities to 2016 10,906 11,310,623
9.00%, with various maturities to 2020 15,536 16,198,599
9.25%, with various maturities to 2010 4,951 5,201,534
9.50%, with various maturities to 2016 6,070 6,409,291
10.00%, with various maturities to 2017 101 107,386
11.00%, with various maturities to 2019 3,081 3,363,992
11.50%, with maturity at 2015 513 568,696
12.00%, with various maturities to 2019 1,334 1,494,548
12.25%, with various maturities to 2019 1,399 1,575,793
12.50%, with various maturities to 2019 10,385 11,779,498
12.75%, with various maturities to 2015 580 657,807
13.00%, with various maturities to 2019 3,060 3,511,645
13.25%, with various maturities to 2019 202 233,079
13.50%, with various maturities to 2015 2,584 2,955,229
13.75%, with maturity at 2010 25 28,103
14.00%, with various maturities to 2016 1,237 1,435,235
14.50%, with various maturities to 2014 129 151,222
14.75%, with maturity at 2010 472 548,394
15.00%, with various maturities to 2013 595 707,324
15.25%, with maturity at 2012 140 167,548
15.50%, with various maturities to 2012 86 102,570
16.00%, with various maturities to 2012 66 79,417
16.25%, with various maturities to 2012 104 126,837
- ------------------------------------------------------------------------------
$ 174,268,884
- ------------------------------------------------------------------------------
<CAPTION>
PRINCIPAL
AMOUNT
(000'S
OMITTED) VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------
Federal National Mortgage Assn.:
0.25%, with maturity at 2014 $ 74 $ 64,085
3.50%, with maturity at 2007 64 60,842
5.00%, with various maturities to 2017 246 239,325
5.25%, with maturity at 2006 99 96,538
5.50%, with various maturities to 2006 113 110,831
5.75%, with maturity at 2003 36 35,431
6.00%, with various maturities to 2010 803 793,039
6.25%, with various maturities to 2007 233 232,181
6.50%, with various maturities to 2017 569 569,256
6.75%, with various maturities to 2007 304 305,251
7.00%, with various maturities to 2018 1,674 1,686,662
7.25%, with various maturities to 2017 1,053 1,065,839
7.50%, with various maturities to 2020 6,825 6,941,663
7.75%, with various maturities to 2008 703 716,197
8.00%, with various maturities to 2022 30,743 31,581,327
8.25%, with various maturities to 2025 13,217 13,643,843
8.50%, with various maturities to 2020 16,261 16,846,216
8.75%, with various maturities to 2017 766 796,406
9.00%, with various maturities to 2022 20,688 21,762,319
9.25%, with various maturities to 2016 2,425 2,553,358
9.50%, with various maturities to 2016 5,193 5,521,316
9.75%, with maturity at 2019 289 309,266
10.00%, with maturity at 2020 2,543 2,721,233
11.00%, with various maturities to 2020 2,348 2,586,736
11.50%, with various maturities to 2016 3,013 3,354,610
11.75%, with various maturities to 2015 972 1,085,851
12.00%, with various maturities to 2020 8,786 9,880,462
12.25%, with various maturities to 2015 1,798 2,031,806
12.50%, with various maturities to 2021 8,773 9,939,802
12.75%, with various maturities to 2014 866 983,485
13.00%, with various maturities to 2027 7,845 8,962,752
13.25%, with various maturities to 2015 1,294 1,492,422
13.50%, with various maturities to 2015 4,424 5,157,434
13.75%, with various maturities to 2014 103 118,657
14.00%, with various maturities to 2014 289 339,730
14.25%, with various maturities to 2014 102 119,443
14.50%, with various maturities to 2014 174 205,603
14.75%, with various maturities to 2012 2,417 2,844,369
15.00%, with various maturities to 2013 2,798 3,333,813
15.50%, with various maturities to 2012 551 659,674
15.75%, with maturity at 2011 18 21,741
16.00%, with various maturities to 2012 194 235,520
- ------------------------------------------------------------------------------
$ 162,006,334
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
9
<PAGE>
GOVERNMENT OBLIGATIONS PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(000'S
OMITTED) VALUE
- ------------------------------------------------------------------------------
<S> <C> <C>
Government National Mortgage Assn.:
7.25%, with various maturities to 2022 $ 2,354 $ 2,401,183
7.50%, with maturity at 2017 611 629,897
8.00%, with various maturities to 2017 12,387 12,750,830
8.25%, with various maturities to 2008 285 294,774
8.50%, with various maturities to 2018 1,522 1,585,428
9.00%, with maturity at 2011 285 301,222
11.50%, with maturity at 2013 127 141,917
12.00%, with various maturities to 2015 2,068 2,335,229
12.50%, with various maturities to 2019 8,654 9,843,526
13.00%, with various maturities to 2014 711 817,585
13.50%, with various maturities to 2012 151 173,449
14.00%, with maturity at 2015 34 40,254
14.50%, with various maturities to 2014 173 206,488
15.00%, with various maturities to 2013 414 498,130
16.00%, with various maturities to 2012 187 229,819
- ------------------------------------------------------------------------------
$ 32,249,731
- ------------------------------------------------------------------------------
Collateralized Mortgage Obligations:
Federal Home Loan Mortgage Corp.
Series B Class 3, 12.5%, due 2013
Collateral 100% FHLMC PC $ 96 $ 103,926
Salomon Brothers Mortgage Securities II, Inc.
11.5%, due 2015 747 774,759
- ------------------------------------------------------------------------------
$ 878,685
- ------------------------------------------------------------------------------
Total Mortgage Pass-Throughs
(identified cost, $372,849,693) $ 369,403,634
- ------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY DEBENTURES -- 18.4%
<CAPTION>
PRINCIPAL
AMOUNT
(000'S
OMITTED) VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------
Federal National Mortgage Assn., 6.00%, 5/15/08(1) $ 73,000 $ 71,015,348
- ------------------------------------------------------------------------------
Total U.S. Government Agency Debentures
(identified cost, $73,840,960) $ 71,015,348
- ------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 1.7%
<CAPTION>
PRINCIPAL
AMOUNT
(000'S
OMITTED) VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------
U.S. Treasury Bond, 7.125%, 2/15/23(2) $ 6,000 $ 6,650,628
- ------------------------------------------------------------------------------
Total U.S. Treasury Obligations
(identified cost, $6,328,125) $ 6,650,628
- ------------------------------------------------------------------------------
Total Investments -- 115.6%
(identified cost $453,018,778) $ 447,069,610
- ------------------------------------------------------------------------------
Other Assets, Less Liabilities -- (15.6)% $ (60,287,278)
- ------------------------------------------------------------------------------
Net Assets -- 100% $ 386,782,332
- ------------------------------------------------------------------------------
</TABLE>
(1) A portion of this security is on loan at June 30, 1999.
(2) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
SEE NOTES TO FINANCIAL STATEMENTS
10
<PAGE>
GOVERNMENT OBLIGATIONS PORTFOLIO AS OF JUNE 30, 1999
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF JUNE 30, 1999
<S> <C>
Assets
- ----------------------------------------------------------------------
Investments, at value (identified cost, $453,018,778) $ 447,069,610
Cash 92,329
Receivable for investments sold 1,836,958
Interest receivable 3,962,246
- ----------------------------------------------------------------------
TOTAL ASSETS $ 452,961,143
- ----------------------------------------------------------------------
Liabilities
- ----------------------------------------------------------------------
Collateral for securities loaned $ 63,158,401
Demand note payable 2,800,000
Payable for daily variation margin on open
financial futures contracts 150,010
Payable to affiliate for Trustees' fees 18,261
Other accrued expenses 52,139
- ----------------------------------------------------------------------
TOTAL LIABILITIES $ 66,178,811
- ----------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN
PORTFOLIO $ 386,782,332
- ----------------------------------------------------------------------
Sources of Net Assets
- ----------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $ 392,620,150
Net unrealized depreciation (computed on the basis of
identified cost) (5,837,818)
- ----------------------------------------------------------------------
TOTAL $ 386,782,332
- ----------------------------------------------------------------------
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED
JUNE 30, 1999
<S> <C>
Investment Income
- ----------------------------------------------------------------------
Interest $ 17,641,023
- ----------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 17,641,023
- ----------------------------------------------------------------------
Expenses
- ----------------------------------------------------------------------
Investment adviser fee $ 1,528,807
Trustees fees and expenses 19,369
Custodian fee 110,605
Legal and accounting services 19,116
Miscellaneous 44,602
- ----------------------------------------------------------------------
TOTAL EXPENSES $ 1,722,499
- ----------------------------------------------------------------------
NET INVESTMENT INCOME $ 15,918,524
- ----------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- ----------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (4,233,218)
Financial futures contracts 38,803
- ----------------------------------------------------------------------
NET REALIZED LOSS $ (4,194,415)
- ----------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ (13,452,742)
Financial futures contracts 60,938
- ----------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ (13,391,804)
- ----------------------------------------------------------------------
NET REALIZED AND UNREALIZED LOSS $ (17,586,219)
- ----------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $ (1,667,695)
- ----------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
11
<PAGE>
GOVERNMENT OBLIGATIONS PORTFOLIO AS OF JUNE 30, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
Increase (Decrease) JUNE 30, 1999 YEAR ENDED
in Net Assets (UNAUDITED) DECEMBER 31, 1998
<S> <C> <C>
- --------------------------------------------------------------------------------
From operations --
Net investment income $ 15,918,524 $ 34,090,075
Net realized gain (loss) (4,194,415) 4,112,519
Net change in unrealized
appreciation (depreciation) (13,391,804) (12,945,586)
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (1,667,695) $ 25,257,008
- --------------------------------------------------------------------------------
Capital transactions --
Contributions $ 50,680,296 $ 187,817,118
Withdrawals (83,241,064) (225,170,325)
- --------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM CAPITAL
TRANSACTIONS $ (32,560,768) $ (37,353,207)
- --------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $ (34,228,463) $ (12,096,199)
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
At beginning of period $ 421,010,795 $ 433,106,994
- --------------------------------------------------------------------------------
AT END OF PERIOD $ 386,782,332 $ 421,010,795
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
12
<PAGE>
GOVERNMENT OBLIGATIONS PORTFOLIO AS OF JUNE 30, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 1999 -----------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- -------------------------------------------------------------------------------------------------------------------------------
Expenses 0.85%(1) 0.89% 0.83% 0.82% 0.82% 0.80%
Net investment income 7.88%(1) 7.85% 7.95% 7.88% 7.82% 8.03%
Portfolio turnover 6% 48% 20% 11% 19% 35%
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S
OMITTED) $386,782 $421,011 $433,107 $455,523 $521,789 $515,670
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
GOVERNMENT OBLIGATIONS PORTFOLIO AS OF JUNE 30, 1999
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 an independent matrix pricing system applied by the adviser which takes
into account closing bond valuations, yield differentials, anticipated
prepayments and interest rates provided by dealers. 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 security, and the
proceeds from such sale will be decreased by the premium originally paid. If
the Portfolio exercises a
14
<PAGE>
GOVERNMENT OBLIGATIONS PORTFOLIO AS OF JUNE 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
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 rates.
Should interest 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 Other -- Investment transactions are accounted for on the date the
investments are purchased or sold.
I 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.
J Interim Financial Statements -- The interim financial statements relating to
June 30, 1999 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 Purchases and Sales of Investments
- -------------------------------------------
Purchases, sales and paydowns of investments, other than short-term
obligations, aggregated $30,527,517, $3,897,382 and $64,158,890,
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, 1999,
the fee was equivalent to 0.75% (annualized) of the Portfolio's average net
assets for such period and amounted to $1,528,807. 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. 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, 1999, no
significant amounts have been deferred.
Certain officers and Trustees of the Portfolio are officers of the above
organizations.
4 Line of Credit
- -------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR and
EVM and its affiliates in a committed $130 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 Eurodollar rate or federal funds rate. In
addition, a fee computed at an annual rate of 0.10% on the daily unused
portion of the line of credit is allocated among the participating portfolios
and funds at the end of each quarter. The average daily loan balance for the
six months ended June 30, 1999 was $1,415,017 and the average interest rate
was 5.09%. The maximum borrowing outstanding at any time during the six
months ended June 30, 1999 was $11,346,000. As of June 30, 1999, $2,800,000
was outstanding.
15
<PAGE>
GOVERNMENT OBLIGATIONS PORTFOLIO AS OF JUNE 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
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.
Collateral received is generally cash, and the Portfolio invests the cash and
receives 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 loan rebate fee paid by the Fund offsets a portion of the
interest income received. At June 30, 1999, the value of the securities
loaned and the value of the collateral amounted to approximately $63,000,000
and $64,000,000, respectively.
6 Federal Income Tax Basis of Investments
- -------------------------------------------
The cost and unrealized appreciation/depreciation in value of the investment
securities owned at June 30, 1999, as computed on a federal income tax basis,
were as follows:
<TABLE>
<S> <C>
AGGREGATE COST $ 451,938,282
- -------------------------------------------------------
Gross unrealized appreciation $ 2,079,266
Gross unrealized depreciation (6,947,938)
- -------------------------------------------------------
NET UNREALIZED DEPRECIATION $ (4,868,672)
- -------------------------------------------------------
</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 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, 1999 is as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS
- ---------------------------------------------------------------------------
EXPIRATION NET UNREALIZED
DATE CONTRACTS POSITION APPRECIATION
<S> <C> <C> <C>
- ---------------------------------------------------------------------------
9/99 200 US Treasury Five Year
Note Futures Short $111,350
</TABLE>
At June 30, 1999, the Portfolio had sufficient cash and/or securities to
cover margin requirements on any open futures contracts.
16
<PAGE>
GOVERNMENT OBLIGATIONS PORTFOLIO
Officers
James B. Hawkes
President and Trustee
Susan Schiff
Vice President and
Portfolio Manager
Mark S. Venezia
Vice President
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
Trustees
Jessica M. Bibliowicz
President and Chief Executive Officer,
National Financial Partners
Donald R. Dwight
President, Dwight Partners, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking
Emeritus, Harvard University Graduate School of
Business Administration
Norton H. Reamer
Chairman and Chief Executive Officer,
United Asset Management Corporation
Lynn A. Stout
Professor of Law,
Georgetown University Law Center
Jack L. Treynor
Investment Adviser and Consultant
17
